Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2018shares | |
Document And Entity Information | |
Entity Registrant Name | World Monitor Trust III - Series J |
Entity Central Index Key | 1,345,991 |
Document Type | 10-Q |
Document Period End Date | Jun. 30, 2018 |
Amendment Flag | false |
Document Fiscal Year Focus | 2,018 |
Document Fiscal Period Focus | Q2 |
Current Fiscal Year End Date | --12-31 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Entity Filer Category | Non-accelerated Filer |
Entity Units, Units Outstanding | 0 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION (Unaudited) | Jun. 30, 2018USD ($)$ / Units | Dec. 31, 2017USD ($)$ / Units |
ASSETS | ||
Cash and cash equivalents (see Note 2) | $ 33,633 | $ 1,533,764 |
Investment in securities, at fair value (cost $769,132 and $163,284 at June 30, 2018 and December 31, 2017, respectively) | 766,832 | 163,470 |
Investment in Private Funds, at fair value | 4,665,966 | 4,736,849 |
Receivable from Managing Owner | 52,923 | 52,435 |
Total assets | 5,519,354 | 6,486,518 |
LIABILITIES | ||
Accrued expenses payable | 44,801 | 55,217 |
Service fees payable (see Note 5) | 21,260 | 34,670 |
Redemptions payable | 149,304 | 220,554 |
Total liabilities | 215,365 | 310,441 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total Unitholders' capital (Net Asset Value) | 5,303,989 | 6,176,077 |
Total liabilities and Unitholders' capital | 5,519,354 | 6,486,518 |
Capital Unit Class I [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Class I Units: Unitholders' Units - 32,569.469 and 37,528,608 Units outstanding at June 30, 2018 and December 31, 2017, respectively; Class II Units: Unitholders' Units - 5,033.508 and 5,253.004 Units outstanding at June 30, 2018 and December 31, 2017, respectively; Class III Units: Unitholders' Units - 32,135.695 and 35,009.245 Units outstanding at June 30, 2018 and December 31, 2017, respectively | $ 2,081,214 | $ 2,521,293 |
NET ASSET VALUE PER UNIT | ||
Net asset value per unit | $ / Units | 63.9 | 67.18 |
Capital Unit Class II [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Class I Units: Unitholders' Units - 32,569.469 and 37,528,608 Units outstanding at June 30, 2018 and December 31, 2017, respectively; Class II Units: Unitholders' Units - 5,033.508 and 5,253.004 Units outstanding at June 30, 2018 and December 31, 2017, respectively; Class III Units: Unitholders' Units - 32,135.695 and 35,009.245 Units outstanding at June 30, 2018 and December 31, 2017, respectively | $ 395,967 | $ 430,526 |
NET ASSET VALUE PER UNIT | ||
Net asset value per unit | $ / Units | 78.67 | 81.96 |
Capital Unit Class III [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Class I Units: Unitholders' Units - 32,569.469 and 37,528,608 Units outstanding at June 30, 2018 and December 31, 2017, respectively; Class II Units: Unitholders' Units - 5,033.508 and 5,253.004 Units outstanding at June 30, 2018 and December 31, 2017, respectively; Class III Units: Unitholders' Units - 32,135.695 and 35,009.245 Units outstanding at June 30, 2018 and December 31, 2017, respectively | $ 2,826,808 | $ 3,224,258 |
NET ASSET VALUE PER UNIT | ||
Net asset value per unit | $ / Units | 87.96 | 92.1 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Investments in Securities, at cost | $ 769,132 | $ 163,284 |
Unitholders' capital, outstanding | 69,738.674 | 77,790.900 |
Capital Unit Class I [Member] | ||
Unitholders' capital, outstanding | 32,569.469 | 37,528,608 |
Capital Unit Class II [Member] | ||
Unitholders' capital, outstanding | 5,033.508 | 5,253.004 |
Capital Unit Class III [Member] | ||
Unitholders' capital, outstanding | 32,135.695 | 35,009.245 |
CONDENSED SCHEDULES OF INVESTME
CONDENSED SCHEDULES OF INVESTMENTS (Unaudited) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Investment in securities, at fair value | $ 766,832 | $ 163,470 |
Investment in Private Funds, at fair value | $ 4,665,966 | $ 4,736,849 |
Double Line Funds [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 14.46% | 2.65% |
Investment in securities, at fair value | $ 766,832 | $ 163,470 |
Investments in Securities at Fair Value [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 14.46% | 2.65% |
Investment in securities, at fair value | $ 766,832 | $ 163,470 |
ADG Systematic Macro Feeder Fund (530) LLC [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 30.09% | 24.71% |
Investment in Private Funds, at fair value | $ 1,595,759 | $ 1,526,112 |
Fort Contrarian Feeder Fund (510) LLC [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 22.47% | 19.84% |
Investment in Private Funds, at fair value | $ 1,192,012 | $ 1,225,398 |
QIM Feeder Fund (526) LLC [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 35.41% | 32.15% |
Investment in Private Funds, at fair value | $ 1,878,195 | $ 1,985,339 |
Investment in Private Funds [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 87.97% | 76.70% |
Investment in Private Funds, at fair value | $ 4,665,966 | $ 4,736,849 |
CONDENSED SCHEDULES OF INVESTM5
CONDENSED SCHEDULES OF INVESTMENTS (Unaudited) (Parenthetical) - shares | Jun. 30, 2018 | Dec. 31, 2017 |
Double Line Funds [Member] | ||
Shares owned | 77,146.075 | 16,398.136 |
Investments in Securities at Fair Value [Member] | ||
Shares owned | 769,132 | 163,284 |
STATEMENTS OF OPERATIONS (Unaud
STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
INVESTMENT INCOME | ||||
Dividend income | $ 6,121 | $ 9,793 | $ 7,159 | $ 18,220 |
Total investment income | 6,121 | 9,793 | 7,159 | 18,220 |
EXPENSES | ||||
Management fees to Managing Owner | 25,092 | 35,561 | 52,642 | 66,635 |
Managing Owner interest earned on Certain Investment Funds (see Note 4) | 3,303 | 12,163 | 3,362 | 22,239 |
Service fees - Class I Units (see Note 5) | 30,743 | 50,559 | 64,463 | 106,413 |
Sales commission | 6,330 | 12,368 | 13,353 | 31,625 |
Operating expenses | 84,309 | 68,547 | 143,688 | 156,430 |
Total expenses | 149,777 | 179,198 | 277,507 | 383,342 |
General and administrative expenses borne by the Managing Owner and affiliates | 29,310 | 15,092 | 52,922 | 19,848 |
Net expenses | 120,467 | 164,106 | 224,585 | 363,494 |
Net investment loss | (114,346) | (154,313) | (217,426) | (345,274) |
REALIZED AND UNREALIZED GAIN OR (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on investment in securities | (1,296) | 0 | (1,296) | (2,693) |
Net change in unrealized appreciation (depreciation) on investment in securities | (1,507) | 2,371 | (2,486) | 9,934 |
Net gain (loss) from investment in securities | (2,803) | 2,371 | (3,782) | 7,241 |
Total gain (loss) from Investment in Affiliated Funds | 0 | (347,843) | 0 | (82,876) |
Total change in appreciation (depreciation) from Investment in Private Funds | 201,227 | 0 | (70,883) | 0 |
Total gain (loss) on Investment in Private and Affiliated Funds | 201,227 | (347,843) | (70,883) | (82,876) |
Total gain (loss) on investments | 198,424 | (345,472) | (74,665) | (75,635) |
NET INCOME (LOSS) | $ 84,078 | $ (499,785) | $ (292,089) | $ (420,909) |
Capital Unit Class I Member | ||||
NET LOSS PER WEIGHTED AVERAGE UNIT | ||||
Net loss per weighted average Unit | $ 0.86 | $ (3.67) | $ (3.63) | $ (3.17) |
Weighted average number of Units outstanding | 33,578.606 | 55,051.134 | 34,914.719 | 72,790.479 |
Capital Unit Class II [Member] | ||||
NET LOSS PER WEIGHTED AVERAGE UNIT | ||||
Net loss per weighted average Unit | $ 1.41 | $ (5.54) | $ (3.35) | $ (5.18) |
Weighted average number of Units outstanding | 5,051.816 | 5,853.276 | 5,096.25 | 5,978.092 |
Capital Unit Class III [Member] | ||||
NET LOSS PER WEIGHTED AVERAGE UNIT | ||||
Net loss per weighted average Unit | $ 1.46 | $ (6.93) | $ (4.39) | $ (4.02) |
Weighted average number of Units outstanding | 32,833.871 | 38,263.241 | 33,732.127 | 39,530.712 |
STATEMENTS OF CHANGES IN UNITHO
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL EQUITY (Unaudited) - USD ($) | Capital Unit Class I Member | Capital Unit Class II [Member] | Capital Unit Class III [Member] | Total |
Unitholders' capital, beginning balance at Dec. 31, 2016 | $ 7,858,343 | $ 567,090 | $ 0 | $ 8,425,433 |
Unitholders' capital, beginning balance, Units at Dec. 31, 2016 | 106,116.029 | 6,395.489 | 0 | 112,511.518 |
Subscriptions | $ 4,390,827 | $ 4,390,827 | ||
Subscriptions, Units | 43,908.270 | 43,908.270 | ||
Redemptions | $ (4,753,227) | $ (47,374) | $ (700,370) | $ (5,500,971) |
