Document and Entity Information
Document and Entity Information | 9 Months Ended |
Sep. 30, 2017shares | |
Document and Entity Information | |
Entity Registrant Name | MAN FRM MANAGED FUTURES STRATEGIES LLC |
Entity Central Index Key | 1,393,359 |
Document Type | 10-Q |
Document Period End Date | Sep. 30, 2017 |
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 | 78,727,014 |
Document Fiscal Year Focus | 2,017 |
Document Fiscal Period Focus | Q3 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
ASSETS: | ||
Cash | $ 30,117,712 | $ 48,971,063 |
Investment in Affiliated Funds (Cost: $51,383,318 and $77,057,266 at September 30, 2017 and December 31, 2016, respectively) | 46,043,329 | 68,779,867 |
Receivable from Affiliated Funds | 1,295,154 | 100,000 |
TOTAL ASSETS | 77,456,195 | 117,850,930 |
LIABILITIES: | ||
Management fee payable | 375,697 | 606,974 |
Redemptions payable | 486,938 | 1,846,095 |
Professional fees payable | 194,074 | 194,639 |
Administrative fee payable | 30,909 | 46,954 |
Other liabilities | 95,170 | 217,974 |
Total liabilities | 1,182,788 | 2,912,636 |
MEMBERS' CAPITAL: | ||
Members' Capital (78,727,014 Units and 113,650,916 Units outstanding at September 30, 2017 and December 31, 2016, respectively; unlimited Units authorized) | 76,273,407 | 114,938,294 |
Total Members' Capital | 76,273,407 | 114,938,294 |
TOTAL LIABILITIES AND MEMBERS' CAPITAL | $ 77,456,195 | $ 117,850,930 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION - NET ASSET VALUE PER UNIT - $ / shares | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Jan. 25, 2016 | [1] | Dec. 31, 2015 | ||
Class A | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | $ 0.9945 | $ 0.9817 | $ 1.0385 | $ 1.1030 | $ 1.1446 | $ 1.1098 | ||||
Class C | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | 0.9363 | 0.9266 | 0.9851 | 1.0489 | 1.0912 | 1.0633 | ||||
Class D | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | 1.2998 | 1.2783 | 1.3421 | 1.4201 | 1.4682 | 1.4130 | ||||
Class I | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | 1.0822 | 1.0673 | 1.1267 | 1.1955 | 1.2394 | 1.1993 | ||||
Class M | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | 0.9601 | 0.9443 | 0.9915 | 1.0490 | 1.0846 | 1.0438 | ||||
Class AA | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | 0.8679 | 0.8589 | 0.9133 | 0.9724 | 1.0117 | 0.9858 | ||||
Class II | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | 0.8994 | 0.8876 | 0.9382 | 0.9960 | 1.0333 | $ 1.0011 | ||||
Class MM | ||||||||||
NET ASSET VALUE PER UNIT: | ||||||||||
Net asset value per unit (in dollars per unit) | $ 0.8779 | $ 0.8647 | $ 0.9106 | $ 0.9650 | [1] | $ 0.9991 | [1] | $ 1 | ||
[1] | Class MM units issued on January 25, 2016. |
STATEMENTS OF FINANCIAL CONDIT4
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
STATEMENTS OF FINANCIAL CONDITION | ||
Investment in Affiliated funds, at cost | $ 51,383,318 | $ 77,057,266 |
Units outstanding | 78,727,014 | 113,650,916 |
Capital units authorized | unlimited | unlimited |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
TRADING PROFIT (LOSS), NET: | |||||
Realized from Affiliated Funds, net | $ (2,683,074) | $ (549,793) | $ (5,036,189) | $ (5,860,482) | |
Change in unrealized from Affiliated Funds, net | 4,308,864 | (3,618,364) | 2,937,410 | 8,464,432 | |
Total trading profit (loss), net | 1,625,790 | (4,168,157) | (2,098,779) | 2,603,950 | |
EXPENSES: | |||||
Management fee | 375,697 | 716,380 | 1,338,012 | 2,269,013 | |
Professional fees | 68,350 | 190,254 | 221,450 | 435,857 | |
Administrative fee | 45,682 | 74,821 | 155,897 | 238,651 | |
Other expenses | 64,250 | 216,646 | 190,318 | 502,589 | |
Total expenses | 553,979 | 1,198,101 | 1,905,677 | 3,446,110 | |
NET INVESTMENT INCOME (LOSS) | (553,979) | (1,198,101) | (1,905,677) | (3,446,110) | |
NET INCOME (LOSS) | $ 1,071,811 | $ (5,366,258) | (4,004,456) | (842,160) | |
Class A | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (583,043) | $ (44,205) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 12,486,794 | 19,584,467 | 14,297,556 | 21,080,766 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0128 | $ (0.0411) | $ (0.0408) | $ (0.0021) | |
Class C | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (2,327,573) | $ (766,506) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 43,932,389 | 80,382,688 | 52,224,327 | 87,669,669 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0115 | $ (0.0418) | $ (0.0446) | $ (0.0087) | |
