Document and Entity Information
Document and Entity Information | 3 Months Ended |
Mar. 31, 2016shares | |
Document and Entity Information Abstract | |
Entity Registrant Name | MAN FRM MANAGED FUTURES STRATEGIES LLC |
Entity Central Index Key | 1,393,359 |
Document Type | 10-Q |
Document Period End Date | Mar. 31, 2016 |
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 | 141,408,098 |
Document Fiscal Year Focus | 2,016 |
Document Fiscal Period Focus | Q1 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
ASSETS: | ||
Cash | $ 57,166,818 | $ 78,898,781 |
Investment in Underlying Funds (Cost $103,969,784 for 2016 and $95,890,791 for 2015) | 102,238,332 | 84,461,211 |
Receivable from Underlying Funds | 620,000 | 400,000 |
Investment in Underlying Funds paid in advance | 320,000 | |
TOTAL ASSETS | 160,025,150 | 164,079,992 |
LIABILITIES: | ||
Management fee payable | 530,738 | 877,496 |
Redemptions payable | 843,020 | 1,435,905 |
Subscriptions received in advance | 390,000 | |
Other liabilities | 297,241 | 594,859 |
Total liabilities | 1,670,999 | 3,298,260 |
MEMBERS' CAPITAL: | ||
Members' Capital (141,408,098 Units and 147,812,907 Units outstanding; unlimited Units authorized) | 158,354,151 | 160,781,732 |
Total Members' Capital | 158,354,151 | 160,781,732 |
TOTAL LIABILITIES AND MEMBERS' CAPITAL | $ 160,025,150 | $ 164,079,992 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION - NET ASSET VALUE PER UNIT - $ / shares | Mar. 31, 2016 | Jan. 25, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Class A | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | $ 1.1445 | $ 1.1098 | $ 1.2826 | $ 1.2045 | ||
Class C | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | 1.0938 | 1.0633 | 1.2382 | 1.1656 | ||
Class D | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | 1.4625 | 1.4130 | 1.6145 | 1.5105 | ||
Class I | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | 1.2380 | 1.1993 | 1.3818 | 1.2963 | ||
Class M | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | 1.0804 | 1.0438 | $ 1.1927 | $ 1.1158 | ||
Class AA | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | 1.0141 | 0.9858 | ||||
Class II | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | 1.0327 | $ 1.0011 | ||||
Class MM | ||||||
NET ASSET VALUE PER UNIT: | ||||||
Net asset value per unit (in dollars per unit) | [1] | $ 0.9968 | $ 1 | |||
[1] | Class MM units issued on January 25, 2016. |
STATEMENTS OF FINANCIAL CONDIT4
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
STATEMENTS OF FINANCIAL CONDITION | ||
Investment in underlying funds, at cost | $ 103,969,784 | $ 95,890,791 |
Units outstanding | 141,408,098 | 147,812,907 |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
TRADING PROFIT (LOSS), NET: | |||
Realized, net | $ (3,591,007) | $ 3,074,328 | |
Change in unrealized, net | 9,698,128 | 12,048,293 | |
Total trading profit (loss), net | 6,107,121 | 15,122,621 | |
INVESTMENT INCOME: | |||
Interest | 2 | ||
EXPENSES: | |||
Management fee | 812,546 | 1,160,476 | |
Other expenses | 397,915 | 181,087 | |
Total expenses | 1,210,461 | 1,341,563 | |
NET INVESTMENT INCOME (LOSS) | (1,210,461) | (1,341,561) | |
NET INCOME (LOSS) | 4,896,660 | 13,781,060 | |
Class A | |||
EXPENSES: | |||
NET INCOME (LOSS) | $ 801,059 | $ 2,078,575 | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | 22,552,383 | 26,326,426 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0355 | $ 0.0790 | |
Class C | |||
EXPENSES: | |||
NET INCOME (LOSS) | $ 3,052,050 | $ 9,393,287 | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | 94,659,385 | 128,669,546 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0322 | $ 0.0730 | |
Class D | |||
EXPENSES: | |||
NET INCOME (LOSS) | $ 146,070 | $ 340,286 | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | 2,949,004 | 3,270,753 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0495 | $ 0.1040 | |
Class I | |||
EXPENSES: | |||
NET INCOME (LOSS) | $ 529,803 | $ 1,325,161 | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | 13,451,300 | 15,464,032 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0394 | $ 0.0857 | |
Class M | |||
EXPENSES: | |||
NET INCOME (LOSS) | $ 279,844 | $ 643,751 | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | 7,175,139 | 8,360,972 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0390 | $ 0.0770 | |
Class AA | |||
EXPENSES: | |||
NET INCOME (LOSS) | [1] | $ 40,977 | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | [2] | 2,088,361 | |
Net income (loss) per weighted average Unit (in dollars per unit) | [2] | $ 0.0196 | |
Class II | |||
EXPENSES: | |||
NET INCOME (LOSS) | [3] | $ 47,332 | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | [4] | 1,991,073 | |
Net income (loss) per weighted average Unit (in dollars per unit) | [4] | $ 0.0238 | |
Class MM | |||
EXPENSES: | |||
NET INCOME (LOSS) | [5] | $ (475) | |
NET INCOME (LOSS) PER UNIT: | |||
Weighted average number of Units outstanding (in units) | [6] | 37,368 | |
