Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2018shares | |
Document and Entity Information Abstract | |
Entity Registrant Name | Aspect FuturesAccess LLC |
Entity Central Index Key | 1,309,132 |
Document Type | 10-Q |
Document Period End Date | Jun. 30, 2018 |
Amendment Flag | false |
Current Fiscal Year End Date | --12-31 |
Entity Current Reporting Status | Yes |
Entity Filer Category | Non-accelerated Filer |
Entity Common Stock, Shares Outstanding | 36,411,836 |
Document Fiscal Year Focus | 2,018 |
Document Fiscal Period Focus | Q2 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 | |
Equity in commodity trading accounts: | |||
Cash (including restricted cash of $15,536,427 for 2018 and $24,062,735 for 2017) | $ 53,270,703 | $ 70,693,933 | |
Receivable from broker due to variation margin | 598,398 | ||
Unrealized profit on open futures contracts | 1,582,403 | 4,494,939 | |
Unrealized profit on open forwards contracts | 2,713,000 | 3,290,984 | |
Cash and cash equivalents | 540,130 | 540,090 | |
Other assets | 30,316 | 56,112 | |
TOTAL ASSETS | 58,734,950 | 79,076,058 | |
LIABILITIES: | |||
Unrealized loss on open futures contracts | 946,095 | 3,153,548 | |
Unrealized loss on open forwards contracts | 1,829,871 | 3,660,942 | |
Brokerage commissions payable | 31,975 | 17,194 | |
Sponsor and Advisory fees payable | 111,930 | 147,475 | |
Redemptions payable | 1,081,686 | 1,557,158 | |
Other liabilities | 199,047 | 317,770 | |
Total liabilities | 4,200,604 | 8,854,087 | |
MEMBERS' CAPITAL: | |||
Members' Capital (36,411,836 Units and 44,544,897 Units outstanding; unlimited Units authorized) | 54,534,346 | 70,221,971 | |
Total Members' Capital | 54,534,346 | 70,221,971 | |
TOTAL LIABILITIES AND MEMBERS' CAPITAL | 58,734,950 | 79,076,058 | |
Class A | |||
MEMBERS' CAPITAL: | |||
Total Members' Capital | [1] | $ 46,387,261 | $ 51,941,334 |
NET ASSET VALUE PER UNIT: | |||
Net asset value per unit (in dollars per unit) | $ 1.5744 | $ 1.6509 | |
Class C | |||
MEMBERS' CAPITAL: | |||
Total Members' Capital | [2] | $ 2,069,296 | $ 7,082,060 |
NET ASSET VALUE PER UNIT: | |||
Net asset value per unit (in dollars per unit) | $ 1.3834 | $ 1.4579 | |
Class D | |||
MEMBERS' CAPITAL: | |||
Total Members' Capital | $ 117,590 | $ 3,894,785 | |
NET ASSET VALUE PER UNIT: | |||
Net asset value per unit (in dollars per unit) | $ 1.9413 | $ 2.0281 | |
Class I | |||
MEMBERS' CAPITAL: | |||
Total Members' Capital | $ 866,973 | $ 1,182,385 | |
NET ASSET VALUE PER UNIT: | |||
Net asset value per unit (in dollars per unit) | $ 1.6586 | $ 1.7357 | |
Class M | |||
MEMBERS' CAPITAL: | |||
Total Members' Capital | $ 5,093,226 | $ 6,121,407 | |
NET ASSET VALUE PER UNIT: | |||
Net asset value per unit (in dollars per unit) | $ 1.0459 | $ 1.0885 | |
[1] | Subscription includes conversion in the amount of $4,172,146 which was converted from Class C in 2018. | ||
[2] | Redemption includes conversion out in the amount of $4,172,146 which was converted to Class A in 2018. |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
STATEMENTS OF FINANCIAL CONDITION | ||
Restricted cash | $ 15,536,427 | $ 24,062,735 |
Units outstanding | 36,411,836 | 44,544,897 |
Capital units authorized | unlimited | unlimited |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
TRADING PROFIT (LOSS): | |||||
Realized, net | $ (3,534,356) | $ (1,852,918) | $ (2,972,470) | $ (1,801,656) | |
Change in unrealized, net | 816,967 | (2,024,399) | 1,146,402 | (3,596,649) | |
Brokerage commissions | (105,358) | (106,844) | (206,262) | (206,110) | |
Total trading profit (loss), net | (2,822,747) | (3,984,161) | (2,032,330) | (5,604,415) | |
INVESTMENT INCOME (EXPENSE): | |||||
Interest, net | 177,824 | 171,267 | 395,553 | 299,269 | |
Other income | 517,000 | 517,000 | |||
Total investment income (expense) | 177,824 | 688,267 | 395,553 | 816,269 | |
EXPENSES: | |||||
Management fee | 156,541 | 452,733 | 331,848 | 972,680 | |
Sponsor fee | 217,419 | 442,202 | 463,209 | 942,538 | |
Other | 190,847 | 158,099 | 376,892 | 318,294 | |
Total expenses | 564,807 | 1,053,034 | 1,171,949 | 2,233,512 | |
NET INVESTMENT INCOME (LOSS) | (386,983) | (364,767) | (776,396) | (1,417,243) | |
NET INCOME (LOSS) | $ (3,209,730) | $ (4,348,928) | (2,808,726) | (7,021,658) | |
Class A | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | [1] | $ (2,084,813) | $ (1,619,712) | ||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 29,846,993 | 13,447,325 | 30,577,599 | 13,819,993 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0788) | $ (0.0752) | $ (0.0682) | $ (0.1172) | |
Class C | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | [2] | $ (247,758) | $ (4,592,817) | ||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 2,783,367 | 40,493,543 | 3,367,857 | 42,166,911 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.1024) | $ (0.0699) | $ (0.0736) | $ (0.1089) | |
Class D | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (224,960) | $ (254,531) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 1,351,835 | 1,920,371 | 1,636,102 | 1,920,371 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.1853) | $ (0.0867) | $ (0.1375) | $ (0.1325) | |
