Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period endedSeptember 30, 2011
OR
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission File number:000-53764
SUPERFUND GOLD, L.P.
(Exact name of registrant as specified in charter)
Delaware | 98-0574019 (Series A); 98-0574020 (Series B) | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Superfund Office Building P.O. Box 1479 Grand Anse St. George’s, Grenada West Indies | Not applicable | |
(Address of principal executive offices) | (Zip Code) |
(473) 439-2418
(Registrant’s telephone number, including area code)
Not applicable
(Former name, former address and former fiscal year, if changed since last report)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large Accelerated Filer | ¨ | Accelerated Filer | ¨ | |||
Non-Accelerated Filer | ¨ (Do not check if a smaller reporting company) | Smaller Reporting Company | x |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x
Table of Contents
PART I - FINANCIAL INFORMATION
ITEM 1. | FINANCIAL STATEMENTS |
The following unaudited financial statements of Superfund Gold, L.P., Superfund Gold, L.P. Series A and Superfund Gold L.P. Series B are included in Item 1:
2
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UNAUDITED STATEMENTS OF ASSETS AND LIABILITIES
as of September 30, 2011 and December 31, 2010
September 30, 2011 | December 31, 2010 | |||||||
ASSETS | ||||||||
U.S. Government securities, at fair value (amortized cost of $7,300,000 and $9,598,087 as of September 30, 2011 and December 31, 2010, respectively) | $ | 7,300,000 | $ | 9,598,087 | ||||
Due from brokers | 17,752,295 | 12,805,431 | ||||||
Futures contracts purchased | — | 2,832,921 | ||||||
Unrealized appreciation on open forward contracts | 324,150 | 224,585 | ||||||
Futures contracts sold | 2,143,263 | — | ||||||
Cash | 4,627,033 | 3,630,425 | ||||||
Due from affiliate | — | 5,599 | ||||||
|
|
|
| |||||
Total assets | 32,146,741 | 29,097,048 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Unrealized depreciation on open forward contracts | 238,220 | 36,460 | ||||||
Futures contracts sold | — | 349,805 | ||||||
Futures contracts purchased | 441,050 | — | ||||||
Subscriptions received in advance | 1,371,600 | 1,289,417 | ||||||
Redemptions payable | 264,396 | 236,327 | ||||||
Incentive fee | — | 409,223 | ||||||
Management fee | 56,376 | 51,406 | ||||||
Fees payable | 54,995 | 49,185 | ||||||
|
|
|
| |||||
Total liabilities | 2,426,637 | 2,421,823 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 29,720,104 | $ | 26,675,225 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
3
Table of Contents
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of September 30, 2011
Face Value | Percentage of Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due November 25, 2011 (amortized cost $7,300,000), securities are held in margin accounts as collateral for open futures and forwards | $ | 7,300,000 | 24.6 | % | $ | 7,300,000 | ||||||
|
|
|
| |||||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 1.1 | 324,150 | ||||||||||
|
|
|
| |||||||||
Total unrealized appreciation on forward contracts | 1.1 | 324,150 | ||||||||||
|
|
|
| |||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.8 | ) | (238,220 | ) | ||||||||
|
|
|
| |||||||||
Total unrealized depreciation on forward contracts | (0.8 | ) | (238,220 | ) | ||||||||
|
|
|
| |||||||||
Total forward contracts, at fair value | 0.3 | % | $ | 85,930 | ||||||||
|
|
|
| |||||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | (0.2 | )% | $ | (63,451 | ) | |||||||
Financial | (0.6 | ) | (169,549 | ) | ||||||||
Food & Fiber | (0.1 | ) | (43,277 | ) | ||||||||
Indices | (0.3 | ) | (91,888 | ) | ||||||||
Livestock | 0.0 | * | 8,140 | |||||||||
Metals | (0.3 | ) | (81,025 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts purchased | (1.5 | ) | (441,050 | ) | ||||||||
|
|
|
| |||||||||
Futures contracts sold | ||||||||||||
Currency | 0.8 | 230,377 | ||||||||||
Energy | 4.2 | 1,250,921 | ||||||||||
Financial | 0.5 | 139,943 | ||||||||||
Food & Fiber | 0.9 | 276,902 | ||||||||||
Indices | (0.1 | ) | (16,535 | ) | ||||||||
Metals | 0.9 | 261,655 | ||||||||||
|
|
|
| |||||||||
Total futures contracts sold | 7.2 | 2,143,263 | ||||||||||
|
|
|
| |||||||||
Total futures contracts, at fair value | 5.7 | % | $ | 1,702,213 | ||||||||
|
|
|
| |||||||||
Futures and forward contracts by country composition | ||||||||||||
Australia | (0.0 | )*% | $ | (14,382 | ) | |||||||
European Monetary Union | 0.4 | 105,374 | ||||||||||
Great Britain | 0.2 | 47,153 | ||||||||||
Japan | (0.7 | ) | (212,146 | ) | ||||||||
United States | 5.4 | 1,609,962 | ||||||||||
Other | 0.8 | 252,182 | ||||||||||
|
|
|
| |||||||||
Total futures and forward contracts by country | 6.0 | % | $ | 1,788,143 | ||||||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
4
Table of Contents
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2010
Face Value | Percentage of Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 24, 2011 (amortized cost $9,598,087), securities are held in margin accounts as collateral for open futures and forwards | $ | 9,600,000 | 36.0 | % | $ | 9,598,087 | ||||||
|
|
|
| |||||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.8 | 224,585 | ||||||||||
|
|
|
| |||||||||
Total unrealized appreciation on forward contracts | 0.8 | 224,585 | ||||||||||
|
|
|
| |||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.1 | ) | (36,460 | ) | ||||||||
|
|
|
| |||||||||
Total unrealized depreciation on forward contracts | (0.1 | ) | (36,460 | ) | ||||||||
|
|
|
| |||||||||
Total forward contracts, at fair value | 0.7 | % | $ | 188,125 | ||||||||
|
|
|
| |||||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | 1.9 | % | $ | 484,663 | ||||||||
Energy | 0.4 | 110,783 | ||||||||||
Financial | 0.5 | 127,537 | ||||||||||
Food & Fiber | 0.7 | 194,250 | ||||||||||
Indices | 0.4 | 114,065 | ||||||||||
Livestock | 0.3 | 92,460 | ||||||||||
Metals | ||||||||||||
233 contracts of CMX Gold expiring February 2011 | 4.0 | 1,067,060 | ||||||||||
Other | 2.4 | 642,103 | ||||||||||
|
|
|
| |||||||||
Total Metals | 6.4 | 1,709,163 | ||||||||||
|
|
|
| |||||||||
Total futures contracts purchased | 10.6 | 2,832,921 | ||||||||||
|
|
|
| |||||||||
Futures contracts sold | ||||||||||||
Currency | 0.1 | 33,694 | ||||||||||
Energy | (0.1 | ) | (30,980 | ) | ||||||||
Financial | (0.1 | ) | (22,344 | ) | ||||||||
Indices | 0.1 | 23,963 | ||||||||||
Metals | (1.3 | ) | (354,138 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts sold | (1.3 | ) | (349,805 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts, at fair value | 9.3 | % | $ | 2,483,116 | ||||||||
|
|
|
| |||||||||
Futures and forward contracts by country composition | ||||||||||||
Australian | 0.0 | *% | $ | 3,134 | ||||||||
European Monetary Union | 0.3 | 81,278 | ||||||||||
Great Britain | 0.3 | 72,763 | ||||||||||
Japan | 0.8 | 210,666 | ||||||||||
United States | 6.4 | 1,729,526 | ||||||||||
Other | 2.2 | 573,874 | ||||||||||
|
|
|
| |||||||||
Total futures and forward contracts by country | 10.0 | % | $ | 2,671,241 | ||||||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
5
Table of Contents
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 2,232 | $ | 5,834 | $ | 10,645 | $ | 6,886 | ||||||||
Other Income | — | — | — | 5,599 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total income | 2,232 | 5,834 | 10,645 | 12,485 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Brokerage commissions | 115,714 | 108,708 | 410,721 | 360,940 | ||||||||||||
Management fee | 177,498 | 98,218 | 505,376 | 285,529 | ||||||||||||
Selling commission | 113,580 | 1,658 | 322,540 | 31,461 | ||||||||||||
Incentive fee | — | 60,660 | 648,939 | 184,041 | ||||||||||||
Operating expenses | 59,166 | 32,739 | 168,456 | 95,176 | ||||||||||||
Other | 6,314 | 753 | 15,479 | 1,609 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 472,272 | 302,736 | 2,071,511 | 958,756 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment loss | (470,040 | ) | (296,902 | ) | (2,060,866 | ) | (946,271 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain on futures and forward contracts | 2,261,814 | 126,903 | 6,411,015 | 367,343 | ||||||||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts: | 1,682,395 | 2,285,571 | (883,098 | ) | 4,748,609 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain on investments | 3,944,209 | 2,412,474 | 5,527,917 | 5,115,952 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations | $ | 3,474,169 | $ | 2,115,572 | $ | 3,467,051 | $ | 4,169,681 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to unaudited financial statements.