Net income (loss) per weighted average Unit (in dollars per unit) | [6] | $ (0.0127) | |
[1] | Units issued on November 16, 2015. | ||
[2] | Units issued on November 16, 2015. Amounts presented reflect the period from January 1, 2016 through March 31, 2016. | ||
[3] | Units issued on December 7, 2015. | ||
[4] | Units issued on December 7, 2015. Amounts presented reflect the period from January 1, 2016 through March 31, 2016. | ||
[5] | Units issued on January 25, 2016. | ||
[6] | Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through March 31, 2016. |
STATEMENTS OF CHANGES IN MEMBER
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Increase (Decrease) in Members' Capital | |||
Members' Capital | $ 160,781,732 | ||
Members' Capital (in Units) | 147,812,907 | ||
Net Income (Loss) | $ 4,896,660 | $ 13,781,060 | |
Members' Capital | $ 158,354,151 | ||
Members' Capital (in Units) | 141,408,098 | ||
Class A | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | $ 25,487,679 | $ 31,855,022 | |
Members' Capital (in Units) | 22,965,118 | 26,447,606 | |
Subscriptions | $ 473,065 | ||
Subscriptions (in Units) | 385,112 | ||
Redemptions | $ (1,090,666) | $ (1,644,293) | |
Redemptions (in Units) | (947,937) | (1,288,973) | |
Net Income (Loss) | $ 801,059 | $ 2,078,575 | |
Members' Capital | $ 25,198,072 | $ 32,762,369 | |
Members' Capital (in Units) | 22,017,181 | 25,543,745 | |
Class C | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | $ 104,115,262 | $ 153,204,368 | |
Members' Capital (in Units) | 97,914,221 | 131,433,730 | |
Subscriptions | $ 811,000 | ||
Subscriptions (in Units) | 668,561 | ||
Redemptions | $ (7,075,088) | $ (11,049,281) | |
Redemptions (in Units) | (6,404,191) | (9,049,091) | |
Net Income (Loss) | $ 3,052,050 | $ 9,393,287 | |
Members' Capital | $ 100,092,224 | $ 152,359,374 | |
Members' Capital (in Units) | 91,510,030 | 123,053,200 | |
Class D | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | $ 4,166,825 | $ 4,940,417 | |
Members' Capital (in Units) | 2,949,004 | 3,270,753 | |
Net Income (Loss) | $ 146,070 | $ 340,286 | |
Members' Capital | $ 4,312,895 | $ 5,280,703 | |
Members' Capital (in Units) | 2,949,004 | 3,270,753 | |
Class I | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | $ 16,298,259 | $ 20,196,513 | |
Members' Capital (in Units) | 13,589,522 | 15,579,536 | |
Subscriptions | $ 19,625 | ||
Subscriptions (in Units) | 14,465 | ||
Redemptions | $ (454,681) | $ (427,740) | |
Redemptions (in Units) | (363,612) | (314,613) | |
Net Income (Loss) | $ 529,803 | $ 1,325,161 | |
Members' Capital | $ 16,373,381 | $ 21,113,559 | |
Members' Capital (in Units) | 13,225,910 | 15,279,388 | |
Class M | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | $ 7,957,252 | $ 9,304,391 | |
Members' Capital (in Units) | 7,623,525 | 8,338,628 | |
Subscriptions | $ 145,000 | ||
Subscriptions (in Units) | 123,985 | ||
Redemptions | $ (632,852) | $ (148,516) | |
Redemptions (in Units) | (584,938) | (124,509) | |
Net Income (Loss) | $ 279,844 | $ 643,751 | |
Members' Capital | $ 7,604,244 | $ 9,944,626 | |
Members' Capital (in Units) | 7,038,587 | 8,338,104 | |
Class AA | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | [1] | $ 1,170,463 | |
Members' Capital (in Units) | [1] | 1,187,288 | |
Subscriptions | [1] | $ 1,245,215 | |
Subscriptions (in Units) | [1] | 1,235,326 | |
Net Income (Loss) | [1] | $ 40,977 | |
Members' Capital | [1] | $ 2,456,655 | |
Members' Capital (in Units) | [1] | 2,422,614 | |
Class II | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | [2] | $ 1,585,992 | |
Members' Capital (in Units) | [2] | 1,584,229 | |
Subscriptions | [2] | $ 640,000 | |
Subscriptions (in Units) | [2] | 617,046 | |
Net Income (Loss) | [2] | $ 47,332 | |
Members' Capital | [2] | $ 2,273,324 | |
Members' Capital (in Units) | [2] | 2,201,275 | |
Class MM | |||
Increase (Decrease) in Members' Capital | |||
Subscriptions | [3] | $ 43,831 | |
Subscriptions (in Units) | [3] | 43,497 | |
Net Income (Loss) | [3] | $ (475) | |
Members' Capital | [3] | $ 43,356 | |
Members' Capital (in Units) | [3] | 43,497 | |
Total Members' Capital | |||
Increase (Decrease) in Members' Capital | |||
Members' Capital | $ 160,781,732 | $ 219,500,711 | |
Members' Capital (in Units) | 147,812,907 | 185,070,253 | |
Subscriptions | $ 1,929,046 | $ 1,448,690 | |
Subscriptions (in Units) | 1,895,869 | 1,192,123 | |
Redemptions | $ (9,253,287) | $ (13,269,830) | |
Redemptions (in Units) | (8,300,678) | (10,777,186) | |
Net Income (Loss) | $ 4,896,660 | $ 13,781,060 | |
Members' Capital | $ 158,354,151 | $ 221,460,631 | |
Members' Capital (in Units) | 141,408,098 | 175,485,190 | |
[1] | Units issued on November 16, 2015. | ||
[2] | Units issued on December 7, 2015. | ||
[3] | Units issued on January 25, 2016. |
FINANCIAL DATA HIGHLIGHTS
FINANCIAL DATA HIGHLIGHTS - $ / shares | 2 Months Ended | 3 Months Ended | ||||
Mar. 31, 2016 | Mar. 31, 2016 | Mar. 31, 2015 | ||||
Class A | ||||||