Class I | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (26,125) | $ (114,730) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 531,514 | 951,195 | 549,810 | 1,012,519 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0854) | $ (0.0708) | $ (0.0475) | $ (0.1133) | |
Class M | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (225,070) | $ (439,868) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 5,211,389 | 6,312,832 | 5,390,086 | 7,523,394 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0529) | $ (0.0434) | $ (0.0418) | $ (0.0585) | |
[1] | Subscription includes conversion in the amount of $4,172,146 which was converted from Class C in 2018. | ||||
[2] | Redemption includes conversion out in the amount of $4,172,146 which was converted to Class A in 2018. |
STATEMENTS OF CHANGES IN MEMBER
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 70,221,971 | ||||
Members' Capital (in Units) | 44,544,897 | ||||
Net Income (Loss) | $ (3,209,730) | $ (4,348,928) | $ (2,808,726) | $ (7,021,658) | |
Members' Capital | $ 54,534,346 | $ 54,534,346 | |||
Members' Capital (in Units) | 36,411,836 | 36,411,836 | |||
Class A | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | [1] | $ 51,941,334 | $ 23,937,426 | ||
Members' Capital (in Units) | [2] | 31,461,991 | 14,454,830 | ||
Subscriptions | [1] | $ 4,579,780 | $ 98,375 | ||
Subscriptions (in Units) | [2] | 2,843,541 | 60,247 | ||
Redemptions | [1] | $ (8,049,040) | $ (3,094,691) | ||
Redemptions (in Units) | [2] | (4,842,539) | (1,921,716) | ||
Net Income (Loss) | [1] | $ (2,084,813) | $ (1,619,712) | ||
Members' Capital | [1] | $ 46,387,261 | $ 19,321,398 | $ 46,387,261 | $ 19,321,398 |
Members' Capital (in Units) | [2] | 29,462,993 | 12,593,361 | 29,462,993 | 12,593,361 |
Class C | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | [3] | $ 7,082,060 | $ 66,943,683 | ||
Members' Capital (in Units) | [4] | 4,857,611 | 45,337,665 | ||
Subscriptions | [3] | $ 196,000 | |||
Subscriptions (in Units) | [4] | 132,736 | |||
Redemptions | [3] | $ (4,765,006) | $ (9,572,446) | ||
Redemptions (in Units) | [4] | (3,361,849) | (6,572,770) | ||
Net Income (Loss) | [3] | $ (247,758) | $ (4,592,817) | ||
Members' Capital | [3] | $ 2,069,296 | $ 52,974,420 | $ 2,069,296 | $ 52,974,420 |
Members' Capital (in Units) | [4] | 1,495,762 | 38,897,631 | 1,495,762 | 38,897,631 |
Class D | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 3,894,785 | $ 3,856,070 | |||
Members' Capital (in Units) | 1,920,371 | 1,920,371 | |||
Redemptions | $ (3,552,235) | ||||
Redemptions (in Units) | (1,859,798) | ||||
Net Income (Loss) | $ (224,960) | $ (254,531) | |||
Members' Capital | $ 117,590 | $ 3,601,539 | $ 117,590 | $ 3,601,539 | |
Members' Capital (in Units) | 60,573 | 1,920,371 | 60,573 | 1,920,371 | |
Class I | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 1,182,385 | $ 1,866,159 | |||
Members' Capital (in Units) | 681,225 | 1,077,016 | |||
Subscriptions | $ 31,000 | ||||
Subscriptions (in Units) | 17,896 | ||||
Redemptions | $ (289,287) | $ (456,407) | |||
Redemptions (in Units) | (158,498) | (271,202) | |||
Net Income (Loss) | $ (26,125) | $ (114,730) | |||
Members' Capital | $ 866,973 | $ 1,326,022 | $ 866,973 | $ 1,326,022 | |
Members' Capital (in Units) | 522,727 | 823,710 | 522,727 | 823,710 | |
Class M | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 6,121,407 | $ 9,803,215 | |||
Members' Capital (in Units) | 5,623,699 | 9,111,918 | |||
Subscriptions | $ 193,000 | $ 398,820 | |||
Subscriptions (in Units) | 179,952 | 369,571 | |||
Redemptions | $ (996,111) | $ (3,859,199) | |||
Redemptions (in Units) | (933,870) | (3,602,229) | |||
Net Income (Loss) | $ (225,070) | $ (439,868) | |||
Members' Capital | $ 5,093,226 | $ 5,902,968 | $ 5,093,226 | $ 5,902,968 | |
Members' Capital (in Units) | 4,869,781 | 5,879,260 | 4,869,781 | 5,879,260 | |
Total Members' Interest | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 70,221,971 | $ 106,406,553 | |||
Members' Capital (in Units) | 44,544,897 | 71,901,800 | |||
Subscriptions | $ 4,772,780 | $ 724,195 | |||
Subscriptions (in Units) | 3,023,493 | 580,450 | |||
Redemptions | $ (17,651,679) | $ (16,982,743) | |||
Redemptions (in Units) | (11,156,554) | (12,367,917) | |||
Net Income (Loss) | $ (2,808,726) | $ (7,021,658) | |||
Members' Capital | $ 54,534,346 | $ 83,126,347 | $ 54,534,346 | $ 83,126,347 | |
Members' Capital (in Units) | 36,411,836 | 60,114,333 | 36,411,836 | 60,114,333 | |
[1] | Subscription includes conversion in the amount of $4,172,146 which was converted from Class C in 2018. | ||||
[2] | Subscription units include conversion in of 2,609,565 units which were converted from Class C in 2018. | ||||
[3] | Redemption includes conversion out in the amount of $4,172,146 which was converted to Class A in 2018. | ||||
[4] | Redemption units include conversion out of 2,963,424 units which were converted to Class A in 2018. |
STATEMENTS OF CHANGES IN MEMBE6
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL (Parenthetical) | 6 Months Ended |
Jun. 30, 2018USD ($)shares | |
Class A | |
Conversion units included in subscriptions | shares | 2,609,565 |
Conversion amount included in subscriptions | $ | $ 4,172,146 |
Class C | |
