Document and Entity Information
Document and Entity Information | 12 Months Ended |
Dec. 31, 2016USD ($)shares | |
Document and Entity Information | |
Entity Registrant Name | MAN FRM MANAGED FUTURES STRATEGIES LLC |
Entity Central Index Key | 1,393,359 |
Document Type | 10-K |
Document Period End Date | Dec. 31, 2016 |
Amendment Flag | false |
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 Public Float | $ | $ 0 |
Entity Common Stock, Shares Outstanding | shares | 113,650,916 |
Document Fiscal Year Focus | 2,016 |
Document Fiscal Period Focus | FY |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 |
ASSETS: | ||
Cash | $ 48,971,063 | $ 78,898,781 |
Investment in Affiliated Funds (Cost: $77,057,266 and $95,890,791 at December 31, 2016 and 2015, respectively) | 68,779,867 | 84,461,211 |
Receivable from Affiliated Funds | 100,000 | 400,000 |
Investment in Affiliated Funds paid in advance | 320,000 | |
TOTAL ASSETS | 117,850,930 | 164,079,992 |
LIABILITIES: | ||
Management fee payable | 606,974 | 877,496 |
Redemptions payable | 1,846,095 | 1,435,905 |
Subscriptions received in advance | 390,000 | |
Administrative fee payable | 46,954 | 248,871 |
Professional fees payable | 194,639 | 143,138 |
Other liabilities | 217,974 | 202,850 |
Total liabilities | 2,912,636 | 3,298,260 |
MEMBERS' CAPITAL: | ||
Members' Capital (113,650,916 Units and 147,812,907 Units outstanding at December 31, 2016 and 2015, respectively; unlimited Units authorized) | 114,938,294 | 160,781,732 |
Total Members' Capital | 114,938,294 | 160,781,732 |
TOTAL LIABILITIES AND MEMBERS' CAPITAL | $ 117,850,930 | $ 164,079,992 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION - NET ASSET VALUE PER UNIT - $ / shares | Dec. 31, 2016 | Jan. 25, 2016 | Dec. 31, 2015 | Dec. 07, 2015 | [2] | Nov. 16, 2015 | [1] | Dec. 31, 2014 | Dec. 31, 2013 | ||
Class A | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | $ 1.0385 | $ 1.1098 | $ 1.2045 | $ 1.0369 | |||||||
Class C | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | 0.9851 | 1.0633 | 1.1656 | 1.0135 | |||||||
Class D | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | 1.3421 | 1.4130 | 1.5105 | 1.2809 | |||||||
Class I | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | 1.1267 | 1.1993 | 1.2963 | 1.1115 | |||||||
Class M | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | 0.9915 | 1.0438 | $ 1.1158 | $ 0.9463 | |||||||
Class AA | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | 0.9133 | 0.9858 | [1] | $ 1 | |||||||
Class II | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | 0.9382 | $ 1.0011 | [2] | $ 1 | |||||||
Class MM | |||||||||||
NET ASSET VALUE PER UNIT: | |||||||||||
Net asset value per unit (in dollars per unit) | [3] | $ 0.9106 | $ 1 | ||||||||
[1] | Class AA units issued on November 16, 2015, and the ratios have been annualized. | ||||||||||
[2] | Class II units issued on December 7, 2015, and the ratios have been annualized. | ||||||||||
[3] | Class MM units issued on January 25, 2016, and the ratios have been annualized. |
STATEMENTS OF FINANCIAL CONDIT4
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
STATEMENTS OF FINANCIAL CONDITION | ||
Investment in Affiliated Funds, at cost | $ 77,057,266 | $ 95,890,791 |
Units outstanding | 113,650,916 | 147,812,907 |
Capital units authorized | unlimited | unlimited |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
TRADING PROFIT (LOSS), NET: | ||||||
Realized from Affiliated Funds, net | $ (7,369,110) | $ 31,061,059 | $ (10,091,962) | |||
Change in unrealized from Affiliated Funds, net | 3,152,181 | (41,752,455) | 43,753,405 | |||
Total trading profit (loss), net | (4,216,929) | (10,691,396) | 33,661,443 | |||
INVESTMENT INCOME: | ||||||
Interest | 275 | |||||
EXPENSES: | ||||||
Management fee | 2,875,987 | 4,070,605 | 4,866,807 | |||
Professional fees | 572,269 | 390,820 | ||||
Administrative fee | 306,995 | 339,321 | ||||
Other expenses | 680,526 | [1] | 259,829 | 678,568 | ||
Total expenses | 4,435,777 | 5,060,575 | 5,545,375 | |||
NET INVESTMENT INCOME (LOSS) | (4,435,777) | (5,060,300) | (5,545,375) | |||
NET INCOME (LOSS) | (8,652,706) | (15,751,696) | 28,116,068 | |||
Class A | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | $ (1,243,359) | $ (2,258,381) | $ 4,297,734 | |||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | 20,340,977 | 24,858,980 | 33,702,930 | |||
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0611) | $ (0.0908) | $ 0.1275 | |||
Class C | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | $ (5,588,159) | $ (11,169,717) | $ 18,841,610 | |||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | 83,850,361 | 115,841,365 | 162,092,813 | |||
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0666) | $ (0.0964) | $ 0.1162 | |||
Class D | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | $ (185,327) | $ (308,403) | $ 441,715 | |||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | 2,885,277 | 3,066,004 | 5,591,192 | |||
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0642) | $ (0.1006) | $ 0.0790 | |||
Class I | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | $ (854,932) | $ (1,399,630) | $ 2,842,837 | |||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | 12,900,892 | 14,846,095 | 17,176,681 | |||
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0663) | $ (0.0943) | $ 0.1655 | |||
Class M | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | $ (204,651) | $ (588,791) | $ 1,692,172 | |||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | 6,379,411 | 8,178,434 | 9,285,972 | |||
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0321) | $ (0.0720) | $ 0.1822 | |||
Class AA | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | [2] | $ (474,781) | $ (28,537) | |||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | 4,102,054 | 803,375 | [3] | |||
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.1157) | $ (0.0355) | [3] | |||
Class II | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | [4] | $ (98,435) | $ 1,763 | |||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | 2,491,734 | 1,584,229 | [5] | |||
Net income (loss) per weighted average Unit (in dollars per unit) | $ (0.0395) | $ 0.0011 | [5] | |||
Class MM | ||||||
EXPENSES: | ||||||
NET INCOME (LOSS) | [6] | $ (3,062) | ||||
NET INCOME (LOSS) PER UNIT: | ||||||
Weighted average number of Units outstanding (in units) | [7] | 36,529 | ||||
Net income (loss) per weighted average Unit (in dollars per unit) | [7] | $ (0.0838) | ||||
[1] | See Note 2 for further breakout of other expenses | |||||
[2] | Units issued on November 16, 2015. | |||||