Redemptions, Units | (64,511.965) | (542.213) | (6,755.715) | (71,809.893) |
Net loss | $ (231,064) | $ (30,948) | $ (158,897) | $ (420,909) |
Unitholders' capital, ending balance at Jun. 30, 2017 | $ 2,874,052 | $ 488,768 | $ 2,970,736 | $ 6,894,380 |
Unitholders' capital, ending balance, Units at Jun. 30, 2017 | 41,604.064 | 5,853.276 | 37,152.555 | 84,609.895 |
Unitholders' capital, beginning balance at Dec. 31, 2017 | $ 2,521,294 | $ 430,526 | $ 3,224,257 | $ 6,176,077 |
Unitholders' capital, beginning balance, Units at Dec. 31, 2017 | 37,528.620 | 5,253.010 | 35,009.270 | 77,790.900 |
Redemptions | $ (313,221) | $ (17,498) | $ (249,280) | $ (579,999) |
Redemptions, Units | (4,959.150) | (219.501) | (2,873.580) | (8,052.230) |
Net loss | $ (126,859) | $ (17,061) | $ (148,169) | $ (292,089) |
Unitholders' capital, ending balance at Jun. 30, 2018 | $ 2,081,214 | $ 395,967 | $ 2,826,808 | $ 5,303,989 |
Unitholders' capital, ending balance, Units at Jun. 30, 2018 | 32,569.470 | 5,033.509 | 32,135.695 | 69,738.674 |
ORGANIZATION
ORGANIZATION | 6 Months Ended |
Jun. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
ORGANIZATION | Note 1. ORGANIZATION A. General Description of the Trust World Monitor Trust III (the “ Trust Series Trust Agreement Kenmar Preferred Investments, LLC (“ Kenmar Preferred Managing Owner Clarity Managed Account & Analytics Platform, LLC (“ Clarity CTA Choice Kenmar Global Investment Management, LLC (the “ Asset Allocator The Trust expects to access the Advisors in the future through various series of Galaxy Plus. Galaxy Plus is an “umbrella fund” having multiple series, each of which is referred to herein as a “Galaxy Fund.” Each Galaxy Fund has its own clearly-defined investment objective and strategies that are implemented by a trading advisor. Gemini Alternative Funds, LLC, a Nebraska limited liability company, is the managing member of Galaxy Plus. Series J allocated a portion of its net assets (“ Allocated Assets Trading Advisor Trading Advisors Each Trading Advisor listed below is referred to herein as an “ Private Fund Private Funds Private Fund Trading Advisor Trading Program Start Date Termination Date ADG Systematic Macro Feeder Fund (530) LLC (“ADG”) ADG Capital Management, L.L.C. Systematic macro strategy program 10/1/2017 Fort Contrarian Feeder Fund (510) LLC (“FORT”) Fort L.P. Systematic, trend-anticipating trading program 10/1/2017 QIM Feeder Fund (526) LLC (“QIM”) Quantitative Investment Management, L.L.C. Short to medium-term trading strategy program 10/1/2017 Effective October 1, 2017 the Registrant allocated assets to Galaxy Plus Funds which together with Affiliated Investment Funds (“Registrant Trading Investments”) Series J meets the definition of an investment company in accordance with guidance under Accounting Standards Codification Topic 946 “ Financial Services – Investment Companies B. Regulation As a registrant with the Securities and Exchange Commission (“ SEC As a commodity pool, the Trust and each Series are subject to the regulations of the Commodity Futures Trading Commission (“ CFTC NFA Series J offered units (the “ Units Class Up to $281,250,000 Series J, Class I and $93,750,000 Series J, Class II and $4,390,827 Series J, Class III Units were being offered (totaling $379,390,827) (“ Subscription Maximum Effective November 30, 2008, the Board of Directors of the Managing Owner of Series J determined that the Units would no longer be publicly offered and would only be available on a private placement basis to “accredited investors” pursuant to Regulation D under the Securities Act of 1933. For new subscribers, the minimum initial investment is $25,000 ($10,000 for benefit plan investors (including IRAs). The minimum additional subscription amount for current investors is $5,000. Series J completed its initial offering on December 1, 2005 with gross proceeds of $31,024,443. Subscriptions were no longer accepted effective December 2013. Effective February 1, 2017, KMP Futures Fund I, LLC (“ KMPFF Class III D. Exchanges, Redemptions and Termination Redemptions from Series J are permitted on a monthly basis with no redemption charges applicable to either Class I, Class II or Class III Units. In the event that the Net Asset Value of a Series, after adjustments for distributions, contributions and redemptions, declines by 50% or more since the commencement of trading activities or the first day of a fiscal year, the Series will automatically terminate. Should the Managing Owner make a determination that Series J’s aggregate net assets in relation to its operating expenses make it unreasonable or imprudent to continue the business of Series J, or, in the exercise of its reasonable discretion, if the aggregate Net Asset Value of Series J as of the close of business on any business day declines below $10 million, the Managing Owner may dissolve Series J. Although the Net Asset Value is currently below $10 million, as of June 30, 2018, the Managing Owner has not made a determination to terminate Series J. |
SUMMARY OF SIGNIFICANT ACCOUNTI
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. Basis of Accounting The condensed statements of financial condition, including the condensed schedules of investments, as of June 30, 2018, the condensed statements of operations for the three months ended June 30, 2018 (“Second Quarter 2018”) and for the six months ended June 30, 2018 (“Year-To-Date 2018”), for the three months ended June 30, 2017 (“Second Quarter 2017”), for the six months ended June 30, 2017 (“Year-To-Date 2017”) and the condensed statements of changes in Unitholders’ capital for the Year-To-Date 2018 and the Year-To-Date 2017 are unaudited. In the opinion of the Managing Owner, the condensed financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial position of Series J as of June 30, 2018 and the results of its operations for the Second Quarter 2018 and Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017. The operating results for these interim periods may not be indicative of the results expected for a full year. The condensed financial statements of Series J are prepared in accordance with accounting principles generally accepted in the United States of America (“ U.S. GAAP Certain information and footnote disclosures normally included in the annual financial statements prepared in accordance with U.S. GAAP have been omitted. It is suggested that these condensed financial statements be read in conjunction with the financial statements and notes thereto included in Series J’s annual report on Form 10-K filed with the SEC for the year ended December 31, 2017. The weighted average number of Units outstanding was computed for purposes of disclosing net gain (loss) per weighted average Unitholder. The weighted average number of Units is equal to the number of Units outstanding at period end, adjusted proportionately for Units subscribed and redeemed based on their respective time outstanding during the period. Investment in securities consists of publicly-traded mutual funds, which are valued using the quoted share price on the last day of the period. Realized gains and losses from investment in securities are determined using the identified cost method. Any change in net unrealized gain or loss from the preceding period is reported in the condensed statements of operations. Dividends are recorded on the ex-dividend date. Series J has elected not to provide a statement of cash flows since substantially all of Series J’s investments are carried at fair value and classified as Level 1 measurements in the fair value hierarchy table or fair value was determined using the practical expedient method. Series J has little or no debt and a condensed statement of changes in Unitholders’ capital (Net Asset Value) is provided. Consistent with standard business practice in the normal course of business, Series J has provided general indemnifications to the Managing Owner, the Trading Advisors and others when they act, in good faith, in the best interests of Series J. Series J is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote. Series J accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3). Series J considers its investments in publicly-traded mutual funds to be based on quoted prices in active markets for identical assets (Level 1). There are no Level 3 investments as of June 30, 2018 or December 31, 2017, nor any portion of the interim periods. The following tables summarize the assets measured at fair value using the fair value hierarchy. Series J’s investments in affiliated investment funds and private funds are valued based on the net asset value reported by such funds. By adopting ASU 2015-07, the investments in affiliated investment funds and private funds are excluded from the fair value hierarchy below. June 30, 2018 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 766,832 $ 0 $ 0 $ 766,832 December 31, 2017 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 163,470 $ 0 $ 0 $ 163,470 B. Cash and Cash Equivalents Cash and cash equivalents include cash and investments in overnight deposits. Interest income, if any, includes interest on cash and overnight deposits. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protections afforded such deposits. Series J has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions or redemptions received. C. Income Taxes Series J is treated as a partnership for U.S. federal income tax purposes. As such, Series J is not required to provide for, or pay, any U.S. federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the Unitholders including the Managing Owner. Series J may be subject to other state and local taxes in jurisdictions in which it operates. Series J appropriately recognizes and discloses uncertain tax provisions in their financial statements. Recognition is permitted for each position if, based on its technical merits, it is “more likely than not” that the position will be upheld under audit by tax authorities. The Managing Owner has reviewed Series J’s tax positions for all open years and concluded that no provision for income taxes or expense is required in these condensed financial statements. Series J has elected an accounting policy to classify interest and penalties related to income taxes as interest or other expense. The 2014 through 2017 tax years generally remain subject to examination by U.S. Federal and most tax authorities. There have been no differences between the tax basis and book basis of assets, liabilities or Unitholders’ capital since inception of Series J. D. Profit and Loss Allocations and Distributions Income and expenses (excluding the service fee and upfront sales commissions further discussed in Note 5) are allocated pro rata to the Class I Units, Class II Units and Class III Units monthly based on the Units outstanding during the month. Class I Units are charged with the service fee and upfront sales commission applicable to such Units. Distributions (other than redemptions of Units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Unitholders. The Managing Owner has not and does not presently intend to make any distributions. E. Interest Interest is recorded on an accrual basis. F. Offering Costs In accordance with the Trust’s Agreement and Prospectus, the Managing Owner is responsible for the payment of all offering expenses of Series J incurred after the Initial Offering Period (“ongoing offering costs”), provided that the amount of such ongoing offering costs paid by the Managing Owner are subject to reimbursement by the Trust, without interest, in up to 36 monthly payments during each of the first 36 months following the month in which such expenses were paid by the Managing Owner. Through June 30, 2018, the Managing Owner has paid $2,936,640 in ongoing offering costs, of which $2,879,478 has been allocated to Series J. Ongoing offering costs incurred through November 30, 2006 in the amount of $599,062 will not be reimbursed to the Managing Owner. For the period December 1, 2006 through June 30, 2018, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $2,300,021 and $2,280,415, respectively. Of the $2,280,415, allocated to Series J, $635,144 will not be reimbursable to the Managing Owner. Series J will only be liable for payment of ongoing offering costs on a monthly basis. If Series J terminates prior to completion of payment of such amounts to the Managing Owner, the Managing Owner will not be entitled to any additional payments, and Series J will have no further obligation to the Managing Owner. During the Second Quarter 2018 and Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, Series J’s did not incur any offering cost. G. Investment in Private Funds The investment in Galaxy Plus Funds is reported at fair value in Series J’s statements of financial condition. As a practical expedient, fair value ordinarily is the fund’s net asset value as determined for the Galaxy Plus Funds in accordance with the fund’s valuation policies and reported at the time of Series J’s valuation by the management of the funds. Generally, the fair value of Series J’s investment in Galaxy Plus Funds represents the amount that Series J could reasonably expect to receive from the Galaxy Plus Funds if Series J’s investment was redeemed at the time of the valuation, based on information reasonably available at the time the valuation is made and that Series J believes to be reliable H. New Accounting Pronouncement In May, 2015, the FASB issued Accounting Standards Update No. 2015-07 (“ASU 2015-07”), “Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or its Equivalent).” ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using net asset value per share as a practical expedient. The Managing Owner of the Trust adopted ASU 2015-07 as of January 1, 2016. The adoption of ASU 2015-07 did not have a material impact on the Trust’s Financial Statements. |
RELATED PARTIES
RELATED PARTIES | 6 Months Ended |
Jun. 30, 2018 | |
Related Party Transactions [Abstract] | |
RELATED PARTIES | Note 3. RELATED PARTIES Series J reimburses Kenmar Preferred and its affiliates for services it performs for Series J, which include, but are not limited to: management, legal, accounting, registrar, transfer and assignment functions, investor communications, printing, and other administrative services. The expenses incurred by Series J for services performed by Kenmar Preferred and its affiliates for Series J were as follows: Expenses payable to the Managing Owner and its affiliates, which are included in accrued expenses payable on the condensed statements of financial condition as of June 30, 2018 and December 31, 2017 were $14,590 and $12,865 respectively. Three months ended June 30, Six months ended June 30, 2018 2017 2018 2017 Management fees to Managing Owner $ 25,092 $ 35,561 $ 52,642 $ 66,635 Managing Owner interest earned on Certain Investment Funds 3,303 12,163 3,362 22,239 Operating expenses 28,885 21,703 50,366 47,290 General and administrative expenses borne by the Managing Owner and its affiliates (29,310 ) (15,092 ) (52,922 ) (19,848 ) Total $ 27,970 $ 54,335 $ 53,448 $ 116,316 |
MANAGING OWNER AND AFFILIATES
MANAGING OWNER AND AFFILIATES | 6 Months Ended |
Jun. 30, 2018 | |
Managing Owner And Affiliates | |
MANAGING OWNER AND AFFILIATES | Note 4. MANAGING OWNER AND AFFILIATES The Managing Owner is paid a monthly management fee of 1/12 th Series J invests a portion of the excess cash balances not required for margin through certain investment funds which invest in (i) U.S. government securities (which include any security issued or guaranteed as to principal or interest by the United States), (ii) any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the United States government, (iii) corporate bonds or notes, or (iv) other instruments permitted by applicable rules and regulations (collectively, “ Certain Investment Funds The objective is to obtain a rate of return for Series J that balances risk and return relative to the historically low yields on short term cash deposits with banks and/or brokerage firms. There is no guarantee that the Managing Owner will be successful in investing the excess cash successfully to obtain a greater yield than available on short term cash deposits with banks and/or brokerage firms. The Managing Owner is paid monthly 1/12 th Series J paid a monthly administrative services fee to Clarity for risk management and related services with respect to monitoring the Trading Advisors, indirectly through its investment in Affiliated Investment Funds based on their respective beginning of month Allocated Assets. Investment in affiliated funds and the Clarity agreement have been terminated during the year ended December 31, 2017. For the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, the administrative services fee earned indirectly totaled $0, $7,000, $0 and $15,000, respectively. Investments in Affiliated Investment Funds ceased September 30, 2017 as the Registrant transitioned to investing in Galaxy Funds. |
