PART I

Item 1. Business.

(a)General Development of Business. Ceres Tactical Systematic L.P. (formerly, Tactical Diversified Futures Fund L.P.) (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on December 3, 2002 to engage directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The commodity interests that are traded by the Partnership directly or indirectly through its investment in the Funds (as defined below) are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Funds) in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.

A Registration Statement on Form S-1 relating to the public offering of 300,000 redeemable units of limited partnership interest (“Redeemable Units”) became effective March 27, 2003. Between March 27, 2003 (commencement of the offering period) and April 30, 2003, 36,616 Redeemable Units were publicly offered at $1,000 per Redeemable Unit. The proceeds of the initial public offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading.

A second Registration Statement on Form S-1 relating to the public offering of 1,000,000 Redeemable Units (including the 300,000 Redeemable Units that had been previously registered) became effective on December 4, 2003. As of that date, 260,732.3028 Redeemable Units had been sold.

A third Registration Statement on Form S-1 relating to the public offering of 2,000,000 Redeemable Units (including the 1,000,000 Redeemable Units that had been previously registered) became effective on October 7, 2004. As of that date, 807,449.3782 Redeemable Units had been sold.

A fourth Registration Statement on Form S-1 relating to the public offering of 2,000,000 Redeemable Units previously registered became effective on June 30, 2005. As of that date, 1,027,701.7549 Redeemable Units had been sold. The public offering of Redeemable Units terminated on November 30, 2008. The Partnership currently privately and continuously offers Redeemable Units to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Subscriptions of additional Redeemable Units and additional General Partner contributions and redemptions of Redeemable Units for the years ended December 31, 2023, 2022 2021 and 20202021 are reported in the Statements of Changes in Partners’ Capital under “Item 8. Financial Statements and Supplementary Data.”

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. During the periods covered by this report and prior to the Partnership’s redemption from the Funds (as defined below), the General Partner also acted as the trading manager (the “Trading Manager”) and/or general partner, as applicable, of ADG Master (as defined below), AE Capital Master (as defined below), Aquantum Master (as defined below), Cambridge Master (as defined below), FORT Contrarian Master (as defined below) and SECOR Master (as defined below). The General Partner is a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc.Capital Management LLC (“MSD Holdings”MSCM”). MSD HoldingsMSCM is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.

During the years ended December 31, 2023, 2022 and 2021, and 2020, the Partnership’s/Funds’Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward counterparty for certain Funds. During certain periods included in this report, the Partnership/Funds deposited a portion of their cash in non-trading bank accounts at JPMorgan.

As of December 31, 2022,2023, all trading decisions were made for the Partnership by DCM Systematic Advisors SA (“DCM”), Drury Capital, Inc. (“Drury”), Episteme Capital Partners (UK) LLP, Episteme Capital Partners (US) LLC, and Episteme Capital Partners (Cayman) LTD (collectively, “Episteme”), and Millburn Ridgefield Corporation (“Millburn”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Effective December 31, 2022, the General Partner terminated ISAM Systematic Management (“ISAM SM”) as an Advisor to the Partnership. Effective October 31, 2021, the General Partner terminated FORT, L.P. (“FORT”) as an Advisor to the Partnership. Effective December 31, 2020, the General Partner terminated ADG Capital Management LLP (“ADG”) and Aquantum GmbH (Aquantum”) as Advisors to the Partnership. Effective June 30, 2019, the General Partner terminated SECOR Capital Advisors, LP (“SECOR”) as an Advisor to the Partnership. Effective April 3, 2019, the General Partner terminated AE Capital Pty Limited (“AE Capital”) as an Advisor to the Partnership. Effective October 1, 2018, the Partnership, the General Partner, The Cambridge Strategy (Asset Management) Limited (“Cambridge”) and Mesirow Financial International UK Limited (“Mesirow”) entered into a novation, assignment and assumption agreement, dated September 28, 2018, pursuant to which Cambridge transferred all of its future rights, obligations, and liabilities under that certain amended and restated management agreement, by and among the General Partner, the Partnership and Cambridge, dated as of December 1, 2015, as amended January 1, 2018 (collectively, the “Cambridge Initial Advisory Agreement”), to Mesirow. As of October 1, 2018 and until its termination effective March 31, 2019, Mesirow had undertaken to perform the Cambridge Initial Advisory Agreement and be bound by its terms in every way as if it were the original party to it in place of Cambridge. Effective November 1, 2018, the Partnership, the General Partner, ISAM (USA) LLC, ISAM Funds (UK) Limited, International Standard Asset Management (“ISAM”) and ISAM SM entered into a novation agreement, dated October 25, 2018, pursuant to which ISAM transferred all of its future rights, obligations, and liabilities under that certain amended and restated management agreement, by and among the General Partner, the Partnership, ISAM, ISAM (USA) LLC and ISAM Funds (UK) Limited, dated as of November 1, 2017 (the “ISAM Initial Advisory Agreement”), to ISAM SM. As of November 1, 2018, ISAM SM has undertaken to perform the ISAM Initial Advisory Agreement and be bound by its terms in every way as if it were the original party in place of ISAM. Reference herein to “Advisors” may include, as relevant, ADG, Aquantum, AE Capital, Cambridge, ISAMFORT and ISAM SM, Mesirow and SECOR.SM. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests or invested the portion of its assets allocated to each of the Advisors either directly, through individually managed accounts, or indirectly, through its investment in the Funds.accounts.

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As of January 1, 2018, the Partnership began offering three classes of limited partnership interests, Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units. All Redeemable Units issued prior to January 1, 2018 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and non-U.S. investors. Class D Redeemable Units and Class Z Redeemable Units were first issued on January 1, 2018. Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the limited partner, although the General Partner may determine to offer any Class of Redeemable Units to investors at its discretion. Class D Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and non-U.S. investors. Class Z Redeemable Units are offered to certain employees of Morgan Stanley and its subsidiaries (and their family members). In the future, Class Z Redeemable Units may also be offered to certain limited partners who receive advisory services from Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”). Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units are identical, except that they are subject to different monthly ongoing selling agent fees. Effective January 1, 2021, Class A Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the net assets of Class A Redeemable Units as of the end of each month. From July 1, 2020 through December 31, 2020, Class A Redeemable Units were subject to a monthly ongoing selling agent fee equal to 1/12 of 1.00% (a 1.00% annual rate) of the net assets of Class A Redeemable Units as of the end of each month. Prior to July 1, 2020, Class A Redeemable Units were subject to a monthly ongoing selling agent fee equal to 1/12 of 2.00% (a 2.00% annual rate) of the net assets of Class A Redeemable Units as of the end of each month. Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the net assets of Class D Redeemable Units as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee.

The Partnership’s trading of futures, forward and option contracts, as applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Funds’ trading of futures, forward and option contracts, as applicable, on commodities was also done primarily on U.S. and foreign commodity exchanges. The Partnership engages and the Funds engaged, in such trading through commodity brokerage accounts maintained with MS&Co.

Generally, a limited partner/member in the Funds withdrew all or part of its capital contribution and undistributed profits, if any, from the Funds as of the end of any month (the “Redemption Date”) after a request had been made to the General Partner/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals were classified as a liability when the limited partner/member elected to redeem and informed the Funds. However, a limited partner/member had the right to request a withdrawal as of the end of any day if such request was received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.

Management fees, General PartnerThe Partnership pays clearing fees, ongoing selling agent fees, andGeneral Partner fees, management fees, incentive fees are charged at the Partnership level. Clearing fees were borne by the Funds and allocated to the Funds’ limited partners/non-managing members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees were borne by the Funds and allocated to the Partnership, and are also charged directly at the Partnership level.professional fees.