[3] | Units issued on November 16, 2015. Amounts presented reflect the period from November 16, 2015 through December 31, 2015. | |||||
[4] | Units issued on December 7, 2015. | |||||
[5] | Units issued on December 7, 2015. Amounts presented reflect the period from December 7, 2015 through December 31, 2015. | |||||
[6] | Units issued on January 25, 2016. | |||||
[7] | Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through December 31, 2016. |
STATEMENTS OF CHANGES IN MEMBER
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL - USD ($) | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | $ 160,781,732 | |||||
Members' Capital (in Units) | 147,812,907 | |||||
Net Income (Loss) | $ (8,652,706) | $ (15,751,696) | $ 28,116,068 | |||
Members' Capital | $ 114,938,294 | $ 160,781,732 | ||||
Members' Capital (in Units) | 113,650,916 | 147,812,907 | ||||
Class A | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | $ 25,487,679 | $ 31,855,022 | $ 46,575,864 | |||
Members' Capital (in Units) | 22,965,118 | 26,447,606 | 44,919,355 | |||
Subscriptions | $ 587,905 | [1] | $ 831,690 | |||
Subscriptions (in Units) | 474,649 | [2] | 777,492 | |||
Redemptions | $ (7,377,434) | [3] | $ (4,696,867) | [1] | $ (19,850,266) | |
Redemptions (in Units) | (6,723,662) | [4] | (3,957,137) | [2] | (19,249,241) | |
Net Income (Loss) | $ (1,243,359) | $ (2,258,381) | $ 4,297,734 | |||
Members' Capital | $ 16,866,886 | $ 25,487,679 | $ 31,855,022 | |||
Members' Capital (in Units) | 16,241,456 | 22,965,118 | 26,447,606 | |||
Class C | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | $ 104,115,262 | $ 153,204,368 | $ 211,561,932 | |||
Members' Capital (in Units) | 97,914,221 | 131,433,730 | 208,733,990 | |||
Subscriptions | $ 858,000 | [1] | $ 4,941,000 | |||
Subscriptions (in Units) | 706,472 | [2] | 4,987,802 | |||
Redemptions | $ (33,653,036) | [3] | $ (38,777,389) | [1] | $ (82,140,174) | |
Redemptions (in Units) | (32,057,651) | [4] | (34,225,981) | [2] | (82,288,062) | |
Net Income (Loss) | $ (5,588,159) | $ (11,169,717) | $ 18,841,610 | |||
Members' Capital | $ 64,874,067 | $ 104,115,262 | $ 153,204,368 | |||
Members' Capital (in Units) | 65,856,570 | 97,914,221 | 131,433,730 | |||
Class D | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | $ 4,166,825 | $ 4,940,417 | $ 12,941,674 | |||
Members' Capital (in Units) | 2,949,004 | 3,270,753 | 10,103,544 | |||
Subscriptions | [5] | $ 1,237,616 | ||||
Subscriptions (in Units) | [6] | 893,199 | ||||
Redemptions | $ (1,237,617) | [3] | $ (465,189) | [1] | $ (8,442,972) | |
Redemptions (in Units) | (875,694) | [4] | (321,749) | [2] | (6,832,791) | |
Net Income (Loss) | $ (185,327) | $ (308,403) | $ 441,715 | |||
Members' Capital | $ 3,981,497 | $ 4,166,825 | $ 4,940,417 | |||
Members' Capital (in Units) | 2,966,509 | 2,949,004 | 3,270,753 | |||
Class I | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | $ 16,298,259 | $ 20,196,513 | $ 21,996,156 | |||
Members' Capital (in Units) | 13,589,522 | 15,579,536 | 19,789,101 | |||
Subscriptions | $ 234,625 | [1] | $ 212,328 | |||
Subscriptions (in Units) | 170,060 | [2] | 197,782 | |||
Redemptions | $ (1,728,455) | [3] | $ (2,733,249) | [1] | $ (4,854,808) | |
Redemptions (in Units) | (1,417,315) | [4] | (2,160,074) | [2] | (4,407,347) | |
Net Income (Loss) | $ (854,932) | $ (1,399,630) | $ 2,842,837 | |||
Members' Capital | $ 13,714,872 | $ 16,298,259 | $ 20,196,513 | |||
Members' Capital (in Units) | 12,172,207 | 13,589,522 | 15,579,536 | |||
Class M | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | $ 7,957,252 | $ 9,304,391 | $ 4,206,402 | |||
Members' Capital (in Units) | 7,623,525 | 8,338,628 | 4,445,192 | |||
Subscriptions | $ 145,000 | [1] | $ 7,481,070 | |||
Subscriptions (in Units) | 123,985 | [2] | 8,084,640 | |||
Redemptions | $ (3,026,560) | [3] | $ (903,348) | [1] | $ (4,075,253) | |
Redemptions (in Units) | (2,856,741) | [4] | (839,088) | [2] | (4,191,204) | |
Net Income (Loss) | $ (204,651) | $ (588,791) | $ 1,692,172 | |||
Members' Capital | $ 4,726,041 | $ 7,957,252 | $ 9,304,391 | |||
Members' Capital (in Units) | 4,766,784 | 7,623,525 | 8,338,628 | |||
Class AA | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | [7] | $ 1,170,463 | ||||
Members' Capital (in Units) | [7] | 1,187,288 | ||||
Subscriptions | [7] | $ 5,227,420 | [5] | $ 1,199,000 | [1] | |
Subscriptions (in Units) | [7] | 5,287,677 | [6] | 1,187,288 | [2] | |
Redemptions | [3],[7] | $ (364,918) | ||||
Redemptions (in Units) | [4],[7] | (388,913) | ||||
Net Income (Loss) | [7] | $ (474,781) | $ (28,537) | |||
Members' Capital | [7] | $ 5,558,184 | $ 1,170,463 | |||
Members' Capital (in Units) | [7] | 6,086,052 | 1,187,288 | |||
Class II | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | [8] | $ 1,585,992 | ||||
Members' Capital (in Units) | [8] | 1,584,229 | ||||
Subscriptions | [8] | $ 3,835,000 | [5] | $ 1,584,229 | [1] | |
Subscriptions (in Units) | [8] | 4,074,667 | [6] | 1,584,229 | [2] | |
Redemptions | [3],[8] | $ (132,064) | ||||
Redemptions (in Units) | [4],[8] | (126,389) | ||||
Net Income (Loss) | [8] | $ (98,435) | $ 1,763 | |||
Members' Capital | [8] | $ 5,190,493 | $ 1,585,992 | |||
Members' Capital (in Units) | [8] | 5,532,507 | 1,584,229 | |||
Class MM | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | ||||||
Members' Capital (in Units) | ||||||
Subscriptions | [5],[9] | $ 43,831 | ||||
Subscriptions (in Units) | [6],[9] | 43,497 | ||||
Redemptions | [3],[9] | $ (14,515) | ||||
Redemptions (in Units) | [4],[9] | (14,666) | ||||
Net Income (Loss) | [9] | $ (3,062) | ||||
Members' Capital | [9] | $ 26,254 | ||||
Members' Capital (in Units) | [9] | 28,831 | ||||
Total Members' Capital | ||||||
Increase (Decrease) in Members' Capital | ||||||
Members' Capital | $ 160,781,732 | $ 219,500,711 | $ 297,282,028 | |||
Members' Capital (in Units) | 147,812,907 | 185,070,253 | 287,991,182 | |||
Subscriptions | $ 10,343,867 | [5] | $ 4,608,759 | [1] | $ 13,466,088 | |
Subscriptions (in Units) | 10,299,040 | [6] | 4,246,683 | [2] | 14,047,716 | |
Redemptions | $ (47,534,599) | [3] | $ (47,576,042) | [1] | $ (119,363,473) | |
Redemptions (in Units) | (44,461,031) | [4] | (41,504,029) | [2] | (116,968,645) | |
Net Income (Loss) | $ (8,652,706) | $ (15,751,696) | $ 28,116,068 | |||
Members' Capital | $ 114,938,294 | $ 160,781,732 | $ 219,500,711 | |||
Members' Capital (in Units) | 113,650,916 | 147,812,907 | 185,070,253 | |||
[1] | Includes transfers out of $442,867 and $1,141,362 of Class A and Class C, respectively, and into Class II of $1,584,229 | |||||
[2] | Includes transfers out of 399,447 units and 1,073,617 units of Class A and Class C, respectively, into Class II. | |||||