Per Unit Operating Performance: | ||||||
Net asset value, beginning of period | $ 1.1098 | $ 1.2045 | ||||
Net realized and net unrealized change in trading profit (loss) | 0.0418 | 0.0839 | ||||
Expenses | (0.0071) | [1] | (0.0058) | [2] | ||
Net asset value, end of period | $ 1.1445 | $ 1.1445 | $ 1.2826 | |||
Total Return: | ||||||
Total return (as a percent) | [4] | 3.13% | [3] | 6.48% | [5] | |
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | 0.62% | [1],[3] | 0.46% | [2],[5] | ||
Net investment income (loss) (as a percent) | (0.62%) | [1],[3] | (0.46%) | [2],[5] | ||
Class C | ||||||
Per Unit Operating Performance: | ||||||
Net asset value, beginning of period | $ 1.0633 | $ 1.1656 | ||||
Net realized and net unrealized change in trading profit (loss) | 0.0400 | 0.0811 | ||||
Expenses | (0.0095) | [1] | (0.0085) | [2] | ||
Net asset value, end of period | 1.0938 | $ 1.0938 | $ 1.2382 | |||
Total Return: | ||||||
Total return (as a percent) | [4] | 2.87% | [3] | 6.23% | [5] | |
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | 0.87% | [1],[3] | 0.71% | [2],[5] | ||
Net investment income (loss) (as a percent) | (0.87%) | [1],[3] | (0.71%) | [2],[5] | ||
Class D | ||||||
Per Unit Operating Performance: | ||||||
Net asset value, beginning of period | $ 1.4130 | $ 1.5105 | ||||
Net realized and net unrealized change in trading profit (loss) | 0.0531 | 0.1053 | ||||
Expenses | (0.0036) | [1] | (0.0013) | [2] | ||
Net asset value, end of period | 1.4625 | $ 1.4625 | $ 1.6145 | |||
Total Return: | ||||||
Total return (as a percent) | [4] | 3.50% | [3] | 6.88% | [5] | |
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | 0.24% | [1],[3] | 0.08% | [2],[5] | ||
Net investment income (loss) (as a percent) | (0.24%) | [1],[3] | (0.08%) | [2],[5] | ||
Class I | ||||||
Per Unit Operating Performance: | ||||||
Net asset value, beginning of period | $ 1.1993 | $ 1.2963 | ||||
Net realized and net unrealized change in trading profit (loss) | 0.0451 | 0.0903 | ||||
Expenses | (0.0064) | [1] | (0.0048) | [2] | ||
Net asset value, end of period | 1.2380 | $ 1.2380 | $ 1.3818 | |||
Total Return: | ||||||
Total return (as a percent) | [4] | 3.23% | [3] | 6.59% | [5] | |
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | 0.52% | [1],[3] | 0.36% | [2],[5] | ||
Net investment income (loss) (as a percent) | (0.52%) | [1],[3] | (0.36%) | [2],[5] | ||
Class M | ||||||
Per Unit Operating Performance: | ||||||
Net asset value, beginning of period | $ 1.0438 | $ 1.1158 | ||||
Net realized and net unrealized change in trading profit (loss) | 0.0392 | 0.0778 | ||||
Expenses | (0.0026) | [1] | (0.0009) | [2] | ||
Net asset value, end of period | 1.0804 | $ 1.0804 | $ 1.1927 | |||
Total Return: | ||||||
Total return (as a percent) | [4] | 3.51% | [3] | 6.90% | [5] | |
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | 0.24% | [1],[3] | 0.08% | [2],[5] | ||
Net investment income (loss) (as a percent) | (0.24%) | [1],[3] | (0.08%) | [2],[5] | ||
Class AA | ||||||
Per Unit Operating Performance: | ||||||
Net asset value, beginning of period | $ 0.9858 | |||||
Net realized and net unrealized change in trading profit (loss) | 0.0371 | |||||
Expenses | [1] | (0.0088) | ||||
Net asset value, end of period | 1.0141 | $ 1.0141 | ||||
Total Return: | ||||||
Total return (as a percent) | [3],[4] | 2.87% | ||||
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | [1],[3] | 0.87% | ||||
Net investment income (loss) (as a percent) | [1],[3] | (0.87%) | ||||
Class II | ||||||
Per Unit Operating Performance: | ||||||
Net asset value, beginning of period | $ 1.0011 | |||||
Net realized and net unrealized change in trading profit (loss) | 0.0376 | |||||
Expenses | [1] | (0.0060) | ||||
Net asset value, end of period | 1.0327 | $ 1.0327 | ||||
Total Return: | ||||||
Total return (as a percent) | [3],[4] | 3.16% | ||||
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | [1],[3] | 0.58% | ||||
Net investment income (loss) (as a percent) | [1],[3] | (0.58%) | ||||
Class MM | ||||||
Per Unit Operating Performance: | ||||||
Net realized and net unrealized change in trading profit (loss) | [6] | (0.0001) | ||||
Expenses | [1],[6] | (0.0031) | ||||
Net asset value, end of period | [6] | $ 0.9968 | $ 0.9968 | |||
Total Return: | ||||||
Total return (as a percent) | [3],[4],[6] | (0.32%) | ||||
Ratios to Average Member's Capital: | ||||||
Expenses (as a percent) | [1],[3],[6] | 0.41% | ||||
Net investment income (loss) (as a percent) | [1],[3],[6] | (0.41%) | ||||
[1] | The amounts do not reflect the proportionate share of expense from the Underlying Funds. | |||||
[2] | The amounts do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds. | |||||
[3] | The ratios and total return are not annualized. | |||||
[4] | The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions. | |||||
[5] | The ratios and total return are not annualized. | |||||
[6] | Class MM units issued on January 25, 2016. |
ORGANIZATION