SERVICE FEES AND SALES COMMISSI
SERVICE FEES AND SALES COMMISSIONS | 6 Months Ended |
Jun. 30, 2018 | |
Service Fees And Sales Commissions | |
SERVICE FEES AND SALES COMMISSIONS | Note 5. SERVICE FEES AND SALES COMMISSIONS Series J pays a service fee with respect to Class I Units, monthly in arrears, equal to 1/12 th CSA th th The Service Fee – Class I Units (as described below) disclosed on the condensed statements of operations represents (i) the monthly 1/12th of 2% of the Net Asset Value per Class I Unit as of the beginning of each month of the Class I Units, (ii) the initial upfront sales commission of 2%, and (iii) a deduction for Series J’s recapture of the 1/12th of 2% service fee on all Units owned for less than 12 months that have received the 2% upfront sales commission and a recapture of the service fee on Units held with no CSA. A portion of the service fee disclosed in the statements of operations represents the monthly on-going trailing compensation paid to service providers ranging from 1/12th of 3.5% (3.5% per annum) to 1/12th of 4.0% (4.0% per annum) of the beginning of month Net Asset Value of the applicable Class III unitholders interests. The services fees are paid by Class III Units and are deducted from the management fee paid to the Managing Owner. For the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, the total fees paid by Class III Units was $43,060, $59,419, $89,949 and $102,593, of which $21,927, $29,378, $45,966 and $29,378, respectively, was paid as management fees to the Managing Owner. For the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, the Service Fee – Class I and Class III Units is composed of the following: Three months ended June 30, Six months ended June 30, 2018 2017 2018 2017 Monthly 1/12 th $ 31,827 $ 22,114 $ 66,665 $ 57,893 Series J’s recapture on 1/12 th (1,084 ) (1,596 ) (2,202 ) (3,250 ) Total $ 30,743 $ 20,518 $ 64,463 $ 54,643 Kenmar Securities LLC (“ Selling Agent Series J pays a monthly fee to Wells Fargo for providing continuing due diligence, training, operations, system support, and marketing. For Class I and II Units purchased by clients of Wells Fargo on or prior to October 1, 2010, the fee is 1/12 th th |
ADMINISTRATOR
ADMINISTRATOR | 6 Months Ended |
Jun. 30, 2018 | |
Administrator | |
ADMINISTRATOR | Note 6. ADMINISTRATOR Gemini Hedge Fund Services, LLC (“ Gemini Administrator Series J indirectly paid its pro-rata share of administrator fees through its investment in Affiliated Investment Funds. Investment in affiliated funds have been terminated during the year ended December 31, 2017. For the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, Series J indirectly paid administrator fees totaling $0 and $18,375, $0, and $36,667, respectively. Series J also pays administrator fees directly to the Administrators. For the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, Series J directly paid the Administrator fees of $1,631 and $1,500, $3,131, and $3,000, respectively. |
INVESTMENT IN AFFILIATED INVEST
INVESTMENT IN AFFILIATED INVESTMENT FUNDS | 6 Months Ended |
Jun. 30, 2018 | |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | |
INVESTMENT IN AFFILIATED INVESTMENT FUNDS | Note 7. INVESTMENT IN PRIVATE FUNDS Through September 30, 2017, Series J invested a portion of its assets in Affiliated Investment Funds. Series J fully redeemed from the Affiliated Investment Funds as of September 30, 2017. Series J’s investment in Private Funds represents 87.97% and 76.70% of the Net Asset Value of Series J at June 30, 2018 and December 31, 2017, respectively. Investment in affiliated funds have been terminated during the year ended December 31, 2017. Series J records its proportionate share of income or loss in the condensed statements of operations. The following tables summarize the change in net asset value (fair value) of Series J’s investment in Private Funds for the Year-To-Date 2018 and the Year-To-Date 2017: Net asset value Net asset value December 31, 2017 Purchases Loss Redemptions June 30, 2018 Investment in Private Funds $ 4,736,849 $ 0 $ (70,883 ) $ 0 $ 4,665,966 Net asset value Net asset value December 31, 2016 Purchases Gain Redemptions December 31, 2017 Investment in Private Funds $ 0 $ 4,612,569 $ 124,280 $ 0 $ 4,736,849 The Private Funds are redeemable weekly and require a redemption notice of 2 days. Series J may make additional contributions to or redemptions from the Private Funds on a standard allocation date. The Private Funds engage in trading commodity futures including agricultural, currency, energy, interest rates and stock indices among other types, foreign currency forward contracts and options on futures contracts. Series J records its proportionate share of income or loss in the statements of operations The following table sets out the total capital contribution and Investment Level split between net asset value: Total capital Total Investment ADG Systematic Macro Feeder Fund (530) LLC 1,595,759 1,595,759 Fort Contrarian Feeder Fund (510) LLC 1,192,012 2,384,024 QIM Feeder Fund (526) LLC 1,878,195 3,756,390 Total $ 4,665,966 $ 7,736,173 |
TRUSTEE
TRUSTEE | 6 Months Ended |
Jun. 30, 2018 | |
Trustee | |
TRUSTEE | Note 8. TRUSTEE The trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The trustee has delegated to the Managing Owner the power and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
COSTS, FEES AND EXPENSES
COSTS, FEES AND EXPENSES | 6 Months Ended |
Jun. 30, 2018 | |
Costs Fees And Expenses | |
COSTS, FEES AND EXPENSES | Note 9. COSTS, FEES AND EXPENSES A. Operating Expenses Operating expenses of Series J are paid for by Series J. B. Commissions Series J, indirectly through the commodity trading activity of the Registrant Trading Investments, is obligated to pay all floor brokerage expenses, give-up charges and NFA clearing and exchange fees. These activities are reflected within the respective net asset value of each of the Registrant Trading Investments. |
DERIVATIVE INSTRUMENTS AND ASSO
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS | 6 Months Ended |
Jun. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS | Note 10. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS No derivative instruments were directly held by Series J as of June 30, 2018 and December 31, 2017. Derivative trading activity is conducted within the Registrants Trading Investments. Series J’s investment in Registrants Trading Investments is subject to the market and credit risks of the futures contracts, options on futures contracts, forward currency contracts and other financial instruments held or sold short by them. Series J bears the risk of loss only to the extent of the capital commitment of its investment and, in certain specific circumstances, distributions and redemptions received. Series J is exposed to various types of risks associated with the derivative instruments and related markets in which it indirectly invests through its investment in Registrants Trading Investments. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the inability of counterparties to perform under the terms of Series J’s investment activities (credit risk), including investment in Registrants Trading Investments. The Managing Owner has established due diligence procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investment in Series J and, in certain specific circumstances, distributions and redemptions received. Market Risk Market risk is influenced by a wide variety of factors, including government programs and policies, political and economic events, the level and volatility of interest rates, foreign currency exchange rates, the diversification effect among the derivative instruments, the liquidity and inherent volatility of the markets in which Series J indirectly invests through its ownership in Registrants Trading Investments. Credit Risk The Managing Owner attempts to minimize both credit and market risks by Series J and its Registrant Trading Investments. The Managing Owner monitors the credit risk of the Registrant Trading Investments as part of the due diligence process but does not have direct control over the selection of counterparties and credit risk of the Registrant Trading Investments. |