Conversion units included in redemptions | shares | 2,963,424 |
Conversion amount included in redemptions | $ | $ 4,172,146 |
FINANCIAL DATA HIGHLIGHTS
FINANCIAL DATA HIGHLIGHTS - $ / shares | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Class A | |||||
Increase (Decrease) in Net Asset Value Per Unit | |||||
Net asset value, beginning of period | $ 1.6586 | $ 1.6117 | $ 1.6509 | $ 1.6560 | |
Net realized and net change in unrealized trading profit (loss) | (0.0708) | (0.0698) | (0.0508) | (0.0970) | |
Brokerage commissions | (0.0028) | (0.0019) | (0.0052) | (0.0035) | |
Interest income, net | 0.0047 | 0.0030 | 0.0099 | 0.0051 | |
Expenses | (0.0153) | (0.0087) | (0.0304) | (0.0263) | |
Net asset value, end of period | $ 1.5744 | $ 1.5343 | $ 1.5744 | $ 1.5343 | |
Total Return: | |||||
Total return before Performance fees (as a percent) | [1],[2],[3] | (5.08%) | (4.80%) | (4.63%) | (7.35%) |
Performance fees (as a percent) | [1],[2],[3] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after Performance fees (as a percent) | [1],[2],[3] | (5.08%) | (4.80%) | (4.63%) | (7.35%) |
Ratios to Average Members' Capital: | |||||
Expenses (excluding Performance fees) (as a percent) | [1],[2],[4] | 0.93% | 1.05% | 1.83% | 2.08% |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Expenses (including Performance fees) (as a percent) | [1],[2] | 0.93% | 1.05% | 1.83% | 2.08% |
Net investment income (loss) (excluding Performance fees) (as a percent) | [1],[2] | (0.65%) | (0.32%) | (1.23%) | (1.22%) |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income (loss) (including Performance fees) (as a percent) | [1],[2] | (0.65%) | (0.32%) | (1.23%) | (1.22%) |
Class C | |||||
Increase (Decrease) in Net Asset Value Per Unit | |||||
Net asset value, beginning of period | $ 1.4611 | $ 1.4331 | $ 1.4579 | $ 1.4766 | |
Net realized and net change in unrealized trading profit (loss) | (0.0622) | (0.0620) | (0.0445) | (0.0862) | |
Brokerage commissions | (0.0025) | (0.0017) | (0.0046) | (0.0031) | |
Interest income, net | 0.0041 | 0.0027 | 0.0087 | 0.0045 | |
Expenses | (0.0171) | (0.0102) | (0.0341) | (0.0299) | |
Net asset value, end of period | $ 1.3834 | $ 1.3619 | $ 1.3834 | $ 1.3619 | |
Total Return: | |||||
Total return before Performance fees (as a percent) | [1],[2],[3] | (5.32%) | (4.97%) | (5.11%) | (7.77%) |
Performance fees (as a percent) | [1],[2],[3] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after Performance fees (as a percent) | [1],[2],[3] | (5.32%) | (4.97%) | (5.11%) | (7.77%) |
Ratios to Average Members' Capital: | |||||
Expenses (excluding Performance fees) (as a percent) | [1],[2],[4] | 1.18% | 1.30% | 2.33% | 2.58% |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Expenses (including Performance fees) (as a percent) | [1],[2] | 1.18% | 1.30% | 2.33% | 2.58% |
Net investment income (loss) (excluding Performance fees) (as a percent) | [1],[2] | (0.90%) | (0.49%) | (1.73%) | (1.64%) |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income (loss) (including Performance fees) (as a percent) | [1],[2] | (0.90%) | (0.49%) | (1.73%) | (1.64%) |
Class D | |||||
Increase (Decrease) in Net Asset Value Per Unit | |||||
Net asset value, beginning of period | $ 2.0415 | $ 1.9621 | $ 2.0281 | $ 2.0080 | |
Net realized and net change in unrealized trading profit (loss) | (0.0873) | (0.0852) | (0.0628) | (0.1184) | |
Brokerage commissions | (0.0034) | (0.0023) | (0.0064) | (0.0042) | |
Interest income, net | 0.0057 | 0.0037 | 0.0122 | 0.0062 | |
Expenses | (0.0152) | (0.0029) | (0.0298) | (0.0162) | |
Net asset value, end of period | $ 1.9413 | $ 1.8754 | $ 1.9413 | $ 1.8754 | |
Total Return: | |||||
Total return before Performance fees (as a percent) | [1],[2],[3] | (4.91%) | (4.42%) | (4.28%) | (6.60%) |
Performance fees (as a percent) | [1],[2],[3] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after Performance fees (as a percent) | [1],[2],[3] | (4.91%) | (4.42%) | (4.28%) | (6.60%) |
Ratios to Average Members' Capital: | |||||
Expenses (excluding Performance fees) (as a percent) | [1],[2],[4] | 0.75% | 0.68% | 1.45% | 1.33% |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Expenses (including Performance fees) (as a percent) | [1],[2] | 0.75% | 0.68% | 1.45% | 1.33% |
Net investment income (loss) (excluding Performance fees) (as a percent) | [1],[2] | (0.46%) | 0.05% | (0.85%) | (0.48%) |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income (loss) (including Performance fees) (as a percent) | [1],[2] | (0.46%) | 0.05% | (0.85%) | (0.48%) |
Class I | |||||
Increase (Decrease) in Net Asset Value Per Unit | |||||
Net asset value, beginning of period | $ 1.7455 | $ 1.6882 | $ 1.7357 | $ 1.7327 | |
Net realized and net change in unrealized trading profit (loss) | (0.0745) | (0.0732) | (0.0536) | (0.1017) | |
Brokerage commissions | (0.0029) | (0.0020) | (0.0055) | (0.0036) | |
Interest income, net | 0.0049 | 0.0032 | 0.0104 | 0.0053 | |
Expenses | (0.0144) | (0.0064) | (0.0284) | (0.0229) | |
Net asset value, end of period | $ 1.6586 | $ 1.6098 | $ 1.6586 | $ 1.6098 | |
Total Return: | |||||
Total return before Performance fees (as a percent) | [1],[2],[3] | (4.98%) | (4.65%) | (4.44%) | (7.09%) |