6
Table of Contents
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Nine Months Ended | ||||||||
September 30, | ||||||||
2011 | 2010 | |||||||
Increase in net assets from operations | ||||||||
Net investment loss | $ | (2,060,866 | ) | $ | (946,271 | ) | ||
Net realized gain on futures and forward contracts | 6,411,015 | 367,343 | ||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (883,098 | ) | 4,748,609 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 3,467,051 | 4,169,681 | ||||||
|
|
|
| |||||
Capital share transactions | ||||||||
Issuance of Units | 8,149,507 | 8,354,127 | ||||||
Redemption of Units | (8,571,679 | ) | (4,813,729 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital share transactions | (422,172 | ) | 3,540,398 | |||||
|
|
|
| |||||
Net increase in net assets | 3,044,879 | 7,710,079 | ||||||
Net assets, beginning of period | 26,675,225 | 12,153,932 | ||||||
|
|
|
| |||||
Net assets, end of period | $ | 29,720,104 | $ | 19,864,011 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
7
Table of Contents
UNAUDITED STATEMENTS OF CASH FLOWS
Nine Months Ended | ||||||||
September 30, | ||||||||
2011 | 2010 | |||||||
Cash flows from operating activities | ||||||||
Net increase in net assets from operations | $ | 3,467,051 | $ | 4,169,681 | ||||
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Purchases of U.S. government securities | (27,546,385 | ) | (19,693,586 | ) | ||||
Maturities of U.S. government securities | 29,848,550 | 18,850,000 | ||||||
Amortization of discounts and premiums | (4,078 | ) | (5,229 | ) | ||||
Due from brokers | (4,946,864 | ) | (564,214 | ) | ||||
Due from affiliate | 5,599 | (207,207 | ) | |||||
Unrealized appreciation on open forward contracts | (99,565 | ) | (50,022 | ) | ||||
Unrealized depreciation on open forward contracts | 201,760 | (4,429,973 | ) | |||||
Futures contracts purchased | 3,273,971 | (61,407 | ) | |||||
Futures contracts sold | (2,493,068 | ) | 1,658 | |||||
Incentive fee | (409,223 | ) | — | |||||
Due to affiliate | — | (5,599 | ) | |||||
Management fees payable | 4,970 | 14,804 | ||||||
Fees payable | 5,810 | 13,539 | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 1,308,528 | (1,967,555 | ) | |||||
|
|
|
| |||||
Cash flows from financing activities | ||||||||
Subscriptions, net of change in advance subscriptions | 8,231,690 | 7,241,447 | ||||||
Redemptions, net of change in redemptions payable | (8,543,610 | ) | (4,653,660 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (311,920 | ) | 2,587,787 | |||||
|
|
|
| |||||
Net increase in cash | 996,608 | 620,232 | ||||||
Cash, beginning of period | 3,630,425 | 2,672,099 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 4,627,033 | $ | 3,292,331 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
8
Table of Contents
SUPERFUND GOLD, L.P. - SERIES A
UNAUDITED STATEMENTS OF ASSETS AND LIABILITIES
as of September 30, 2011 and December 31, 2010
September 30, 2011 | December 31, 2010 | |||||||
ASSETS | ||||||||
U.S. Government securities, at fair value (amortized cost of $4,200,000 and $4,949,019 as of September 30, 2011 and December 31, 2010, respectively) | $ | 4,200,000 | $ | 4,949,019 | ||||
Due from brokers | 10,266,861 | 6,513,798 | ||||||
Futures contracts purchased | — | 1,271,946 | ||||||
Unrealized appreciation on open forward contracts | 162,075 | 95,755 | ||||||
Futures contracts sold | 1,075,785 | — | ||||||
Cash | 4,115,678 | 2,215,532 | ||||||
Due from affiliate | — | 5,599 | ||||||
|
|
|
| |||||
Total assets | 19,820,399 | 15,051,649 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Unrealized depreciation on open forward contracts | 120,339 | 13,857 | ||||||
Futures contracts sold | — | 143,844 | ||||||
Futures contracts purchased | 276,396 | — | ||||||
Subscriptions received in advance | 1,076,700 | 882,330 | ||||||
Redemptions payable | 226,418 | 42,447 | ||||||
Incentive fee | — | 198,986 | ||||||
Management fee | 34,347 | 26,272 | ||||||
Fees payable | 35,971 | 27,222 | ||||||
|
|
|
| |||||
Total liabilities | 1,770,171 | 1,334,958 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 18,050,228 | $ | 13,716,691 | ||||
|
|
|
| |||||
Superfund Gold, L.P. Series A-1 Net Assets | $ | 14,453,996 | $ | 10,835,030 | ||||
|
|
|
| |||||
Number of Units Series A-1 outstanding | 8,235.777 | 6,916.044 | ||||||
|
|
|
| |||||
Superfund Gold, L.P. Series A-1 Net Asset Value per Unit | $ | 1,755.03 | $ | 1,566.65 | ||||
|
|
|
| |||||
Superfund Gold, L.P. Series A-2 Net Assets | $ | 3,596,232 | $ | 2,881,661 | ||||
|
|
|
| |||||
Number of Units Series A-2 outstanding | 1,895.373 | 1,724.508 | ||||||
|
|
|
| |||||
Superfund Gold, L.P. Series A-2 Net Asset Value per Unit | $ | 1,897.37 | $ | 1,671.00 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
9
Table of Contents
SUPERFUND GOLD, L.P. - SERIES A
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of September 30, 2011
Face Value | Percentage of Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due November 25, 2011 (amortized cost $4,200,000), securities are held in margin accounts as collateral for open futures and forwards | $ | 4,200,000 | 23.3 | % | $ | 4,200,000 | ||||||
|
|
|
| |||||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.9 | 162,075 | ||||||||||
|
|
|
| |||||||||
Total unrealized appreciation on forward contracts | 0.9 | 162,075 | ||||||||||
|
|
|
| |||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.7 | ) | (120,339 | ) | ||||||||
|
|
|
| |||||||||
Total unrealized depreciation on forward contracts | (0.7 | ) | (120,339 | ) | ||||||||
|
|
|
| |||||||||
Total forward contracts, at fair value | 0.2 | % | $ | 41,736 | ||||||||
|
|
|
| |||||||||
Futures contracts, at fair value | ||||||||||||
Futures Contracts Purchased | ||||||||||||
Currency | (0.2 | )% | $ | (32,138 | ) | |||||||
Financial | (0.5 | ) | (87,783 | ) | ||||||||
Food & Fiber | (0.1 | ) | (23,307 | ) | ||||||||
Indices | (0.3 | ) | (45,680 | ) | ||||||||
Livestock | 0.0 | * | 4,150 | |||||||||
Metals | (0.5 | ) | (91,638 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts purchased | (1.6 | ) | (276,396 | ) | ||||||||
|
|
|
| |||||||||
Futures Contracts Sold | ||||||||||||
Currency | 0.6 | 115,266 | ||||||||||
Energy | 3.5 | 628,441 | ||||||||||
Financial | 0.4 | 72,332 | ||||||||||
Food & Fiber | 0.8 | 137,703 | ||||||||||
Indices | (0.0 | )* | (7,298 | ) | ||||||||
Metals | 0.7 | 129,341 | ||||||||||
|
|
|
| |||||||||
Total futures contracts sold | 6.0 | 1,075,785 | ||||||||||
|
|
|
| |||||||||
Total futures contracts, at fair value | 4.4 | % | $ | 799,389 | ||||||||
|
|
|
| |||||||||
Futures and forward contracts by country composition | ||||||||||||
Australia | (0.1 | )% | $ | (8,216 | ) | |||||||
European Monetary Union | 0.3 | 53,109 | ||||||||||
Great Britain | 0.1 | 25,246 | ||||||||||
Japan | (0.6 | ) | (110,517 | ) | ||||||||
United States | 4.2 | 754,120 | ||||||||||
Other | 0.7 | 127,383 | ||||||||||
|
|
|
| |||||||||
Total futures and forward contracts by country | 4.6 | % | $ | 841,125 | ||||||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
10
Table of Contents
SUPERFUND GOLD, L.P. - SERIES A
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2010
Face Value | Percentage of Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 24, 2011 (amortized cost $4,949,019), securities are held in margin accounts as collateral for open futures and forwards | $ | 4,950,000 | 36.1 | % | $ | 4,949,019 | ||||||
|
|
|
| |||||||||
Futures Contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.7 | 95,755 | ||||||||||
|
|
|
| |||||||||
Total unrealized appreciation on forward contracts | 0.7 | 95,755 | ||||||||||
|
|
|
| |||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.1 | ) | (13,857 | ) | ||||||||
|
|
|
| |||||||||
Total unrealized depreciation on forward contracts | (0.1 | ) | (13,857 | ) | ||||||||
|
|
|
| |||||||||
Total forward contracts, at fair value | 0.6 | % | $ | 81,898 | ||||||||
|
|
|
| |||||||||
Futures Contracts, at fair value | ||||||||||||
Futures Contracts Purchased | ||||||||||||
Currency | 1.5 | % | $ | 208,888 | ||||||||
Energy | 0.3 | 44,259 | ||||||||||
Financial | 0.4 | 55,066 | ||||||||||
Food & Fiber | 0.6 | 81,781 | ||||||||||
Indices | 0.4 | 46,624 | ||||||||||
Livestock | 0.3 | 40,970 | ||||||||||
Metals | ||||||||||||
116 contracts of CMX Gold expiring February 2011 | 3.9 | 528,140 | ||||||||||
Other | 1.9 | 266,218 | ||||||||||
|
|
|
| |||||||||
Total Metals | 5.8 | 794,358 | ||||||||||
|
|
|
| |||||||||
Total futures contracts purchased | 9.3 | 1,271,946 | ||||||||||
|
|
|
| |||||||||
Futures Contracts Sold | ||||||||||||
Currency | 0.1 | 14,250 | ||||||||||
Energy | (0.1 | ) | (12,190 | ) | ||||||||
Financial | (0.1 | ) | (10,607 | ) | ||||||||
Indices | 0.1 | 9,628 | ||||||||||
Metals | (1.1 | ) | (144,925 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts sold | (1.1 | ) | (143,844 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts, at fair value | 8.2 | % | $ | 1,128,102 | ||||||||
|
|
|
| |||||||||
Futures contracts by country composition | ||||||||||||
Australia | 0.0 | *% | $ | 1,134 | ||||||||
European Monetary Union | 0.2 | 32,375 | ||||||||||
Great Britain | 0.2 | 30,179 | ||||||||||
Japan | 0.7 | 92,656 | ||||||||||
United States | 5.9 | 808,405 | ||||||||||
Other | 1.8 | 245,251 | ||||||||||
|
|
|
| |||||||||
Total futures contracts by country | 8.8 | % | $ | 1,210,000 | ||||||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
11
Table of Contents
SUPERFUND GOLD, L.P. - SERIES A
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 1,330 | $ | 3,232 | $ | 5,365 | $ | 4,152 | ||||||||
Other income | — | — | — | 5,599 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total income | 1,330 | 3,232 | 5,365 | 9,751 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Brokerage commissions | 57,575 | 49,471 | 186,379 | 121,429 | ||||||||||||
Management fee | 105,613 | 44,963 | 279,880 | 112,931 | ||||||||||||
Selling commission | 75,744 | 1,658 | 198,842 | 31,461 | ||||||||||||
Incentive fee | — | 33,976 | 243,449 | 84,151 | ||||||||||||
Operating expenses | 35,204 | 16,490 | 93,293 | 40,476 | ||||||||||||
Other | 2,071 | 51 | 5,524 | 97 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 276,207 | 146,609 | 1,007,367 | 390,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment loss | (274,877 | ) | (143,377 | ) | (1,002,002 | ) | (380,794 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain (loss) on futures and forward contracts | 1,275,578 | (14,612 | ) | 3,190,579 | 292,714 | |||||||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts: | 812,130 | 1,195,710 | (368,875 | ) | 2,059,263 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain on investments | 2,087,708 | 1,181,098 | 2,821,704 | 2,351,977 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations | $ | 1,812,831 | $ | 1,037,721 | $ | 1,819,702 | $ | 1,971,183 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of units outstanding during period) for Series A-1* | $ | 180.47 | $ | 142.90 | $ | 183.05 | $ | 317.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per unit during period) for Series A-1 | $ | 190.76 | $ | 130.74 | $ | 188.38 | $ | 274.93 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of units outstanding during period) for Series A-2** | $ | 191.48 | $ | 159.39 | $ | 204.67 | $ | 353.62 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per unit during period) for Series A-2 | $ | 214.69 | $ | 144.55 | $ | 226.37 | $ | 305.38 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to unaudited financial statements.