FINANCIAL HIGHLIGHTS
FINANCIAL HIGHLIGHTS | 6 Months Ended |
Jun. 30, 2018 | |
Financial Highlights | |
FINANCIAL HIGHLIGHTS | Note 11. FINANCIAL HIGHLIGHTS The following information presents per Unit operating performance data and other supplemental data for the the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017. This information has been derived from information presented in the condensed financial statements: Class I Class II Class III Three Six Three Six Three Six months months months months months months ended ended ended ended ended ended June 30, 2018 June 30, 2018 June 30, 2018 Per Unit Performance (for a Unit outstanding throughout the entire period) Net Asset Value per Unit at beginning of period $ 63.04 $ 67.18 $ 77.26 $ 81.96 $ 86.49 $ 92.10 Gain (Loss) from operations: Net realized and change in unrealized gain (loss) (1) 2.35 (0.61 ) 2.87 (0.74 ) 3.21 (0.84 ) Dividend income (1) 0.07 0.08 0.09 0.10 0.10 0.11 Expenses (1),(4) (1.56 ) (2.75 ) (1.55 ) (2.65 ) (1.84 ) (3.41 ) Total loss from operations 0.86 (3.28 ) 1.41 (3.29 ) 1.47 (4.14 ) Net Asset Value per Unit at end of period $ 63.90 $ 63.90 $ 78.67 $ 78.67 $ 87.96 $ 87.96 Total Return (3),(4) 1.36 % (4.88 )% 1.83 % (4.01 )% 1.70 % (4.50 )% Supplemental data Ratios to average Net Asset Value: Net investment loss (2),(4) (9.38 )% (8.31 )% (7.50 )% (6.47 )% (7.99 )% (8.86 )% Dividend income (4) 0.46 % 0.25 % 0.45 % 0.26 % 0.46 % 0.30 % Other expenses (4) 9.84 % 8.56 % 7.95 % 6.73 % 8.45 % 9.16 % Total expenses 9.84 % 8.56 % 7.95 % 6.73 % 8.45 % 9.16 % Total return is calculated based on the change in value of a Unit during the period. An individual Unitholder’s total return and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. (1) Dividend income and expenses per Unit are calculated by dividing dividend income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the period. Net realized and change in unrealized loss is a balancing amount necessary to reconcile the change in Net Asset Value per Unit of each Class with the other per Unit information. (2) Represents dividend income less total expenses. This excludes Series J’s proportionate share of income and expenses from investment in Registrants Trading Investments Funds. (3) Not Annualized. (4) Net of Class III’s portion of general and administrative expenses borne by the Managing Owner and affiliates. Class I Class II Class III Three Six Three Six Three Six months months months months months months ended ended ended ended ended ended June 30, 2017 June 30, 2017 June 30, 2 Per Unit Performance (for a Unit outstanding throughout the entire period) Net Asset Value per Unit at beginning of period $ 74.01 $ 74.05 $ 89.04 $ 88.67 $ 102.14 $ 100.00 Gain (Loss) from operations: Net realized and change in unrealized gain (loss) (1) (3.61 ) (2.20 ) (4.49 ) (2.95 ) (5.10 ) (1.64 ) Dividend income (1) 0.08 0.15 0.10 0.18 0.12 0.16 Expenses (1),(4) (1.40 ) (2.92 ) (1.15 ) (2.40 ) (2.10 ) (3.46 ) Total gain (loss) from operations (4.93 ) (4.97 ) (5.54 ) (5.17 ) (7.08 ) (4.94 ) Net Asset Value per Unit at end of period $ 69.08 $ 69.08 $ 83.50 $ 83.50 $ 95.06 $ 95.06 Total Return (3),(4) (6.66 )% (6.71 )% (6.22 )% (5.83 )% (6.93 )% (4.94 )% Supplemental data Ratios to average Net Asset Value: Net investment loss (2),(4) (7.16 )% (7.50 )% (4.78 )% (5.03 )% (7.88 )% (7.81 )% Dividend income (4) 0.46 % 0.40 % 0.47 % 0.40 % 0.47 % 0.39 % Other expenses (4) 7.62 % 7.90 % 5.24 % 5.43 % 8.35 % 8.20 % Total expenses 7.62 % 7.90 % 5.24 % 5.43 % 8.35 % 8.20 % Total return is calculated based on the change in value of a Unit during the period. An individual Unitholder’s total return and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. (1) Dividend income and expenses per Unit are calculated by dividing dividend income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the period. Net realized and change in unrealized loss is a balancing amount necessary to reconcile the change in Net Asset Value per Unit of each Class with the other per Unit information. (2) Represents dividend income less total expenses. This excludes Series J’s proportionate share of income and expenses from investment in Registrants Trading Investments Funds. (3) Not Annualized. (4) Net of Class III’s portion of general and administrative expenses borne by the Managing Owner and affiliates. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2018 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | Note 12. SUBSEQUENT EVENTS From July 1, 2018 through August 15, 2018, there were estimated redemptions of $74,777. |
SUMMARY OF SIGNIFICANT ACCOUN20
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
Basis of Accounting | A. Basis of Accounting The condensed statements of financial condition, including the condensed schedules of investments, as of June 30, 2018, the condensed statements of operations for the three months ended June 30, 2018 (“Second Quarter 2018”) and for the six months ended June 30, 2018 (“Year-To-Date 2018”), for the three months ended June 30, 2017 (“Second Quarter 2017”), for the six months ended June 30, 2017 (“Year-To-Date 2017”) and the condensed statements of changes in Unitholders’ capital for the Year-To-Date 2018 and the Year-To-Date 2017 are unaudited. In the opinion of the Managing Owner, the condensed financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial position of Series J as of June 30, 2018 and the results of its operations for the Second Quarter 2018 and Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017. The operating results for these interim periods may not be indicative of the results expected for a full year. The condensed financial statements of Series J are prepared in accordance with accounting principles generally accepted in the United States of America (“ U.S. GAAP Certain information and footnote disclosures normally included in the annual financial statements prepared in accordance with U.S. GAAP have been omitted. It is suggested that these condensed financial statements be read in conjunction with the financial statements and notes thereto included in Series J’s annual report on Form 10-K filed with the SEC for the year ended December 31, 2017. The weighted average number of Units outstanding was computed for purposes of disclosing net gain (loss) per weighted average Unitholder. The weighted average number of Units is equal to the number of Units outstanding at period end, adjusted proportionately for Units subscribed and redeemed based on their respective time outstanding during the period. Investment in securities consists of publicly-traded mutual funds, which are valued using the quoted share price on the last day of the period. Realized gains and losses from investment in securities are determined using the identified cost method. Any change in net unrealized gain or loss from the preceding period is reported in the condensed statements of operations. Dividends are recorded on the ex-dividend date. Series J has elected not to provide a statement of cash flows since substantially all of Series J’s investments are carried at fair value and classified as Level 1 measurements in the fair value hierarchy table or fair value was determined using the practical expedient method. Series J has little or no debt and a condensed statement of changes in Unitholders’ capital (Net Asset Value) is provided. Consistent with standard business practice in the normal course of business, Series J has provided general indemnifications to the Managing Owner, the Trading Advisors and others when they act, in good faith, in the best interests of Series J. Series J is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote. Series J accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3). Series J considers its investments in publicly-traded mutual funds to be based on quoted prices in active markets for identical assets (Level 1). There are no Level 3 investments as of June 30, 2018 or December 31, 2017, nor any portion of the interim periods. The following tables summarize the assets measured at fair value using the fair value hierarchy. Series J’s investments in affiliated investment funds and private funds are valued based on the net asset value reported by such funds. By adopting ASU 2015-07, the investments in affiliated investment funds and private funds are excluded from the fair value hierarchy below. June 30, 2018 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 766,832 $ 0 $ 0 $ 766,832 December 31, 2017 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 163,470 $ 0 $ 0 $ 163,470 |