Performance fees (as a percent) | [1],[2],[3] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after Performance fees (as a percent) | [1],[2],[3] | (4.98%) | (4.65%) | (4.44%) | (7.09%) |
Ratios to Average Members' Capital: | |||||
Expenses (excluding Performance fees) (as a percent) | [1],[2],[4] | 0.83% | 0.95% | 1.63% | 1.88% |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Expenses (including Performance fees) (as a percent) | [1],[2] | 0.83% | 0.95% | 1.63% | 1.88% |
Net investment income (loss) (excluding Performance fees) (as a percent) | [1],[2] | (0.55%) | (0.02%) | (1.03%) | (0.83%) |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income (loss) (including Performance fees) (as a percent) | [1],[2] | (0.55%) | (0.02%) | (1.03%) | (0.83%) |
Class M | |||||
Increase (Decrease) in Net Asset Value Per Unit | |||||
Net asset value, beginning of period | $ 1.0977 | $ 1.0502 | $ 1.0885 | $ 1.0759 | |
Net realized and net change in unrealized trading profit (loss) | (0.0470) | (0.0456) | (0.0339) | (0.0634) | |
Brokerage commissions | (0.0019) | (0.0012) | (0.0035) | (0.0023) | |
Interest income, net | 0.0031 | 0.0020 | 0.0066 | 0.0033 | |
Expenses | (0.0060) | (0.0014) | (0.0118) | (0.0095) | |
Net asset value, end of period | $ 1.0459 | $ 1.0040 | $ 1.0459 | $ 1.0040 | |
Total Return: | |||||
Total return before Performance fees (as a percent) | [1],[2],[3] | (4.72%) | (4.41%) | (3.92%) | (6.69%) |
Performance fees (as a percent) | [1],[2],[3] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after Performance fees (as a percent) | [1],[2],[3] | (4.72%) | (4.41%) | (3.92%) | (6.69%) |
Ratios to Average Members' Capital: | |||||
Expenses (excluding Performance fees) (as a percent) | [1],[2],[4] | 0.56% | 0.68% | 1.08% | 1.33% |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Expenses (including Performance fees) (as a percent) | [1],[2] | 0.56% | 0.68% | 1.08% | 1.33% |
Net investment income (loss) (excluding Performance fees) (as a percent) | [1],[2] | (0.27%) | 0.21% | (0.48%) | (0.32%) |
Performance fees (as a percent) | [1],[2] | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income (loss) (including Performance fees) (as a percent) | [1],[2] | (0.27%) | 0.21% | (0.48%) | (0.32%) |
[1] | An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures. | ||||
[2] | The ratios and total return are not annualized. | ||||
[3] | The total return is calculated for each class taken as a whole based on the change in net asset value. | ||||
[4] | The expense ratios do not include brokerage commissions. |
ORGANIZATION
ORGANIZATION | 6 Months Ended |
Jun. 30, 2018 | |
ORGANIZATION | |
ORGANIZATION | 1. ORGANIZATION Aspect FuturesAccess LLC (the “Fund”), a FuturesAccess TM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on April 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Aspect Capital Limited (“Aspect” or the “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Aspect Diversified Program (the “Trading Program”) for the Fund. Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. MLAI may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. MLAI may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. affiliates. FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies. Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested. The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of June 30, 2018, the Fund held no cash equivalents. Cash was held at a nationally recognized financial institution. In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of June 30, 2018 and December 31, 2017 and the results of its operations for the three and six month periods ended June 30, 2018 and 2017. However, the operating results for the interim periods may not be indicative of the results for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2017. Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. |
CONDENSED SCHEDULES OF INVESTME
CONDENSED SCHEDULES OF INVESTMENTS | 6 Months Ended |
Jun. 30, 2018 | |
CONDENSED SCHEDULES OF INVESTMENTS | |
CONDENSED SCHEDULES OF INVESTMENTS | 2. CONDENSED SCHEDULES OF INVESTMENTS The Fund’s investments as of June 30, 2018 and December 31, 2017 are as follows: June 30, 2018 (a) Long Positions Short Positions Net Unrealized Commodity Industry Number of Unrealized Percent of Number of Unrealized Percent of Profit (Loss) Percent of Sector Contracts/Notional* Profit (Loss) Members’ Capital Contracts/Notional* Profit (Loss) Members’ Capital on Open Positions Members’ Capital Maturity Dates Agriculture - Futures $ ) -0.04 % ) $ % $ % August 2018 - March 2019 Currencies - Futures — — % ) % % September 2018 Currencies - Forwards* ) -2.65 % ) % % September 2018 Energy - Futures % ) ) -0.04 % % July 2018 - December 2019 Interest rates - Futures % ) ) -0.25 % % September 2018 - December 2020 Metals - Futures ) -0.27 % ) % % August 2018 - October 2018 Stock indices - Futures ) -0.77 % ) ) -0.07 % ) -0.84 % July 2018 - September 2018 Total $ ) -1.51 % $ % $ % (a) Certain exchanges have modified their rulebook from the collateralized-to-market model to the settled-to-market model, resulting in the characterization of variation margin postings as settlement payments, as opposed to adjustments to