* | Weighted average number of Units outstanding for Series A-1 for the Three Months Ended September 30, 2011 and September 30, 2010: 8,122.38 and 5,546.27, respectively; and for the Nine Months Ended September 30, 2011 and September 30, 2010: 7,871.84 and 4,790.29, respectively. |
** | Weighted average number of Units outstanding for Series A-2 for the Three Months Ended September 30, 2011 and September 30, 2010: 1,811.97 and 1,538.13, respectively; and for the Nine Months Ended September 30, 2011 and September 30, 2010: 1,850.80 and 1,277.94, respectively. |
12
Table of Contents
SUPERFUND GOLD, L.P. - SERIES A
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Nine Months Ended September 30, | ||||||||
2011 | 2010 | |||||||
Increase in net assets from operations | ||||||||
Net investment loss | $ | (1,002,002 | ) | $ | (380,794 | ) | ||
Net realized gain on futures and forward contracts | 3,190,579 | 292,714 | ||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (368,875 | ) | 2,059,263 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 1,819,702 | 1,971,183 | ||||||
Capital share transactions | ||||||||
Issuance of Units | 6,077,919 | 5,624,810 | ||||||
Redemption of Units | (3,564,084 | ) | (1,035,998 | ) | ||||
|
|
|
| |||||
Net increase in net assets from capital share transactions | 2,513,835 | 4,588,812 | ||||||
Net increase in net assets | 4,333,537 | 6,559,995 | ||||||
Net assets, beginning of period | 13,716,691 | 3,434,355 | ||||||
|
|
|
| |||||
Net assets, end of period | $ | 18,050,228 | $ | 9,994,350 | ||||
|
|
|
| |||||
Series A-1 Units, beginning of period | 6,916.044 | 2,388.395 | ||||||
Issuance of Series A-1 Units | 2,965.586 | 4,204.975 | ||||||
Redemption of Series A-1 Units | (1,645.853 | ) | (805.310 | ) | ||||
|
|
|
| |||||
Series A-1 Units, end of period | 8,235.777 | 5,788.060 | ||||||
|
|
|
| |||||
Series A-2 Units, beginning of period | 1,724.508 | 818.846 | ||||||
Issuance of Series A-2 Units | 691.201 | 840.459 | ||||||
Redemption of Series A-2 Units | (520.336 | ) | (46.021 | ) | ||||
|
|
|
| |||||
Series A-2 Units, end of period | 1,895.373 | 1,613.284 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
13
Table of Contents
SUPERFUND GOLD, L.P. - SERIES A
UNAUDITED STATEMENTS OF CASH FLOWS
Nine Months Ended September 30, | ||||||||
2011 | 2010 | |||||||
Cash flows from operating activities | ||||||||
Net increase in net assets from operations | $ | 1,819,702 | $ | 1,971,183 | ||||
Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Purchases of U.S. government securities | (14,448,163 | ) | (7,947,364 | ) | ||||
Maturities of U.S. government securities | 15,199,271 | 6,300,000 | ||||||
Amortization of discounts and premiums | (2,089 | ) | (2,029 | ) | ||||
Due from brokers | (3,753,063 | ) | (1,434,448 | ) | ||||
Due from affiliate | 5,599 | (5,599 | ) | |||||
Unrealized appreciation on open forward contracts | (66,320 | ) | (124,343 | ) | ||||
Unrealized depreciation on open forward contracts | 106,482 | 40,358 | ||||||
Futures contracts purchased | 1,548,342 | (1,946,475 | ) | |||||
Futures contracts sold | (1,219,629 | ) | (28,803 | ) | ||||
Incentive Fee | (198,986 | ) | 1,658 | |||||
Management fees payable | 8,075 | 12,570 | ||||||
Fees payable | 8,749 | 13,066 | ||||||
|
|
|
| |||||
Net cash used in operating activities | (992,030 | ) | (3,150,226 | ) | ||||
|
|
|
| |||||
Cash flows from financing activities | ||||||||
Subscriptions, net of change in advance subscriptions | 6,272,289 | 4,844,310 | ||||||
Redemptions, net of change in redemptions payable | (3,380,113 | ) | (913,807 | ) | ||||
|
|
|
| |||||
Net cash provided by financing activities | 2,892,176 | 3,930,503 | ||||||
|
|
|
| |||||
Net increase in cash | 1,900,146 | 780,277 | ||||||
Cash, beginning of period | 2,215,532 | 1,739,581 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 4,115,678 | $ | 2,519,858 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
14
Table of Contents
SUPERFUND GOLD, L.P. - SERIES B
UNAUDITED STATEMENTS OF ASSETS AND LIABILITIES
as of September 30, 2011 and December 31, 2010
September 30, 2011 | December 31, 2010 | |||||||
ASSETS | ||||||||
U.S. Government securities,at fair value, (amortized cost of $3,100,000 and $4,649,068 as of September 30, 2011 and December 31, 2010, respectively) | $ | 3,100,000 | $ | 4,649,068 | ||||
Due from brokers | 7,485,434 | 6,291,633 | ||||||
Futures contracts purchased | — | 1,560,975 | ||||||
Unrealized appreciation on open forward contracts | 162,075 | 128,830 | ||||||
Futures contracts sold | 1,067,478 | — | ||||||
Cash | 511,355 | 1,414,893 | ||||||
|
|
|
| |||||
Total assets | 12,326,342 | 14,045,399 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Unrealized depreciation on open forward contracts | 117,881 | 22,603 | ||||||
Futures contracts sold | — | 205,961 | ||||||
Futures contracts purchased | 164,654 | — | ||||||
Subscriptions received in advance | 294,900 | 407,087 | ||||||
Redemptions payable | 37,978 | 193,880 | ||||||
Incentive fee | — | 210,237 | ||||||
Management fee | 22,029 | 25,134 | ||||||
Fees payable | 19,024 | 21,963 | ||||||
|
|
|
| |||||
Total liabilities | 656,466 | 1,086,865 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 11,669,876 | $ | 12,958,534 | ||||
|
|
|
| |||||
Superfund Gold, L.P. Series B-1 Net Assets | $ | 6,941,661 | $ | 7,815,597 | ||||
|
|
|
| |||||
Number of Units Series B-1 outstanding | 4,534.435 | 5,784.122 | ||||||
|
|
|
| |||||
Superfund Gold, L.P. Series B-1 Net Asset Value per Unit | $ | 1,530.88 | $ | 1,351.21 | ||||
|
|
|
| |||||
Superfund Gold, L.P. Series B-2 Net Assets | $ | 4,728,215 | $ | 5,142,937 | ||||
|
|
|
| |||||
Number of Units Series B-2 outstanding | 2,962.607 | 3,700.480 | ||||||
|
|
|
| |||||
Superfund Gold, L.P. Series B-2 Net Asset Value per Unit | $ | 1,595.96 | $ | 1,389.80 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
15
Table of Contents
SUPERFUND GOLD, L.P. - SERIES B
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of September 30, 2011
Face Value | Percentage of Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due November 25, 2011 (amortized cost $3,100,000), securities are held in margin accounts as collateral for open futures and forwards | $ | 3,100,000 | 26.6 | % | $ | 3,100,000 | ||||||
|
|
|
| |||||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 1.4 | 162,075 | ||||||||||
|
|
|
| |||||||||
Total unrealized appreciation on forward contracts | 1.4 | 162,075 | ||||||||||
|
|
|
| |||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (1.0 | ) | (117,881 | ) | ||||||||
|
|
|
| |||||||||
Total unrealized depreciation on forward contracts | (1.0 | ) | (117,881 | ) | ||||||||
|
|
|
| |||||||||
Total forward contracts, at fair value | 0.4 | % | $ | 44,194 | ||||||||
|
|
|
| |||||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | (0.3 | )% | $ | (31,313 | ) | |||||||
Financial | (0.7 | ) | (81,766 | ) | ||||||||
Food & Fiber | (0.2 | ) | (19,970 | ) | ||||||||
Indices | (0.4 | ) | (46,208 | ) | ||||||||
Livestock | 0.0 | * | 3,990 | |||||||||
Metals | 0.1 | 10,613 | ||||||||||
|
|
|
| |||||||||
Total futures contracts purchased | (1.5 | ) | (164,654 | ) | ||||||||
|
|
|
| |||||||||
Futures contracts sold | ||||||||||||
Currency | 1.0 | 115,111 | ||||||||||
Energy | 5.3 | 622,480 | ||||||||||
Financial | 0.6 | 67,611 | ||||||||||
Food & Fiber | 1.2 | 139,199 | ||||||||||
Indices | (0.1 | ) | (9,237 | ) | ||||||||
Metals | 1.1 | 132,314 | ||||||||||
|
|
|
| |||||||||
Total futures contracts sold | 9.1 | 1,067,478 | ||||||||||
|
|
|
| |||||||||
Total futures contracts, at fair value | 7.6 | % | $ | 902,824 | ||||||||
|
|
|
| |||||||||
Futures and forward contracts by country composition | ||||||||||||
Australia | (0.1 | )% | $ | (6,166 | ) | |||||||
European Monetary Union | 0.4 | 52,265 | ||||||||||
Great Britain | 0.2 | 21,907 | ||||||||||
Japan | (0.9 | ) | (101,629 | ) | ||||||||
United States | 7.3 | 855,842 | ||||||||||
Other | 1.1 | 124,799 | ||||||||||
|
|
|
| |||||||||
Total futures and forward contracts by country | 8.0 | % | $ | 947,018 | ||||||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
16
Table of Contents
SUPERFUND GOLD, L.P. - SERIES B
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2010
Face Value | Percentage of Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 24, 2011 (amortized cost $4,649,068), securities are held in margin accounts as collateral for open futures and forwards | ||||||||||||
$ | 4,650,000 | 35.9 | % | $ | 4,649,068 | |||||||
|
|
|
| |||||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 1.0 | 128,830 | ||||||||||
|
|
|
| |||||||||
Total unrealized appreciation on forward contracts | 1.0 | 128,830 | ||||||||||
|
|
|
| |||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.2 | ) | (22,603 | ) | ||||||||
|
|
|
| |||||||||
Total unrealized depreciation on forward contracts | (0.2 | ) | (22,603 | ) | ||||||||
|
|
|
| |||||||||
Total forward contracts, at fair value | 0.8 | % | $ | 106,227 | ||||||||
|
|
|
| |||||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | 2.1 | % | $ | 275,775 | ||||||||
Energy | 0.5 | 66,524 | ||||||||||
Financial | 0.6 | 72,471 | ||||||||||
Food & Fiber | 0.9 | 112,469 | ||||||||||
Indices | 0.5 | 67,441 | ||||||||||
Livestock | 0.4 | 51,490 | ||||||||||
Metals | ||||||||||||
117 contracts of CMX Gold expiring February 2011 | 4.2 | 538,920 | ||||||||||
Other | 2.9 | 375,885 | ||||||||||
|
|
|
| |||||||||