ORGANIZATION | 3 Months Ended |
Mar. 31, 2016 | |
ORGANIZATION | |
ORGANIZATION | 1. ORGANIZATION Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect wholly-owned subsidiary of Man Group plc (the “Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC” through April 30, 2015. Prior to May 1, 2015, the Fund was a participating fund in the FuturesAccess SM Program (“FuturesAccess”) sponsored by Merrill Lynch Alternative Investments LLC (“MLAI”). The Fund operated as a “fund of funds”, allocating and reallocating its capital among underlying FuturesAccess Funds (“FuturesAccess Portfolio Funds” or “Portfolio Funds”). MLAI was the sponsor and manager of the Fund prior to May 1, 2015. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Pursuant to an Asset Purchase Agreement dated as of December 8, 2014 between MLAI and an indirect wholly-owned subsidiary of Man Group plc, as amended, Man Group purchased, among other assets, the rights of MLAI and its affiliates under certain agreements relating to the management of the Fund. FRM replaced MLAI as manager of the Fund on May 1, 2015, upon the closing of such purchase. Effective as of May 1, 2015, the Fund was renamed “Man FRM Managed Futures Strategies LLC.” Under the direction of the Manager, the Fund allocates its capital among a group of underlying funds (each an “Underlying Fund”, and collectively the “Underlying Funds”) which, in turn, allocate capital to master funds (each a “Master Fund” and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”). The Manager invests the Fund’s assets in Underlying Funds that are on the FRM platform. The Underlying Funds invested by the Fund are generally established as Delaware limited liability companies, each of which engages the Manager as the risk manager and each of which further invests in a Master Fund, generally established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 2). Presently there are seven Underlying Funds (see Note 2). The Manager serves as CPO of the Underlying Funds and Master Funds. Unless the context requires otherwise, references in these financial statements notes to the Fund, also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities. Additionally, references to the Underlying Funds that follow are also related to the FuturesAccess Portfolio Funds during the period prior to May 1, 2015. 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 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. As of March 31, 2016 the Fund does not hold any 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 March 31, 2016 and December 31, 2015 and the results of its operations for the three month periods ended March 31, 2016 and 2015. 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, 201 5 . Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“ 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. |
INVESTMENTS IN UNDERLYING FUNDS
INVESTMENTS IN UNDERLYING FUNDS | 3 Months Ended |
Mar. 31, 2016 | |
INVESTMENTS IN UNDERLYING FUNDS | |
INVESTMENTS IN UNDERLYING FUNDS | 2. INVESTMENTS IN UNDERLYING FUNDS During 2015 , the Fund held investments in the following MLAI Portfolio Funds: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), John Locke FuturesAccess LLC (“John Locke”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), Tudor Tensor FuturesAccess LLC (“Tudor”) and ML Winton FuturesAccess LLC (“Winton”). As of April 30, 2015, the Fund fully redeemed its investments in the MLAI Portfolio Funds. During May 2015, the Fund invested in a new group of Underlying Funds. As of March 31, 2016, t he s even Underlying Funds in which the Fund is invested in , and the respective Master Funds in which the Underlying Funds are invested in, are: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited , (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) Carlisle Delaware Feeder LLC (“Carlisle”) which invests in Carlisle Fund Limited , (iv) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited , (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited , (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited , and (vii) Century Cat Mac Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited . As used herein, Trading Advisor in respect of an Underlying Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Underlying Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Underlying Funds. In the process of rebalancing, the Fund’s allocation to any individual Underlying Fund may range between 3% - 25% of the Fund’s Net Asset Value (“NAV”). The investment transactions were accounted for on trade date. The investments in the Underlying Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, FRM utilized the NAV of the Underlying Funds which approximates fair value. The fair value was net of all fees relating to the Underlying Funds, paid or accrued. Additionally, FRM monitored the performance of the Underlying Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in the