[3] | Includes transfers out of Class A, to Class AA, of $170,663, $22,966 and $14,578, on April 8, 2016, May 13, 2016 and July 29, 2016, respectively. | |||||
[4] | Includes transfers out of Class A, to Class AA, of 148,700 units, 20,816 units and 12,489 units, on April 8, 2016, May 13, 2016 and July 29, 2016, respectively. | |||||
[5] | Includes transfers in to Class AA, from Class A, of $170,663, $22,966 and $14,578, on April 11, 2016, May 16, 2016 and August 1, 2016, respectively. | |||||
[6] | Includes transfers in to Class AA, from Class A, of 167,859 units, 23,521 units and 14,142 units, on April 11, 2016, May 16, 2016 and August 1, 2016, respectively. | |||||
[7] | Units issued on November 16, 2015. | |||||
[8] | Units issued on December 7, 2015. | |||||
[9] | Units issued on January 25, 2016. |
STATEMENTS OF CHANGES IN MEMBE7
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL (Parenthetical) - USD ($) | Aug. 01, 2016 | Jul. 29, 2016 | May 16, 2016 | May 13, 2016 | Apr. 11, 2016 | Apr. 08, 2016 | Dec. 31, 2015 |
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL | |||||||
Units transferred from Class A to Class AA | 14,142 | 12,489 | 23,521 | 20,816 | 167,859 | 148,700 | |
Transfers from Class A to Class AA | $ 14,578 | $ 14,578 | $ 22,966 | $ 22,966 | $ 170,663 | $ 170,663 | |
Units transferred from Class A to Class II | 399,447 | ||||||
Units transferred from Class C to Class II | 1,073,617 | ||||||
Transfers from Class A to Class II | $ 442,867 | ||||||
Transfers from Class C to Class II | 1,141,362 | ||||||
Transfers from Class A and Class C to Class II | $ 1,584,229 |
FINANCIAL DATA HIGHLIGHTS
FINANCIAL DATA HIGHLIGHTS - $ / shares | 1 Months Ended | 11 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Dec. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||||||
Class A | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | $ 1.1098 | $ 1.2045 | $ 1.0369 | |||||||||
Net realized and net change in unrealized trading profit (loss) | (0.0426) | (0.0707) | 0.1863 | |||||||||
Net investment loss | (0.0287) | [1] | (0.0240) | [2] | (0.0187) | [3] | ||||||
Net asset value, end of year | $ 1.1098 | $ 1.1098 | $ 1.0385 | $ 1.0385 | $ 1.1098 | $ 1.2045 | ||||||
Total Return: | ||||||||||||
Total return (as a percent) | [4] | (6.42%) | [5] | (7.86%) | [5] | 16.16% | ||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | 2.58% | [1] | 2.01% | [2] | 1.79% | [3] | ||||||
Net investment income (loss) (as a percent) | (2.58%) | [1] | (2.01%) | [2] | (1.79%) | [3] | ||||||
Class C | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | $ 1.0633 | $ 1.1656 | $ 1.0135 | |||||||||
Net realized and net change in unrealized trading profit (loss) | (0.0402) | (0.0678) | 0.1806 | |||||||||
Net investment loss | (0.0380) | [1] | (0.0345) | [2] | (0.0285) | [3] | ||||||
Net asset value, end of year | 1.0633 | 1.0633 | 0.9851 | $ 0.9851 | $ 1.0633 | $ 1.1656 | ||||||
Total Return: | ||||||||||||
Total return (as a percent) | [4] | (7.35%) | [5] | (8.78%) | [5] | 15.01% | ||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | 3.58% | [1] | 3.02% | [2] | 2.80% | [3] | ||||||
Net investment income (loss) (as a percent) | (3.58%) | [1] | (3.02%) | [2] | (2.80%) | [3] | ||||||
Class D | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | $ 1.4130 | $ 1.5105 | $ 1.2809 | |||||||||
Net realized and net change in unrealized trading profit (loss) | (0.0552) | (0.0899) | 0.2332 | |||||||||
Net investment loss | (0.0157) | [1] | (0.0076) | [2] | (0.0036) | [3] | ||||||
Net asset value, end of year | 1.4130 | 1.4130 | 1.3421 | $ 1.3421 | $ 1.4130 | $ 1.5105 | ||||||
Total Return: | ||||||||||||
Total return (as a percent) | [4] | (5.02%) | [5] | (6.45%) | [5] | 17.93% | ||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | 1.08% | [1] | 0.51% | [2] | 0.29% | [3] | ||||||
Net investment income (loss) (as a percent) | (1.08%) | [1] | (0.51%) | [2] | (0.29%) | [3] | ||||||
Class I | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | $ 1.1993 | $ 1.2963 | $ 1.1115 | |||||||||
Net realized and net change in unrealized trading profit (loss) | (0.0463) | (0.0764) | 0.2005 | |||||||||
Net investment loss | (0.0263) | [1] | (0.0206) | [2] | (0.0157) | [3] | ||||||
Net asset value, end of year | 1.1993 | 1.1993 | 1.1267 | $ 1.1267 | $ 1.1993 | $ 1.2963 | ||||||
Total Return: | ||||||||||||
Total return (as a percent) | [4] | (6.05%) | [5] | (7.48%) | [5] | 16.63% | ||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | 2.18% | [1] | 1.61% | [2] | 1.39% | [3] | ||||||
Net investment income (loss) (as a percent) | (2.18%) | [1] | (1.61%) | [2] | (1.39%) | [3] | ||||||
Class M | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | $ 1.0438 | $ 1.1158 | $ 0.9463 | |||||||||
Net realized and net change in unrealized trading profit (loss) | (0.0409) | (0.0664) | 0.1723 | |||||||||
Net investment loss | (0.0114) | [1] | (0.0056) | [2] | (0.0028) | [3] | ||||||
Net asset value, end of year | 1.0438 | 1.0438 | 0.9915 | $ 0.9915 | $ 1.0438 | $ 1.1158 | ||||||
Total Return: | ||||||||||||
Total return (as a percent) | [4] | (5.01%) | [5] | (6.45%) | [5] | 17.91% | ||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | 1.08% | [1] | 0.51% | [2] | 0.29% | [3] | ||||||
Net investment income (loss) (as a percent) | (1.08%) | [1] | (0.51%) | [2] | (0.29%) | [3] | ||||||
Class AA | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | [6] | 1 | $ 0.9858 | |||||||||
Net realized and net change in unrealized trading profit (loss) | (0.0101) | [6] | (0.0373) | |||||||||
Net investment loss | (0.0041) | [2],[6] | (0.0352) | [1] | ||||||||
Net asset value, end of year | $ 0.9858 | [6] | 0.9858 | [6] | 0.9133 | $ 0.9133 | $ 0.9858 | [6] | ||||
Total Return: | ||||||||||||
Total return (as a percent) | [4],[5] | (1.42%) | [6] | (7.35%) | ||||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | 3.26% | [2],[6] | 3.58% | [1] | ||||||||
Net investment income (loss) (as a percent) | (3.26%) | [2],[6] | (3.58%) | [1] | ||||||||
Class II | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | [7] | 1 | $ 1.0011 | |||||||||
Net realized and net change in unrealized trading profit (loss) | 0.0026 | [7] | (0.0385) | |||||||||
Net investment loss | (0.0015) | [2],[7] | (0.0244) | [1] | ||||||||
Net asset value, end of year | $ 1.0011 | [7] | $ 1.0011 | [7] | 0.9382 | $ 0.9382 | $ 1.0011 | [7] | ||||
Total Return: | ||||||||||||
Total return (as a percent) | [4],[5] | 0.11% | [7] | (6.28%) | ||||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | 2.13% | [2],[7] | 2.43% | [1] | ||||||||
Net investment income (loss) (as a percent) | (2.13%) | [2],[7] | (2.43%) | [1] | ||||||||