Class D | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (67,658) | $ 45,958 | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 2,073,311 | 2,966,509 | 2,321,967 | 2,857,902 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0215 | $ (0.0481) | $ (0.0291) | $ 0.0161 | |
Class I | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (455,678) | $ (9,961) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 10,419,241 | 12,657,014 | 10,982,881 | 13,087,581 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0165 | $ (0.0438) | $ (0.0415) | $ (0.0008) | |
Class M | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (127,505) | $ 103,853 | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 3,750,588 | 6,186,553 | 4,169,104 | 6,779,281 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0161 | $ (0.0327) | $ (0.0306) | $ 0.0153 | |
Class AA | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ 13,569 | $ (142,545) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 856,740 | 5,507,337 | 2,349,667 | 3,568,664 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0104 | $ (0.0410) | $ 0.0058 | $ (0.0399) | |
Class II | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (455,625) | $ (27,259) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 10,097,392 | 2,130,937 | 8,845,064 | 2,107,504 | |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0119 | $ (0.0356) | $ (0.0515) | $ (0.0129) | |
Class MM | |||||
EXPENSES: | |||||
NET INCOME (LOSS) | $ (943) | $ (1,495) | |||
NET INCOME (LOSS) PER UNIT: | |||||
Weighted average number of Units outstanding (in units) | 28,831 | 36,870 | 28,831 | 39,399 | [1] |
Net income (loss) per weighted average Unit (in dollars per unit) | $ 0.0132 | $ (0.0305) | $ (0.0327) | $ (0.0380) | [1] |
[1] | Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through September 30, 2016. |
STATEMENTS OF CHANGES IN MEMBER
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 114,938,294 | ||||
Members' Units | 113,650,916 | ||||
Net Income (Loss) | $ 1,071,811 | $ (5,366,258) | $ (4,004,456) | $ (842,160) | |
Members' Capital | $ 76,273,407 | $ 76,273,407 | |||
Members' Units | 78,727,014 | 78,727,014 | |||
Class A | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 16,866,886 | $ 25,487,679 | |||
Members' Units | 16,241,456 | 22,965,118 | |||
Redemptions | $ (4,552,730) | [1] | $ (4,780,507) | ||
Redemptions (in Units) | (4,445,257) | [2] | (4,231,484) | ||
Net Income (Loss) | $ (583,043) | $ (44,205) | |||
Members' Capital | $ 11,731,113 | $ 20,662,967 | $ 11,731,113 | $ 20,662,967 | |
Members' Units | 11,796,199 | 18,733,634 | 11,796,199 | 18,733,634 | |
Class C | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 64,874,067 | $ 104,115,262 | |||
Members' Units | 65,856,570 | 97,914,221 | |||
Redemptions | $ (24,832,615) | [1] | $ (22,389,585) | ||
Redemptions (in Units) | (25,576,188) | [2] | (20,727,554) | ||
Net Income (Loss) | $ (2,327,573) | $ (766,506) | |||
Members' Capital | $ 37,713,879 | $ 80,959,171 | $ 37,713,879 | $ 80,959,171 | |
Members' Units | 40,280,382 | 77,186,667 | 40,280,382 | 77,186,667 | |
Class D | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 3,981,497 | $ 4,166,825 | |||
Members' Units | 2,966,509 | 2,949,004 | |||
Subscriptions | $ 1,237,616 | ||||
Subscriptions (in Units) | 893,199 | ||||
Redemptions | $ (1,219,037) | [1] | $ (1,237,617) | ||
Redemptions (in Units) | (893,198) | [2] | (875,694) | ||
Net Income (Loss) | $ (67,658) | $ 45,958 | |||
Members' Capital | $ 2,694,802 | $ 4,212,782 | $ 2,694,802 | $ 4,212,782 | |
Members' Units | 2,073,311 | 2,966,509 | 2,073,311 | 2,966,509 | |
Class I | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 13,714,872 | $ 16,298,259 | |||
Members' Units | 12,172,207 | 13,589,522 | |||
Redemptions | $ (2,396,908) | [1] | $ (1,584,372) | ||
Redemptions (in Units) | (2,134,987) | [2] | (1,290,023) | ||
Net Income (Loss) | $ (455,678) | $ (9,961) | |||
Members' Capital | $ 10,862,286 | $ 14,703,926 | $ 10,862,286 | $ 14,703,926 | |
Members' Units | 10,037,220 | 12,299,499 | 10,037,220 | 12,299,499 | |
Class M | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 4,726,041 | $ 7,957,252 | |||
Members' Units | 4,766,784 | 7,623,525 | |||
Redemptions | $ (1,127,423) | [1] | $ (2,236,037) | ||
Redemptions (in Units) | (1,151,550) | [2] | (2,070,768) | ||
Net Income (Loss) | $ (127,505) | $ 103,853 | |||
Members' Capital | $ 3,471,113 | $ 5,825,068 | $ 3,471,113 | $ 5,825,068 | |
Members' Units | 3,615,234 | 5,552,757 | 3,615,234 | 5,552,757 | |
Class AA | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 5,558,184 | $ 1,170,463 | |||