Underlying Funds’ investments, comparing performance to industry benchmarks, and conference calls and site visits with the Trading Advisors. The details of investments in Underlying Funds at and for the period ended March 31, 2016 are as follows: Percentage of Members’ Capital Fair Value Profit (Loss) Cost 3/31/2016 Redemptions Permitted Blakeney % $ $ $ Weekly Silver % Weekly Quantica MF % Weekly CCP Core Macro % Weekly Campbell % Weekly Carlisle % Weekly Century CAT* % ) Weekly % $ $ $ *Underlying Fund added in March 2016. The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the year ended December 31, 2015 are as follows: Percentage of Members’ Capital Fair Value Profit (Loss) Cost 12/31/15 Redemptions Permitted Transtrend* % $ — $ $ — Semi-Monthly Winton* % — — Semi-Monthly Aspect* % — ) — Semi-Monthly John Locke* % — — Semi-Monthly Blue trend* % — — Monthly Tudor* % — — Semi-Monthly Lynx* % — — Semi-Monthly Blakeney** % ) Weekly Silver** % ) Weekly Quantica MF** % ) Weekly CCP Core Macro** % ) Weekly Campbell** % ) Weekly Carlisle** % ) Weekly % $ $ ) $ * FuturesAccess Portfolio Funds redeemed as of April 30, 2015. ** Underlying Funds added in May 2015. There are no investments held by the FuturesAccess Portfolio Funds or the Underlying Funds and the Underlying Funds’ Master Funds that in the aggregate exceed 5% of the Fund’s members’ capital. The following is summarized financial information as required by regulation S-X, for each of the FuturesAccess Portfolio Funds and the Underlying Funds: As of March 31, 2016 Total Assets Total Liabilities Total Capital Blakeney $ $ Campbell Carlisle CCP Core Macro Century CAT* Quantica MF Silver Total $ $ $ *Underlying Fund added in March 2016. As of December 31, 2015 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell Carlisle CCP Core Macro Quantica MF Silver Total $ $ $ For the three months ended March 31, 2016 Income (Loss) Commissions Expenses Net Income (Loss) Blakeney $ $ — $ ) $ Campbell — ) Carlisle — ) CCP Core Macro — ) Century CAT* ) — ) ) Quantica MF — ) Silver — ) Total $ $ — $ ) $ *Underlying Fund added in March 2016. For the three months ended March 31, 2015 Income (Loss) Commissions Expenses Net Income (Loss) Aspect $ $ ) $ ) $ BlueTrend ) ) John Locke ) ) Lynx ) ) Transtrend ) ) Tudor ) ) Winton ) ) Total $ $ ) $ ) $ |
FAIR VALUE OF INVESTMENTS
FAIR VALUE OF INVESTMENTS | 3 Months Ended |
Mar. 31, 2016 | |
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). Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss 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. 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. FRM’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. In May 2015, the Financial Accounting Standards Board (“FASB”) issued ASU 2015-07 “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent) .” This new guidance no longer requires investments for which fair value is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. Although ASU 2015-07 (“the amendment”) is effective beginning in the first quarter of 2016, early adoption is permitted. The Manager had elected to adopt the amendment in August 2015, and the impact of adoption is limited to the notes to the financial statements. As of March 31, 2016 and December 31, 2015, all of the investments were fair valued using the NAV as a practical expedient of the Underlying Funds. |
MARKET, CREDIT AND CONCENTRATIO
MARKET, CREDIT AND CONCENTRATION RISKS | 3 Months Ended |
Mar. 31, 2016 | |
MARKET, CREDIT AND CONCENTRATION RISKS | |
MARKET, CREDIT AND CONCENTRATION RISKS | 4. MARKET, CREDIT AND CONCENTRATION RISKS The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes certain 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 Master Funds’ financial assets (liabilities) at fair value through profit or loss on such derivative instruments as reflected in the S tatement of F inancial Condition of the Master Funds . The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Master Fund s 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. FRM 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 Master Funds , calculating the NAV of the Fund and the Underlying Funds as of the close of business on each day and reviewing outstanding positions for over-concentrations. While FRM does not intervene in the markets to hedge or diversify the Underlying Funds’ market exposure, FRM may urge the respective Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that FRM’s basic risk control procedures will consist of the process of monitoring the Trading Advisors, with the market risk controls being applied by the respective 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 derivatives, at fair value , if any, included in the Master Funds’ S tatement of F inancial Condition . As of March 31, 2016, the Underlying Funds held by the Fund generally do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Underlying Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk. Credit