Class MM | ||||||||||||
Per Unit Operating Performance | ||||||||||||
Net asset value, beginning of year | [8] | 1 | ||||||||||
Net realized and net change in unrealized trading profit (loss) | [8] | (0.0738) | ||||||||||
Net investment loss | [1],[8] | (0.0156) | ||||||||||
Net asset value, end of year | [8] | $ 0.9106 | $ 0.9106 | |||||||||
Total Return: | ||||||||||||
Total return (as a percent) | [4],[5],[8] | (8.94%) | ||||||||||
Ratios to Average Members' Capital: | ||||||||||||
Expenses (as a percent) | [1],[8] | 1.72% | ||||||||||
Net investment income (loss) (as a percent) | [1],[8] | (1.72%) | ||||||||||
[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 and the Underlying Funds. | |||||||||||
[3] | The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds. | |||||||||||
[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] | Total return has not been annualized. | |||||||||||
[6] | Class AA units issued on November 16, 2015, and the ratios have been annualized. | |||||||||||
[7] | Class II units issued on December 7, 2015, and the ratios have been annualized. | |||||||||||
[8] | Class MM units issued on January 25, 2016, and the ratios have been annualized. |
ORGANIZATION
ORGANIZATION | 12 Months Ended |
Dec. 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 (“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, as amended, the 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 related party funds (each an “Underlying Fund”, and collectively the “Underlying Funds”) which, in turn, allocate capital to related party master funds (each a “Master Fund” and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of related party 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 in by the Fund are 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, established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 3). As of December 31, 2016, there are six Underlying Funds (see Note 3) held by the Fund. The Manager serves as CPO of the Underlying Funds and Master Funds. Unless the context requires otherwise, references to the Fund in these financial statements notes, 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. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2016 | |
SIGNIFICANT ACCOUNTING POLICIES | |
SIGNIFICANT ACCOUNTING POLICIES | 2. SIGNIFICANT ACCOUNTING POLICIES The Fund prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). These financial statements have applied the guidance as set forth in the Financial Accounting Standards Board (“FASB”) ASC 946, Financial Services - Investment Companies . The following is a summary of the significant accounting and reporting policies used in preparing the financial statements. Cash and Cash Equivalents The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of December 31, 2016 and December 31, 2015, the Fund does not hold any cash equivalents. Cash is held at a nationally recognized financial institution. Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. Statement of Cash Flows In accordance with FASB ASC 230, the Fund is exempt from the requirement to provide a statement of cash flows as all required conditions have been met. Revenue Recognition The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Underlying Funds) is reflected in the Statements of Operations as change in unrealized from the investments in the Underlying Funds. In addition, when the Fund redeems or partially redeems its interest in the Underlying Funds, it records realized (net profit or loss) under Trading profit (loss), net for such interests in the Statements of Operations of the Fund. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar. The Master Funds may invest in financial instruments denominated in currencies other than U.S. dollar. However, the Master Funds value their financial instruments in U.S. dollars. The Master Funds may or may not seek to hedge their foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, future contracts and cross-currency swaps. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition of the Fund and each of the Underlying Funds and Master Funds. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statement of Operations of the Master Funds. Operating Expenses and Selling Commissions The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees and expenses; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values. During the year ended December 31, 2016, the Fund incurred $485,878 of costs for reports to shareholders, which is currently included in other expenses on the Statement of Operations. Class A Units are subject to upfront sales commissions paid to Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class AA, Class II and Class MM Units are subject to upfront sales commissions of up to 3.0% of an investor’s net subscription amount, payable to MLPF&S. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. Income Taxes No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value (“NAV”) of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund or the Underlying Funds. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The Manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2013. Distributions Each investor is entitled to receive, equally per unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2016, 2015 and 2014. Subscriptions The Fund generally offers units (“Units”) for investment each Monday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (each a “Subscription Day”). Investors must submit their executed subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested. Each member shares in the profits and losses of the Fund in proportion to the number of Units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as noted above in respect to sales commissions and in Notes 6 below in respect of fees, the classes of units are identical. Redemptions Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date. New Accounting Pronouncement In August 2014, FASB issued ASU 2014-15, Presentation of Financial Statements — Going Concern (Subtopic 205-40) (“ASU 2014-15”). The pronouncement determines management’s responsibility regarding assessment of the Fund’s ability to continue as a going concern, even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Fund will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. Adoption of the update had no impact on the Fund’s financial statements. |
INVESTMENTS IN UNDERLYING FUNDS
INVESTMENTS IN UNDERLYING FUNDS | 12 Months Ended |
Dec. 31, 2016 | |
INVESTMENTS IN UNDERLYING FUNDS | |