For the period January 1, 20222023 through December 31, 2022,2023, the approximate average market sector distribution for the Partnership was as follows:

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Effective January 1, 2021, the Partnership pays to DCM a monthly management fee equal to 1/12 of 0.75% (0.75% per year) of month-end net assets of the Partnership allocated to DCM. Effective February 1, 2023, the Partnership pays to Drury a monthly management fee equal to 1/12 of 0.50% (0.50% per year) of month-end net assets of the Partnership allocated to Drury. Effective November 1, 2020, the Partnership pays to Episteme a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of month-end net assets of the Partnership allocated to Episteme. Effective January 1, 2020, the Partnership pays to Millburn a monthly management fee equal to 1/12 of 0.25%, 0.375% or 0.50% (0.25%, 0.375% or 0.5% per year), depending on account leverage, of month-end net assets of the Partnership allocated to Millburn. Month-end net assets, for purposes of calculating management fees, are net assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s incentive fee accruals, the monthly management fees, the General Partner fee and any redemptions or distributions as of the end of such month. An Advisor’s management fee is allocated proportionately to each Class based on the net asset value of the respective Class.

Prior to its termination effective December 31, 2022, the Partnership paid to ISAM SM a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of month end net assets of the Partnership allocated to ISAM SM. Prior to FORT’s termination on October 31, 2021, the Partnership paid to FORT a monthly management fee equal to 1/12 of 0.75% (0.75% per year) of month-end net assets of the Partnership allocated to FORT’s Global Trend Trading Program, and until December 31, 2020, paid to FORT a monthly management fee equal to 1/12 of 1.15% (1.15% per year) of month-end net assets allocated to FORT Contrarian Master. Prior to ADG’s termination on December 31, 2020, the Partnership paid to ADG a monthly management fee equal to 1/12 of 1.00% (1.00% per year) of month-end net assets of the Partnership allocated to ADG. Prior to Aquantum’s termination on December 31, 2020, the Partnership paid to Aquantum a monthly management fee equal to 1/12 of 1.25% (1.25% per year) of month-end net assets of the Partnership allocated to Aquantum. As of October 1, 2018 and until its termination effective March 31, 2019, Mesirow received a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of month-end net assets allocated to Mesirow. From January 1, 2018 to September 30, 2018, the monthly management fee paid by the Partnership to Cambridge was equal to 1/12 of 1.0% (1.0% per year) of month-end net assets allocated to Cambridge. Prior to January 1, 2018, Cambridge received a monthly management fee equal to 1/12 of 1.5% (1.5% per year) of month-end net assets allocated to Cambridge. Prior to its termination effective June 30, 2019, SECOR received a monthly management fee equal to 1/12 of 1.15% (1.15% per year) of month-end net assets allocated to SECOR. Prior to its termination effective April 3, 2019, AE Capital received a monthly management fee equal to 1/12 of 1.50% (1.50% per year) of month-end net assets allocated to AE Capital.Program.

In addition, effective January 1, 2021, the Partnership is obligated to pay DCM an incentive fee, payable quarterly, equal to 15% of the New Trading Profits, as defined in the Management Agreement, earned by DCM. Effective February 1, 2023, the Partnership is obligated to pay Drury an incentive fee, payable annually, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by Drury. Effective November 1, 2020, the Partnership is obligated to pay Episteme an incentive fee, payable quarterly, equal to 22.5% of the New Trading Profits, as defined in the Management Agreement, earned by Episteme. Effective January 1, 2020, the Partnership is obligated to pay Millburn an incentive fee, payable annually, equal to 28% of the New Trading Profits, as defined in the Management Agreement, earned by Millburn. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership. An Advisor’s incentive fee is allocated proportionately to each Class based on the net asset value of the respective Class.

Prior to its termination effective December 31, 2022, ISAM SM was eligible to receive an incentive fee, payable quarterly, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by ISAM SM. Prior to the Partnership’s full redemption out of FORT Contrarian Master effective December 31, 2020, FORT was eligible to receive an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in the Management Agreement, earned by FORT for the Partnership’s assets allocated to FORT Contrarian Master during each calendar year. Prior to its termination effective December 31, 2020, ADG was eligible to receive an incentive fee, payable semi-annually, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by ADG for the Partnership during each calendar half-year. Prior to its termination effective December 31, 2020, Aquantum was eligible to receive an incentive fee, payable semi-annually, equal to 20% of the New Trading Profits, as defined in the Management Agreement, earned by Aquantum for the Partnership during each calendar half-year. As of October 1, 2018 and until its termination effective March 31, 2019, Mesirow was eligible to receive an incentive fee, payable annually, equal to 15% of New Trading Profits, as defined in the Management Agreement, earned by Mesirow for the Partnership during each calendar year. From January 1, 2018 to September 30, 2018, Cambridge was eligible to receive an incentive fee, payable annually, equal to 15% of the New Trading Profits, as defined in the Management Agreement, earned by Cambridge for the Partnership during each calendar year. Prior to January 1, 2018, Cambridge was eligible to receive an incentive fee, payable quarterly, equal to 15% of the New Trading Profits, as defined in the Management Agreement, earned by Cambridge for the Partnership during each calendar quarter. Prior to its termination effective June 30, 2019, SECOR was eligible to receive an incentive fee, payable annually, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by SECOR for the Partnership during each calendar year. Prior to its termination effective April 3, 2019, AE Capital was eligible to receive an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in the Management Agreement, earned by AE Capital for the Partnership during each calendar quarter.

The Partnership has entered into a customer agreement with MS&Co. (the “Partnership Customer Agreement”). Under the Partnership Customer Agreement and the foreign exchange brokerage account agreement, the Partnership pays (or paid with respect to the Funds) trading fees for the clearing and, where applicable, execution of transactions, as well as exchange, user, give-up, floor brokerage and National Futures Association (“NFA”) fees (collectively, the “clearing fees”), directly and indirectly through its investment in the Funds. Clearing fees were allocated to the Partnership based on its proportionate share of each Fund. Clearing fees are also borne directly by the Partnership for its direct trading.. Clearing fees will be paid for the life of the Partnership, although the rate at which such fees are paid may be changed. All of the Partnership’s assets available for trading in commodity interests previously not held in the Funds’ accounts at MS&Co. or JPMorgan were deposited in the Partnership’s accounts at MS&Co. The Partnership’s cash

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(i) through (xii) — Not applicable.

(xiii) — The Partnership has no employees.

(d)Financial Information About Geographic Areas. The Partnership does not engage in the sale of goods or services or own any long lived assets, and therefore this item is not applicable.

(e)Available Information. The Partnership does not have an Internet address. The Partnership will provide paper copies of its Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and any amendments to these reports free of charge upon request.

(f) Reports to Security Holders. Not applicable.

(g) Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.

(h) Smaller Reporting Companies. Not applicable.

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Regulatory changes could restrict the Partnership’s operations and increase its operational costs.

Regulatory costs or changes could adversely affect the Partnership by restricting its markets or activities, limiting its trading and/or increasing the costs or taxes to which investors are subject. Pursuant to the mandate of the Dodd-Frank Wall Street Reform and Consumer Protection Act, signed into law on July 21, 2010, the CFTC and the Securities and Exchange Commission (the “SEC”) have promulgated rules to regulate trading in swaps and swap dealers and to mandate additional reporting and disclosure requirements and continue to promulgate rules regarding capital and margin requirements, to require that certain swaps be traded on an exchange or a swap execution facility, to mandate additional reporting and disclosure requirements and to require that derivatives (such as those traded by the Partnership) be moved into central clearinghouses. The CFTC and the prudential regulators that oversee swap dealers have adopted rules regarding margin requirements for certain derivatives. In addition, the CFTC and such prudential regulators have adopted rules regarding capital requirements for swap dealers. These rules may negatively impact the manner in which swap contracts are traded and/or settled, increase the costs of such trades, and limit trading by speculators (such as the Partnership) in futures and over-the-counter (“OTC”) markets.