risk is the possibility that a loss may occur from the failure of a counterparty to make payments according to the terms of a contract. The Fund’s exposure to credit risk is contingent upon the Underlying Funds and the brokers and counterparties which the Underlying Funds transact business with as well as amounts recorded as assets in the Statements of Financial Condition. Cash held as deposits may exceed the amount of federal insurance provided on such deposits and are therefore subject to credit risk. Concentration Risk The Fund’s investments in the Underlying Funds are subject to the market and credit risk of the Underlying Funds. Because the majority of the Fund’s capital is invested in the Underlying Funds, any changes in the market conditions that would adversely affect the Underlying Funds could significantly impact the solvency of the Fund. 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 FRM 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, FRM expects the risk of loss to be remote and, therefore, no provision has been recorded. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 3 Months Ended |
Mar. 31, 2016 | |
RELATED PARTY TRANSACTIONS | |
RELATED PARTY TRANSACTIONS | 5. RELATED PARTY TRANSACTIONS MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Former Transfer Agent”), an affiliate of MLAI, which was in place through April 30, 2015. The fees charged by the Former Transfer Agent for its services were based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranged from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. Effective as of May 1, 2015, The Bank of New York Mellon, a corporation organized under the laws of the State of New York, through its Alternative Investment Services division (“AIS”), serves as the administrator, registrar and transfer agent (“New Transfer Agent”) for the Fund pursuant to an Administrative Services Agreement. The New Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of units. The New Transfer Agent is not a related party of the Fund. The Transfer Agent fee allocated to the Fund for the three month periods ended March 31, 2016 and 2015 amounted to $0 and $11,156, respectively. The Manager receives monthly management fees (“Management Fees”) based on the aggregate NAV of the Class of Units. The respective Management Fee rates are: Class A Units 1.5% per annum; Class C Units 2.5% per annum; and Class I Units 1.1% per annum. Class D Units and Class M Units are not charged Management Fees. Prior to May 1, 2015, management fees were known as sponsor fees and were paid to MLAI. Effective August 19, 2015, three new classes were offered by the Fund. The respective Management Fee for these classes are: Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum. |
WEIGHTED AVERAGE UNITS
WEIGHTED AVERAGE UNITS | 3 Months Ended |
Mar. 31, 2016 | |
WEIGHTED AVERAGE UNITS | |
WEIGHTED AVERAGE UNITS | 6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the three months ended March 31, 2016 and 2015 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2016 | |
SUBSEQUENT EVENTS. | |
SUBSEQUENT EVENTS | 7. 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 adjustment to, or disclosure in, the financial statements. |
ORGANIZATION (Policies)
ORGANIZATION (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
ORGANIZATION | |
Estimates | Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“ 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. |
INVESTMENTS IN UNDERLYING FUN16
INVESTMENTS IN UNDERLYING FUNDS (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
INVESTMENTS IN UNDERLYING FUNDS | |
Schedule of investments in FuturesAccess Portfolio Funds and Underlying Funds | The details of investments in Underlying Funds at and for the period ended March 31, 2016 are as follows: Percentage of Members’ Capital Fair Value Profit (Loss) Cost 3/31/2016 Redemptions Permitted Blakeney % $ $ $ Weekly Silver % Weekly Quantica MF % Weekly CCP Core Macro % Weekly Campbell % Weekly Carlisle % Weekly Century CAT* % ) Weekly % $ $ $ *Underlying Fund added in March 2016. The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the year ended December 31, 2015 are as follows: Percentage of Members’ Capital Fair Value Profit (Loss) Cost 12/31/15 Redemptions Permitted Transtrend* % $ — $ $ — Semi-Monthly Winton* % — — Semi-Monthly Aspect* % — ) — Semi-Monthly John Locke* % — — Semi-Monthly Blue trend* % — — Monthly Tudor* % — — Semi-Monthly Lynx* % — — Semi-Monthly Blakeney** % ) Weekly Silver** % ) Weekly Quantica MF** % ) Weekly CCP Core Macro** % ) Weekly Campbell** % ) Weekly Carlisle** % ) Weekly % $ $ ) $ * FuturesAccess Portfolio Funds redeemed as of April 30, 2015. ** Underlying Funds added in May 2015. |