collateral. As a result, the Fund has classified such amounts within the receivable from broker due to variation margin account on the Statement of Financial Condition. This receivable from broker due to variation margin account combined with the unrealized profit (loss) on open futures and forwards accounts on the Statement of Financial Condition represents the total net unrealized profit (loss) on open positions in the above condensed schedule of investments as of June 30, 2018. At this time, the Chicago Mercantile Exchange and its related exchanges are the only central clearing parties of the Fund where variation margin payments are considered settlement payments. December 31, 2017 Long Positions Short Positions Net Unrealized Commodity Industry Number of Unrealized Percent of Number of Unrealized Percent of Profit (Loss) Percent of Sector Contracts/Notional* Profit (Loss) Members’ Capital Contracts/Notional* Profit (Loss) Members’ Capital on Open Positions Members’ Capital Maturity Dates Agriculture - Futures $ % ) $ % $ % February 2018 - April 2018 Currencies - Futures % ) ) -0.02 % ) -0.01 % March 2018 Currencies - Forwards* % ) ) -4.62 % ) -0.52 % March 2018 Energy - Futures % ) ) -0.70 % % January 2018 - December 2018 Interest rates - Futures ) -2.26 % ) % ) -1.75 % March 2018 - June 2020 Metals - Futures % ) ) -0.66 % % January 2018 - April 2018 Stock indices - Futures % ) ) % % January 2018 - March 2018 Total $ % $ ) -4.94 % $ % *Currencies — Forwards present notional amounts as converted to USD. No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of June 30, 2018 and December 31, 2017. With respect to each commodity industry sector listed in the above charts, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time. |
FAIR VALUE OF INVESTMENTS
FAIR VALUE OF INVESTMENTS | 6 Months Ended |
Jun. 30, 2018 | |
FAIR VALUE OF INVESTMENTS | |
FAIR VALUE OF INVESTMENTS | 3. FAIR VALUE OF INVESTMENTS Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts and receivable from broker due to variation margin are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss and receivable from broker due to variation margin from the preceding period/year is reported in the respective Statements of Operations. The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and disclosed in one of the following categories: Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price. Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data. Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy. Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values. The Fund has determined that Level I investments would include its futures and options contracts where quoted prices are available in an active market. Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during the three or six month periods ended June 30, 2018 or the year ended December 31, 2017. The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2018 and December 31, 2017, are as follows: 2018 Net unrealized profit (loss) (a) on open contracts Total Level I Level II Level III Assets Futures $ $ $ $ — Forwards — — $ $ $ $ — Liabilities Futures $ $ $ $ — Forwards — — $ $ $ $ — June 30, 2018 $ $ $ $ — (a) Refer to note (a) within Note 2 regarding the presentation of receivable from broker due to variation margin which is included within the above fair value hierarchy. 2017 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures $ $ $ $ — Forwards — — $ $ $ $ — Liabilities Futures $ $ $ $ — Forwards — — $ $ $ $ — December 31, 2017 $ $ $ $ — The Fund’s volume of trading forwards and futures as of the six month period ended June 30, 2018 and year ended December 31, 2017 are representative of the activity throughout these periods. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2. The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At June 30, 2018 and December 31, 2017, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. For exchanges which consider variation margin payments as collateral and not settlement, the variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with its counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts in addition to the receivable from broker due to variation margin and the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure. The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and six month periods ended June 30, 2018 and 2017: For the three months ended For the six months ended June 30, 2018 June 30, 2018 Commodity Industry profit (loss) profit (loss) Sector from trading, net from trading, net Agriculture $ ) $ ) Currencies ) ) Energy Interest rates ) Metals ) ) Stock indices ) ) Total, net $ ) $ ) For the three months ended For the six months ended June 30, 2017 June 30, 2017 Commodity Industry profit (loss) profit (loss) Sector from trading, net from trading, net Agriculture $ $ Currencies ) ) Energy ) ) Interest rates ) ) Metals ) ) Stock indices Total, net $ ) $ ) The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers. |
MARKET AND CREDIT RISKS
MARKET AND CREDIT RISKS | 6 Months Ended |
Jun. 30, 2018 | |
MARKET AND CREDIT RISKS | |