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Item 1C. Cybersecurity.

Risk management and strategy

The Partnership has no directors or executive officers and its affairs are managed by its General Partner. The General Partner is a wholly-owned subsidiary of MSCM. MSCM is ultimately owned by Morgan Stanley. Morgan Stanley, its businesses, the General Partner, the Partnership, and the broader financial services industry face an increasingly complex and evolving threat environment. Morgan Stanley has made and continues to make substantial investments in cybersecurity and fraud prevention technology, and employ experienced talent to lead its Cybersecurity and Information Security organizations and program under the oversight of the Morgan Stanley Board of Directors (the “Board”) and the Operations and Technology Committee of the Board (the “BOTC”). See “Risk Factors – The General Partner, the Partnership, the Funds and their respective service providers (including the Advisors) and operations are potentially vulnerable to cyber-security attacks or incidents” for information on risks to the Partnership from cybersecurity threats.

As part of its enterprise risk management (“ERM”) framework, Morgan Stanley has implemented and maintains a program to assess, identify and manage risks arising from the cybersecurity threats (the “Cybersecurity Program”). The Cybersecurity Program has been adopted by the General Partner, and applies to its business, as relevant. The Cybersecurity Program helps protect Morgan Stanley’s clients, customers, employees, property, products, services and reputation by seeking to preserve the confidentiality, integrity and availability of information, enable the secure delivery of financial services, and protect the business and the safe operation of Morgan Stanley’s technology systems. Morgan Stanley continually adjusts the Cybersecurity Program to address the evolving cybersecurity threat landscape and comply with extensive legal and regulatory expectations.

Processes for assessing, identifying and managing material risks from cybersecurity threats

The Cybersecurity Program takes into account industry best practices and addresses risks from cybersecurity threats to Morgan Stanley’s network, infrastructure, computing environment and the third parties that Morgan Stanley, and its affiliates rely on. Morgan Stanley periodically assesses the design of its cybersecurity controls against the Cyber Risk Institute Cyber Profile, which is based on the National Institute of Standards and Technology (“NIST”) Cybersecurity Framework for Improving Critical Infrastructure Cybersecurity, as well as global cybersecurity regulations, and develops improvements to those controls in response to that assessment. The Cybersecurity Program also includes cybersecurity and information security policies, procedures and technologies that are designed to address regulatory requirements and to protect clients’, employees’ and Morgan Stanley’s own data against unauthorized disclosure, modification and misuse. These policies, procedures and technologies cover a broad range of areas, including: identification of internal and external threats, access control, data security, protective controls, detection of malicious or unauthorized activity, incident response, and recovery planning.

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The threat intelligence function within the Cybersecurity Program actively engages in private and public information sharing communities and leverages both commercial and proprietary products to collect a wide variety of industry and governmental information regarding the latest cybersecurity threats, which informs the cybersecurity risk assessments and strategy. This information is also provided to an internal forensics team, which develops and implements technologies designed to help detect these cybersecurity threats. Where a potential threat is identified, an incident response team evaluates the potential impact, and coordinates remediation where required. These groups, as well as Morgan Stanley’s Operational Risk Department (the “Operational Risk Department”), review external cybersecurity incidents that may be relevant to Morgan Stanley and its affiliates, and the outcomes of these incidents further inform the design of the Cybersecurity Program. In addition, Morgan Stanley maintains a robust global training program on cybersecurity risks and requirements and conducts regular phishing email simulations for its employees and consultants.

The cybersecurity processes are designed to help oversee, identify and mitigate risks associated with Morgan Stanley’s use of third-party vendors. Morgan Stanley maintains a third-party risk management program that includes evaluation of, and response to, cybersecurity risks at its third-party vendors. Prior to engaging third-party vendors to provide services, Morgan Stanley conducts assessments of the third-party vendors’ cybersecurity programs to identify the impact of their services on the cybersecurity risks to Morgan Stanley. Once on-boarded, third-party vendors’ cybersecurity programs are subject to risk-based oversight, which may include security questionnaires, submission of independent security audit reports or an audit of the third-party vendor’s security program, and, with limited exceptions, third-party vendors are required to meet Morgan Stanley’s cybersecurity standards. Where a third-party vendor cannot meet those standards, its services, and the residual risk, are subject to review, challenge and escalation through Morgan Stanley’s risk management processes and ERM committees, which may ultimately result in requesting increased security measures or ceasing engagement with such third-party vendor.

The Cybersecurity Program is regularly assessed by Morgan Stanley’s Internal Audit Department (“IAD”) through various assurance activities, with the results reported to the Audit Committee of the Board (“BAC”) and the BOTC. Annually, certain elements of the Cybersecurity Program are subject to an audit by an independent consultant, as well as an assessment by a separate, independent third party, the results of which, including opportunities identified for improvement and related remediation plans, are reviewed with the BOTC. The Cybersecurity Program is also examined regularly by Morgan Stanley’s prudential and conduct regulators within the scope of their jurisdiction.

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Governance

Morgan Stanley Management’s role in assessing and managing material risks from cybersecurity threats

The Cybersecurity Program is operated and maintained by management, including Morgan Stanley’s Chief Information Officer of Cyber, Data, Risk and Resilience (“CIO”) and Morgan Stanley’s Chief Information Security Officer (“CISO”). These senior officers are responsible for assessing and managing the Firm’s cybersecurity risks. The General Partner adheres to the Cybersecurity Program’s policies and participates in periodic testing. The Cybersecurity Program strategy, which is set by the CISO and overseen by the Head of the Operational Risk Department, is informed by various risk and control assessments, control testing, external assessments, threat intelligence, and public and private information sharing. The Cybersecurity Program also includes processes for escalating and considering the materiality of incidents that impact Morgan Stanley and its affiliates, including escalation to senior management and the Board, which are periodically tested through tabletop exercises.

The members of management that lead the Cybersecurity Program and strategy have extensive experience in technology, cybersecurity and information security. The CIO has over 30 years of experience in various engineering, IT, operations and information security roles. The CISO has over 25 years of experience leading cybersecurity teams at financial institutions, including in the areas of IT strategy, risk management and information security. The Head of the Operational Risk Department has over 20 years of experience in technology, security and compliance roles, including experience in government security agencies.

Risk levels and mitigating measures are presented to and monitored by dedicated management-level cybersecurity risk committees. These committees include representatives from management as well as business and control stakeholders who review, challenge and, where appropriate, consider exceptions to its policies and procedures. Significant cybersecurity risks are escalated from these committees to Morgan Stanley’s non-financial risk committee. The CIO and the Head of the Operational Risk Department report on the status of the Cybersecurity Program, including significant cybersecurity risks; review metrics related to the program; and discuss the status of regulatory and remedial actions and incidents to Morgan Stanley’s non-financial risk committee, the BOTC and the Board, as appropriate.

Item 2. Properties.

The Partnership does not own or lease any properties. The General Partner operates out of facilities provided by Morgan Stanley and/or one of its subsidiaries.

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Item 3. Legal Proceedings.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which MS&Co.Morgan Stanley & Co. LLC or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.” or “the Company”).