Summary of financial information of FuturesAccess Portfolio Funds and Underlying Funds | As of March 31, 2016 Total Assets Total Liabilities Total Capital Blakeney $ $ Campbell Carlisle CCP Core Macro Century CAT* Quantica MF Silver Total $ $ $ *Underlying Fund added in March 2016. As of December 31, 2015 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell Carlisle CCP Core Macro Quantica MF Silver Total $ $ $ For the three months ended March 31, 2016 Income (Loss) Commissions Expenses Net Income (Loss) Blakeney $ $ — $ ) $ Campbell — ) Carlisle — ) CCP Core Macro — ) Century CAT* ) — ) ) Quantica MF — ) Silver — ) Total $ $ — $ ) $ *Underlying Fund added in March 2016. For the three months ended March 31, 2015 Income (Loss) Commissions Expenses Net Income (Loss) Aspect $ $ ) $ ) $ BlueTrend ) ) John Locke ) ) Lynx ) ) Transtrend ) ) Tudor ) ) Winton ) ) Total $ $ ) $ ) $ |
ORGANIZATION (Details)
ORGANIZATION (Details) | 3 Months Ended |
Mar. 31, 2016fund | |
ORGANIZATION | |
Number of Underlying Funds | 7 |
INVESTMENTS IN UNDERLYING FUN18
INVESTMENTS IN UNDERLYING FUNDS - INVESTMENTS IN UNDERLYING FUNDS AND PORTFOLIO FUNDS (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)fund | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($) | |
Financial information by fund | |||
Number of Underlying Funds | fund | 7 | ||
Fair Value | $ 102,238,332 | $ 84,461,211 | |
Profit (Loss) | 6,107,121 | $ 15,122,621 | |
Cost as of date | 103,969,784 | $ 95,890,791 | |
Management Fees | $ 812,546 | $ 1,160,476 | |
Minimum | |||
Financial information by fund | |||
Percentage of Members' Capital | 3.00% | ||
Maximum | |||
Financial information by fund | |||
Percentage of Members' Capital | 25.00% | ||
Portfolio Funds and Underlying funds | |||
Financial information by fund | |||
Percentage of Members' Capital | 52.53% | ||
Fair Value | $ 84,461,211 | ||
Profit (Loss) | (10,691,396) | ||
Cost as of date | $ 95,890,791 | ||
Underlying Funds | |||
Financial information by fund | |||
Percentage of Members' Capital | 64.56% | ||
Fair Value | $ 102,238,332 | ||
Profit (Loss) | 6,107,121 | ||
Cost as of date | $ 103,969,784 | ||
Blakeney | |||
Financial information by fund | |||
Percentage of Members' Capital | 13.19% | 12.75% | |
Fair Value | $ 20,891,586 | $ 20,499,522 | |
Profit (Loss) | 1,012,064 | (465,478) | |
Cost as of date | $ 20,239,881 | $ 20,751,000 | |
Silver | |||
Financial information by fund | |||
Percentage of Members' Capital | 8.32% | 6.71% | |
Fair Value | $ 13,172,089 | $ 10,785,253 | |
Profit (Loss) | 1,306,836 | (4,329,747) | |
Cost as of date | $ 14,134,162 | $ 13,190,692 | |
Quantica MF | |||
Financial information by fund | |||
Percentage of Members' Capital | 6.58% | 10.85% | |
Fair Value | $ 10,421,699 | $ 17,439,734 | |
Profit (Loss) | 1,276,965 | (7,620,266) | |
Cost as of date | $ 11,912,482 | $ 23,687,804 | |
CCP Core Macro | |||
Financial information by fund | |||
Percentage of Members' Capital | 5.88% | 5.74% | |
Fair Value | $ 9,304,765 | $ 9,238,658 | |
Profit (Loss) | 751,107 | (1,901,342) | |
Cost as of date | $ 9,666,267 | $ 10,422,116 | |
Campbell | |||
Financial information by fund | |||
Percentage of Members' Capital | 14.65% | 12.50% | |
Fair Value | $ 23,212,154 | $ 20,102,273 | |
Profit (Loss) | 844,881 | (1,672,727) | |
Cost as of date | $ 23,338,007 | $ 21,084,372 | |
Carlisle | |||
Financial information by fund | |||
Percentage of Members' Capital | 5.47% | 3.98% | |
Fair Value | $ 8,659,833 | $ 6,395,771 | |
Profit (Loss) | 989,062 | (1,304,229) | |
Cost as of date | $ 8,028,985 | $ 6,754,807 | |
Century Cat | |||
Financial information by fund | |||
Percentage of Members' Capital | 10.47% | ||
Fair Value | $ 16,576,206 | ||
Profit (Loss) | (73,794) | ||
Cost as of date | $ 16,650,000 | ||
Transtrend | |||
Financial information by fund | |||
Percentage of Members' Capital | 0.00% | ||
Profit (Loss) | $ 501,384 | ||
Winton | |||
Financial information by fund | |||
Percentage of Members' Capital | 0.00% | ||
Profit (Loss) | $ 407,901 | ||
Aspect | |||
Financial information by fund | |||
Percentage of Members' Capital | 0.00% | ||
Profit (Loss) | $ (509,070) | ||
John Locke | |||
Financial information by fund | |||
Percentage of Members' Capital | 0.00% | ||
Profit (Loss) | $ 1,283,475 | ||
BlueTrend | |||
Financial information by fund | |||
Percentage of Members' Capital | 0.00% | ||
Profit (Loss) | $ 2,862,359 | ||
Tudor | |||
Financial information by fund | |||
Percentage of Members' Capital | 0.00% | ||
Profit (Loss) | $ 1,341,872 | ||
Lynx | |||
Financial information by fund | |||
Percentage of Members' Capital | 0.00% | ||
Profit (Loss) | $ 714,472 |
INVESTMENTS IN UNDERLYING FUN19
INVESTMENTS IN UNDERLYING FUNDS - FINANCIAL INFORMATION OF UNDERLYING FUNDS AND PORTFOLIO FUNDS (Details) | 3 Months Ended | ||
Mar. 31, 2016USD ($)item | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($) | |
Financial information by fund | |||
Assets | $ 160,025,150 | $ 164,079,992 | |
Liabilities | 1,670,999 | 3,298,260 | |
Total Capital | 158,354,151 | 160,781,732 | |
NET INCOME (LOSS) | $ 4,896,660 | $ 13,781,060 | |