Total Metals | 7.1 | 914,805 | ||||||||||
|
|
|
| |||||||||
Total futures contracts purchased | 12.1 | 1,560,975 | ||||||||||
|
|
|
| |||||||||
Futures contracts sold | ||||||||||||
Currency | 0.2 | 19,444 | ||||||||||
Energy | (0.1 | ) | (18,790 | ) | ||||||||
Financial | (0.1 | ) | (11,737 | ) | ||||||||
Indices | 0.1 | 14,335 | ||||||||||
Metals | (1.6 | ) | (209,213 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts sold | (1.5 | ) | (205,961 | ) | ||||||||
|
|
|
| |||||||||
Total futures contracts, at fair value | 10.6 | % | $ | 1,355,014 | ||||||||
|
|
|
| |||||||||
Futures and forward contracts by country composition | ||||||||||||
Australia | 0.0 | *% | $ | 2,000 | ||||||||
European Monetary Union | 0.5 | 48,903 | ||||||||||
Great Britain | 0.3 | 42,584 | ||||||||||
Japan | 0.9 | 118,010 | ||||||||||
United States | 7.1 | 921,121 | ||||||||||
Other | 2.6 | 328,623 | ||||||||||
|
|
|
| |||||||||
Total futures and forward contracts by country | 11.4 | % | $ | 1,461,241 | ||||||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
17
Table of Contents
SUPERFUND GOLD, L.P. - SERIES B
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 902 | $ | 2,602 | $ | 5,280 | $ | 2,734 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total income | 902 | 2,602 | 5,280 | 2,734 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Brokerage commissions | 58,139 | 63,745 | 224,342 | 248,009 | ||||||||||||
Management fee | 71,885 | 48,747 | 225,496 | 164,100 | ||||||||||||
Selling commission | 37,836 | 26,684 | 123,698 | 99,890 | ||||||||||||
Incentive Fee | — | — | 405,490 | — | ||||||||||||
Operating expenses | 23,962 | 16,249 | 75,163 | 54,700 | ||||||||||||
Other | 4,243 | 702 | 9,955 | 1,512 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 196,065 | 156,127 | 1,064,144 | 568,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment loss | (195,163 | ) | (153,525 | ) | (1,058,864 | ) | (565,477 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain on futures and forward contracts | 986,236 | 141,515 | 3,220,436 | 74,629 | ||||||||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts: | 870,265 | 1,089,861 | (514,223 | ) | 2,689,346 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain on investments | 1,856,501 | 1,231,376 | 2,706,213 | 2,763,975 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations | $ | 1,661,338 | $ | 1,077,851 | $ | 1,647,349 | $ | 2,198,498 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of units outstanding during period) for Series B-1* | $ | 205.46 | $ | 116.01 | $ | 161.94 | $ | 202.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per unit during period) for Series B-1 | $ | 195.61 | $ | 110.06 | $ | 179.66 | $ | 194.28 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of units outstanding during period) for Series B-2** | $ | 229.20 | $ | 129.47 | $ | 212.79 | $ | 237.65 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per unit during period) for Series B-2 | $ | 210.88 | $ | 118.35 | $ | 206.16 | $ | 213.66 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to unaudited financial statements.
* | Weighted average number of Units outstanding for Series B-1 for the Three Months Ended September 30, 2011 and September 30, 2010: 4,648.34 and 5,549.68, respectively; and for the Nine Months Ended September 30, 2011 and September 30, 2010: 5,696.03 and 7,177.88, respectively. |
** | Weighted average number of Units outstanding for Series B-2 for the Three Months Ended September 30, 2011 and September 30, 2010: 3,081.49 and 3,352.32, respectively; for the Nine Months Ended September 30, 2011 and September 30, 2010: 3,406.81 and 3,195.81, respectively. |
18
Table of Contents
SUPERFUND GOLD, L.P. - SERIES B
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Nine Months Ended September 30, | ||||||||
2011 | 2010 | |||||||
Increase in net assets from operations | ||||||||
Net investment loss | $ | (1,058,864 | ) | $ | (565,477 | ) | ||
Net realized gain on futures and forward contracts | 3,220,436 | 74,629 | ||||||
Net change in unrealized appreciation (depreciation) on futures and forward Contracts | (514,223 | ) | 2,689,346 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 1,647,349 | 2,198,498 | ||||||
|
|
|
| |||||
Capital share transactions | ||||||||
Issuance of Units | 2,071,588 | 2,729,317 | ||||||
Redemption of Units | (5,007,595 | ) | (3,777,731 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital share transactions | (2,936,007 | ) | (1,048,414 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (1,288,658 | ) | 1,150,084 | |||||
Net assets,beginning of period | 12,958,534 | 8,719,577 | ||||||
|
|
|
| |||||
Net assets, end of period | $ | 11,669,876 | $ | 9,869,661 | ||||
|
|
|
| |||||
Series B-1 Units, beginning of period | 5,784.122 | 7,174.897 | ||||||
Issuance of Series B-1 Units | 1,273.912 | 2,048.322 | ||||||
Redemption of Series B-1Units | (2,523.599 | ) | (3,545.091 | ) | ||||
|
|
|
| |||||
Series B-1 Units,end of period | 4,534.435 | 5,678.128 | ||||||
|
|
|
| |||||
Series B-2 Units,beginning of period | 3,700.480 | 2,763.500 | ||||||
Issuance of Series B-2 Units | 233.456 | 1,051.441 | ||||||
Redemption of Series B-2 Units | (971.329 | ) | (357.065 | ) | ||||
|
|
|
| |||||
Series B-2 Units,end of period | 2,962.607 | 3,457.876 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
19
Table of Contents
SUPERFUND GOLD, L.P. - SERIES B
UNAUDITED STATEMENTS OF CASH FLOWS
Nine Months Ended September 30, | ||||||||
2011 | 2010 | |||||||
Cash flows from operating activities | ||||||||
Net increase in net assets from operations | $ | 1,647,349 | $ | 2,198,498 | ||||
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Purchases of U.S. government securities | (13,098,222 | ) | (11,746,222 | ) | ||||
Maturities of U.S. government securities | 14,649,279 | 12,550,000 | ||||||
Amortization of discounts and premiums | (1,989 | ) | (3,200 | ) | ||||
Due from brokers | (1,193,801 | ) | 870,234 | |||||
Unrealized appreciation on open forward contracts | (33,245 | ) | (82,864 | ) | ||||
Unrealized depreciation on open forward contracts | 95,278 | (90,380 | ) | |||||
Futures contracts purchased | 1,725,629 | (2,483,498 | ) | |||||
Futures contracts sold | (1,273,439 | ) | (32,604 | ) | ||||
Incentive fee | (210,237 | ) | — | |||||
Management fees payable | (3,105 | ) | 2,234 | |||||
Fees payable | (2,939 | ) | 473 | |||||
|
|
|
| |||||
Net cash provided by operating activities | 2,300,558 | 1,182,671 | ||||||
|
|
|
| |||||
Cash flows from financing activities | ||||||||
Subscriptions, net of change in advance subscriptions | 1,959,401 | 2,397,137 | ||||||
Redemptions, net of change in redemptions payable | (5,163,497 | ) | (3,739,853 | ) | ||||
|
|
|
| |||||
Net cash used in financing activities | (3,204,096 | ) | (1,342,716 | ) | ||||
|
|
|
| |||||
Net decrease in cash | (903,538 | ) | (160,045 | ) | ||||
Cash, beginning of period | 1,414,893 | 932,518 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 511,355 | $ | 772,473 | ||||
|
|
|
| �� |
See accompanying notes to unaudited financial statements.
20
Table of Contents
SUPERFUND GOLD, L.P., SUPERFUND GOLD, L.P. - SERIES A and SUPERFUND GOLD, L.P. - SERIES B
NOTES TO UNAUDITED FINANCIAL STATEMENTS
September 30, 2011
1. | Nature of operations |
Organization and Business
Superfund Gold, L.P., a Delaware limited partnership (the “Fund”), commenced operations on April 1, 2009. The Fund was organized to trade speculatively in the United States (“U.S.”) and international commodity futures and forward markets using a strategy developed by Superfund Capital Management, Inc., the general partner and trading advisor of the Fund (“Superfund Capital Management”). The Fund has issued two series of units of limited partnership interest (the “Units”), each with a subseries (each a “sub-series”), Series A-1/A-2 and Series B-1/B-2 (each, a “Series”). Series A-1/A-2 and Series B-1/B-2 are traded and managed the same way, with the exception of the degree of leverage. Series B implements the Fund’s futures and forward trading program at a leverage level equal to approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years), the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B. The leverage with which each of the Series is traded is the only difference between the Series. Sub-Series within a Series are not managed differently. Rather, Series A-1 Units and Series B-1 Units are subject to selling commissions. Series A-2 Units and Series B-2 Units are not subject to selling commissions but are available exclusively to: (i) investors participating in selling agent asset-based or fixed-fee investment programs or a registered investment adviser’s asset-based fee or fixed-fee advisory program through which an investment adviser recommends a portfolio allocation to the Fund and for which Superfund USA Inc. (“Superfund USA”) serves as selling agent, (ii) investors who purchased the Units through Superfund USA or an affiliated broker and who are commodity pools operated by commodity pool operators registered as such with the Commodity Futures Trading Commission and (iii) investors who have paid the maximum selling commission on their Series A-1 or Series B-1 Units (by re-designation of such Units as Series A-2 Units or Series B-2 Units as described herein). The foregoing eligibility requirements and selling commissions are the only differences between the Sub-Series within a Series.