MARKET AND CREDIT RISKS | 4. MARKET AND CREDIT RISKS The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes some of those risks. Market Risk Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s receivable from broker due to variation margin and unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks. MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisor, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor. Credit Risk The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin. The credit risk associated with these instruments from counterparty nonperformance is the receivable from broker due to variation margin and unrealized profit (loss) on open contracts included in the Statements of Financial Condition. MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund. The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker. In the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. In the event of default, all forwards balances are eligible for offset with a net settlement due to MLI. Indemnifications In the normal course of business, the Fund has entered, or may in the future, enter into agreements that obligate the Fund to indemnify certain parties, including BofA Corp. affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2018 | |
RELATED PARTY TRANSACTIONS | |
RELATED PARTY TRANSACTIONS | 5. RELATED PARTY TRANSACTIONS MLAI owns 50 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of June 30, 2018 and December 31, 2017. MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears. The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses. MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended June 30, 2018 and 2017 amounted to $3,156 and $4,558, respectively. The Transfer Agent fee allocated to the Fund for the six month periods ended June 30, 2018 and 2017 amounted to $6,666 and $9,770, respectively, of which $3,537 and $3,975 was payable to the Transfer Agent as of June 30, 2018 and December 31, 2017, respectively. Brokerage commissions, interest, net and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash, receivable from broker due to variation margin, and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2018 | |
SUBSEQUENT EVENTS | |
SUBSEQUENT EVENTS | 6. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements. |
ORGANIZATION (Policies)
ORGANIZATION (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
ORGANIZATION | |
Estimates | Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. |
CONDENSED SCHEDULES OF INVEST15
CONDENSED SCHEDULES OF INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
CONDENSED SCHEDULES OF INVESTMENTS | |
Schedule of fund's investments | June 30, 2018 (a) Long Positions Short Positions Net Unrealized Commodity Industry Number of Unrealized Percent of Number of Unrealized Percent of Profit (Loss) Percent of Sector Contracts/Notional* Profit (Loss) Members’ Capital Contracts/Notional* Profit (Loss) Members’ Capital on Open Positions Members’ Capital Maturity Dates Agriculture - Futures $ ) -0.04 % ) $ % $ % August 2018 - March 2019 Currencies - Futures — — % ) % % September 2018 Currencies - Forwards* ) -2.65 % ) % % September 2018 Energy - Futures % ) ) -0.04 % % July 2018 - December 2019 Interest rates - Futures % ) ) -0.25 % % September 2018 - December 2020 Metals - Futures ) -0.27 % ) % % August 2018 - October 2018 Stock indices - Futures ) -0.77 % ) ) -0.07 % ) -0.84 % July 2018 - September 2018 Total $ ) -1.51 % $ % $ % (a) Certain exchanges have modified their rulebook from the collateralized-to-market model to the settled-to-market model, resulting in the characterization of variation margin postings as settlement payments, as opposed to adjustments to collateral. As a result, the Fund has classified such amounts within the receivable from broker due to variation margin account on the Statement of Financial Condition. This receivable from broker due to variation margin account combined with the unrealized profit (loss) on open futures and forwards accounts on the Statement of Financial Condition represents the total net unrealized profit (loss) on open positions in the above condensed schedule of investments as of June 30, 2018. At this time, the Chicago Mercantile Exchange and its related exchanges are the only central clearing parties of the Fund where variation margin payments are considered settlement payments. December 31, 2017 Long Positions Short Positions Net Unrealized Commodity Industry Number of Unrealized Percent of Number of Unrealized Percent of Profit (Loss) Percent of Sector Contracts/Notional* Profit (Loss) Members’ Capital Contracts/Notional* Profit (Loss) Members’ Capital on Open Positions Members’ Capital Maturity Dates Agriculture - Futures $ % ) $ % $ % February 2018 - April 2018 Currencies - Futures % ) ) -0.02 % ) -0.01 % March 2018 Currencies - Forwards* % ) ) -4.62 % ) -0.52 % March 2018 Energy - Futures % ) ) -0.70 % % January 2018 - December 2018 Interest rates - Futures ) -2.26 % ) % ) -1.75 % March 2018 - June 2020 Metals - Futures % ) ) -0.66 % % January 2018 - April 2018 Stock indices - Futures % ) ) % % January 2018 - March 2018 Total $ % $ ) -4.94 % $ % *Currencies — Forwards present notional amounts as converted to USD. |
FAIR VALUE OF INVESTMENTS (Tabl
FAIR VALUE OF INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