INVESTMENTS IN UNDERLYING FUNDS | 3. INVESTMENTS IN UNDERLYING FUNDS During 2015, the Fund held investments in the following FuturesAccess 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 FuturesAccess Portfolio Funds. During May 2015, the Fund invested in a new group of Underlying Funds. As of December 31, 2016, the six 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) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited, (iv) Century CAT MAC Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited, (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, and (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC 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 NAV. During the year, the Fund had purchases of $53,670,000 and sales of $65,134,415 of investments in Underlying Funds. 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. The fair value of the Fund’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented on the Statements of Financial Condition. The details of investments in Underlying Funds at and for the year ended December 31, 2016 are as follows: Percentage of Members’ Cost Management Performance Redemptions Capital Fair Value Profit (Loss) 12/31/16 Fees Fees Permitted Blakeney % $ $ ) $ $ Weekly Campbell % ) Weekly Carlisle* — — — Weekly CCP Core Macro % ) ) Weekly Century CAT** % ) — Weekly Quantica MF % — Weekly Silver % — Weekly % $ $ ) $ $ $ * Underlying Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ** Underlying Fund purchased 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’ Cost Management Performance Redemptions Capital Fair Value Profit (Loss) 12/31/15 Fees Fees 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 Campbell** % ) ) Weekly Carlisle** % ) Weekly CCP Core Macro** % ) — Weekly Quantica MF** % ) Weekly Silver** % ) — Weekly % $ $ ) $ $ $ * FuturesAccess Portfolio Funds redeemed as of April 30, 2015. ** Underlying Funds purchased in May 2015. As of December 31, 2016 and 2015, there are no investments held by 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 December 31, 2016 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell CCP Core Macro Century CAT Quantica MF Silver Total $ $ $ As of December 31, 2015 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell Carlisle CCP Core Macro Quantica MF Silver Total $ $ $ For the year ended December 31, 2016 Net Income (Loss) Commissions Expenses Income (Loss) Blakeney $ $ — $ ) $ ) Campbell ) — ) ) Carlisle# — ) CCP Core Macro — ) ) Century CAT## ) — ) ) Quantica MF — ) Silver — ) Total $ ) $ — $ ) $ ) #Underlying Fund was redeemed in April 2016. ##Underlying Fund purchased in March 2016. For the year ended December 31, 2015 Net Income (Loss) Commissions Expenses Income (Loss) Aspect* $ $ ) $ ) $ ) BlueTrend* ) ) John Locke* ) ) Lynx * ) ) Transtrend* ) ) Tudor* ) ) Winton* ) ) Blakeney** ) — ) ) Campbell** ) — ) ) Carlisle** ) — ) ) CCP Core Macro** ) — ) ) Quantica MF** ) — ) ) Silver** ) — ) ) Total $ $ ) $ ) $ ) * FuturesAccess Portfolio Funds redeemed as of April 30, 2015. The information above reflects income and expenses of the related FuturesAccess Portfolio Fund for the period from January 1, 2015 through April 30, 2015. ** Underlying Funds purchased in May 2015. For the year ended December 31, 2014 Net Income (Loss) Commissions Expenses Income (Loss) Altis* $ ) $ ) $ ) $ ) Aspect ) ) BlueTrend ) ) John Locke ) ) Lynx ) ) Transtrend ) ) Tudor ) ) Winton ) ) Total $ $ ) $ ) $ * Altis liquidated as of March 31, 2014. |
FAIR VALUE OF INVESTMENTS
FAIR VALUE OF INVESTMENTS | 12 Months Ended |
Dec. 31, 2016 | |
FAIR VALUE OF INVESTMENTS | |
FAIR VALUE OF INVESTMENTS | 4. 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). 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. FASB ASC 820 - Fair Value Measurement and Disclosures no longer requires investments for which fair value is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. As of December 31, 2016 and December 31, 2015, all of the investments were fair valued using the NAV as practical expedient of the Underlying Funds. |
MARKET, CREDIT AND CONCENTRATIO
MARKET, CREDIT AND CONCENTRATION RISKS | 12 Months Ended |
Dec. 31, 2016 | |
MARKET, CREDIT AND CONCENTRATION RISKS | |
MARKET, CREDIT AND CONCENTRATION RISKS | 5. 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 Statements of Financial 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 Funds 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. 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’ Statements of Financial Condition. As of December 31, 2016, the Underlying Funds held by the Fund 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. Currency Risk The Fund’s investments in the Underlying Funds are subject to currency risk to the extent that the fair value or future cash flow of a financial instrument held by any Underlying Fund will fluctuate because of changes in foreign exchange rates. Liquidity Risk Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Units are the main liquidity risk for the Fund. The Units are redeemable as outlined in Note 2. The exposure to liquidity risk through redemption requests for Units is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the Underlying Funds as agreed by the Investment Manager. Indemnifications The Fund enters into administrative and other professional service contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is not known; however, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2016 | |
RELATED PARTY TRANSACTIONS | |
RELATED PARTY TRANSACTIONS | 6. 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 Former Transfer Agent fee allocated to the Fund for the year ended December 31, 2016, 2015 and 2014 amounted to $0, $36,363 and $47,679, 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 | 12 Months Ended |
Dec. 31, 2016 | |
WEIGHTED AVERAGE UNITS | |
WEIGHTED AVERAGE UNITS | 7. 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 years ended December 31, 2016, 2015 and 2014 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 year. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2016 | |
SUBSEQUENT EVENTS. | |
SUBSEQUENT EVENTS | 8. SUBSEQUENT EVENTS Effective January 1, 2017 the Fund has redeemed $250,000 from its investment in Quantica MF. For the period January 1, 2017 to March 29, 2017, the Fund has recorded subscriptions of approximately $11,000 and redemptions of approximately $14,340,028. 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 additional subsequent events that require adjustment to, or disclosure in, the financial statements. |
SIGNIFICANT ACCOUNTING POLICI17
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2016 | |
SIGNIFICANT ACCOUNTING POLICIES | |