MS&Co.The Company is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, as amended (the “Exchange Act”) which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co.the Company. As a consolidated subsidiary of Morgan Stanley, MS&Co.the Company does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2023, 2022, 2021, 2020, 2019, 2018, and 2017.2019. In addition, MS&Co.the Company annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. We refer you to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2021the Company’s 2023 Audited Financial Statement.

In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and MS&Co.the Company has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, as well as being subject to regulatory investigations arising in connection with its activities as a global diversified financial services institution. Certain of the actual or threatened legal actions or regulatory investigations include claims for substantial penalties, compensatory and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the third-party entities that are, or would otherwise be, the primary defendants in such cases are bankrupt, in financial distress, or may not honor applicable indemnification obligations. These actions have included, but are not limited to, antitrust claims, claims under various false claims act statutes, and matters arising from our sales and trading businesses and our activities in the capital markets.

Each of Morgan Stanley and the Company is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by governmental and self-regulatory agencies regarding the Company’s business and involving, among other matters, sales, trading, financing, prime brokerage, market-making activities, investment banking advisory services, capital market activities, financial products or offerings sponsored, underwritten, or sold by the Company, wealth and investment management services, and accounting and operational matters, certain of which may result in adverse judgments, settlements, fines, penalties, disgorgement, restitution, forfeiture, injunctions, limitations on our ability to conduct certain business, or damages.other relief.

MS&Co.The Company is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036. Among other registrations and memberships, MS&Co.the Company is registered as a futures commission merchant and is a member of the National Futures Association.

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During the preceding five years, the following administrative, civil, or criminal actions pending, on appeal or concluded against MS&Co.the Company or any of its principals are material within the meaning of CFTC Rule 4.24(l)(2) or 4.34(k)(2):

Regulatory and Governmental Matters.Matters

The Company has been responding to subpoenas and other requests for information fromOn January 12, 2024, the Enforcement Division of the U.S. Securities and Exchange Commission and the United States Attorney’s Office for the Southern District of New York (“USAO”) and the SEC announced they had reached settlement agreements with the Company in connection with their investigations into various aspects of the Company’s blocks business, certain related sales and trading practices, and applicable controls (the “Investigations”). The Investigations are focused on whetherbusiness. Specifically, the Company and/orentered into a three-year non-prosecution agreement (“NPA”) with the USAO that included the payment of forfeiture, restitution, and a criminal fine for making false statements in connection with the sale of certain block trades from 2018 through August 2021. The NPA required the Company to admit responsibility for certain acts of its employees shared and/or used information regarding impending block transactions in violation of federal securities laws and regulations. The Company is continuingto continue to cooperate with the Investigations and is respondingprovide certain information to the requests.USAO for the term of the agreement. Additionally, the SEC charged the Company with violations of Section 10(b) of the Exchange Act and Rule 10b-5(b) thereunder for the disclosure of confidential information about block trades and also violations of Section 15(g) of the Exchange Act for the failure to enforce its policies concerning the misuse of material non-public information related to block trades. As part of the SEC agreement, the Company paid disgorgement and a civil penalty. After the agreed-upon credits were applied, the Company paid a total amount of approximately $249 million under both settlements. The Company also faces potential civil liability arising from claims that have been or may be asserted by, among others, block transaction participants who contend they were harmed or disadvantaged including, among other things, as a result of a share price decline allegedly caused by the activities of the Company and/or its employees, or as a result of the Company’s and/or its employees’ failure to adhere to applicable laws and regulations. In addition, the Company has responded to demands from shareholders under Section 220 of the Delaware General Corporation Law for books and records concerning the Investigations.investigations.

On September 30, 2020, the SEC entered into a settlement order with MS&Co.the Company settling an administrative action which relates to MS&Co.’sthe Company’s violations of the order marking requirements of Regulation SHO of the Exchange Act resulting from its improper use of aggregation units in structuring the Firm’s equity swaps business. The order found that MS&Co.the Company improperly operated its equity swaps business without netting certain “long” and “short” positions as required by Rule 200(c) of Regulation SHO. The order found that the long exposure to an equity security (the “Long Unit”) and the short exposure to an equity security (the “Short Unit”) were not independent from one another and did not have separate trading strategies or objectives without regard to each other, and that the Long and Short Units were not eligible for the exception in Rule 200(f) of Regulation SHO. The order found that MS&Co.the Company willfully violated Section 200(g) of Regulation SHO. MS&Co.The Company consented, without admitting or denying the findings and without adjudication of any issue of law or fact, to a censure; to cease and desist from committing or causing future violations; to pay a civil penalty of $5 million; and to comply with the undertaking enumerated in the order.

The Firm has reached agreements in principle with two regulatory agencies—the SEC for $125 million and the CFTC for $75 million— to resolve record-keeping related investigations by those agencies relating to business communications on messaging platforms that had not been approved by the Firm. The Company was one of the entities involved in these investigations, and has recognized a provision of $63 million in anticipation of concluding the settlement with the SEC. On September 27, 2022, the Firm’s settlements with the SEC and the CFTC became effective.

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Civil Litigation

On August 18, 2009, Relators Roger Hayes and C. Talbot Heppenstall, Jr., filed a qui tam action in New Jersey state court styled State of New Jersey ex. rel. Hayes v. Bank of America Corp., et al.al. The complaint, filed under seal pursuant to the New Jersey False Claims Act, alleged that the Company and several other underwriters of municipal bonds had defrauded New Jersey issuers by misrepresenting that they would achieve the best price or lowest cost of capital in connection with certain municipal bond issuances. On March 17, 2016, the court entered an order unsealing the complaint. On November 17, 2017, Relators filed an amended complaint to allege the Company mispriced certain bonds issued in twenty-three bond offerings between 2008 and 2017, having a total par amount of $6,946$6,900 million. The complaint seeks, among other relief, treble damages. On February 22, 2018, the Company moved to dismiss the amended complaint, and on July 17, 2018, the court denied the Company’s motion. On October 13, 2021, following a series of voluntary and involuntary dismissals, Relators limited their claims to certain bonds issued in five offerings the Company underwrote between 2008 and 2011, having a total par amount of $3,856$3,900 million. On August 22, 2023, the Firm reached an agreement in principle to settle the litigation.

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Beginning in February of 2017, MS&Co.2016, the Company was named as a defendant in amultiple purported antitrust class actionactions now consolidated into a single proceeding in the United States District Court for the Southern District of New York (“SDNY”) styled Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation et al.In Re: Interest Rate Swaps Antitrust Litigation. Plaintiffs allege, inter alia, that MS&Co.,the Company, together with a number of other financial institution defendants violated U.S. antitrust laws and New York state lawantitrust laws from 2008 through December of 2016 in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The class action complaint wasinterest rate swaps trading. Complaints were filed both on behalf of a purported class of borrowers and lendersinvestors who entered into stock loan transactions withpurchased interest rate swaps from defendants, as well as on behalf of three operators of swap execution facilities that allegedly were thwarted by the defendants.defendants in their efforts to develop such platforms. The class action complaint seeks,consolidated complaints seek, among other relief, certification of the investor class of plaintiffs and treble damages. On September 27, 2018,July 28, 2017, the court granted in part and denied in part the defendants’ motion to dismiss the complaints. On December 15, 2023, the court denied the class action complaint. Plaintiffs’plaintiffs’ motion for class certification was referred bycertification. On December 29, 2023, the Districtclass plaintiffs petitioned the United States Court of Appeals for the Second Circuit for leave to a magistrate judge who, on June 30, 2022, issued a report and recommendationappeal that the District Court certify a class. The motion for class certification and the parties’ objections to the report and recommendation are pending before the District Court.decision.