The term of the Fund commenced on the day on which the Certificate of Limited Partnership was filed with the Secretary of State of the State of Delaware pursuant to the provisions of the Delaware Revised Uniform Limited Partnership Act and shall end upon the first of the following to occur: (i) receipt by Superfund Capital Management of an approval to dissolve the Fund at a specified time by limited partners of the Fund (the “Limited Partners”) owning Units representing more than fifty percent (50%) of the outstanding Units of each Series then owned by Limited Partners of each Series, notice of which is sent by certified mail return receipt requested to Superfund Capital Management not less than 90 days prior to the effective date of such dissolution; (ii) withdrawal, insolvency or dissolution of Superfund Capital Management or any other event that causes Superfund Capital Management to cease to be the general partner of the Fund, unless (a) at the time of each event there is at least one remaining general partner of the Fund who carries on the business of the Fund (and each remaining general partner of the Fund is hereby authorized to carry on the business of general partner of the Fund in such an event), or (b) within 120 days after such event Limited Partners of a Series holding a majority of Units of such Series agree in writing to continue the business of the Fund and such Series and to the appointment, effective as of the date of such event, of one or more general partners of the Fund and such Series; (iii) a decline in the aggregate net assets of each Series to less than $500,000 at any time following commencement of trading in the Series; or (iv) any other event which shall make it unlawful for the existence of the Fund to be continued or which requires termination of the Fund.
2. Basis of presentation and significant accounting policies
Basis of Presentation
The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in the U.S. (“U.S. GAAP”) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2010.
Valuation of Investments in Futures Contracts, Forward Contracts and U.S. Treasury Bills
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value based upon market quotes on the last business day of the period.
21
Table of Contents
Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes. The Fund uses the amortized cost method for valuing U.S. Treasury Bills due to the short-term nature of such investments; accordingly, the cost of securities plus accreted discount or minus amortized premium approximates fair value.
Translation of Foreign Currency
Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period-end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations.
The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the statements of operations.
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade-date basis. Interest income and operating expenses are recognized on the accrual basis.
Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of assets and liabilities as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20,Offsetting – Balance Sheet.
Income Taxes
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes.
Superfund Capital Management has evaluated the application of ASC 740,Income Taxes(“ASC 740”), to the Fund, and has determined whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, Superfund Capital Management has determined no reserves for uncertain tax positions are required to be recorded as a result of the application of ASC 740. Superfund Capital Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2009 and 2010 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital Management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from the estimates.
3. Fair Value Measurements
The Fund follows ASC 820,Fair Value Measurements and Disclosures (“ASC 820”), which establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:
Level 1: | Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; | |
Level 2: | Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly; |
22
Table of Contents
Level 3: | Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts.
In May 2011, FASB issued Account Standards Update (“ASU”) No. 2011-04,Fair Value Measurement (Topic 820) – Amendments to Achieve Common Fair Value Measurements and Disclosure Requirements in U.S. GAAP and IFRS. These amendments, effective for the interim and annual periods beginning on or after December 15, 2011 (early adoption is prohibited), result in a common definition of fair value and common requirements for measurement of and disclosure requirements between U.S. GAAP and International Financial Reporting Standards (“IFRS”). The amendments change some fair value measurement principles and disclosure requirements. The adoption of this guidance is not expected to have a material impact upon the Fund’s financial position and results of operations.
In January 2010, FASB issued ASU No. 2010-06,Improving Disclosures about Fair Value Measurements(“ASU 2010-06”), which amends the disclosure requirements of ASC 820, and requires new disclosures regarding transfers in and out of Level 1 and 2 categories, as well as requires entities to separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e. to present such items on a gross basis rather than on a net basis), and which clarifies existing disclosure requirements provided by ASC 820 regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. As of January 1, 2010, the Fund adopted ASU 2010-06 except for the disclosures about purchases, sales, issuances and settlements in the rollforward activity in Level 3 fair value measurements, which were adopted as of January 1, 2011. The adoption of the remaining provisions has not had a material impact on the Fund’s financial statement disclosures.
U.S. Government Securities. The Fund’s only market exposure in instruments held other than for trading is in its U.S. Treasury Bill portfolio. As the Fund uses the amortized cost method for valuing its U.S. Treasury Bill portfolio, which approximates fair value, this portfolio is classified within Level 2 of the fair value hierarchy.
Derivative Contracts.Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded derivatives typically fall within Level 1 or Level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within Level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within Level 2 of the fair value hierarchy.
OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives that may be held by the Fund include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. The Fund’s forward positions are typically classified within Level 2 of the fair value hierarchy.
Certain OTC derivatives trade in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within Level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the market, as well as unobservable Level 3 inputs. Subsequent to initial recognition, the Fund updates the Level 1 and Level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within Level 3. Level 3 inputs are changed only when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances in which the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. As of and during the quarter ended September 30, 2011, the Fund held no derivative contracts valued using Level 3 inputs.
23
Table of Contents
The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of September 30, 2011, and December 31, 2010:
Superfund Gold, L.P.
Balance September 30, 2011 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 7,300,000 | $ | — | $ | 7,300,000 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 324,150 | — | 324,150 | — | ||||||||||||
Futures contracts purchased | 2,143,263 | 2,143,263 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 9,767,413 | $ | 2,143,263 | $ | 7,624,150 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 238,220 | $ | — | $ | 238,220 | $ | — | ||||||||
Futures contracts sold | 441,050 | 441,050 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 679,270 | $ | 441,050 | $ | 238,220 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 9,598,087 | $ | — | $ | 9,598,087 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 224,585 | — | 224,585 | — | ||||||||||||
Futures contracts purchased | 2,832,921 | 2,832,921 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 12,655,593 | $ | 2,832,921 | $ | 9,822,672 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 36,460 | $ | — | $ | 36,460 | $ | — | ||||||||
Futures contracts sold | 349,805 | 349,805 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 386,265 | $ | 349,805 | $ | 36,460 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Superfund Gold, L.P. – Series A
Balance September 30, 2011 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 4,200,000 | $ | — | $ | 4,200,000 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 162,075 | — | 162,075 | — | ||||||||||||
Futures contracts sold | 1,075,785 | 1,075,785 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 5,437,860 | $ | 1,075,785 | $ | 4,362,075 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 120,339 | $ | — | $ | 120,339 | $ | — | ||||||||
Futures contracts purchased | 276,396 | 276,396 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 396,735 | $ | 276,396 | $ | 120,339 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 4,949,019 | $ | — | $ | 4,949,019 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 95,755 | — | 95,755 | — | ||||||||||||
Futures contracts purchased | 1,271,946 | 1,271,946 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 6,316,720 | $ | 1,271,946 | $ | 5,044,774 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 13,857 | $ | — | $ | 13,857 | $ | — | ||||||||
Futures contracts sold | 143,844 | 143,844 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 157,701 | $ | 143,844 | $ | 13,857 | $ | — | ||||||||
|
|
|
|
|
|
|
|
24
Table of Contents
Superfund Gold, L.P. - Series B
Balance September 30, 2011 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 3,100,000 | $ | — | $ | 3,100,000 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 162,075 | — | 162,075 | — | ||||||||||||
Futures contracts sold | 1,067,478 | 1,067,478 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 4,329,553 | $ | 1,067,478 | $ | 3,262,075 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 117,881 | $ | — | $ | 117,881 | $ | — | ||||||||
Futures contracts sold | 164,654 | 164,654 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 282,535 | $ | 164,654 | $ | 117,881 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 4,649,068 | $ | — | $ | 4,649,068 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 128,830 | — | 128,830 | — | ||||||||||||
Futures contracts purchased | 1,560,975 | 1,560,975 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 6,338,873 | $ | 1,560,975 | $ | 4,777,898 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 22,603 | $ | — | $ | 22,603 | $ | — | ||||||||
Futures contracts sold | 205,961 | 205,961 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 228,564 | $ | 205,961 | $ | 22,603 | $ | — | ||||||||
|
|
|
|
|
|
|
|
4. | Disclosure of derivative instruments and hedging activities |
The Fund follows ASC 815,Disclosures about Derivative Instruments and Hedging Activities (“ASC 815”). ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the Statement of Operations.
The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in forward contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities as “unrealized appreciation or depreciation on open forward contracts and futures contracts purchased and futures contracts sold.” Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Fund’s realized and unrealized gain (loss) on investments in the Statements of Operations.
25
Table of Contents
Superfund Capital Management believes futures and forward trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows:
Superfund Gold, L.P.