Cash and Cash Equivalents | Cash and Cash Equivalents The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of December 31, 2016 and December 31, 2015, the Fund does not hold any cash equivalents. Cash is held at a nationally recognized financial institution. |
Estimates | Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. |
Statement of Cash Flows | Statement of Cash Flows In accordance with FASB ASC 230, the Fund is exempt from the requirement to provide a statement of cash flows as all required conditions have been met. |
Revenue Recognition | Revenue Recognition The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Underlying Funds) is reflected in the Statements of Operations as change in unrealized from the investments in the Underlying Funds. In addition, when the Fund redeems or partially redeems its interest in the Underlying Funds, it records realized (net profit or loss) under Trading profit (loss), net for such interests in the Statements of Operations of the Fund. |
Foreign Currency Transactions | Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar. The Master Funds may invest in financial instruments denominated in currencies other than U.S. dollar. However, the Master Funds value their financial instruments in U.S. dollars. The Master Funds may or may not seek to hedge their foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, future contracts and cross-currency swaps. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition of the Fund and each of the Underlying Funds and Master Funds. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statement of Operations of the Master Funds. |
Operating Expenses and Selling Commissions | Operating Expenses and Selling Commissions The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees and expenses; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values. During the year ended December 31, 2016, the Fund incurred $485,878 of costs for reports to shareholders, which is currently included in other expenses on the Statement of Operations. Class A Units are subject to upfront sales commissions paid to Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class AA, Class II and Class MM Units are subject to upfront sales commissions of up to 3.0% of an investor’s net subscription amount, payable to MLPF&S. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. |
Income Taxes | Income Taxes No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value (“NAV”) of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund or the Underlying Funds. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The Manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2013. |
Distributions | Distributions Each investor is entitled to receive, equally per unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2016, 2015 and 2014. |
Subscriptions | Subscriptions The Fund generally offers units (“Units”) for investment each Monday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (each a “Subscription Day”). Investors must submit their executed subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested. Each member shares in the profits and losses of the Fund in proportion to the number of Units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as noted above in respect to sales commissions and in Notes 6 below in respect of fees, the classes of units are identical. |
Redemptions | Redemptions Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date. |
New Accounting Pronouncement | New Accounting Pronouncement In August 2014, FASB issued ASU 2014-15, Presentation of Financial Statements — Going Concern (Subtopic 205-40) (“ASU 2014-15”). The pronouncement determines management’s responsibility regarding assessment of the Fund’s ability to continue as a going concern, even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Fund will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. Adoption of the update had no impact on the Fund’s financial statements. |
INVESTMENTS IN UNDERLYING FUN18
INVESTMENTS IN UNDERLYING FUNDS (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
INVESTMENTS IN UNDERLYING FUNDS | |
Schedule of investments in FuturesAccess Portfolio Funds and in Underlying Funds | The details of investments in Underlying Funds at and for the year ended December 31, 2016 are as follows: Percentage of Members’ Cost Management Performance Redemptions Capital Fair Value Profit (Loss) 12/31/16 Fees Fees Permitted Blakeney % $ $ ) $ $ Weekly Campbell % ) Weekly Carlisle* — — — Weekly CCP Core Macro % ) ) Weekly Century CAT** % ) — Weekly Quantica MF % — Weekly Silver % — Weekly % $ $ ) $ $ $ * Underlying Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ** Underlying Fund purchased 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’ Cost Management Performance Redemptions Capital Fair Value Profit (Loss) 12/31/15 Fees Fees 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 Campbell** % ) ) Weekly Carlisle** % ) Weekly CCP Core Macro** % ) — Weekly Quantica MF** % ) Weekly Silver** % ) — Weekly % $ $ ) $ $ $ * FuturesAccess Portfolio Funds redeemed as of April 30, 2015. ** Underlying Funds purchased in May 2015. |
Summary of financial information for each of the FuturesAccess Portfolio Funds and the Underlying Funds | As of December 31, 2016 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell CCP Core Macro Century CAT Quantica MF Silver Total $ $ $ As of December 31, 2015 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell Carlisle CCP Core Macro Quantica MF Silver Total $ $ $ For the year ended December 31, 2016 Net Income (Loss) Commissions Expenses Income (Loss) Blakeney $ $ — $ ) $ ) Campbell ) — ) ) Carlisle# — ) CCP Core Macro — ) ) Century CAT## ) — ) ) Quantica MF — ) Silver — ) Total $ ) $ — $ ) $ ) #Underlying Fund was redeemed in April 2016. ##Underlying Fund purchased in March 2016. For the year ended December 31, 2015 Net Income (Loss) Commissions Expenses Income (Loss) Aspect* $ $ ) $ ) $ ) BlueTrend* ) ) John Locke* ) ) Lynx * ) ) Transtrend* ) ) Tudor* ) ) Winton* ) ) Blakeney** ) — ) ) Campbell** ) — ) ) Carlisle** ) — ) ) CCP Core Macro** ) — ) ) Quantica MF** ) — ) ) Silver** ) — ) ) Total $ $ ) $ ) $ ) * FuturesAccess Portfolio Funds redeemed as of April 30, 2015. The information above reflects income and expenses of the related FuturesAccess Portfolio Fund for the period from January 1, 2015 through April 30, 2015. ** Underlying Funds purchased in May 2015. For the year ended December 31, 2014 Net Income (Loss) Commissions Expenses Income (Loss) Altis* $ ) $ ) $ ) $ ) Aspect ) ) BlueTrend ) ) John Locke ) ) Lynx ) ) Transtrend ) ) Tudor ) ) Winton ) ) Total $ $ ) $ ) $ * Altis liquidated as of March 31, 2014. |