On August 13, 2021, the plaintiff in Camelot Event Driven Fund, a Series of Frank Funds Trust v. Morgan Stanley & Co. LLC, et al. filed in the Supreme Court of NY a purported class action complaint alleging violations of the federal securities laws against ViacomCBS (“Viacom”), certain of its officers and directors, and the underwriters, including the Company, of two March 2021 Viacom offerings: a $1,700 million Viacom Class B Common Stock offering and a $1,000 million offering of 5.75% Series A Mandatory Convertible Preferred Stock (collectively, the “Offerings”). The complaint alleges, inter alia, that the Viacom offering documents for both issuances contained material omissions because they did not disclose that certain of the underwriters, including the Company, had prime brokerage relationships and served as counterparties to certain derivative transactions with Archegos Capital Management LP, (“Archegos”), a fund with significant exposure to Viacom securities across multiple prime brokers. The complaint, which seeks, among other things, unspecified compensatory damages, alleges that the offering documents did not adequately disclose the risks associated with Archegos’s concentrated Viacom positions at the various prime brokers, including that the unwind of those positions could have a deleterious impact on the stock price of Viacom. On November 5, 2021, the complaint was amended to add allegations that defendants failed to disclose that certain underwriters, including the Company, had intended to unwind Archegos’s Viacom positions while simultaneously distributing the Offerings. On February 6, 2023, the court issued a decision denying the motions to dismiss as to the Company and the other underwriters, but granted the motion to dismiss as to Viacom and the Viacom individual defendants. On February 15, 2023, the underwriters, including the Firm, filed their Noticesnotices of Appealappeal of the denial of their motions to dismiss. On March 10, 2023, the plaintiff filed a Notice of Appeal of the dismissal of Viacom and the individual Viacom defendants. On January 4, 2024, the court granted the plaintiff’s motion for class certification. On February 14, 2024, the defendants filed their notice of appeal.

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Settled Civil Litigation

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co.,the Company, styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., in the Supreme Court of NY. The complaint related to a $275 million credit default swap (“CDS”) referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserted claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that MS&Co.the Company misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Cothe Company knew that the assets backing the CDO were of poor quality when it entered into the CDS with CDIB. On March 22, 2021, the parties entered into a settlement agreement. On April 16, 2021, the court entered a stipulation of voluntary discontinuance, with prejudice.

On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against MS&Co.the Company and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et alal.. A corrected amended complaint was filed on April 8, 2011, which allegesalleged that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by MS&Co.the Company at issue in the action was approximately $203 million. The complaint seeks,sought, among other things, to rescind the plaintiff’s purchase of such certificates. On November 4, 2021, the Firm entered into an agreement to settle the litigation.

On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. and other defendants in the Superior Court of the Commonwealth of Massachusetts styled Federal Home Loan Bank of Boston v. Ally Financial, Inc. F/K/A GMAC LLC et al. An amended complaint was filed on June 29, 2012 and alleged that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $385 million. The amended complaint raised claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On November 25, 2013, July 16, 2014, and May 19, 2015, respectively, the plaintiff voluntarily dismissed its claims against MS&Co. with respect to three of the securitizations at issue. After these voluntary dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $332 million. On July 13, 2018, the parties reached an agreement in principle to settle the litigation.

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Beginning on March 25, 2019, MS&Co.the Company was named as a defendant in a series of putative class action complaints filed in the United States District Court for the SDNY, the first of which is styled Alaska Electrical Pension Fund v. BofA Secs., Inc., et al. Each complaint alleged a conspiracy to fix prices and restrain competition in the market for unsecured bonds issued by the following Government-Sponsored Enterprises: the Federal National Mortgage Association; the Federal Home Loan Mortgage Corporation; the Federal Farm Credit Banks Funding Corporation; and the Federal Home Loan Banks. The purported class period for each suit is from January 1, 2012 to June 1, 2018. Each complaint raised a claim under Section 1 of the Sherman Act and sought, among other things, injunctive relief and treble compensatory damages. On May 23, 2019, plaintiffs filed a consolidated amended class action complaint styled In re GSE Bonds Antitrust Litigation, with a purported class period from January 1, 2009 to January 1, 2016. On June 13, 2019, the defendants filed a joint motion to dismiss the consolidated amended complaint. On August 29, 2019, the court denied MS&Co.’sthe Company’s motion to dismiss. On December 15, 2019, MS&Co.the Company and certain other defendants entered into a stipulation of settlement to resolve the action as against each of them in its entirety. On June 16, 2020, the court granted final approval of the settlement.

Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, MS&Co.,the Company, as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of MS&Co. MS&Co.the Company. The Company may establish reserves from time to time in connections with such actions.

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Item 4. Mine Safety Disclosures. Not applicable.

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PART II

Item 5. Market for Registrant’s Common Equity, Related Security Holder Matters and Issuer Purchase of Equity Securities.

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Responsibilities of the General Partner/Trading ManagerPartner include:

In addition, the General Partner/Trading ManagerPartner prepares, or assists the Administrator in preparing, the books and records and provides, or assists the Administrator in providing, the administrative and compliance services that are required by law or regulation from time to time in connection with the operation of the Partnership, as well as the operation of the Funds prior to the Partnership’s respective full redemptions.Partnership.

While the Partnership has and the Funds had, the right to seek lower commission rates from other commodity brokers at any time, the General Partner/Trading ManagerPartner believes that the customer agreements and other arrangements with the commodity broker are fair, reasonable and competitive.

The programs traded by each Advisor on behalf of the Partnership as of December 31, 20222023 were: DCM — DCM’s Diversified Alpha Program, Drury — Drury Diversified Trend-Following Program, Episteme — Systematic Quest Program and 2021Millburn — Multi-Markets Program. The programs traded by each Advisor on behalf of the Partnership as of December 31, 2022 were: DCM — DCM’s Diversified Alpha Program, Episteme — Systematic Quest Program, ISAM SM — Systematic Trend Programme and Millburn — Multi-Markets Program.

As of December 31, 20222023 and September 30, 2022,2023, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:

DCM Systematic Advisors SA

DCM directly trades a portion of the Partnership’s assets in accordance with its Diversified Alpha Strategy (the “Strategy”) utilizes a multi-model approach allowing the program to capture trading opportunities across three different model styles and further diversified through a wide spectrum of different time horizons. The average holding period for positions typically ranges from one week to a couple of months, depending on the sub-strategy. With this diversified return profile, the Strategy enjoys the flexibility that allows it to aim for positive returns as the market environment shifts and evolves. The majority of the Strategy’s exposure over the long-term is allocated to non-trend models that have historically proven to be uncorrelated to traditional asset classes, and is meant to provide an alternative to the trend-dominated CTA space. The Strategy is comprised of some forty products, future contract spanning across equities, volatility, bonds, interest rates, currencies, energy, metal, and agricultural markets.

Diversified Alpha Program is comprised of only quantitative models, which are categorized as behavioral, relative value, and macro models. The behavioral models anticipate the flows of large market participants to take advantage of their market impact. The relative value premia models focus on capturing relative-value opportunities derived from selected risk premia with a strong emphasis on tail-risk protection. The macro strategies use a broad range of statistical models derived from economic and technical principles.

Drury Diversified Trend-Following Program

14Drury trades a portion of the Partnership’s assets in accordance with its Diversified Trend-Following Program. The Diversified Trend-Following Program is built on elements of trend following and diversification. The portfolio emphasizes diversification by trading metals, agricultural products, foreign exchange, stock index futures, energy products, financial instruments and tropical products (softs). Trading is based upon the premise that research can reveal pricing inefficiencies that can be exploited by a systematic disciplined approach to trading futures markets.