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Assets and Liabilities, as of September 30, 2011 and December 31, 2010, is as follows:
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at September 30, 2011 | Liability Derivatives at September 30, 2011 | Net | ||||||||||
Foreign exchange contracts | Unrealized appreciation on open forward contracts | $ | 324,150 | $ | — | $ | 324,150 | |||||||
Foreign exchange contracts | Unrealized depreciation on open forward contracts | — | (238,220 | ) | (238,220 | ) | ||||||||
Futures contracts | Futures contracts purchased & futures contacts sold | 2,143,263 | (441,050 | ) | 1,702,213 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 2,467,413 | $ | (679,270 | ) | $ | 1,788,143 | |||||||
|
|
|
|
|
|
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at December 31, 2010 | Liability Derivatives at December 31, 2010 | Net | ||||||||||
Foreign exchange contracts | Unrealized appreciation on open forward contracts | $ | 224,585 | $ | — | $ | 224,585 | |||||||
Foreign exchange contracts | Unrealized depreciation on open forward contracts | — | (36,460 | ) | (36,460 | ) | ||||||||
Futures contracts | Futures contracts purchased & futures contacts sold | 2,832,921 | (349,805 | ) | 2,483,116 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 3,057,506 | $ | (386,265 | ) | $ | 2,671,241 | |||||||
|
|
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended September 30, 2011:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | (255,706 | ) | $ | 78,253 | ||||
Futures contracts | Net realized gain on futures and forward contracts | 2,517,520 | 1,604,142 | |||||||
|
|
|
| |||||||
Total | $ | 2,261,814 | $ | 1,682,395 | ||||||
|
|
|
|
26
Table of Contents
Effects of Derivative Instruments on the Statement of Operations for the Nine Months Ended September 30, 2011:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | 92,885 | $ | (102,193 | ) | ||||
Futures contracts | Net realized gain (loss) on futures and forward contracts | 6,318,130 | (780,905 | ) | ||||||
|
|
|
| |||||||
Total | $ | 6,411,015 | $ | (883,098 | ) | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended September 30, 2010:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain on futures and forward contracts | $ | 169,428 | $ | 200,979 | |||||
Futures contracts | Net realized gain (loss) on futures and forward contracts | (42,525 | ) | 2,084,592 | ||||||
|
|
|
| |||||||
Total | $ | 126,903 | $ | 2,285,571 | ||||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Nine Months Ended September 30, 2010:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | (196,293 | ) | $ | 257,228 | ||||
Futures contracts | Net realized gain on futures and forward contracts | 563,636 | 4,491,381 | |||||||
|
|
|
| |||||||
Total | $ | 367,343 | $ | 4,748,609 | ||||||
|
|
|
|
Superfund Gold, L.P. gross and net unrealized gains and losses by long and short positions as of September 30, 2011 and December 31, 2010:
As of September 30, 2011 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets | Losses | % of Net Assets | Gains | % of Net Assets | Losses | % of Net Assets | Net Unrealized Gain (Loss) on Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 7,126 | 0.0 | * | $ | (220,873 | ) | (0.7 | ) | $ | 317,024 | 1.1 | $ | (17,347 | ) | (0.1 | ) | $ | 85,930 | |||||||||||||||||
Currency | — | — | (63,451 | ) | (0.2 | ) | 230,607 | 0.8 | (230 | ) | (0.0 | )* | 166,926 | |||||||||||||||||||||||
Financial | 56,925 | 0.2 | (226,474 | ) | (0.8 | ) | 164,922 | 0.6 | (24,979 | ) | (0.1 | ) | (29,606 | ) | ||||||||||||||||||||||
Food & Fiber | — | — | (43,277 | ) | (0.1 | ) | 278,221 | 0.9 | (1,319 | ) | (0.0 | )* | 233,625 | |||||||||||||||||||||||
Indices | — | — | (91,888 | ) | (0.3 | ) | 48,209 | 0.2 | (64,744 | ) | (0.2 | ) | (108,423 | ) | ||||||||||||||||||||||
Metals | 12,475 | 0.0 | * | (93,500 | ) | (0.3 | ) | 261,655 | 0.9 | — | — | 180,630 | ||||||||||||||||||||||||
Livestock | 8,140 | 0.0 | * | — | — | — | — | — | — | 8,140 | ||||||||||||||||||||||||||
Energy | — | — | — | — | 1,251,581 | 4.2 | (660 | ) | (0.0 | )* | 1,250,921 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Totals | $ | 84,666 | 0.3 | $ | (739,463 | ) | (2.5 | ) | $ | 2,552,219 | 8.6 | $ | (109,279 | ) | (0.4 | ) | $ | 1,788,143 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
27
Table of Contents
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets | Losses | % of Net Assets | Gains | % of Net Assets | Losses | % of Net Assets | Net Unrealized Gains on Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 193,612 | 0.7 | $ | (14,156 | ) | (0.1 | ) | $ | 30,974 | 0.1 | $ | (22,305 | ) | (0.1 | ) | $ | 188,125 | ||||||||||||||||||
Currency | 484,663 | 1.8 | — | — | 53,250 | 0.2 | (19,556 | ) | (0.1 | ) | 518,357 | |||||||||||||||||||||||||
Financial | 135,655 | 0.5 | (8,118 | ) | (0.0 | )* | 6,771 | 0.0 | * | (29,115 | ) | (0.1 | ) | 105,193 | ||||||||||||||||||||||
Food & Fiber | 195,205 | 0.7 | (955 | ) | (0.0 | )* | — | — | — | — | 194,250 | |||||||||||||||||||||||||
Indices | 207,408 | 0.8 | (93,343 | ) | (0.3 | ) | 23,963 | 0.1 | — | — | 138,028 | |||||||||||||||||||||||||
Metals | 1,715,408 | 6.4 | (6,245 | ) | (0.0 | )* | — | — | (354,138 | ) | (1.3 | ) | 1,355,025 | |||||||||||||||||||||||
Livestock | 92,610 | 0.3 | (150 | ) | (0.0 | )* | — | — | — | — | 92,460 | |||||||||||||||||||||||||
Energy | 134,619 | 0.5 | (23,836 | ) | (0.1 | ) | — | — | (30,980 | ) | (0.1 | ) | 79,803 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Totals | $ | 3,159,180 | 11.7 | $ | (146,803 | ) | (0.5 | ) | $ | 114,958 | 0.4 | $ | (456,094 | ) | (1.7 | ) | $ | 2,671,241 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2011:
Average Number of Long Contracts | Average Number of Short Contracts | Average Value of Long Positions | Average Value of Short Positions | |||||||||||||
Foreign Exchange | 54 | 53 | $ | 302,988 | $ | 304,712 |
Average Number of Long Contracts | Average Number of Short Contracts | |||||||
Currency | 783 | 163 | ||||||
Financial | 1,405 | 390 | ||||||
Food & Fiber | 200 | 77 | ||||||
Indices | 453 | 561 | ||||||
Metals | 311 | 161 | ||||||
Livestock | 64 | 46 | ||||||
Energy | 218 | 489 | ||||||
|
|
|
| |||||
Totals | 3488 | 1,940 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2010:
Average Number of Long Contracts | Average Number of Short Contracts | Average Value of Long Positions | Average Value of Short Positions | |||||||||||||
Foreign Exchange | 75 | 59 | $ | 269,225 | $ | 169,808 |
28
Table of Contents
Average Number of Long Contracts | Average Number of Short Contracts | |||||||
Currency | 540 | 147 | ||||||
Financial | 1,041 | 566 | ||||||
Food & Fiber | 161 | 29 | ||||||
Indices | 978 | 339 | ||||||
Metals | 374 | 28 | ||||||
Livestock | 57 | 8 | ||||||
Energy | 187 | 397 | ||||||
|
|
|
| |||||
Totals | 3,413 | 1,573 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Gold, L.P. trading results by market sector:
For the Three Months Ended September 30, 2011 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (255,706 | ) | $ | 78,253 | $ | (177,453 | ) | ||||
Currency | (791,442 | ) | 56,094 | (735,348 | ) | |||||||
Financial | 2,943,880 | (234,568 | ) | 2,709,312 | ||||||||
Food & Fiber | (406,064 | ) | 165,339 | (240,725 | ) | |||||||
Indices | (203,692 | ) | (322,098 | ) | (525,790 | ) | ||||||
Metals | 2,195,727 | 499,846 | 2,695,573 | |||||||||
Livestock | (211,200 | ) | 11,520 | (199,680 | ) | |||||||
Energy | (1,009,689 | ) | 1,428,009 | 418,320 | ||||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | 2,261,814 | $ | 1,682,395 | $ | 3,944,209 | ||||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2011 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 92,885 | $ | (102,193 | ) | $ | (9,308 | ) | ||||
Currency | (330,404 | ) | (351,429 | ) | (681,833 | ) | ||||||
Financial | 3,357,654 | (134,801 | ) | 3,222,853 | ||||||||
Food & Fiber | (644,748 | ) | 39,374 | (605,374 | ) | |||||||
Indices | (1,129,675 | ) | (246,451 | ) | (1,376,126 | ) | ||||||
Metals | 5,110,059 | (1,174,394 | ) | 3,935,665 | ||||||||
Livestock | (147,690 | ) | (84,320 | ) | (232,010 | ) | ||||||
Energy | 102,934 | 1,171,116 | 1,274,050 | |||||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | 6,411,015 | $ | (883,098 | ) | $ | 5,527,917 | |||||
|
|
|
|
|
|
For the Three Months Ended September 30, 2010 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 169,428 | $ | 200,979 | $ | 370,407 | ||||||
Currency | 668,052 | 186,260 | 854,312 | |||||||||
Financial | 483,757 | (626,380 | ) | (142,623 | ) | |||||||
Food & Fiber | (112,384 | ) | 268,935 | 156,551 | ||||||||
Indices | (339,745 | ) | 196,296 | (143,449 | ) | |||||||
Metals | 61,277 | 1,708,278 | 1,769,555 | |||||||||
Livestock | (4,460 | ) | 22,470 | 18,010 | ||||||||
Energy | (799,022 | ) | 328,733 | (470,289 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | 126,903 | $ | 2,285,571 | $ | 2,412,474 | ||||||
|
|
|
|
|
|
29
Table of Contents
For the Nine Months Ended September 30, 2010 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (196,293 | ) | $ | 257,228 | $ | 60,935 | |||||
Currency | (42,779 | ) | 456,914 | 414,135 | ||||||||
Financial | 1,987,611 | 60,865 | 2,048,476 | |||||||||
Food & Fiber | (288,507 | ) | 119,919 | (168,588 | ) | |||||||
Indices | (312,319 | ) | (165,925 | ) | (478,244 | ) | ||||||
Metals | 542,622 | 3,715,421 | 4,258,043 | |||||||||
Livestock | (83,620 | ) | 21,500 | (62,120 | ) | |||||||
Energy | (1,239,372 | ) | 282,687 | (956,685 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | 367,343 | $ | 4,748,609 | $ | 5,115,952 | ||||||
|
|
|
|
|
|
Superfund Gold, L.P. - Series A
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Assets and Liabilities, as of September 30, 2011 and December 31, 2010, is as follows:
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at September 30, 2011 | Liability Derivatives at September 30, 2011 | Net | ||||||||||
Foreign exchange contracts | Unrealized appreciation on open forward contracts | $ | 162,075 | $ | — | $ | 162,075 | |||||||
Foreign exchange contracts | Unrealized depreciation on open forward contracts | — | (120,339 | ) | (120,339 | ) | ||||||||
Futures contracts | Futures contracts purchased & futures contacts sold | 1,075,785 | (276,396 | ) | 799,389 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 1,237,860 | $ | (396,735 | ) | $ | 841,125 | |||||||
|
|
|
|
|
|
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at December 31, 2010 | Liability Derivatives at December 31, 2010 | Net | ||||||||||