ORGANIZATION (Details)
ORGANIZATION (Details) | 12 Months Ended |
Dec. 31, 2016fund | |
ORGANIZATION | |
Number of underlying funds | 6 |
SIGNIFICANT ACCOUNTING POLICI20
SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Taxes | |||
Provision for income taxes | $ 0 | ||
Distributions | |||
Distributions declared (in dollars per unit) | $ 0 | $ 0 | $ 0 |
Subscriptions | |||
Notice period for subscription of units (in business days) | 5 days | ||
Redemptions | |||
Minimum notice period for redemption of units (in business days) | 4 days | ||
Other expenses. | |||
Operating Expenses and Selling Commissions | |||
Cost of reports to shareholders | $ 485,878 | ||
Class A | Minimum | |||
Operating Expenses and Selling Commissions | |||
Percentage of sales commission paid to broker | 1.00% | ||
Class A | Maximum | |||
Operating Expenses and Selling Commissions | |||
Percentage of sales commission paid to broker | 2.50% | ||
Class D | Maximum | |||
Operating Expenses and Selling Commissions | |||
Percentage of sales commission paid to broker | 2.50% | ||
Class I | Maximum | |||
Operating Expenses and Selling Commissions | |||
Percentage of sales commission paid to broker | 2.50% | ||
Class AA | Maximum | |||
Operating Expenses and Selling Commissions | |||
Percentage of sales commission paid to broker | 3.00% | ||
Class II | Maximum | |||
Operating Expenses and Selling Commissions | |||
Percentage of sales commission paid to broker | 3.00% | ||
Class MM | Maximum | |||
Operating Expenses and Selling Commissions | |||
Percentage of sales commission paid to broker | 3.00% |
INVESTMENTS IN UNDERLYING FUN21
INVESTMENTS IN UNDERLYING FUNDS - INVESTMENTS IN UNDERLYING AND PORTFOLIO FUNDS (Details) | 1 Months Ended | 12 Months Ended | ||
Apr. 30, 2016USD ($) | Dec. 31, 2016USD ($)fund | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |
Investments in Underlying Funds and Portfolio Funds | ||||
Number of underlying funds | fund | 6 | |||
Fair Value | $ 68,779,867 | $ 84,461,211 | ||
Profit (Loss) | (4,216,929) | (10,691,396) | $ 33,661,443 | |
Cost as of date | 77,057,266 | 95,890,791 | ||
Management Fees | $ 2,875,987 | $ 4,070,605 | $ 4,866,807 | |
Minimum | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 3.00% | |||
Maximum | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 25.00% | |||
Portfolio Funds and Underlying Funds | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 52.53% | |||
Fair Value | $ 84,461,211 | |||
Profit (Loss) | (10,691,396) | |||
Cost as of date | 95,890,791 | |||
Management Fees | 2,549,243 | |||
Performance Fees | $ 2,985,667 | |||
Transtrend | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 0.00% | |||
Profit (Loss) | $ 501,384 | |||
Management Fees | 180,168 | |||
Performance Fees | $ 145,534 | |||
Winton | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 0.00% | |||
Profit (Loss) | $ 407,901 | |||
Management Fees | 299,068 | |||
Performance Fees | $ 492,114 | |||
Aspect | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 0.00% | |||
Profit (Loss) | $ (509,070) | |||
Management Fees | 164,422 | |||
Performance Fees | $ 467,119 | |||
John Locke | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 0.00% | |||
Profit (Loss) | $ 1,283,475 | |||
Management Fees | 166,674 | |||
Performance Fees | $ 320,838 | |||
BlueTrend | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 0.00% | |||
Profit (Loss) | $ 2,862,359 | |||
Management Fees | 184,796 | |||
Performance Fees | $ 545,795 | |||
Tudor | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 0.00% | |||
Profit (Loss) | $ 1,341,872 | |||
Management Fees | 165,656 | |||
Performance Fees | $ 315,320 | |||
Lynx | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 0.00% | |||
Profit (Loss) | $ 714,472 | |||
Management Fees | 225,815 | |||
Performance Fees | $ 730,254 | |||
Underlying Funds | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Investment purchases | $ 53,670,000 | |||
Investment sale proceeds | $ 65,134,415 | |||
Percentage of Members' Capital | 59.84% | |||
Fair Value | $ 68,779,867 | |||
Profit (Loss) | (4,216,929) | |||
Cost as of date | 77,057,266 | |||
Management Fees | 1,327,717 | |||
Performance Fees | $ 306,066 | |||
Blakeney | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 11.13% | 12.75% | ||
Fair Value | $ 12,788,895 | $ 20,499,522 | ||
Profit (Loss) | (15,627) | (465,478) | ||
Cost as of date | 13,427,752 | 20,751,000 | ||
Management Fees | 405,674 | $ 285,106 | ||
Performance Fees | $ 178,465 | |||
Campbell | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 9.33% | 12.50% | ||
Fair Value | $ 10,721,283 | $ 20,102,273 | ||
Profit (Loss) | (3,135,990) | (1,672,727) | ||
Cost as of date | 13,028,816 | 21,084,372 | ||
Management Fees | 356,382 | 308,835 | ||
Performance Fees | 8,285 | $ (55,828) | ||
Carlisle | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Investment sale proceeds | $ 8,826,829 | |||
Percentage of Members' Capital | 3.98% | |||
Fair Value | $ 6,395,771 | |||
Profit (Loss) | 713,644 | (1,304,229) | ||
Cost as of date | 6,754,807 | |||
Management Fees | 35,154 | 137,694 | ||
Performance Fees | $ 119,723 | $ 23,009 | ||
CCP Core Macro | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 10.12% | 5.74% | ||
Fair Value | $ 11,633,446 | $ 9,238,658 | ||
Profit (Loss) | (425,212) | (1,901,342) | ||
Cost as of date | 12,743,445 | 10,422,116 | ||
Management Fees | 176,762 | $ 106,198 | ||
Performance Fees | $ (407) | |||
Century CAT | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 12.32% | |||
Fair Value | $ 14,163,692 | |||
Profit (Loss) | (2,881,308) | |||
Cost as of date | 16,787,646 | |||
Management Fees | $ 93,602 | |||
Quantica MF | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 8.64% | 10.85% | ||
Fair Value | $ 9,934,794 | $ 17,439,734 | ||
Profit (Loss) | 1,510,060 | (7,620,266) | ||
Cost as of date | 10,088,625 | 23,687,804 | ||
Management Fees | $ 143,688 | 201,190 | ||
Performance Fees | $ 1,512 | |||
Silver | ||||
Investments in Underlying Funds and Portfolio Funds | ||||
Percentage of Members' Capital | 8.30% | 6.71% | ||
Fair Value | $ 9,537,757 | $ 10,785,253 | ||
Profit (Loss) | 17,504 | (4,329,747) | ||
Cost as of date | 10,980,982 | 13,190,692 | ||
Management Fees | $ 116,455 | $ 123,621 |
INVESTMENTS IN UNDERLYING FUN22
INVESTMENTS IN UNDERLYING FUNDS - FINANCIAL INFORMATION OF UNDERLYING AND PORTFOLIO FUNDS (Details) | 12 Months Ended | ||
Dec. 31, 2016USD ($)item | Dec. 31, 2015USD ($)item | Dec. 31, 2014USD ($) | |
Financial information for each of the portfolio funds | |||