Members' Units | 6,086,052 | 1,187,288 | |||
Subscriptions | $ 52,000 | [1] | $ 4,667,420 | ||
Subscriptions (in Units) | 57,527 | [2] | 4,667,786 | ||
Redemptions | $ (4,930,785) | [1] | $ (139,627) | ||
Redemptions (in Units) | (5,345,134) | [2] | (141,723) | ||
Net Income (Loss) | $ 13,569 | $ (142,545) | |||
Members' Capital | $ 692,968 | $ 5,555,711 | $ 692,968 | $ 5,555,711 | |
Members' Units | 798,445 | 5,713,351 | 798,445 | 5,713,351 | |
Class II | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 5,190,493 | $ 1,585,992 | |||
Members' Units | 5,532,507 | 1,584,229 | |||
Subscriptions | $ 4,673,872 | [1] | $ 640,000 | ||
Subscriptions (in Units) | 4,912,626 | [2] | 617,046 | ||
Redemptions | $ (326,805) | [1] | $ (132,064) | ||
Redemptions (in Units) | (347,741) | [2] | (126,389) | ||
Net Income (Loss) | $ (455,625) | $ (27,259) | |||
Members' Capital | $ 9,081,935 | $ 2,066,669 | $ 9,081,935 | $ 2,066,669 | |
Members' Units | 10,097,392 | 2,074,886 | 10,097,392 | 2,074,886 | |
Class MM | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 26,254 | ||||
Members' Units | 28,831 | ||||
Subscriptions | $ 43,831 | ||||
Subscriptions (in Units) | 43,497 | ||||
Redemptions | $ (14,515) | ||||
Redemptions (in Units) | (14,666) | ||||
Net Income (Loss) | $ (943) | $ (1,495) | |||
Members' Capital | $ 25,311 | $ 27,821 | $ 25,311 | $ 27,821 | |
Members' Units | 28,831 | 28,831 | 28,831 | 28,831 | |
Total Members' Capital | |||||
Increase (Decrease) in Members' Capital | |||||
Members' Capital | $ 114,938,294 | $ 160,781,732 | |||
Members' Units | 113,650,916 | 147,812,907 | |||
Subscriptions | $ 4,725,872 | [1] | $ 6,588,867 | ||
Subscriptions (in Units) | 4,970,153 | [2] | 6,221,528 | ||
Redemptions | $ (39,386,303) | [1] | $ (32,514,324) | ||
Redemptions (in Units) | (39,894,055) | [2] | (29,478,301) | ||
Net Income (Loss) | $ (4,004,456) | $ (842,160) | |||
Members' Capital | $ 76,273,407 | $ 134,014,115 | $ 76,273,407 | $ 134,014,115 | |
Members' Units | 78,727,014 | 124,556,134 | 78,727,014 | 124,556,134 | |
[1] | Includes transfers in to Class II, from Class AA, of $4,673,872 on March 20, 2017. | ||||
[2] | Includes transfer of 5,058,851 units out of Class AA for 4,912,626 units of Class II, on March 20, 2017. |
STATEMENTS OF CHANGES IN MEMBE7
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL (Parenthetical) | Mar. 20, 2017USD ($)shares |
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL | |
Number of units transferred from Class AA | 5,058,851 |
Number of units transferred from Class II | 4,912,626 |
Transfers from Class AA to Class II | $ | $ 4,673,872 |
FINANCIAL DATA HIGHLIGHTS
FINANCIAL DATA HIGHLIGHTS - $ / shares | 3 Months Ended | 8 Months Ended | 9 Months Ended | ||||||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |||||||
Class A | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 0.9817 | $ 1.1446 | $ 1.0385 | $ 1.1098 | |||||||
Net realized and net change in unrealized trading profit (loss) | 0.0188 | (0.0334) | (0.0263) | 0.0147 | |||||||
Net investment loss | (0.0060) | [1] | (0.0082) | [2] | (0.0177) | [1] | (0.0215) | [2] | |||
Net asset value, end of period | $ 0.9945 | $ 1.1030 | $ 1.1030 | $ 0.9945 | $ 1.1030 | ||||||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.30% | (3.63%) | (4.24%) | (0.61%) | ||||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.60% | [1] | 0.71% | [2] | 1.72% | [1] | 1.90% | [2] | ||
Net investment income (loss) (as a percent) | [3] | (0.60%) | [1] | (0.71%) | [2] | (1.72%) | [1] | (1.90%) | [2] | ||
Class C | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 0.9266 | $ 1.0912 | $ 0.9851 | $ 1.0633 | |||||||
Net realized and net change in unrealized trading profit (loss) | 0.0177 | (0.0319) | (0.0249) | 0.0142 | |||||||
Net investment loss | (0.0080) | [1] | (0.0104) | [2] | (0.0239) | [1] | (0.0286) | [2] | |||
Net asset value, end of period | $ 0.9363 | $ 1.0489 | 1.0489 | $ 0.9363 | $ 1.0489 | ||||||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.05% | (3.88%) | (4.95%) | (1.35%) | ||||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.85% | [1] | 0.96% | [2] | 2.47% | [1] | 2.65% | [2] | ||
Net investment income (loss) (as a percent) | [3] | (0.85%) | [1] | (0.96%) | [2] | (2.47%) | [1] | (2.65%) | [2] | ||
Class D | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 1.2783 | $ 1.4682 | $ 1.3421 | $ 1.4130 | |||||||
Net realized and net change in unrealized trading profit (loss) | 0.0244 | (0.0431) | (0.0343) | 0.0185 | |||||||