Cash and Cash Equivalents | B. Cash and Cash Equivalents Cash and cash equivalents include cash and investments in overnight deposits. Interest income, if any, includes interest on cash and overnight deposits. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protections afforded such deposits. Series J has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions or redemptions received. |
Income Taxes | C. Income Taxes Series J is treated as a partnership for U.S. federal income tax purposes. As such, Series J is not required to provide for, or pay, any U.S. federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the Unitholders including the Managing Owner. Series J may be subject to other state and local taxes in jurisdictions in which it operates. Series J appropriately recognizes and discloses uncertain tax provisions in their financial statements. Recognition is permitted for each position if, based on its technical merits, it is “more likely than not” that the position will be upheld under audit by tax authorities. The Managing Owner has reviewed Series J’s tax positions for all open years and concluded that no provision for income taxes or expense is required in these condensed financial statements. Series J has elected an accounting policy to classify interest and penalties related to income taxes as interest or other expense. The 2014 through 2017 tax years generally remain subject to examination by U.S. Federal and most tax authorities. There have been no differences between the tax basis and book basis of assets, liabilities or Unitholders’ capital since inception of Series J. |
Profit and Loss Allocations and Distributions | D. Profit and Loss Allocations and Distributions Income and expenses (excluding the service fee and upfront sales commissions further discussed in Note 5) are allocated pro rata to the Class I Units, Class II Units and Class III Units monthly based on the Units outstanding during the month. Class I Units are charged with the service fee and upfront sales commission applicable to such Units. Distributions (other than redemptions of Units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Unitholders. The Managing Owner has not and does not presently intend to make any distributions. |
Interest | E. Interest Interest is recorded on an accrual basis. |
Offering Costs | F. Offering Costs In accordance with the Trust’s Agreement and Prospectus, the Managing Owner is responsible for the payment of all offering expenses of Series J incurred after the Initial Offering Period (“ongoing offering costs”), provided that the amount of such ongoing offering costs paid by the Managing Owner are subject to reimbursement by the Trust, without interest, in up to 36 monthly payments during each of the first 36 months following the month in which such expenses were paid by the Managing Owner. Through June 30, 2018, the Managing Owner has paid $2,936,640 in ongoing offering costs, of which $2,879,478 has been allocated to Series J. Ongoing offering costs incurred through November 30, 2006 in the amount of $599,062 will not be reimbursed to the Managing Owner. For the period December 1, 2006 through June 30, 2018, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $2,300,021 and $2,280,415, respectively. Of the $2,280,415, allocated to Series J, $635,144 will not be reimbursable to the Managing Owner. Series J will only be liable for payment of ongoing offering costs on a monthly basis. If Series J terminates prior to completion of payment of such amounts to the Managing Owner, the Managing Owner will not be entitled to any additional payments, and Series J will have no further obligation to the Managing Owner. During the Second Quarter 2018 and Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, Series J’s did not incur any offering cost. |
Investment in Private Funds | G. Investment in Private Funds The investment in Galaxy Plus Funds is reported at fair value in Series J’s statements of financial condition. As a practical expedient, fair value ordinarily is the fund’s net asset value as determined for the Galaxy Plus Funds in accordance with the fund’s valuation policies and reported at the time of Series J’s valuation by the management of the funds. Generally, the fair value of Series J’s investment in Galaxy Plus Funds represents the amount that Series J could reasonably expect to receive from the Galaxy Plus Funds if Series J’s investment was redeemed at the time of the valuation, based on information reasonably available at the time the valuation is made and that Series J believes to be reliable |
New Accounting Pronouncement | H. New Accounting Pronouncement In May, 2015, the FASB issued Accounting Standards Update No. 2015-07 (“ASU 2015-07”), “Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or its Equivalent).” ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using net asset value per share as a practical expedient. The Managing Owner of the Trust adopted ASU 2015-07 as of January 1, 2016. The adoption of ASU 2015-07 did not have a material impact on the Trust’s Financial Statements. |
ORGANIZATION (Tables)
ORGANIZATION (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of details of affiliated investment funds | Each Trading Advisor listed below is referred to herein as an “ Private Fund Private Funds Private Fund Trading Advisor Trading Program Start Date Termination Date ADG Systematic Macro Feeder Fund (530) LLC (“ADG”) ADG Capital Management, L.L.C. Systematic macro strategy program 10/1/2017 Fort Contrarian Feeder Fund (510) LLC (“FORT”) Fort L.P. Systematic, trend-anticipating trading program 10/1/2017 QIM Feeder Fund (526) LLC (“QIM”) Quantitative Investment Management, L.L.C. Short to medium-term trading strategy program 10/1/2017 |
SUMMARY OF SIGNIFICANT ACCOUN22
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Summary Of Significant Accounting Policies Tables | |
Schedule of assets measured at fair value | The following tables summarize the assets measured at fair value using the fair value hierarchy. Series J’s investments in affiliated investment funds and private funds are valued based on the net asset value reported by such funds. By adopting ASU 2015-07, the investments in affiliated investment funds and private funds are excluded from the fair value hierarchy below. June 30, 2018 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 766,832 $ 0 $ 0 $ 766,832 December 31, 2017 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 163,470 $ 0 $ 0 $ 163,470 |
RELATED PARTIES (Tables)
RELATED PARTIES (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Related Party Transactions [Abstract] | |
Summary of expenses incurred by Series J for services performed by Kenmar Preferred and its affiliates | Three months ended June 30, Six months ended June 30, 2018 2017 2018 2017 Management fees to Managing Owner $ 25,092 $ 35,561 $ 52,642 $ 66,635 Managing Owner interest earned on Certain Investment Funds 3,303 12,163 3,362 22,239 Operating expenses 28,885 21,703 50,366 47,290 General and administrative expenses borne by the Managing Owner and its affiliates (29,310 ) (15,092 ) (52,922 ) (19,848 ) Total $ 27,970 $ 54,335 $ 53,448 $ 116,316 |
SERVICE FEES AND SALES COMMIS24
SERVICE FEES AND SALES COMMISSIONS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Service Fees And Sales Commissions | |
Schedule of composition of service fee - Class I Units | For the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017, the Service Fee – Class I and Class III Units is composed of the following: Three months ended June 30, Six months ended June 30, 2018 2017 2018 2017 Monthly 1/12 th $ 31,827 $ 22,114 $ 66,665 $ 57,893 Series J’s recapture on 1/12 th (1,084 ) (1,596 ) (2,202 ) (3,250 ) Total $ 30,743 $ 20,518 $ 64,463 $ 54,643 |
INVESTMENT IN AFFILIATED INVE25
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | |
Schedule of change in net asset value of investments in Affiliated Investment Funds | The following tables summarize the change in net asset value (fair value) of Series J’s investment in Private Funds for the Year-To-Date 2018 and the Year-To-Date 2017: Net asset value Net asset value December 31, 2017 Purchases Loss Redemptions June 30, 2018 Investment in Private Funds $ 4,736,849 $ 0 $ (70,883 ) $ 0 $ 4,665,966 Net asset value Net asset value December 31, 2016 Purchases Gain Redemptions December 31, 2017 Investment in Private Funds $ 0 $ 4,612,569 $ 124,280 $ 0 $ 4,736,849 |
Schedule of capital commitment to Affiliated Investment Funds | The following table sets out the total capital contribution and Investment Level split between net asset value: Total capital Total Investment ADG Systematic Macro Feeder Fund (530) LLC 1,595,759 1,595,759 Fort Contrarian Feeder Fund (510) LLC 1,192,012 2,384,024 QIM Feeder Fund (526) LLC 1,878,195 3,756,390 Total $ 4,665,966 $ 7,736,173 |
FINANCIAL HIGHLIGHTS (Tables)
FINANCIAL HIGHLIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Financial Highlights Tables | |
Schedule of Unit operating performance data and other supplemental financial data | The following information presents per Unit operating performance data and other supplemental data for the the Second Quarter 2018, Second Quarter 2017, Year-To-Date 2018 and Year-To-Date 2017. This information has been derived from information presented in the condensed financial statements: Class I Class II Class III Three Six Three Six Three Six months months months months months months ended ended ended ended ended ended June 30, 2018 June 30, 2018 June 30, 2018 Per Unit Performance (for a Unit outstanding throughout the entire period) Net Asset Value per Unit at beginning of period $ 63.04 $ 67.18 $ 77.26 $ 81.96 $ 86.49 $ 92.10 Gain (Loss) from operations: Net realized and change in unrealized gain (loss) (1) 2.35 (0.61 ) 2.87 (0.74 ) 3.21 (0.84 ) Dividend income (1) 0.07 0.08 0.09 0.10 0.10 0.11 Expenses (1),(4) (1.56 ) (2.75 ) (1.55 ) (2.65 ) (1.84 ) (3.41 ) Total loss from operations 0.86 (3.28 ) 1.41 (3.29 ) 1.47 (4.14 ) Net Asset Value per Unit at end of period $ 63.90 $ 63.90 $ 78.67 $ 78.67 $ 87.96 $ 87.96 Total Return (3),(4) 1.36 % (4.88 )% 1.83 % (4.01 )% 1.70 % (4.50 )% Supplemental data Ratios to average Net Asset Value: Net investment loss (2),(4) (9.38 )% (8.31 )% (7.50 )% (6.47 )% (7.99 )% (8.86 )% Dividend income (4) 0.46 % 0.25 % 0.45 % 0.26 % 0.46 % 0.30 % Other expenses (4) 9.84 % 8.56 % 7.95 % 6.73 % 8.45 % 9.16 % Total expenses 9.84 % 8.56 % 7.95 % 6.73 % 8.45 % 9.16 % Total return is calculated based on the change in value of a Unit during the period. An individual Unitholder’s total return and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. (1) Dividend income and expenses per Unit are calculated by dividing dividend income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the period. Net realized and change in unrealized loss is a balancing amount necessary to reconcile the change in Net Asset Value per Unit of each Class with the other per Unit information. (2) Represents dividend income less total expenses. This excludes Series J’s proportionate share of income and expenses from investment in Registrants Trading Investments Funds. (3) Not Annualized. (4) Net of Class III’s portion of general and administrative expenses borne by the Managing Owner and affiliates. Class I Class II Class III Three Six Three Six Three Six months months months months months months ended ended ended ended ended ended June 30, 2017 June 30, 2017 June 30, 2 Per Unit Performance (for a Unit outstanding throughout the entire period) Net Asset Value per Unit at beginning of period $ 74.01 $ 74.05 $ 89.04 $ 88.67 $ 102.14 $ 100.00 Gain (Loss) from operations: Net realized and change in unrealized gain (loss) (1) (3.61 ) (2.20 ) (4.49 ) (2.95 ) (5.10 ) (1.64 ) Dividend income (1) 0.08 0.15 0.10 0.18 0.12 0.16 Expenses (1),(4) (1.40 ) (2.92 ) (1.15 ) (2.40 ) (2.10 ) (3.46 ) Total gain (loss) from operations (4.93 ) (4.97 ) (5.54 ) (5.17 ) (7.08 ) (4.94 ) Net Asset Value per Unit at end of period $ 69.08 $ 69.08 $ 83.50 $ 83.50 $ 95.06 $ 95.06 Total Return (3),(4) (6.66 )% (6.71 )% (6.22 )% (5.83 )% (6.93 )% (4.94 )% Supplemental data Ratios to average Net Asset Value: Net investment loss (2),(4) (7.16 )% (7.50 )% (4.78 )% (5.03 )% (7.88 )% (7.81 )% Dividend income (4) 0.46 % 0.40 % 0.47 % 0.40 % 0.47 % 0.39 % Other expenses (4) 7.62 % 7.90 % 5.24 % 5.43 % 8.35 % 8.20 % Total expenses 7.62 % 7.90 % 5.24 % 5.43 % 8.35 % 8.20 % Total return is calculated based on the change in value of a Unit during the period. An individual Unitholder’s total return and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. (1) Dividend income and expenses per Unit are calculated by dividing dividend income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the period. Net realized and change in unrealized loss is a balancing amount necessary to reconcile the change in Net Asset Value per Unit of each Class with the other per Unit information. (2) Represents dividend income less total expenses. This excludes Series J’s proportionate share of income and expenses from investment in Registrants Trading Investments Funds. (3) Not Annualized. (4) Net of Class III’s portion of general and administrative expenses borne by the Managing Owner and affiliates. |
ORGANIZATION (Details Narrative
ORGANIZATION (Details Narrative) - USD ($) | Dec. 01, 2005 | Jun. 30, 2018 | Nov. 30, 2008 |
Subscription maximum | $ 379,390,827 | ||
Gross proceeds of initial offering | $ 31,024,443 | ||
Termination threshold - NAV adjustment (as a percentage) | 50.00% | ||
Termination threshold - aggregate NAV | $ 10,000,000 | ||
Subscribers prior to November 30, 2008 [Member] | |||
Minimum aggregate initial subscription | $ 5,000 | ||
Minimum aggregate initial subscription - Benefit Plans | 2,000 | ||
Minimum purchase obligation for any single series | $ 500 | ||
New Subscribers [Member] | |||
Minimum aggregate initial subscription | 25,000 | ||
Minimum aggregate initial subscription - Benefit Plans | 10,000 | ||
Minimum purchase obligation for any single series | 5,000 | ||
Capital Unit Class I [Member] | |||
Subscription maximum | 281,250,000 | ||
Capital Unit Class II [Member] | |||
Subscription maximum | 93,750,000 | ||
Capital Unit Class III [Member] | |||
Subscription maximum | $ 4,390,827 |
ORGANIZATION (Details)
ORGANIZATION (Details) | 6 Months Ended |
Jun. 30, 2018 | |
ADG Systematic Macro Feeder Fund (530) LLC [Member] | |
Affiliated Investment Fund Name: | ADG Systematic Macro Feeder Fund (530) LLC (“ADG”) |
Trading Advisor | ADG Capital Management, L.L.C. |
Trading Program | Systematic macro strategy program |
Start Date | Oct. 1, 2017 |
Fort Contrarian Feeder Fund (510) LLC [Member] | |
Affiliated Investment Fund Name: | Fort Contrarian Feeder Fund (510) LLC (“FORT”) |
Trading Advisor | Fort L.P. |
Trading Program | Systematic, trend-anticipating trading program |
Start Date | Oct. 1, 2017 |
QIM Feeder Fund (526) LLC [Member] | |
Affiliated Investment Fund Name: | QIM Feeder Fund (526) LLC (“QIM”) |
Trading Advisor | Quantitative Investment Management, L.L.C. |
Trading Program | Short to medium-term trading strategy program |
Start Date | Oct. 1, 2017 |
SUMMARY OF SIGNIFICANT ACCOUN29
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Summary of assets and liabilities measured at fair value | ||
Investment in securities, at fair value | $ 766,832 | $ 163,470 |
Fair Value Inputs, Level 1 [Member] | ||
Summary of assets and liabilities measured at fair value | ||
Investment in securities, at fair value | 766,832 | 163,470 |
Fair Value Inputs, Level 2 [Member] | ||
Summary of assets and liabilities measured at fair value | ||
Investment in securities, at fair value | 0 | 0 |
Fair Value Inputs, Level 3 [Member] | ||
Summary of assets and liabilities measured at fair value | ||
Investment in securities, at fair value | $ 0 | $ 0 |
SUMMARY OF SIGNIFICANT ACCOUN30
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | 139 Months Ended | |
Nov. 30, 2006 | Jun. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | |
Number of monthly payments subject to reimbursement by Trust, without interest | 36 months | |||
Total ongoing offering costs incurred to date | $ 2,936,640 | |||
Ongoing offering costs incurred not be reimbursed to the Managing Owner | $ 599,062 | $ 635,144 | ||
Ongoing offering costs incurred | ||||
Capital Unit Class II [Member] | ||||
Total ongoing offering costs incurred to date | $ 2,879,478 | |||