Foreign exchange contracts | Unrealized appreciation on open forward contracts | $ | 95,755 | $ | — | $ | 95,755 | |||||||
Foreign exchange contracts | Unrealized depreciation on open forward contracts | — | (13,857 | ) | (13,857 | ) | ||||||||
Futures contracts | Futures contracts purchased & futures contacts sold | 1,271,946 | (143,844 | ) | 1,128,102 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 1,367,701 | $ | (157,701 | ) | $ | 1,210,000 | |||||||
|
|
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended September 30, 2011:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | (132,628 | ) | $ | 37,751 | ||||
Futures contracts | Net realized gain on futures and forward contracts | 1,408,206 | 774,379 | |||||||
|
|
|
| |||||||
Total | $ | 1,275,578 | $ | 812,130 | ||||||
|
|
|
|
30
Table of Contents
Effects of Derivative Instruments on the Statement of Operations for the Nine Months Ended September 30, 2011:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | 26,624 | $ | (40,161 | ) | ||||
Futures contracts | Net realized gain (loss) on futures and forward contracts | 3,163,955 | (328,714 | ) | ||||||
|
|
|
| |||||||
Total | $ | 3,190,579 | $ | (368,875 | ) | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended September 30, 2010:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain on futures and forward contracts | $ | 76,378 | $ | 90,257 | |||||
Futures contracts | Net realized gain (loss) on futures and forward contracts | (90,990 | ) | 1,105,453 | ||||||
|
|
|
| |||||||
Total | $ | (14,612 | ) | $ | 1,195,710 | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Nine Months Ended September 30, 2010:
Derivatives not Designated as Hedging | Location of Gain on Derivatives Recognized in Income | Net Realized Gain on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain on futures and forward contracts | $ | 52,845 | $ | 83,984 | |||||
Futures contracts | Net realized gain on futures and forward contracts | 239,869 | 1,975,279 | |||||||
|
|
|
| |||||||
Total | $ | 292,714 | $ | 2,059,263 | ||||||
|
|
|
|
31
Table of Contents
Superfund Gold, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of September 30, 2011 and December 31, 2010:
As of September 30, 2011 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets | Losses | % of Net Assets | Gains | % of Net Assets | Losses | % of Net Assets | Net Unrealized Gain (Loss) on Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 3,563 | 0.0 | * | $ | (110,454 | ) | (0.6 | ) | $ | 158,512 | 0.9 | $ | (9,885 | ) | (0.1 | ) | $ | 41,736 | |||||||||||||||||
Currency | — | — | (32,138 | ) | (0.2 | ) | 115,496 | 0.6 | (230 | ) | (0.0 | )* | 83,128 | |||||||||||||||||||||||
Financial | 33,701 | 0.2 | (121,484 | ) | (0.7 | ) | 84,739 | 0.5 | (12,407 | ) | (0.1 | ) | (15,451 | ) | ||||||||||||||||||||||
Food & Fiber | — | — | (23,307 | ) | (0.1 | ) | 138,372 | 0.8 | (669 | ) | (0.0 | )* | 114,396 | |||||||||||||||||||||||
Indices | — | — | (45,680 | ) | (0.3 | ) | 24,241 | 0.1 | (31,539 | ) | (0.1 | ) | (52,978 | ) | ||||||||||||||||||||||
Metals | 1,862 | 0.0 | * | (93,500 | ) | (0.5 | ) | 129,341 | 0.7 | — | — | 37,703 | ||||||||||||||||||||||||
Livestock | 4,150 | 0.0 | * | — | — | — | — | — | — | 4,150 | ||||||||||||||||||||||||||
Energy | — | — | — | — | 629,101 | 3.5 | (660 | ) | (0.0 | )* | 628,441 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Totals | $ | 43,276 | 0.2 | $ | (426,563 | ) | (2.4 | ) | $ | 1,279,802 | 7.1 | $ | (55,390 | ) | (0.3 | ) | $ | 841,125 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets | Losses | % of Net Assets | Gains | % of Net Assets | Losses | % of Net Assets | Net Unrealized Gains on Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 84,142 | 0.6 | $ | (4,472 | ) | (0.0 | )* | $ | 11,613 | 0.1 | $ | (9,385 | ) | (0.1 | ) | $ | 81,898 | ||||||||||||||||||
Currency | 208,888 | 1.5 | — | — | 22,631 | 0.2 | (8,381 | ) | (0.1 | ) | 223,138 | |||||||||||||||||||||||||
Financial | 58,501 | 0.4 | (3,435 | ) | (0.0 | )* | 1,766 | 0.0 | * | (12,373 | ) | (0.1 | ) | 44,459 | ||||||||||||||||||||||
Food & Fiber | 82,217 | 0.6 | (436 | ) | (0.0 | )* | — | — | — | — | 81,781 | |||||||||||||||||||||||||
Indices | 84,851 | 0.7 | (38,227 | ) | (0.3 | ) | 9,628 | 0.1 | — | — | 56,252 | |||||||||||||||||||||||||
Metals | 797,284 | 5.8 | (2,926 | ) | (0.0 | )* | — | — | (144,925 | ) | (1.1 | ) | 649,433 | |||||||||||||||||||||||
Livestock | 41,020 | 0.3 | (50 | ) | (0.0 | )* | — | — | — | — | 40,970 | |||||||||||||||||||||||||
Energy | 54,905 | 0.4 | (10,646 | ) | (0.1 | ) | — | — | (12,190 | ) | (0.1 | ) | 32,069 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Totals | $ | 1,411,808 | 10.3 | $ | (60,192 | ) | (0.4 | ) | $ | 45,638 | 0.4 | $ | (187,254 | ) | (1.5 | ) | $ | 1,210,000 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
Series A average* monthly contract volume by market sector as of quarter ended September 30, 2011:
Average Number of Long Contracts | Average Number of Short Contracts | Average Value of Long Positions | Average Value of Short Positions | |||||||||||||
Foreign Exchange | 27 | 26 | $ | 149,110 | $ | 151,417 |
Average Number of Long Contracts | Average Number of Short Contracts | |||||||
Currency | 389 | 79 | ||||||
Financial | 674 | 183 | ||||||
Food & Fiber | 98 | 38 | ||||||
Indices | 219 | 280 | ||||||
Metals | 163 | 80 | ||||||
Livestock | 32 | 23 | ||||||
Energy | 109 | 242 | ||||||
|
|
|
| |||||
Totals | 1,711 | 951 | ||||||
|
|
|
|
* | Based on quarterly holdings |
32
Table of Contents
Series A average* monthly contract volume by market sector as of quarter ended September 30, 2010:
Average Number of Long Contracts | Average Number of Short Contracts | Average Value of Long Positions | Average Value of Short Positions | |||||||||||||
Foreign Exchange | 32 | 23 | $ | 92,961 | $ | 48,205 |
Average Number of Long Contracts | Average Number of Short Contracts | |||||||
Currency | 242 | 59 | ||||||
Financial | 398 | 275 | ||||||
Food & Fiber | 60 | 14 | ||||||
Indices | 386 | 126 | ||||||
Metals | 177 | 13 | ||||||
Livestock | 23 | 3 | ||||||
Energy | 81 | 177 | ||||||
|
|
|
| |||||
Totals | 1,399 | 690 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Series A trading results by market sector:
For the Three Months Ended September 30, 2011 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (132,628 | ) | $ | 37,751 | $ | (94,877 | ) | ||||
Currency | (400,532 | ) | 33,714 | (366,818 | ) | |||||||
Financial | 1,428,380 | (109,352 | ) | 1,319,028 | ||||||||
Food & Fiber | (203,933 | ) | 84,337 | (119,596 | ) | |||||||
Indices | (74,482 | ) | (161,479 | ) | (235,961 | ) | ||||||
Metals | 1,264,940 | 210,610 | 1,475,550 | |||||||||
Livestock | (106,470 | ) | 5,770 | (100,700 | ) | |||||||
Energy | (499,697 | ) | 710,779 | 211,082 | ||||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | 1,275,578 | $ | 812,130 | $ | 2,087,708 | ||||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2011 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 26,624 | $ | (40,161 | ) | $ | (13,537 | ) | ||||
Currency | (224,113 | ) | (140,009 | ) | (364,122 | ) | ||||||
Financial | 1,660,487 | (59,911 | ) | 1,600,576 | ||||||||
Food & Fiber | (313,000 | ) | 32,614 | (280,386 | ) | |||||||
Indices | (558,303 | ) | (109,231 | ) | (667,534 | ) | ||||||
Metals | 2,738,595 | (611,727 | ) | 2,126,868 | ||||||||
Livestock | (76,910 | ) | (36,820 | ) | (113,730 | ) | ||||||
Energy | (62,801 | ) | 596,370 | 533,569 | ||||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | 3,190,579 | $ | (368,875 | ) | $ | 2,821,704 | |||||
|
|
|
|
|
|
33
Table of Contents
For the Three Months Ended September 30, 2010 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 76,378 | $ | 90,257 | $ | 166,635 | ||||||
Currency | 243,735 | 102,203 | 345,938 | |||||||||
Financial | 129,081 | (193,462 | ) | (64,381 | ) | |||||||
Food & Fiber | (50,738 | ) | 103,586 | 52,848 | ||||||||
Indices | (93,141 | ) | 56,057 | (37,084 | ) | |||||||
Metals | (18,223 | ) | 897,278 | 879,055 | ||||||||
Livestock | 1,430 | 8,290 | 9,720 | |||||||||
Energy | (303,134 | ) | 131,501 | (171,633 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | (14,612 | ) | $ | 1,195,710 | $ | 1,181,098 | |||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2010 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 52,845 | $ | 83,984 | $ | 136,829 | ||||||
Currency | 68,640 | 172,156 | 240,796 | |||||||||
Financial | 533,364 | 3,178 | 536,542 | |||||||||
Food & Fiber | (104,740 | ) | 83,617 | (21,123 | ) | |||||||
Indices | (89,499 | ) | 16,415 | (73,084 | ) | |||||||
Metals | 294,098 | 1,555,501 | 1,849,599 | |||||||||
Livestock | (16,220 | ) | 6,260 | (9,960 | ) | |||||||
Energy | (445,774 | ) | 138,152 | (307,622 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | 292,714 | $ | 2,059,263 | $ | 2,351,977 | ||||||
|
|
|
|
|
|
Superfund Gold, L.P. - Series B
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Assets and Liabilities, as of September 30, 2011 and December 31, 2010, is as follows:
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at September 30, 2011 | Liability Derivatives at September 30, 2011 | Net | ||||||||||
Foreign exchange contracts | Unrealized appreciation on open forward contracts | $ | 162,075 | $ | — | $ | 162,075 | |||||||
Foreign exchange contracts | Unrealized depreciation on open forward contracts | — | (117,881 | ) | (117,881 | ) | ||||||||
Futures contracts | Futures contracts purchased & futures contacts sold | 1,067,478 | (164,654 | ) | 902,824 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 1,229,553 | $ | (282,535 | ) | $ | 947,018 | |||||||
|
|
|
|
|
|
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at December 31, 2010 | Liability Derivatives at December 31, 2010 | Net | ||||||||||
Foreign exchange contracts | Unrealized appreciation on open forward contracts | $ | 128,830 | $ | — | $ | 128,830 | |||||||
Foreign exchange contracts | Unrealized depreciation on open forward contracts | — | (22,603 | ) | (22,603 | ) | ||||||||
Futures contracts | Futures contracts purchased & futures contacts sold | 1,560,975 | (205,961 | ) | 1,355,014 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 1,689,805 | $ | (228,564 | ) | $ | 1,461,241 | |||||||
|
|
|
|
|
|
34
Table of Contents
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended September 30, 2011:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | (123,078 | ) | $ | 40,502 | ||||