Total Assets | $ 117,850,930 | $ 164,079,992 | |
Total Liabilities | 2,912,636 | 3,298,260 | |
Total Capital | 114,938,294 | 160,781,732 | |
NET INCOME (LOSS) | $ (8,652,706) | $ (15,751,696) | $ 28,116,068 |
Number of investments with aggregate fair value exceeding fund member capital threshold | item | 0 | 0 | |
Maximum | |||
Financial information for each of the portfolio funds | |||
Single investment threshold as a percentage of members' capital | 5.00% | 5.00% | |
Portfolio Funds and Underlying Funds | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | $ 27,262,019 | ||
Commissions | (1,134,877) | ||
Expenses | (35,860,758) | ||
NET INCOME (LOSS) | (9,733,616) | ||
Underlying Funds | |||
Financial information for each of the portfolio funds | |||
Total Assets | $ 69,530,678 | 86,891,102 | |
Total Liabilities | 698,815 | 3,238,602 | |
Total Capital | 68,831,863 | 83,652,500 | |
Income (Loss) | (2,425,854) | ||
Expenses | (1,837,559) | ||
NET INCOME (LOSS) | (4,263,413) | ||
Blakeney | |||
Financial information for each of the portfolio funds | |||
Total Assets | 12,939,371 | 20,631,073 | |
Total Liabilities | 141,001 | 421,747 | |
Total Capital | 12,798,370 | 20,209,326 | |
Income (Loss) | 285,631 | (246,302) | |
Expenses | (301,619) | (224,457) | |
NET INCOME (LOSS) | (15,988) | (470,759) | |
Campbell | |||
Financial information for each of the portfolio funds | |||
Total Assets | 10,859,354 | 21,212,903 | |
Total Liabilities | 130,341 | 1,331,203 | |
Total Capital | 10,729,013 | 19,881,700 | |
Income (Loss) | (2,865,772) | (1,355,182) | |
Expenses | (271,928) | (236,523) | |
NET INCOME (LOSS) | (3,137,700) | (1,591,705) | |
Carlisle | |||
Financial information for each of the portfolio funds | |||
Total Assets | 6,488,042 | ||
Total Liabilities | 83,221 | ||
Total Capital | 6,404,821 | ||
Income (Loss) | 776,008 | (1,152,742) | |
Expenses | (115,102) | (152,437) | |
NET INCOME (LOSS) | 660,906 | (1,305,179) | |
CCP Core Macro | |||
Financial information for each of the portfolio funds | |||
Total Assets | 11,744,051 | 9,321,267 | |
Total Liabilities | 98,433 | 74,078 | |
Total Capital | 11,645,618 | 9,247,189 | |
Income (Loss) | 111,541 | (1,757,466) | |
Expenses | (529,943) | (145,345) | |
NET INCOME (LOSS) | (418,402) | (1,902,811) | |
Century CAT | |||
Financial information for each of the portfolio funds | |||
Total Assets | 14,247,902 | ||
Total Liabilities | 75,923 | ||
Total Capital | 14,171,979 | ||
Income (Loss) | (2,697,621) | ||
Expenses | (182,029) | ||
NET INCOME (LOSS) | (2,879,650) | ||
Quantica MF | |||
Financial information for each of the portfolio funds | |||
Total Assets | 10,069,651 | 17,560,913 | |
Total Liabilities | 127,622 | 444,542 | |
Total Capital | 9,942,029 | 17,116,371 | |
Income (Loss) | 1,731,012 | (7,392,755) | |
Expenses | (220,354) | (230,874) | |
NET INCOME (LOSS) | 1,510,658 | (7,623,629) | |
Silver | |||
Financial information for each of the portfolio funds | |||
Total Assets | 9,670,349 | 11,676,904 | |
Total Liabilities | 125,495 | 883,811 | |
Total Capital | 9,544,854 | 10,793,093 | |
Income (Loss) | 233,347 | (4,343,455) | |
Expenses | (216,584) | (206,272) | |
NET INCOME (LOSS) | $ 16,763 | (4,549,727) | |
Portfolio Funds | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 262,007,681 | ||
Commissions | (3,821,171) | ||
Expenses | (84,962,713) | ||
NET INCOME (LOSS) | 173,223,797 | ||
Altis | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | (2,692,878) | ||
Commissions | (50,824) | ||
Expenses | (177,341) | ||
NET INCOME (LOSS) | (2,921,043) | ||
Aspect | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 404,556 | 42,916,804 | |
Commissions | (169,723) | (562,521) | |
Expenses | (4,910,852) | (9,186,371) | |
NET INCOME (LOSS) | (4,676,019) | 33,167,912 | |
BlueTrend | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 9,245,595 | 10,068,569 | |
Commissions | (170,694) | (530,630) | |
Expenses | (2,259,861) | (3,183,394) | |
NET INCOME (LOSS) | 6,815,040 | 6,354,545 | |
John Locke | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 1,864,422 | 6,683,299 | |
Commissions | (74,165) | (225,361) | |
Expenses | (506,783) | (1,208,425) | |
NET INCOME (LOSS) | 1,283,474 | 5,249,513 | |
Lynx | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 2,414,522 | 14,668,003 | |
Commissions | (79,733) | (218,706) | |
Expenses | (1,344,163) | (3,616,591) | |
NET INCOME (LOSS) | 990,626 | 10,832,706 | |
Transtrend | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 1,877,424 | 16,067,593 | |
Commissions | (177,794) | (573,907) | |
Expenses | (921,164) | (3,152,986) | |
NET INCOME (LOSS) | 778,466 | 12,340,700 | |
Tudor | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 1,983,906 | 4,770,661 | |
Commissions | (127,346) | (476,414) | |
Expenses | (514,687) | (543,889) | |
NET INCOME (LOSS) | 1,341,873 | 3,750,358 | |
Winton | |||
Financial information for each of the portfolio funds | |||
Income (Loss) | 25,719,496 | 169,525,630 | |
Commissions | (335,422) | (1,182,808) | |
Expenses | (24,207,340) | (63,893,716) | |
NET INCOME (LOSS) | $ 1,176,734 | $ 104,449,106 |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details) | Aug. 19, 2015item | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) |
RELATED PARTY TRANSACTIONS | ||||
Number of new classes of units offered by the Fund | item | 3 | |||
Class A | ||||
RELATED PARTY TRANSACTIONS | ||||
Management fees (as a percent) | 1.50% | |||
Class C | ||||
RELATED PARTY TRANSACTIONS | ||||
Management fees (as a percent) | 2.50% | |||
Class I | ||||
RELATED PARTY TRANSACTIONS | ||||
Management fees (as a percent) | 1.10% | |||
Class AA | ||||
RELATED PARTY TRANSACTIONS | ||||
Management fees (as a percent) | 2.50% | |||
Class II | ||||
RELATED PARTY TRANSACTIONS | ||||
Management fees (as a percent) | 1.35% | |||
Class MM | ||||
RELATED PARTY TRANSACTIONS | ||||
Management fees (as a percent) | 0.60% | |||
Financial Data Services, Inc. | ||||
RELATED PARTY TRANSACTIONS | ||||
Fees allocated to Fund | $ | $ 0 | $ 36,363 | $ 47,679 | |
Financial Data Services, Inc. | Minimum | ||||
RELATED PARTY TRANSACTIONS | ||||
Fee rate per year as a percentage of aggregate net assets (as a percent) | 0.016% | |||
Financial Data Services, Inc. | Maximum | ||||
RELATED PARTY TRANSACTIONS | ||||
Fee rate per year as a percentage of aggregate net assets (as a percent) | 0.02% |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - Subsequent Events - USD ($) | Jan. 01, 2017 | Mar. 29, 2017 |
Subsequent Events | ||
Subscriptions | $ 11,000 | |
Redemptions | $ 14,340,028 | |
Quantica MF | ||
Subsequent Events | ||
Redemptions | $ 250,000 |