Millburn Ridgefield Corporation

Millburn trades a portion of the Partnership’s assets in accordance with its Multi-Markets Program. The Multi-Markets Program implements a group of quantitative models that collectively trade futures, forward and spot contracts on currencies, interest rate instruments, stock indices, metals, energy and agricultural commodities. The aim of the Multi-Markets Program is to target opportunities in a wide range of global markets under a variety of conditions. The Multi-Markets Program’s trading strategies are based on the implementation of a multi-data input, statistical/machine learning framework, and are 100% systematic and quantitative in nature. This framework utilizes price, price-derivative, and non-price data sources or “features,” in an attempt to provide an informed, context-specific and continuous view of portfolio positioning (long or short, and to what extent) in a particular market. Millburn’s investment approach centers on the development of process-driven, measurable and risk-controlled methods to trade a universe of approximately 105 (which number may change from time to time) global currency spot and forward markets, and exchange-traded equity, fixed income and commodity futures markets.

ISAM Systematic Management/International Standard Asset Management

ISAM SM and ISAM directly traded, a managed account in the name of the Partnership pursuant to ISAM SM’s/ISAM’s Systematic Trend Programme. The Systematic Trend Programme’s investment objective was to achieve growth in the value of its assets, providing absolute returns with low correlations to the stock and bond markets through the implementation of systematic trading models. The system traded in the global futures markets covering stock indices, interest rates, currency, energy commodities, precious and base metals and agricultural products, and might also have traded in OTC foreign exchange contracts (including currency spot contracts) and exchange-cleared swap and forward contracts.

The Advisor relied on the comprehensive quantitative analysis of historical data to develop trading strategies. These proprietary trading strategies were then implemented subject to strict risk management and controls. The Advisor’s guiding principle was that a disciplined trading approach combined with a broad diversification over a large number of markets, instruments and investment strategies was likely to lead to superior investment results, while maintaining risk at a level comparable to that associated with traditional asset classes. The target volatility of the portfolio was 15-20% annualized.

The Systematic Trend Programme’s investment strategy was to harness the performance of several systematic investment programs in a balanced portfolio, each program selected primarily for its methods of generating returns from global investments that were not highly correlated to the performance of traditional investment strategies such as the stock and bond markets. The goal remained to maximize diversification across various trading strategies and markets with the purpose of achieving capital appreciation objectives for investors while reducing overall portfolio volatility.

ADG Capital Management LLP

The portion of the Partnership’s assets that was allocated to ADG for trading were not invested in commodity interests directly. ADG’s allocation of the Partnership’s assets was invested in ADG Master. ADG traded the Partnership’s assets allocated to it pursuant to its Systematic Macro Strategy. The Systematic Macro Strategy sought to provide investors with positive absolute returns through taking long and short positions on a global basis in a broad range of financial instruments. The Systematic Macro Strategy would take directional and relative value positions based on systematically applied fundamental global macro analysis and ADG’s assessment of prevailing economic conditions and other relevant factors. The Systematic Macro Strategy aimed for the generation of excess returns by means of tactical reallocation of the risk budget between asset classes, within asset classes and between various risk factors.

The Systematic Macro Strategy was based on a proprietary software tool which analyzed macroeconomic and market information and produced recommended portfolios and trades for assessment by ADG. The methodology coded into the software made use of theory based analysis of markets and advanced risk management techniques.

The Systematic Macro Strategy was composed of four independent models, consisting of one directional trading model and three relative value models. The Systematic Macro Strategy would take directional and relative value positions based on systematic analysis of global macro and economic data. Each of these models was built from 7-11 factors which were uncorrelated and fundamental drivers of markets. The Systematic Macro Strategy utilized a total of 38 factors, which ranged from GDP measurements to curve analysis.

Aquantum GmbH

The portion of the Partnership’s assets that was allocated to Aquantum for trading were not invested in commodity interests directly. Aquantum’s allocation of the Partnership’s assets was invested in Aquantum Master. Aquantum traded the Partnership’s assets allocated to it pursuant to its Aquantum Commodity Spread Program. The Aquantum Commodity Spread Program was a systematic commodity market-neutral trading program. It was designed to benefit from seasonal price dislocations in the forward structure of numerous commodity futures markets across all sectors (energy, softs, grains, livestock, and metals) which are the result of changing market participants’ expectations and fundamental factors like weather, climate, trends in consumption, harvest cycles, feed and storage costs, which typically trigger supply and demand dislocations.

While the Aquantum Commodity Spread Program may have combined multiple spread positions per market, each individual trade was implemented as an intra-market calendar spread and was placed according to a 100% systematic methodology. Due to the seasonal character of the patterns traded, the Aquantum Commodity Spread Program was a “time” based strategy.

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Specific Fund level performance information is included in Note 6 to the financial statements included in “Item 8. Financial Statements and Supplementary Data.”

(a) Liquidity.

The Partnership does not engage in sales of goods or services. Its assets are its (i) equity in trading account, consisting of unrestricted and restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts and investment in U.S. Treasury bills at fair value, as applicable, and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments and also previously through its investment in the Funds.Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the year ended December 31, 2022.2023.

To minimize the risk relating to low margin deposits, the Partnership follows certain trading policies, including:

The Funds previously followed the same trading polices above prior to the Partnership’s respective full redemptions.

From January 1, 20222023 through December 31, 2022,2023, the Partnership’s average margin to equity ratio (i.e., the percentage of assets on deposit required for margin) was approximately 19.2%21.4%. The foregoing margin to equity ratio took into account cash held in the Partnership’s name, as well as the allocable value of the positions and cash held on behalf of the Partnership in the name of the Funds.positions.

In the normal course of business, the Partnership are and the Funds were, parties to financial instruments with off-balance-sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options, and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or OTC. Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 15.6%0.0% to 32.8%20.5% of the Partnership’s/Funds’Partnership’s contracts are traded OTC.

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/FundsPartnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is and the Funds were, exposed to market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.

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The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

The General Partner/Trading ManagerPartner monitors and attempts (or with respect to the Funds, monitored and attempted) to mitigate the Partnership’s/Funds’Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes (or with respect to the Funds, believed) that it has or had effective procedures for evaluating and limiting the credit and market risks to which the Partnership/FundsPartnership may or may have been be subject. These monitoring systems generally allow the General Partner/Trading ManagerPartner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions. (See also “Item 8. Financial Statements and Supplementary Data.” for further information on financial instrument risk included in the notes to financial statements.)

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’Partnership’s business, these instruments may not be or have been held to maturity.

Other than the risks inherent in U.S. Treasury bills, money market mutual fund securities, commodity futures, forward, option and swap contracts, the Partnership knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the Partnership shall cease trading operations and liquidate all open positions under certain circumstances including a decrease in net asset value per Redeemable Unit to less than $400 as of the close of business on any trading day.

No forecast can be made as to the level of redemptions in any given period. A limited partner may require the Partnership to redeem its Redeemable Units at the net asset value per Redeemable Unit as of the end of any month on three business days’ notice to the General Partner. There is no fee charged to limited partners in connection with redemptions. Redemptions are generally funded out of the Partnership’s cash holdingsholdings. For the year ended December 31, 2023, 5,919.1640 Class A limited partner Redeemable Units were redeemed totaling $5,090,648, 299.0970 Class D limited partner Redeemable Units were redeemed totaling $325,433 and may have also previously been funded out of redemptions from the Funds.47.6100 Class Z General Partner Redeemable Units were redeemed totaling $50,000. For the year ended December 31, 2022, 8,164.3340 Class A limited partner Redeemable Units were redeemed totaling $7,266,578, 155.6940 Class D limited partner Redeemable Units were redeemed totaling $156,748, 43.2490 Class Z limited partner Redeemable Units were redeemed totaling $51,309 and 106.6270 Class Z General Partner Redeemable Units were redeemed totaling $125,000. For the year ended December 31, 2021, 18,194.9190 Class A limited partner Redeemable Units were redeemed totaling $14,065,961, 2,179.8600 Class D limited partner Redeemable Units were redeemed totaling $2,217,552 and 278.9350 Class Z General Partner Redeemable Units were redeemed totaling $275,000. For the year ended December 31, 2020, 37,473.6290 Class A limited partner Redeemable Units were redeemed totaling $26,476,389, 829.6260 Class D limited partner Redeemable Units were redeemed totaling $741,074, 83.3770 Class Z limited partner Redeemable Units were redeemed totaling $75,779 and 325.3940 Class Z General Partner Redeemable Units were redeemed totaling $300,000.