Net investment loss | (0.0029) | [1] | (0.0050) | [2] | (0.0080) | [1] | (0.0114) | [2] | |||
Net asset value, end of period | $ 1.2998 | $ 1.4201 | 1.4201 | $ 1.2998 | $ 1.4201 | ||||||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.68% | (3.28%) | (3.15%) | 0.50% | ||||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.22% | [1] | 0.33% | [2] | 0.60% | [1] | 0.77% | [2] | ||
Net investment income (loss) (as a percent) | [3] | (0.22%) | [1] | (0.33%) | [2] | (0.60%) | [1] | (0.77%) | [2] | ||
Class I | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 1.0673 | $ 1.2394 | $ 1.1267 | $ 1.1993 | |||||||
Net realized and net change in unrealized trading profit (loss) | 0.0203 | (0.0363) | (0.0286) | 0.0158 | |||||||
Net investment loss | (0.0054) | [1] | (0.0076) | [2] | (0.0159) | [1] | (0.0196) | [2] | |||
Net asset value, end of period | $ 1.0822 | $ 1.1955 | 1.1955 | $ 1.0822 | $ 1.1955 | ||||||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.40% | (3.54%) | (3.95%) | (0.32%) | ||||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.50% | [1] | 0.61% | [2] | 1.42% | [1] | 1.60% | [2] | ||
Net investment income (loss) (as a percent) | [3] | (0.50%) | [1] | (0.61%) | [2] | (1.42%) | [1] | (1.60%) | [2] | ||
Class M | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 0.9443 | $ 1.0846 | $ 0.9915 | $ 1.0438 | |||||||
Net realized and net change in unrealized trading profit (loss) | 0.0179 | (0.0319) | (0.0255) | 0.0135 | |||||||
Net investment loss | (0.0021) | [1] | (0.0037) | [2] | (0.0059) | [1] | (0.0083) | [2] | |||
Net asset value, end of period | $ 0.9601 | $ 1.0490 | 1.0490 | $ 0.9601 | $ 1.0490 | ||||||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.67% | (3.28%) | (3.17%) | 0.50% | ||||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.22% | [1] | 0.33% | [2] | 0.60% | [1] | 0.77% | [2] | ||
Net investment income (loss) (as a percent) | [3] | (0.22%) | [1] | (0.33%) | [2] | (0.60%) | [1] | (0.77%) | [2] | ||
Class AA | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 0.8589 | $ 1.0117 | $ 0.9133 | $ 0.9858 | |||||||
Net realized and net change in unrealized trading profit (loss) | 0.0164 | (0.0296) | (0.0232) | 0.0132 | |||||||
Net investment loss | (0.0074) | [1] | (0.0097) | [2] | (0.0222) | [1] | (0.0266) | [2] | |||
Net asset value, end of period | $ 0.8679 | $ 0.9724 | 0.9724 | $ 0.8679 | $ 0.9724 | ||||||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.05% | (3.88%) | (4.97%) | (1.36%) | ||||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.85% | [1] | 0.96% | [2] | 2.47% | [1] | 2.64% | [2] | ||
Net investment income (loss) (as a percent) | [3] | (0.85%) | [1] | (0.96%) | [2] | (2.47%) | [1] | (2.64%) | [2] | ||
Class II | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 0.8876 | $ 1.0333 | $ 0.9382 | $ 1.0011 | |||||||
Net realized and net change in unrealized trading profit (loss) | 0.0169 | (0.0303) | (0.0239) | 0.0132 | |||||||
Net investment loss | (0.0051) | [1] | (0.0070) | [2] | (0.0149) | [1] | (0.0183) | [2] | |||
Net asset value, end of period | $ 0.8994 | $ 0.9960 | 0.9960 | $ 0.8994 | $ 0.9960 | ||||||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.33% | (3.61%) | (4.14%) | (0.51%) | ||||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.56% | [1] | 0.67% | [2] | 1.61% | [1] | 1.78% | [2] | ||
Net investment income (loss) (as a percent) | [3] | (0.56%) | [1] | (0.67%) | [2] | (1.61%) | [1] | (1.78%) | [2] | ||
Class MM | |||||||||||
Per Unit Operating Performance | |||||||||||
Net asset value, beginning of period | $ 0.8647 | $ 0.9991 | [5] | 1 | [5] | $ 0.9106 | |||||
Net realized and net change in unrealized trading profit (loss) | 0.0165 | (0.0292) | [5] | (0.0236) | [5] | (0.0232) | |||||
Net investment loss | (0.0033) | [1] | (0.0049) | [2],[5] | (0.0114) | [2],[5] | (0.0095) | [1] | |||
Net asset value, end of period | $ 0.8779 | $ 0.9650 | [5] | $ 0.9650 | [5] | $ 0.8779 | $ 0.9650 | [5] | |||
Total Return: | |||||||||||
Total return (as a percent) | [3],[4] | 1.53% | (3.41%) | [5] | (3.50%) | [5] | (3.59%) | ||||
Ratios to Average Members' Capital: | |||||||||||
Expenses (as a percent) | [3] | 0.37% | [1] | 0.48% | [2],[5] | 1.15% | [2],[5] | 1.05% | [1] | ||
Net investment income (loss) (as a percent) | [3] | (0.37%) | [1] | (0.48%) | [2],[5] | (1.15%) | [2],[5] | (1.05%) | [1] | ||
[1] | The amounts do not reflect the proportionate share of expense from the Affiliated Funds. | ||||||||||