Ongoing offering costs incurred | $ 2,280,415 | |||
Managing Owner [Member] | ||||
Ongoing offering costs incurred | $ 2,300,021 |
RELATED PARTIES (Details)
RELATED PARTIES (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Related Party Expenses | ||||
Management fees to Managing Owner | $ 25,092 | $ 35,561 | $ 52,642 | $ 66,635 |
Managing Owner interest earned on Certain Investment Funds | 3,303 | 12,163 | 3,362 | 22,239 |
General and administrative expenses borne by the Managing Owner and affiliates | (29,310) | (15,092) | (52,922) | (19,848) |
Kenmar Preferred and Affiliates [Member] | ||||
Related Party Expenses | ||||
Management fees to Managing Owner | 25,092 | 35,561 | 52,642 | 66,635 |
Managing Owner interest earned on Certain Investment Funds | 3,303 | 12,163 | 3,362 | 22,239 |
Operating expenses | 28,885 | 21,703 | 50,366 | 47,290 |
General and administrative expenses borne by the Managing Owner and affiliates | (29,310) | (15,092) | (52,922) | (19,848) |
Related party expenses | $ 27,970 | $ 54,335 | $ 53,448 | $ 116,316 |
RELATED PARTIES (Details Narrat
RELATED PARTIES (Details Narrative) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Related Party Transactions [Abstract] | ||
Expenses payable to Kenmar preferred and its affiliates | $ 14,590 | $ 12,865 |
MANAGING OWNER AND AFFILIATES (
MANAGING OWNER AND AFFILIATES (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Managing Owner And Affiliates | ||||
Managing owner interest earned on certain investment funds | $ 3,303 | $ 12,163 | $ 3,362 | $ 22,239 |
Administrative services fee earned | $ 0 | $ 7,000 | $ 0 | $ 15,000 |
Management fees on net assets (percent) | 0.50% | |||
Percentage of losses credited to company in calculating management fees | 100.00% |
SERVICE FEES AND SALES COMMIS34
SERVICE FEES AND SALES COMMISSIONS (Details Narrative) - USD ($) | Sep. 30, 2010 | Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 |
Annual Service fee paid to Wells Fargo | 0.10% | ||||
Selling Agent sales commission | $ 6,330 | $ 12,368 | $ 13,353 | $ 31,625 | |
Capital Unit Class I Member | |||||
Annual service fees | 2.00% | ||||
Upfront commission paid to correspondent selling agents | 2.00% | ||||
Annual Service fee paid to Wells Fargo | 0.30% |
SERVICE FEES AND SALES COMMIS35
SERVICE FEES AND SALES COMMISSIONS (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Composition of service fee - Class I Units | ||||
Total | $ 30,743 | $ 50,559 | $ 64,463 | $ 106,413 |
Capital Unit Class I Member | ||||
Composition of service fee - Class I Units | ||||
Monthly 1/12 of 2% service fee calculated on all Class I Units | 31,827 | 22,114 | 66,665 | 57,893 |
Series J's recapture on 1/12 of 2% service fee on select units and recapture of the service fee on units held with no CSA | (1,084) | (1,596) | (2,202) | (3,250) |
Total | $ 30,743 | $ 20,518 | $ 64,463 | $ 54,643 |
ADMINISTRATOR (Details Narrativ
ADMINISTRATOR (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Administrative service fees | $ 30,743 | $ 50,559 | $ 64,463 | $ 106,413 |
Direct Paid Fees [Member] | ||||
Administrative service fees | 1,631 | 1,500 | 3,131 | 3,000 |
Investments in Affiliated Investment Funds [Member] | ||||
Administrative service fees | $ 0 | $ 18,375 | $ 0 | $ 36,667 |
INVESTMENT IN AFFILIATED INVE37
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details Narrative) | Jun. 30, 2018 | Dec. 31, 2017 |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | ||
Portion of net asset value invested in affiliated Private Funds | 87.97% | 76.70% |
INVESTMENT IN AFFILIATED INVE38
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details) - Investment in Private Funds [Member] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Change in fair value of net asset value investments in Affiliated Investment Funds | ||
Investments in Affiliated Investment Funds, Net asset value, beginning balance | $ 4,736,849 | $ 0 |
Purchases | 0 | 4,612,569 |
Gain / (Loss) | (70,883) | 124,280 |
Redemptions | 0 | 0 |
Investments in Affiliated Investment Funds, Net asset value, ending balance | $ 4,665,966 | $ 4,736,849 |
INVESTMENT IN AFFILIATED INVE39
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details 1) | Jun. 30, 2018USD ($) |
Total capital contribution | $ 4,665,966 |
Total investment level | 7,736,173 |
ADG Systematic Macro Feeder Fund (530) LLC [Member] | |
Total capital contribution | 1,595,759 |
Total investment level | 1,595,759 |
Fort Contrarian Feeder Fund (510) LLC [Member] | |
Total capital contribution | 1,192,012 |
Total investment level | 2,384,024 |
QIM Feeder Fund (526) LLC [Member] | |
Total capital contribution | 1,878,195 |
Total investment level | $ 3,756,390 |
FINANCIAL HIGHLIGHTS (Details)
FINANCIAL HIGHLIGHTS (Details) - $ / Units | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Capital Unit Class I Member | |||||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||||
Net Asset Value per Unit at beginning of period | 63.04 | 74.01 | 67.18 | 74.05 | |
Gain (Loss) from operations: | |||||
Net realized and change in unrealized gain | [1] | 2.35 | (3.61) | (0.61) | (2.2) |
Dividend income | [1] | 0.07 | 0.08 | 0.08 | 0.15 |
Expenses | [1],[2] | (1.56) | (1.4) | (2.75) | (2.92) |
Total loss from operations | 0.86 | (4.93) | (3.28) | (4.97) | |
Net Asset Value per Unit at end of period | 63.9 | 69.08 | 63.9 | 69.08 | |
Total Return | [2],[3] | 1.36% | (6.66%) | (4.88%) | (6.71%) |
Supplemental data - Ratios to Average Net Asset Values: | |||||
Net investment loss | [2],[4] | (9.38%) | (7.16%) | (8.31%) | (7.50%) |
Interest income | [2] | 0.46% | 0.46% | 0.25% | 0.40% |
Dividend income | [2] | 9.84% | 7.62% | 8.56% | 7.90% |
Other expenses | 9.84% | 7.62% | 8.56% | 7.90% | |
Capital Unit Class II [Member] | |||||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||||
Net Asset Value per Unit at beginning of period | 77.26 | 89.04 | 81.96 | 88.67 | |
Gain (Loss) from operations: | |||||
Net realized and change in unrealized gain | [1] | 2.87 | (4.49) | (0.74) | (2.95) |
Dividend income | [1] | 0.09 | 0.1 | 0.1 | 0.18 |
Expenses | [1],[2] | (1.55) | (1.15) | (2.65) | (2.4) |
Total loss from operations | 1.41 | (5.54) | (3.29) | (5.17) | |
Net Asset Value per Unit at end of period | 78.67 | 83.5 | 78.67 | 83.5 | |
Total Return | [2],[3] | 1.83% | (6.22%) | (4.01%) | (5.83%) |
Supplemental data - Ratios to Average Net Asset Values: | |||||
Net investment loss | [2],[4] | (7.50%) | (4.78%) | (6.47%) | (5.03%) |
Interest income | [2] | 0.45% | 0.47% | 0.26% | 0.40% |
Dividend income | [2] | 7.95% | 5.24% | 6.73% | 5.43% |
Other expenses | 7.95% | 5.24% | 6.73% | 5.43% | |
Capital Unit Class III [Member] | |||||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||||
Net Asset Value per Unit at beginning of period | 86.49 | 102.14 | 92.1 | 100 | |
Gain (Loss) from operations: | |||||
Net realized and change in unrealized gain | [1] | 3.21 | (5.1) | (0.84) | (1.64) |
Dividend income | [1] | 0.1 | 0.12 | 0.11 | 0.16 |
Expenses | [1],[2] | (1.84) | (2.1) | (3.41) | (3.46) |
Total loss from operations | 1.47 | (7.08) | (4.14) | (4.94) | |
Net Asset Value per Unit at end of period | 87.96 | 95.06 | 87.96 | 95.06 | |
Total Return | [2],[3] | 1.70% | (6.93%) | (4.50%) | (4.94%) |
Supplemental data - Ratios to Average Net Asset Values: | |||||
Net investment loss | [2],[4] | (7.99%) | (7.88%) | (8.86%) | (7.81%) |
Interest income | [2] | 0.46% | 0.47% | 0.30% | 0.39% |
Dividend income | [2] | 8.45% | 8.35% | 9.16% | 8.20% |
Other expenses | 8.45% | 8.35% | 9.16% | 8.20% | |
[1] | Dividend income and expenses per Unit are calculated by dividing dividend income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the period. Net realized and change in unrealized loss is a balancing amount necessary to reconcile the change in Net Asset Value per Unit of each Class with the other per Unit information. | ||||
[2] | Net of Class III's portion of general and administrative expenses borne by the Managing Owner and affiliates. | ||||
[3] | Not Annualized. | ||||
[4] | Represents dividend income less total expenses. This excludes Series J's proportionate share of income and expenses from investment in Registrants Trading Investments Funds. |
SUBSEQUENT EVENTS (Details Narr
SUBSEQUENT EVENTS (Details Narrative) | 1 Months Ended |
Aug. 15, 2018USD ($) | |
Subsequent Event [Member] | |
Redemptions | $ 74,777 |