For the years ended December 31, 2023, 2022 2021 and 2020,2021, there were no subscriptions.

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During the second quarter of 2023, the Partnership’s most meaningful gains were achieved in the global fixed income markets from short positions in European, U.S., and Canadian government debt futures during May and June as prices declined and yields rose amid ongoing concerns regarding inflation and expectations for hawkish central bank policy to continue. In global stock indices, long futures positions in Asian equity indices profited during April, May, and June as prices rose amid economic data supporting investors’ “risk-on” stance. In the currency markets, gains were achieved from short positions in the Japanese yen as the value per Class Z Redeemable Unit decreased 2.8%of the yen declined against the U.S. dollar throughout the quarter. In the agricultural markets, gains were recorded during April from $948.13long positions in sugar futures as prices climbed to $921.96.an 11-year high amid adverse weather in key growing regions and supply tightness. A portion of the Partnership’s trading gains for the second quarter was offset by losses incurred in the energy markets from positions in Brent and West Texas Intermediate crude oil futures as oil prices moved without consistent direction for a majority of the quarter. In the metals, losses were recorded from long positions in gold futures as prices reversed lower during May amid broad strength in the U.S. dollar.

During the third quarter of 2023, the Partnership’s most significant gains were recorded in the energy markets from long futures positions in crude oil, heating oil and unleaded gasoline as prices trended higher throughout the quarter amid supply related concerns. In the global fixed income markets, profits were achieved from short positions in U.S., Canadian, and European government debt futures as prices dropped amid expectations central banks would keep interest rates high. In the currency markets, gains were recorded from short positions in the Japanese yen versus the U.S. dollar as the value of the dollar strengthened versus the yen during August and September on expectations the Federal Reserve would continue to battle inflation. A portion of the Partnership’s gains for the third quarter was offset by losses incurred in the global stock indices from long futures positions in European equity indices as prices declined amid investor expectations for interest rates to remain higher for longer. In the metals sector, losses were experienced from short positions in copper during July and long positions in silver during September as the prices of these metals fluctuated. Net trading results in the agricultural were relatively flat and did not have a material impact on the Partnership’s performance for the quarter.

During the fourth quarter of 2023, the most significant losses were incurred during October from long positions in crude oil and its refined products as prices fell amid concerns of potential demand reduction. Losses in the global fixed income sector were incurred during November from short positions in European and U.S. government debt futures as investors speculated central banks would be moderating hawkish interest rate policies. During November and December, losses were incurred from short positions in the Swiss franc, Japanese yen, euro, and Canadian dollar versus the U.S. dollar as the relative value of the U.S. currency weakened. Metals losses were experienced throughout the quarter as both industrial and precious metals exhibited choppy price tendencies. Smaller losses were incurred during October from long positions in global stock indices. The Partnership’s losses for the fourth quarter were partially offset by gains achieved within the agricultural during December from short positions in sugar futures as prices reversed lower following a long bullish trend.

The Partnership experienced a net trading gain of $12,411,168 before fees and expenses for the year ended December 31, 2022. Gains were primarily attributable to the Partnership’s trading in currencies, energy, grains, indices, non-U.S. interest rates and metals and were partially offset by losses in U.S. interest rates, livestock and softs. The net trading gain (or loss) realized from the Partnership’s investment in the Funds is disclosed under “Item 8. Financial Statements and Supplementary Data.”

During the first quarter of 2022, the most significant gains were achieved within the energy markets during January, February, and March from long positions in crude oil futures as prices surged amid concerns Russia’s invasion of Ukraine would curtail global crude oil production. Gains within the global fixed income sector were recorded during January and February from short positions in European fixed income futures and during March from short positions in U.S. Treasury note futures as global central banks weighed increasing interest rates in an effort to combat inflation. Further gains were experienced within the agricultural markets during January and February from long positions in corn and soybean futures as grain prices advanced. Within the metals, gains were achieved during February and March from long positions in gold futures as the increasing potential of a prolonged war between Russia and Ukraine spurred investor demand for precious metals. Additional gains were recorded during March from short positions in Asian equity index futures as global geopolitical tensions and renewed outbreaks of the COVID virus in China stoked concerns for the region’s economy.

During the second quarter of 2022, the most significant gains were achieved within the energy markets during April and May from long positions in a variety of energy products as high global demand continued amid widespread supply shortfalls. Within the global fixed income sector, gains were recorded during April from short positions in U.S. and European fixed income futures as global central banks stepped up measures to battle decades-high inflation. In currencies, gains were experienced during April from short positions in the euro versus the U.S. dollar as the Eurozone currency weakened on fears for the strength of the region’s economy amid the war between Russia and Ukraine. Further gains were achieved within the metals during June from short positions in copper futures as a resurgence of COVID-19 lockdowns in China threatened global industrial metal demand. A portion of the Partnership’s gains for the second quarter was offset by losses incurred within the agricultural complex from long futures positions in the grains as prices reversed lower after the U.S. Department of Agriculture released reports which indicated the start of the spring planting season was off to a strong start. Smaller losses were experienced within the global stock index markets during April and June.

During the third quarter of 2022, the most significant gains were achieved within the global fixed income sector during August and September from short positions in European fixed income futures as the region’s central banks pledged to battle high inflation levels. Within the currency markets, gains were recorded during August and September from short positions in the Japanese yen, euro, Canadian dollar and New Zealand dollar versus the U.S. dollar as the value of the U.S. currency continued to rally higher. Additional gains were achieved within the metals markets during August and September from short positions in gold futures as the strengthening U.S. dollar diminished investor demand for precious metals. Gains were also achieved during September from short positions in U.S. and Asian equity index futures as global recession concerns brought stock prices lower. A portion of the Partnership’s gains for the third quarter was offset by losses incurred within the energy sector during all three months of the quarter from long positions in crude oil and its refined products as energy prices reversed lower. Losses were also incurred within the agricultural sector during July, August, and September from long positions in wheat, soybeans, and corn futures as prices declined amid signs of strong U.S. grain harvests.

During the fourth quarter of 2022, the most significant losses were incurred from short positions in gold futures during November as prices rallied on a weakening U.S. dollar. Losses were also recorded within the currencies during November from positions in the Swiss franc, New Zealand dollar, Japanese yen and Canadian dollar. Within the global stock index sector, losses were experienced during November from short positions in Asian equity index futures as easing inflation expectations boosted stock prices. A sell-off in Brent crude oil futures during November and December contributed to the Partnership’s losses for the quarter. Smaller losses were incurred within the agricultural sector during November from long positions in corn and cotton futures. The Partnership’s losses for the fourth quarter were partially offset by gains achieved within the global fixed income sector during December from short positions in European fixed income futures as European bond prices fell amid a push by Eurozone central banks to combat high inflation.