[2] | The amounts do not reflect the proportionate share of expense from the Underlying 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] | Class MM units issued on January 25, 2016. |
ORGANIZATION
ORGANIZATION | 9 Months Ended |
Sep. 30, 2017 | |
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. Under the direction of the Manager, the Fund allocates its capital among a group of underlying related party funds (each an “Affiliated Fund”, and collectively the “Affiliated 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 Affiliated Funds that are on the FRM platform. The Affiliated 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 September 30, 2017 and December 31, 2016, there are five and six Affiliated Funds (see Note 3), respectively, held by the Fund. The Manager serves as CPO of the Affiliated Funds and Master Funds. Unless the context requires otherwise, references to the Fund in these financial statements notes, also refer to the Affiliated Funds and the Master Funds in which the Affiliated Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Affiliated Funds refer to the investment activities of the Master Funds through which the Affiliated Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities. 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. In the opinion of management, these unaudited interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial condition of the Fund as of September 30, 2017 and December 31, 2016 and the results of its operations for the three and nine month periods ended September 30, 2017 and 2016. 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, 2016. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended |
Sep. 30, 2017 | |
SIGNIFICANT ACCOUNTING POLICIES | |
SIGNIFICANT ACCOUNTING POLICIES | 2. SIGNIFICANT ACCOUNTING POLICIES The Fund prepares its financial statements in conformity with 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 September 30, 2017 and December 31, 2016, 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. 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 Affiliated 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 — 2014. 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 periods ended September 30, 2017 and 2016. 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. |
INVESTMENTS IN AFFILIATED FUNDS
INVESTMENTS IN AFFILIATED FUNDS | 9 Months Ended |
Sep. 30, 2017 | |
INVESTMENTS IN AFFILIATED FUNDS | |
INVESTMENTS IN AFFILIATED FUNDS | 3. INVESTMENTS IN AFFILIATED FUNDS During the period ended September 30, 2017, the Fund held investments in the following six Affiliated Funds, and the respective Master Funds: (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 Affiliated Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Affiliated Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Affiliated Funds. In the process of rebalancing, the Fund’s allocation to any individual Affiliated Fund may range between 3% - 25% of the Fund’s NAV. During the period, the Fund had purchases of $14,850,000 and sales of $35,487,759 of investments in Affiliated Funds. The investment transactions were accounted for on trade date. The investments in the Affiliated 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 Affiliated Funds which approximates fair value. The fair value was net of all fees relating to the Affiliated Funds, paid or accrued. Additionally, FRM monitored the performance of the Affiliated 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 Affiliated Funds at and for the period ended September 30, 2017 are as follows: Percentage of Fair Value Profit (Loss) Cost Redemptions Blakeney % $ $ ) $ Weekly Campbell % ) Weekly CCP Core Macro* — — — Weekly Century CAT % ) Weekly Quantica MF % Weekly Silver % ) Weekly % $ $ ) $ * Affiliated Fund was redeemed in July 2017 and the Fund received proceeds of $11,922,759. The details of investments in Affiliated Funds at and for the year ended December 31, 2016 are as follows: Percentage of Fair Value Profit (Loss) Cost Redemptions Blakeney % $ $ ) $ Weekly Campbell % ) Weekly Carlisle* — — — Weekly CCP Core Macro % ) Weekly Century CAT** % ) Weekly Quantica MF % Weekly Silver % Weekly % $ $ ) $ * Affiliated Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ** Affiliated Fund purchased in March 2016. The details of investments in Affiliated Funds at and for the period ended September 30, 2016 are as follows: Percentage of Fair Value Profit (Loss) Cost Redemptions Blakeney % $ $ $ Weekly Campbell % ) Weekly Carlisle* — — — Weekly CCP Core Macro % Weekly Century CAT** % ) Weekly Quantica MF % Weekly