FAIR VALUE OF INVESTMENTS | |
Schedule of unrealized profit (loss) on open forwards and futures contracts by the fair value hierarchy levels | 2018 Net unrealized profit (loss) (a) on open contracts Total Level I Level II Level III Assets Futures $ $ $ $ — Forwards — — $ $ $ $ — Liabilities Futures $ $ $ $ — Forwards — — $ $ $ $ — June 30, 2018 $ $ $ $ — (a) Refer to note (a) within Note 2 regarding the presentation of receivable from broker due to variation margin which is included within the above fair value hierarchy. 2017 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures $ $ $ $ — Forwards — — $ $ $ $ — Liabilities Futures $ $ $ $ — Forwards — — $ $ $ $ — December 31, 2017 $ $ $ $ — |
Schedule of the trading profits and losses before brokerage commissions, by commodity industry sector | For the three months ended For the six months ended June 30, 2018 June 30, 2018 Commodity Industry profit (loss) profit (loss) Sector from trading, net from trading, net Agriculture $ ) $ ) Currencies ) ) Energy Interest rates ) Metals ) ) Stock indices ) ) Total, net $ ) $ ) For the three months ended For the six months ended June 30, 2017 June 30, 2017 Commodity Industry profit (loss) profit (loss) Sector from trading, net from trading, net Agriculture $ $ Currencies ) ) Energy ) ) Interest rates ) ) Metals ) ) Stock indices Total, net $ ) $ ) |
ORGANIZATION (Details)
ORGANIZATION (Details) | Jun. 30, 2018USD ($) |
ORGANIZATION | |
Cash equivalents | $ 0 |
CONDENSED SCHEDULES OF INVEST18
CONDENSED SCHEDULES OF INVESTMENTS (Details) | Jun. 30, 2018USD ($)contract | Dec. 31, 2017USD ($)contract |
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 2,117,835 | $ 971,433 |
Percent of Members' Capital | 3.89% | 1.41% |
Maximum | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Single investment threshold as a percentage of members' capital | 5.00% | 5.00% |
Agriculture | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 314,954 | $ 522,161 |
Percent of Members' Capital | 0.58% | 0.75% |
Currencies | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 22,350 | $ (9,945) |
Percent of Members' Capital | 0.04% | (0.01%) |
Currencies | Forwards | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 883,129 | $ (369,958) |
Percent of Members' Capital | 1.62% | (0.52%) |
Energy | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 892,298 | $ 771,076 |
Percent of Members' Capital | 1.64% | 1.10% |
Interest rates | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 155,349 | $ (1,229,748) |
Percent of Members' Capital | 0.29% | (1.75%) |
Metals | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 305,072 | $ 764,037 |
Percent of Members' Capital | 0.56% | 1.09% |
Stock indices | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ (455,317) | $ 523,810 |
Percent of Members' Capital | (0.84%) | 0.75% |
Long Positions | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ (831,988) | $ 4,451,176 |
Percent of Members' Capital | (1.51%) | 6.35% |
Long Positions | Agriculture | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 168 | 103 |
Net Unrealized Profit (Loss) on Open Positions | $ (22,697) | $ 137,853 |
Percent of Members' Capital | (0.04%) | 0.20% |
Long Positions | Currencies | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 5 | |
Net Unrealized Profit (Loss) on Open Positions | $ 5,540 | |
Percent of Members' Capital | 0.00% | 0.01% |
Long Positions | Currencies | Forwards | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Notional amount | $ 136,028,806 | $ 252,071,735 |
Net Unrealized Profit (Loss) on Open Positions | $ (1,447,806) | $ 2,876,659 |
Percent of Members' Capital | (2.65%) | 4.10% |
Long Positions | Energy | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 313 | 434 |
Net Unrealized Profit (Loss) on Open Positions | $ 914,743 | $ 1,265,666 |
Percent of Members' Capital | 1.68% | 1.80% |
Long Positions | Interest rates | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 1,349 | 2,233 |
Net Unrealized Profit (Loss) on Open Positions | $ 292,272 | $ (1,589,571) |
Percent of Members' Capital | 0.54% | (2.26%) |
Long Positions | Metals | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 115 | 302 |
Net Unrealized Profit (Loss) on Open Positions | $ (149,821) | $ 1,228,177 |
Percent of Members' Capital | (0.27%) | 1.75% |
Long Positions | Stock indices | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 612 | 1,071 |
Net Unrealized Profit (Loss) on Open Positions | $ (418,679) | $ 526,852 |
Percent of Members' Capital | (0.77%) | 0.75% |
Short Positions | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Net Unrealized Profit (Loss) on Open Positions | $ 2,949,823 | $ (3,479,743) |
Percent of Members' Capital | 5.40% | (4.94%) |
Short Positions | Agriculture | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 683 | 1,181 |
Net Unrealized Profit (Loss) on Open Positions | $ 337,651 | $ 384,308 |
Percent of Members' Capital | 0.62% | 0.55% |
Short Positions | Currencies | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 41 | 11 |
Net Unrealized Profit (Loss) on Open Positions | $ 22,350 | $ (15,485) |
Percent of Members' Capital | 0.04% | (0.02%) |