Number of investments with aggregate fair value exceeding fund member capital threshold | item | 0 | ||
Underlying Funds | |||
Financial information by fund | |||
Assets | $ 103,036,146 | 86,891,102 | |
Liabilities | 732,550 | 3,238,602 | |
Total Capital | 102,303,596 | 83,652,500 | |
Income (Loss) | 6,532,280 | ||
Expenses | (378,565) | ||
NET INCOME (LOSS) | 6,153,715 | ||
Blakeney | |||
Financial information by fund | |||
Assets | 21,038,175 | 20,631,073 | |
Liabilities | 136,346 | 421,747 | |
Total Capital | 20,901,829 | 20,209,326 | |
Income (Loss) | 1,094,270 | ||
Expenses | (81,766) | ||
NET INCOME (LOSS) | 1,012,504 | ||
Campbell | |||
Financial information by fund | |||
Assets | 23,354,050 | 21,212,903 | |
Liabilities | 132,095 | 1,331,203 | |
Total Capital | 23,221,955 | 19,881,700 | |
Income (Loss) | 923,026 | ||
Expenses | (77,771) | ||
NET INCOME (LOSS) | 845,255 | ||
Carlisle | |||
Financial information by fund | |||
Assets | 8,764,668 | 6,488,042 | |
Liabilities | 94,507 | 83,221 | |
Total Capital | 8,670,161 | 6,404,821 | |
Income (Loss) | 1,030,598 | ||
Expenses | (40,260) | ||
NET INCOME (LOSS) | 990,338 | ||
CCP Core Macro | |||
Financial information by fund | |||
Assets | 9,402,811 | 9,321,267 | |
Liabilities | 88,850 | 74,078 | |
Total Capital | 9,313,961 | 9,247,189 | |
Income (Loss) | 843,887 | ||
Expenses | (49,494) | ||
NET INCOME (LOSS) | 794,393 | ||
Century Cat | |||
Financial information by fund | |||
Assets | 16,634,227 | ||
Liabilities | 48,065 | ||
Total Capital | 16,586,162 | ||
Income (Loss) | (68,350) | ||
Expenses | (5,489) | ||
NET INCOME (LOSS) | (73,839) | ||
Quantica MF | |||
Financial information by fund | |||
Assets | 10,551,772 | 17,560,913 | |
Liabilities | 123,023 | 444,542 | |
Total Capital | 10,428,749 | 17,116,371 | |
Income (Loss) | 1,345,820 | ||
Expenses | (68,443) | ||
NET INCOME (LOSS) | 1,277,377 | ||
Silver | |||
Financial information by fund | |||
Assets | 13,290,443 | 11,676,904 | |
Liabilities | 109,664 | 883,811 | |
Total Capital | 13,180,779 | $ 10,793,093 | |
Income (Loss) | 1,363,029 | ||
Expenses | (55,342) | ||
NET INCOME (LOSS) | $ 1,307,687 | ||
Portfolio Funds | |||
Financial information by fund | |||
Income (Loss) | 105,692,540 | ||
Commissions | (850,141) | ||
Expenses | (31,744,182) | ||
NET INCOME (LOSS) | 73,098,217 | ||
Aspect | |||
Financial information by fund | |||
Income (Loss) | 15,676,944 | ||
Commissions | (129,118) | ||
Expenses | (4,406,698) | ||
NET INCOME (LOSS) | 11,141,128 | ||
BlueTrend | |||
Financial information by fund | |||
Income (Loss) | 11,103,105 | ||
Commissions | (123,868) | ||
Expenses | (2,553,172) | ||
NET INCOME (LOSS) | 8,426,065 | ||
John Locke | |||
Financial information by fund | |||
Income (Loss) | 2,220,738 | ||
Commissions | (55,487) | ||
Expenses | (559,924) | ||
NET INCOME (LOSS) | 1,605,327 | ||
Lynx | |||
Financial information by fund | |||
Income (Loss) | 5,319,196 | ||
Commissions | (56,977) | ||
Expenses | (1,260,896) | ||
NET INCOME (LOSS) | 4,001,323 | ||
Transtrend | |||
Financial information by fund | |||
Income (Loss) | 5,068,618 | ||
Commissions | (127,925) | ||
Expenses | (1,514,629) | ||
NET INCOME (LOSS) | 3,426,064 | ||
Tudor | |||
Financial information by fund | |||
Income (Loss) | 2,179,703 | ||
Commissions | (96,866) | ||
Expenses | (473,172) | ||
NET INCOME (LOSS) | 1,609,665 | ||
Winton | |||
Financial information by fund | |||
Income (Loss) | 64,124,236 | ||
Commissions | (259,900) | ||
Expenses | (20,975,691) | ||
NET INCOME (LOSS) | $ 42,888,645 |
MARKET, CREDIT AND CONCENTRAT20
MARKET, CREDIT AND CONCENTRATION RISKS (Details) | 3 Months Ended |
Mar. 31, 2016USD ($)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) | Aug. 19, 2015item | Mar. 31, 2016USD ($) | Mar. 31, 2015USD ($) |
RELATED PARTY TRANSACTIONS | |||
Number of new classes of units offered by the Fund | item | 3 | ||
Class A | |||
RELATED PARTY TRANSACTIONS | |||
Fund management fee based on aggregate NAV (as a percent) | 1.50% | ||
Class C | |||
RELATED PARTY TRANSACTIONS | |||
Fund management fee based on aggregate NAV (as a percent) | 2.50% | ||
Class I | |||
RELATED PARTY TRANSACTIONS | |||
Fund management fee based on aggregate NAV (as a percent) | 1.10% | ||
Class AA | |||
RELATED PARTY TRANSACTIONS | |||
Fund management fee based on aggregate NAV (as a percent) | 2.50% | ||
Class II | |||
RELATED PARTY TRANSACTIONS | |||
Fund management fee based on aggregate NAV (as a percent) | 1.35% | ||
Class MM | |||
RELATED PARTY TRANSACTIONS | |||
Fund management fee based on aggregate NAV (as a percent) | 0.60% | ||
Financial Data Services, Inc. | |||
RELATED PARTY TRANSACTIONS | |||
Fees allocated to fund | $ | $ 0 | $ 11,156 | |
Financial Data Services, Inc. | Minimum | |||
RELATED PARTY TRANSACTIONS | |||
Fee rate per year as a percentage of aggregate net assets | 0.016% | ||
Financial Data Services, Inc. | Maximum | |||
RELATED PARTY TRANSACTIONS | |||
Fee rate per year as a percentage of aggregate net assets | 0.02% |