Silver % Weekly % $ $ $ * Affiliated Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ** Affiliated Fund purchased in March 2016. As of September 30, 2017, December 31, 2016 and September 30, 2016, there are no investments held by the Affiliated Funds and the Affiliated 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 Affiliated Funds: As of September 30, 2017 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell CCP Core Macro — Century CAT Quantica MF Silver Total $ $ $ As of December 31, 2016 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell CCP Core Macro Century CAT Quantica MF Silver Total $ $ $ For the nine months ended September 30, 2017 Income (Loss) Commissions Expenses Net Blakeney $ ) $ — $ ) $ ) Campbell — ) ) CCP Core Macro# — ) Century CAT ) — ) ) Quantica MF — ) Silver ) — ) ) Total $ ) $ — $ ) $ ) For the nine months ended September 30, 2016 Income (Loss) Commissions Expenses Net Blakeney $ $ — $ ) $ Campbell ) — ) ) Carlisle## — ) CCP Core Macro — ) Century CAT### ) — ) ) Quantica MF — ) Silver — ) Total $ $ — $ ) $ # Affiliated Fund was redeemed in July 2017 and the Fund received proceeds of $11,922,759. ## Affiliated Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ### Affiliated Fund purchased in March 2016. |
FAIR VALUE OF INVESTMENTS
FAIR VALUE OF INVESTMENTS | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016, all of the investments were fair valued using the NAV as practical expedient of the Affiliated Funds. |
MARKET, CREDIT AND CONCENTRATIO
MARKET, CREDIT AND CONCENTRATION RISKS | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016, the Affiliated 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 Affiliated 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 Affiliated Funds and the brokers and counterparties which the Affiliated 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 Affiliated Funds are subject to the market and credit risk of the Affiliated Funds. Because the majority of the Fund’s capital is invested in the Affiliated Funds, any changes in the market conditions that would adversely affect the Affiliated Funds could significantly impact the solvency of the Fund. Currency Risk The Fund’s investments in the Affiliated Funds are subject to currency risk to the extent that the fair value or future cash flow of a financial instrument held by any Affiliated 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 Affiliated 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 | 9 Months Ended |
Sep. 30, 2017 | |
RELATED PARTY TRANSACTIONS | |
RELATED PARTY TRANSACTIONS | 6. RELATED PARTY TRANSACTIONS 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, Class I Units 1.1% per annum, Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum. Class D Units and Class M Units are not charged Management Fees. |
WEIGHTED AVERAGE UNITS
WEIGHTED AVERAGE UNITS | 9 Months Ended |
Sep. 30, 2017 | |
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 periods ended September 30, 2017 and 2016 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 | 9 Months Ended |
Sep. 30, 2017 | |
SUBSEQUENT EVENTS | |
SUBSEQUENT EVENTS | 8. SUBSEQUENT EVENTS For the period October 1, 2017 to November 9, 2017, the Fund has recorded redemptions of approximately $4,263,148. 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) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016, 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. |
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 Affiliated 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 — 2014. |
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 periods ended September 30, 2017 and 2016. |
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. |
INVESTMENTS IN AFFILIATED FUN18
INVESTMENTS IN AFFILIATED FUNDS (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
INVESTMENTS IN AFFILIATED FUNDS | |