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For the years ended December 31, 2023, 2022 2021 and 2020,2021, the Partnership received monthly interest on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account at MS&Co. during each month at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. During prior periods included in this report, the Partnership received monthly interest on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account during each month at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. For the avoidance of doubt, the Partnership/FundsPartnership did not receive interest on amounts in the futures brokerage account that were committed to margin. Any interest earned on the Partnership’s and/or each Fund’s cash account in excess of the amounts described above, if any, was retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities was retained by the Partnership, and/or the Funds, as applicable. Any interest income earned on collateral or excess cash deposited by certain of the Funds and held by JPMorgan in its capacity as such Funds’ forward foreign currency counterparty was retained by such Funds, and the Partnership received its allocable portion of such interest from the applicable Fund. Interest income for the three and twelve months ended December 31, 20222023 increased by $505,661$121,340 and $900,533,$1,454,011, respectively, as compared to the corresponding periods in 2021.2022. The increase in interest income was primarily due to higher 4-week U.S. Treasury bill discount rates during the three and twelve months ended December 31, 20222023 as compared to the corresponding periods in 2021.2022. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership and the Funds depended on (1) the average daily equity maintained in cash in the Partnership’s and/or applicable Fund’s accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership the Funds,or MS&Co. or JPMorgan had control.

Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds.Partnership. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three and twelve months ended December 31, 2022 decreased2023 increased by $20,162$7,684 and $91,876,$1,818, respectively, as compared to the corresponding periods in 2021.2022. The decreaseincrease in these clearing fees was due to a decreasean increase in the number of direct trades made by the Partnership during the three and twelve months ended December 31, 20222023 as compared to the corresponding periods in 2021.2022.

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(f) Operational Risk.

The Partnership is exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace.

Such risks include:

Operational/Settlement Risk— the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership is subject to increased risks with respect to its trading activities in emerging market instruments, where clearance, settlement, and/or custodial risks are often greater than in more established markets.

Technological Risk— the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership’s ability to gather, process, and communicate information efficiently and securely, without interruption, to customers and in the markets where the Partnership participates. Additionally, the General Partner’s computer systems may be vulnerable to unauthorized access, mishandling or misuse, computer viruses or malware, cyber attacks and other events that could have a security impact on such systems. If one or more of such events occur, this potentially could jeopardize a limited partner’s personal, confidential, proprietary or other information processed and stored in, and transmitted through, the General Partner’s computer systems, and adversely affect the Partnership’s business, financial condition or results of operations.

Legal/Documentation Risk —the risk of loss attributable to deficiencies in the documentation of transactions (such as trade confirmations) and customer relationships (such as master netting agreements) or errors that result in non-compliance with applicable legal and regulatory requirements.

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Quantifying the Partnership’s and the Funds’ Trading Value at Risk

The following quantitative disclosures regarding the Partnership’s/Funds’Partnership’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, and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). 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 Partnership/Funds accountPartnership accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s and each Fund’s open positions is directly reflected in the Partnership’s and each Fund’s earnings and cash flow.

The Partnership’s/Funds’Partnership’s risk exposure in the market sectors traded by the Advisors is estimated below in terms of Value at Risk. Please note that the Value at Risk model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either the General Partner or the Advisors in their daily risk management activities.

Exchange margin requirements have been used by the Partnership/FundsPartnership as the measure of their Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%—99% of any one-day interval. The 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.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Partnership/Funds)Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

The fair value of the Partnership’s/Funds’Partnership’s futures and forward positions does not have any optionality component. However, the Advisors may trade commodity options. The Value at Risk associated with options is reflected in the following tables as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin, and where this instrument is a physical commodity, the futures- equivalent margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Partnership/FundsPartnership in almost all cases fluctuate to a lesser extent than those of the underlying instruments.

In quantifying the Partnership’s/Funds’Partnership’s Value at Risk, a 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 added to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership’s/Funds’Partnership’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Partnership’s and the Funds’ Trading Value at Risk in Different Market Sectors

DCM, Drury, Episteme and Millburn each directly trade managed accounts in the name of the Partnership. Prior to its termination effective December 31, 2022, ISAM SM directly traded managed accounts in the name of the Partnership. Prior to its termination effective October 31, 2021, FORT directly traded managed accounts in the name of the Partnership. The trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed accounts in the Partnership’s name traded by DCM.DCM, Drury, Episteme, Millburn and ISAM SM, and FORT, respectively) as of December 31, 20222023 and 2021.2022.

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As of December 31, 2022, the Partnership’s total capitalization was $65,387,698.

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

The face value of the market sector instruments held by the Partnership/FundsPartnership is typically many times the applicable margin requirement (margin requirements generally range between 1% and 15% of contract face value, although an exchange may increase margin requirement on short notice) as well as many times the capitalization of the Partnership/Funds.Partnership. The magnitude of the Partnership’s/Funds’Partnership’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of the Partnership’s/Funds’Partnership’s positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Partnership/FundsPartnership to incur severe losses over a short period of time. The foregoing Value at Risk tables — as well as the past performance of the Partnership/FundsPartnership — give no indication of this “risk of ruin.”

Non-Trading Risk

The Partnership 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.

Materiality as used in this section 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 Partnership’s market sensitive instruments.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by the General Partner and the Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, pandemics, epidemics, and other public health crises, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the management strategies of the Partnership. There can be no assurance that the Partnership’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long- term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.

The following were the primary trading risk exposures of the Partnership on December 31, 2022,2023, by market sector. It may be anticipated, however, that these market exposures will vary materially over time.

Currencies. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The General Partner does not anticipate that the risk profile of the Partnership’s currency sector will change significantly in the future.

Equities. The Partnership’s primary equity exposure is to equity price risk in the G20 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. As of December 31, 2022,2023, the Partnership’s primary exposures were in the CBOE VIX Volatility Index (U.S.), S&P 500 (U.S.), DAX (Germany), FTSE 100 (United Kingdom), NASDAQ 100 (U.S.), S&P/TSX 60 (Canada), IBEX (Spain), and Dow Jones Euro STOXX 50 (European Union), and Hang Seng (Hong Kong) stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major North American, European, and Pacific Rim indices, as well as emerging markets. (Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being “whipsawed” into numerous small losses.)

Interest Rates. Interest rate movements directly affect the price of the 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 materially affect the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G7 countries. However, the Partnership may also take futures positions on the government debt of smaller economies — e.g., Australia and New Zealand.Australia.

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Commodities:

Energy. The Partnership’s primary energy market exposure is to oil and natural gas price movements, often resulting from political developments in the Middle East, weather conditions, and other factors contributing to supply and demand. Further energy market exposure is to the carbon emission allowances market which are subject to price movements driven by geopolitical events, climate related regulation, and supply and demand related factors. Energy prices can be volatile and substantial profits and losses, which have been experienced in the past, are expected to continue to be experienced in these markets in the future.

Metals. The Partnership’s primary metal market exposure as of December 31, 20222023, was to fluctuations in the prices of gold, copper, silver, palladium,zinc, and platinum.aluminum.

Grains. The Partnership’s trading risk exposure in the grains is primarily to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. The soybean complex, wheat, and corn accounted for the majority of the Partnership’s grain exposure as of December 31, 2022.2023.

Softs. The Partnership’s trading risk exposure in the soft commodities is to agricultural-related price movements, which are often directly affected by severe or unexpected weather conditions. Coffee,Sugar, cocoa, cotton, sugar, and cocoacoffee for the majority of the Partnership’s soft commodities exposure as of December 31, 2022.2023.

Livestock. The Partnership’s primary risk exposure in livestock is to fluctuations in cattle and hog prices.

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