Short Positions | Currencies | Forwards | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Notional amount | $ 203,226,343 | $ 228,725,253 |
Net Unrealized Profit (Loss) on Open Positions | $ 2,330,935 | $ (3,246,617) |
Percent of Members' Capital | 4.27% | (4.62%) |
Short Positions | Energy | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 9 | 264 |
Net Unrealized Profit (Loss) on Open Positions | $ (22,445) | $ (494,590) |
Percent of Members' Capital | (0.04%) | (0.70%) |
Short Positions | Interest rates | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 1,123 | 2,312 |
Net Unrealized Profit (Loss) on Open Positions | $ (136,923) | $ 359,823 |
Percent of Members' Capital | (0.25%) | 0.51% |
Short Positions | Metals | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 200 | 73 |
Net Unrealized Profit (Loss) on Open Positions | $ 454,893 | $ (464,140) |
Percent of Members' Capital | 0.83% | (0.66%) |
Short Positions | Stock indices | Futures | ||
CONDENSED SCHEDULES OF INVESTMENTS | ||
Number of Contracts | contract | 163 | 148 |
Net Unrealized Profit (Loss) on Open Positions | $ (36,638) | $ (3,042) |
Percent of Members' Capital | (0.07%) | 0.00% |
FAIR VALUE OF INVESTMENTS - UNR
FAIR VALUE OF INVESTMENTS - UNREALIZED PROFIT (LOSS) ON CONTRACTS BY FAIR VALUE HIERARCHY (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
FAIR VALUE OF INVESTMENTS | ||
Fair value assets, amount transferred between measurement levels | $ 0 | $ 0 |
Fair value liabilities, amount transferred between measurement levels | 0 | 0 |
Net unrealized profit (loss) on open contracts | 2,117,835 | 971,433 |
Total | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 5,318,056 | 7,785,923 |
Liabilities | 3,200,221 | 6,814,490 |
Net unrealized profit (loss) on open contracts | 2,117,835 | 971,433 |
Futures | Total | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 2,605,056 | 4,494,939 |
Liabilities | 1,370,350 | 3,153,548 |
Forwards | Total | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 2,713,000 | 3,290,984 |
Liabilities | 1,829,871 | 3,660,942 |
Level I | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 2,201,086 | 3,651,733 |
Liabilities | 1,012,222 | 2,795,267 |
Net unrealized profit (loss) on open contracts | 1,188,864 | 856,466 |
Level I | Futures | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 2,201,086 | 3,651,733 |
Liabilities | 1,012,222 | 2,795,267 |
Level II | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 3,116,970 | 4,134,190 |
Liabilities | 2,187,999 | 4,019,223 |
Net unrealized profit (loss) on open contracts | 928,971 | 114,967 |
Level II | Futures | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 403,970 | 843,206 |
Liabilities | 358,128 | 358,281 |
Level II | Forwards | ||
FAIR VALUE OF INVESTMENTS | ||
Assets | 2,713,000 | 3,290,984 |
Liabilities | $ 1,829,871 | $ 3,660,942 |
FAIR VALUE OF INVESTMENTS - OTH
FAIR VALUE OF INVESTMENTS - OTHER INFORMATION (Details) | 6 Months Ended |
Jun. 30, 2018 | |
FAIR VALUE OF INVESTMENTS | |
Risk rate related to contingent in derivative contracts | There are no credit related contingent features embedded in these derivative contracts. |
FAIR VALUE OF INVESTMENTS - TRA
FAIR VALUE OF INVESTMENTS - TRADING PROFITS AND LOSSES BY INDUSTRY SECTOR (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Trading profits and losses | ||||
Total, net | $ (2,717,389) | $ (3,877,317) | $ (1,826,068) | $ (5,398,305) |
Agriculture | ||||
Trading profits and losses | ||||
Total, net | (361,208) | 1,687,968 | (754,028) | 1,173,546 |
Currencies | ||||
Trading profits and losses | ||||
Total, net | (728,959) | (2,175,483) | (506,219) | (3,291,605) |
Energy | ||||
Trading profits and losses | ||||
Total, net | 2,118,664 | (1,502,112) | 2,390,435 | (2,982,868) |
Interest rates | ||||
Trading profits and losses | ||||
Total, net | (3,642,456) | (2,507,882) | 29,647 | (5,208,218) |
Metals | ||||
Trading profits and losses | ||||
Total, net | (74,956) | (685,687) | (956,679) | (462,980) |
Stock indices | ||||
Trading profits and losses | ||||
Total, net | $ (28,474) | $ 1,305,879 | $ (2,029,224) | $ 5,373,820 |
MARKET AND CREDIT RISKS (Detail
MARKET AND CREDIT RISKS (Details) | 6 Months Ended |
Jun. 30, 2018USD ($)claim | |
Indemnifications | |
Number of claims made with respect to indemnities | claim | 0 |
Provision for loss contingency | $ | $ 0 |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
RELATED PARTY TRANSACTIONS | ||||||
Units owned (in units) | 36,411,836 | 36,411,836 | 44,544,897 | |||
Fund's net asset value (as a percent) | 3.89% | 3.89% | 1.41% | |||
Class D | ||||||
RELATED PARTY TRANSACTIONS | ||||||
Units owned (in units) | 60,573 | 1,920,371 | 60,573 | 1,920,371 | 1,920,371 | 1,920,371 |
MLAI | Class D | ||||||
RELATED PARTY TRANSACTIONS | ||||||
Units owned (in units) | 50 | 50 | 50 | |||
MLAI | Maximum | Class D | ||||||
RELATED PARTY TRANSACTIONS | ||||||
Fund's net asset value (as a percent) | 1.00% | 1.00% | 1.00% | |||
Transfer Agent | ||||||
RELATED PARTY TRANSACTIONS | ||||||
Fee rate paid by MLAI based on aggregate net assets (as a percent) | 0.02% | |||||
Fees allocated to Fund | $ 3,156 | $ 4,558 | $ 6,666 | $ 9,770 | ||
Fees payable | $ 3,537 | $ 3,537 | $ 3,975 |