Schedule of investments in Affiliated Funds | The details of investments in Affiliated Funds at and for the period ended September 30, 2017 are as follows: Percentage of Fair Value Profit (Loss) Cost Redemptions Blakeney % $ $ ) $ Weekly Campbell % ) Weekly CCP Core Macro* — — — Weekly Century CAT % ) Weekly Quantica MF % Weekly Silver % ) Weekly % $ $ ) $ * Affiliated Fund was redeemed in July 2017 and the Fund received proceeds of $11,922,759. The details of investments in Affiliated Funds at and for the year ended December 31, 2016 are as follows: Percentage of Fair Value Profit (Loss) Cost Redemptions Blakeney % $ $ ) $ Weekly Campbell % ) Weekly Carlisle* — — — Weekly CCP Core Macro % ) Weekly Century CAT** % ) Weekly Quantica MF % Weekly Silver % Weekly % $ $ ) $ * Affiliated Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ** Affiliated Fund purchased in March 2016. The details of investments in Affiliated Funds at and for the period ended September 30, 2016 are as follows: Percentage of Fair Value Profit (Loss) Cost Redemptions Blakeney % $ $ $ Weekly Campbell % ) Weekly Carlisle* — — — Weekly CCP Core Macro % Weekly Century CAT** % ) Weekly Quantica MF % Weekly Silver % Weekly % $ $ $ * Affiliated Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ** Affiliated Fund purchased in March 2016. |
Summary of financial information of Affiliated Funds | As of September 30, 2017 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell CCP Core Macro — Century CAT Quantica MF Silver Total $ $ $ As of December 31, 2016 Total Assets Total Liabilities Total Capital Blakeney $ $ $ Campbell CCP Core Macro Century CAT Quantica MF Silver Total $ $ $ For the nine months ended September 30, 2017 Income (Loss) Commissions Expenses Net Blakeney $ ) $ — $ ) $ ) Campbell — ) ) CCP Core Macro# — ) Century CAT ) — ) ) Quantica MF — ) Silver ) — ) ) Total $ ) $ — $ ) $ ) For the nine months ended September 30, 2016 Income (Loss) Commissions Expenses Net Blakeney $ $ — $ ) $ Campbell ) — ) ) Carlisle## — ) CCP Core Macro — ) Century CAT### ) — ) ) Quantica MF — ) Silver — ) Total $ $ — $ ) $ # Affiliated Fund was redeemed in July 2017 and the Fund received proceeds of $11,922,759. ## Affiliated Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829. ### Affiliated Fund purchased in March 2016. |
ORGANIZATION (Details)
ORGANIZATION (Details) - fund | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
ORGANIZATION | ||
Number of funds | 5 | 6 |
SIGNIFICANT ACCOUNTING POLICI20
SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Income Taxes | |||
Provision for income taxes | $ 0 | $ 0 | |
Distributions | |||
Distributions declared (in dollars per unit) | $ 0 | $ 0 | |
Subscriptions | |||
Notice period for subscription of units | 5 days | ||
Minimum | |||
Redemptions | |||
Notice period for redemption of units | 4 days |
INVESTMENTS IN AFFILIATED FUN21
INVESTMENTS IN AFFILIATED FUNDS - INVESTMENTS IN AFFILIATED FUNDS (Details) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Jul. 31, 2017USD ($) | Apr. 30, 2016USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)fund | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($) | |
Financial information by fund | |||||||
Number of investments in Affiliated Funds | fund | 6 | ||||||
Investment purchases | $ 14,850,000 | ||||||
Proceeds from investment sales | $ 35,487,759 | ||||||
Percentage of Members' Capital | 60.37% | 60.88% | 60.37% | 60.88% | 59.84% | ||
Fair Value | $ 46,043,329 | $ 81,593,332 | $ 46,043,329 | $ 81,593,332 | $ 68,779,867 | ||
Profit (Loss) | 1,625,790 | (4,168,157) | (2,098,779) | 2,603,950 | (4,216,929) | ||
Cost as of date | $ 51,383,318 | $ 84,558,480 | $ 51,383,318 | $ 84,558,480 | $ 77,057,266 | ||
Minimum | |||||||
Financial information by fund | |||||||
Percentage of Members' Capital | 3.00% | 3.00% | |||||
Maximum | |||||||
Financial information by fund | |||||||
Percentage of Members' Capital | 25.00% | 25.00% | |||||
Blakeney | |||||||
Financial information by fund | |||||||
Percentage of Members' Capital | 15.83% | 11.42% | 15.83% | 11.42% | 11.13% | ||
Fair Value | $ 12,075,646 | $ 15,305,289 | $ 12,075,646 | $ 15,305,289 | $ 12,788,895 | ||
Profit (Loss) | (333,249) | 920,767 | (15,627) | ||||
Cost as of date | $ 12,947,824 | $ 15,012,428 | $ 12,947,824 | $ 15,012,428 | $ 13,427,752 | ||
Campbell | |||||||
Financial information by fund | |||||||
Percentage of Members' Capital | 10.59% | 9.85% | 10.59% | 9.85% | 9.33% | ||
Fair Value | $ 8,076,796 | $ 13,195,274 | $ 8,076,796 | $ 13,195,274 | $ 10,721,283 | ||
Profit (Loss) | (104,487) | (2,306,999) | (3,135,990) | ||||
Cost as of date | $ 9,368,978 | $ 15,305,273 | 9,368,978 | 15,305,273 | 13,028,816 | ||
Carlisle | |||||||
Financial information by fund | |||||||
Proceeds from investment sales | $ 8,826,829 | ||||||
Profit (Loss) | $ 656,058 | $ 713,644 | |||||
CCP Core Macro | |||||||
Financial information by fund | |||||||
Proceeds from investment sales | $ 11,922,759 | ||||||
Percentage of Members' Capital | 10.46% | 10.46% | 10.12% | ||||
Fair Value | $ 14,011,365 | $ 14,011,365 | $ 11,633,446 | ||||
Profit (Loss) | $ 289,313 | 432,707 | (425,212) | ||||
Cost as of date | $ 14,576,111 | $ 14,576,111 | $ 12,743,445 | ||||
Century CAT | |||||||
Financial information by fund | |||||||
Percentage of Members' Capital | 12.41% | 12.92% | 12.41% | 12.92% | 12.32% | ||
Fair Value | $ 9,462,769 | $ 17,314,786 | $ 9,462,769 | $ 17,314,786 | $ 14,163,692 | ||
Profit (Loss) | (540,923) | (750,214) | (2,881,308) | ||||
Cost as of date | $ 10,273,290 | $ 18,003,194 | $ 10,273,290 | $ 18,003,194 | $ 16,787,646 | ||
Quantica MF | |||||||
Financial information by fund | |||||||
Percentage of Members' Capital | 12.13% | 8.82% | 12.13% | 8.82% | 8.64% | ||
Fair Value | $ 9,252,916 | $ 11,817,405 | $ 9,252,916 | $ 11,817,405 | $ 9,934,794 | ||
Profit (Loss) | 493,122 | 1,932,671 | 1,510,060 | ||||
Cost as of date | $ 9,305,338 | $ 11,762,269 | $ 9,305,338 | $ 11,762,269 | $ 10,088,625 | ||
Silver | |||||||
Financial information by fund | |||||||
Percentage of Members' Capital | 9.41% | 7.41% | 9.41% | 7.41% | 8.30% | ||
Fair Value | $ 7,175,202 | $ 9,949,213 | $ 7,175,202 | $ 9,949,213 | $ 9,537,757 | ||
Profit (Loss) | (1,902,555) | 1,718,960 | 17,504 | ||||
Cost as of date | $ 9,487,888 | $ 9,899,205 | $ 9,487,888 | $ 9,899,205 | $ 10,980,982 |
INVESTMENTS IN AFFILIATED FUN22
INVESTMENTS IN AFFILIATED FUNDS - FINANCIAL INFORMATION OF AFFILIATED FUNDS (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Financial information by fund | |||||
Total Assets | $ 77,456,195 | $ 77,456,195 | $ 117,850,930 | ||
Total Liabilities | 1,182,788 | 1,182,788 | 2,912,636 | ||
Total Capital | 76,273,407 | 76,273,407 | 114,938,294 | ||
NET INCOME (LOSS) | 1,071,811 | $ (5,366,258) | (4,004,456) | $ (842,160) | |
Affiliated Funds | |||||
Financial information by fund | |||||
Total Assets | 46,750,587 | 46,750,587 | 69,530,678 | ||
Total Liabilities | 669,756 | 669,756 | 698,815 | ||
Total Capital | 46,080,831 | 46,080,831 | 68,831,863 | ||
Income (Loss) | (967,199) | 4,048,196 | |||
Expenses | (1,182,127) | (1,428,368) | |||
NET INCOME (LOSS) | (2,149,326) | 2,619,828 | |||
Blakeney | |||||
Financial information by fund | |||||
Total Assets | 12,236,197 | 12,236,197 | 12,939,371 | ||
Total Liabilities | 151,437 | 151,437 | 141,001 | ||
Total Capital | 12,084,760 | 12,084,760 | 12,798,370 | ||
Income (Loss) | (170,321) | 1,152,474 | |||
Expenses | (163,288) | (231,424) | |||
NET INCOME (LOSS) | (333,609) | 921,050 | |||
Campbell | |||||
Financial information by fund | |||||
Total Assets | 8,222,663 | 8,222,663 | 10,859,354 | ||
Total Liabilities | 138,327 | 138,327 | 130,341 | ||
Total Capital | 8,084,336 | 8,084,336 | 10,729,013 | ||
Income (Loss) | 30,417 | (2,094,662) | |||
Expenses | (135,094) | (213,503) | |||
NET INCOME (LOSS) | (104,677) | (2,308,165) | |||
Carlisle | |||||
Financial information by fund | |||||
Income (Loss) | 776,008 | ||||
Expenses | (115,102) | ||||
NET INCOME (LOSS) | 660,906 | ||||
CCP Core Macro | |||||
Financial information by fund | |||||
Total Assets | 47,271 | 47,271 | 11,744,051 | ||
Total Liabilities | 47,271 | 47,271 | 98,433 | ||
Total Capital | 11,645,618 | ||||
Income (Loss) | 703,735 | 861,020 | |||
Expenses | (462,658) | (420,957) | |||
NET INCOME (LOSS) | 241,077 | 440,063 | |||
Century CAT | |||||
Financial information by fund | |||||
Total Assets | 9,568,957 | 9,568,957 | 14,247,902 | ||
Total Liabilities | 98,356 | 98,356 | 75,923 | ||
Total Capital | 9,470,601 | 9,470,601 | 14,171,979 | ||
Income (Loss) | (396,185) | (626,473) | |||
Expenses | (145,190) | (120,840) | |||
NET INCOME (LOSS) | (541,375) | (747,313) | |||
Quantica MF | |||||
Financial information by fund | |||||
Total Assets | 9,403,998 | 9,403,998 | 10,069,651 | ||
Total Liabilities | 143,582 | 143,582 | 127,622 | ||
Total Capital | 9,260,416 | 9,260,416 | 9,942,029 | ||
Income (Loss) | 634,416 | 2,098,484 | |||
Expenses | (141,027) | (164,906) | |||
NET INCOME (LOSS) | 493,389 | 1,933,578 | |||
Silver | |||||
Financial information by fund | |||||
Total Assets | 7,318,772 | 7,318,772 | 9,670,349 | ||
Total Liabilities | 138,054 | 138,054 | 125,495 | ||
Total Capital | $ 7,180,718 | 7,180,718 | $ 9,544,854 | ||
Income (Loss) | (1,769,261) | 1,881,345 | |||
Expenses | (134,870) | (161,636) | |||
NET INCOME (LOSS) | $ (1,904,131) | $ 1,719,709 |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details) | 9 Months Ended |
Sep. 30, 2017 | |
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% |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) | 1 Months Ended |
Nov. 09, 2017USD ($) | |
Subsequent Events | |
Subsequent Events | |
Redemptions | $ 4,263,148 |