Futures contracts | Net realized gain on futures and forward contracts | 1,109,314 | 829,763 | |||||||
|
|
|
| |||||||
Total | $ | 986,236 | $ | 870,265 | ||||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Nine Months Ended September 30, 2011:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | 66,261 | $ | (62,032 | ) | ||||
Futures contracts | Net realized gain (loss) on futures and forward contracts | 3,154,175 | (452,191 | ) | ||||||
|
|
|
| |||||||
Total | $ | 3,220,436 | $ | (514,223 | ) | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended September 30, 2010:
Derivatives not Designated as Hedging | Location of Gain on Derivatives Recognized in Income | Net Realized Gain on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain on futures and forward contracts | $ | 93,050 | $ | 110,722 | |||||
Futures contracts | Net realized gain on futures and forward contracts | 48,465 | 979,139 | |||||||
|
|
|
| |||||||
Total | $ | 141,515 | $ | 1,089,861 | ||||||
|
|
|
|
35
Table of Contents
Effects of Derivative Instruments on the Statement of Operations for the Nine Months Ended September 30, 2010:
Derivatives not Designated as Hedging | Location of Gain (Loss) on Derivatives | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Net realized gain (loss) on futures and forward contracts | $ | (249,138 | ) | $ | 173,244 | ||||
Futures contracts | Net realized gain on futures and forward contracts | 323,767 | 2,516,102 | |||||||
|
|
|
| |||||||
Total | $ | 74,629 | $ | 2,689,346 | ||||||
|
|
|
|
Superfund Gold, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of September 30, 2011 and December 31, 2010:
As of September 30, 2011 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets | Losses | % of Net Assets | Gains | % of Net Assets | Losses | % of Net Assets | Net Unrealized Gain (Loss) on Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 3,563 | 0.0 | * | $ | (110,419 | ) | (0.9 | ) | $ | 158,512 | 1.4 | $ | (7,462 | ) | (0.1 | ) | $ | 44,194 | |||||||||||||||||
Currency | — | — | (31,313 | ) | (0.3 | ) | 115,111 | 1.0 | — | — | 83,798 | |||||||||||||||||||||||||
Financial | 23,224 | 0.2 | (104,990 | ) | (0.9 | ) | 80,183 | 0.7 | (12,572 | ) | (0.1 | ) | (14,155 | ) | ||||||||||||||||||||||
Food & Fiber | — | — | (19,970 | ) | (0.2 | ) | 139,849 | 1.2 | (650 | ) | (0.0 | )* | 119,229 | |||||||||||||||||||||||
Indices | — | — | (46,208 | ) | (0.4 | ) | 23,968 | 0.2 | (33,205 | ) | (0.3 | ) | (55,445 | ) | ||||||||||||||||||||||
Metals | 10,613 | 0.1 | — | — | 132,314 | 1.1 | — | — | 142,927 | |||||||||||||||||||||||||||
Livestock | 3,990 | 0.0 | * | — | — | — | — | — | — | 3,990 | ||||||||||||||||||||||||||
Energy | — | — | — | — | 622,480 | 5.3 | — | — | 622,480 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Totals | $ | 41,390 | 0.3 | $ | (312,900 | ) | (2.7 | ) | $ | 1,272,417 | 10.9 | $ | (53,889 | ) | (0.5 | ) | $ | 947,018 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets | Losses | % of Net Assets | Gains | % of Net Assets | Losses | % of Net Assets | Net Unrealized Gains on Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 109,470 | 0.9 | $ | (9,684 | ) | (0.1 | ) | $ | 19,361 | 0.1 | $ | (12,920 | ) | (0.1 | ) | $ | 106,227 | ||||||||||||||||||
Currency | 275,775 | 2.1 | — | — | 30,619 | 0.3 | (11,175 | ) | (0.1 | ) | 295,219 | |||||||||||||||||||||||||
Financial | 77,154 | 0.6 | (4,683 | ) | (0.0 | )* | 5,005 | 0.0 | * | (16,742 | ) | (0.1 | ) | 60,734 | ||||||||||||||||||||||
Food & Fiber | 112,988 | 0.9 | (519 | ) | (0.0 | )* | — | — | — | — | 112,469 | |||||||||||||||||||||||||
Indices | 122,557 | 0.9 | (55,116 | ) | (0.4 | ) | 14,335 | 0.1 | — | — | 81,776 | |||||||||||||||||||||||||
Metals | 918,124 | 7.1 | (3,319 | ) | (0.0 | )* | — | — | (209,213 | ) | (1.6 | ) | 705,592 | |||||||||||||||||||||||
Livestock | 51,590 | 0.4 | (100 | ) | (0.0 | )* | — | — | — | — | 51,490 | |||||||||||||||||||||||||
Energy | 79,714 | 0.6 | (13,190 | ) | (0.1 | ) | — | — | (18,790 | ) | (0.1 | ) | 47,734 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Totals | $ | 1,747,372 | 13.5 | $ | (86,611 | ) | (0.6 | ) | $ | 69,320 | 0.5 | $ | (268,840 | ) | (2.0 | ) | $ | 1,461,241 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
36
Table of Contents
Series B average* monthly contract volume by market sector for quarter ended September 30, 2011:
Average Number of Long Contracts | Average Number of Short Contracts | Average Value of Long Positions | Average Value of Short Positions | |||||||||||||
Foreign Exchange | 27 | 27 | $ | 153,878 | $ | 153,295 |
Average Number of Long Contracts | Average Number of Short Contracts | |||||||
Currency | 394 | 84 | ||||||
Financial | 731 | 207 | ||||||
Food & Fiber | 102 | 39 | ||||||
Indices | 234 | 281 | ||||||
Metals | 148 | 81 | ||||||
Livestock | 32 | 23 | ||||||
Energy | 109 | 247 | ||||||
|
|
|
| |||||
Totals | 1,777 | 989 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Series B average* monthly contract volume by market sector for quarter ended September 30, 2010:
Average Number of Long Contracts | Average Number of Short Contracts | Average Value of Long Positions | Average Value of Short Positions | |||||||||||||
Foreign Exchange | 43 | 36 | $ | 176,264 | $ | 121,603 |
Average Number of Long Contracts | Average Number of Short Contracts | |||||||
Currency | 298 | 88 | ||||||
Financial | 643 | 291 | ||||||
Food & Fiber | 101 | 15 | ||||||
Indices | 592 | 213 | ||||||
Metals | 197 | 15 | ||||||
Livestock | 34 | 5 | ||||||
Energy | 106 | 220 | ||||||
|
|
|
| |||||
Totals | 2,014 | 883 | ||||||
|
|
|
|
* | Based on quarterly holdings |
37
Table of Contents
Series B trading results by market sector:
For the Three Months Ended September 30, 2011 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (123,078 | ) | $ | 40,502 | $ | (82,576 | ) | ||||
Currency | (390,910 | ) | 22,380 | (368,530 | ) | |||||||
Financial | 1,515,500 | (125,216 | ) | 1,390,284 | ||||||||
Food & Fiber | (202,131 | ) | 81,002 | (121,129 | ) | |||||||
Indices | (129,210 | ) | (160,619 | ) | (289,829 | ) | ||||||
Metals | 930,787 | 289,236 | 1,220,023 | |||||||||
Livestock | (104,730 | ) | 5,750 | (98,980 | ) | |||||||
Energy | (509,992 | ) | 717,230 | 207,238 | ||||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | 986,236 | $ | 870,265 | $ | 1,856,501 | ||||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2011 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 66,261 | $ | (62,032 | ) | $ | 4,229 | |||||
Currency | (106,291 | ) | (211,420 | ) | (317,711 | ) | ||||||
Financial | 1,697,167 | (74,890 | ) | 1,622,277 | ||||||||
Food & Fiber | (331,748 | ) | 6,760 | (324,988 | ) | |||||||
Indices | (571,372 | ) | (137,220 | ) | (708,592 | ) | ||||||
Metals | 2,371,464 | (562,667 | ) | 1,808,797 | ||||||||
Livestock | (70,780 | ) | (47,500 | ) | (118,280 | ) | ||||||
Energy | 165,735 | 574,746 | 740,481 | |||||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | 3,220,436 | $ | (514,223 | ) | $ | 2,706,213 | |||||
|
|
|
|
|
|
For the Three Months Ended September 30, 2010 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 93,050 | $ | 110,722 | $ | 203,772 | ||||||
Currency | 424,317 | 84,057 | 508,374 | |||||||||
Financial | 354,676 | (432,918 | ) | (78,242 | ) | |||||||
Food & Fiber | (61,646 | ) | 165,349 | 103,703 | ||||||||
Indices | (246,604 | ) | 140,239 | (106,365 | ) | |||||||
Metals | 79,500 | 811,000 | 890,500 | |||||||||
Livestock | (5,890 | ) | 14,180 | 8,290 | ||||||||
Energy | (495,888 | ) | 197,232 | (298,656 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | 141,515 | $ | 1,089,861 | $ | 1,231,376 | ||||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2010 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (249,138 | ) | $ | 173,244 | $ | (75,894 | ) | ||||
Currency | (111,419 | ) | 284,758 | 173,339 | ||||||||
Financial | 1,454,247 | 57,687 | 1,511,934 | |||||||||
Food & Fiber | (183,767 | ) | 36,302 | (147,465 | ) | |||||||
Indices | (222,820 | ) | (182,340 | ) | (405,160 | ) | ||||||
Metals | 248,524 | 2,159,920 | 2,408,444 | |||||||||
Livestock | (67,400 | ) | 15,240 | (52,160 | ) | |||||||
Energy | (793,598 | ) | 144,535 | (649,063 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | 74,629 | $ | 2,689,346 | $ | 2,763,975 | ||||||
|
|
|
|
|
|
38
Table of Contents
5. | Due from/to brokers |
Due from brokers consists of proceeds from securities sold. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers, if any, represent margin borrowings that are collateralized by certain securities. As of September 30, 2011 and December 31, 2010, there were no amounts due to brokers.
In the normal course of business, all of the Fund’s marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. On October 31, 2011, MF Global reported to the Securities and Exchange Commission (“SEC”) and the Commodity Futures Trading Commission (“CFTC”) possible deficiencies in customer segregated accounts held at the firm. As a result, the SEC and CFTC determined that a liquidation proceeding led by the Securities Investor Protection Corporation (“SIPC”) would be the safest and most prudent course of action to protect customer accounts and assets, and SIPC initiated the liquidation of MF Global under the Securities Investor Protection Act. Superfund Capital Management closely monitored MF Global in recent weeks and began reducing its exposure to MF Global. In October, total trading positions and assets of the Fund held at MF Global were reduced by almost 78% and steps were initiated to transfer all remaining trading positions and assets from MF Global to other clearing brokers prior to the bankruptcy filing. Refer to the subsequent events note for the Fund’s potential exposure to the MF Global liquidation.
6. | Allocation of net profits and losses |
In accordance with the Fund’s Second Amended and Restated Limited Partnership Agreement (the “Limited Partnership Agreement”), net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month.
Subscriptions received in advance, if any, represent cash received prior to the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month.
7. | Related party transactions |
Superfund Capital Management shall be paid a management fee equal to one-twelfth of 2.25% of month-end net assets (2.25% per annum) and operating and ongoing offering expenses equal to one-twelfth of 0.75% of month-end net assets (0.75% per annum), not to exceed the amount of actual expenses incurred. In accordance with the Prospectus of the Fund dated May 13, 2011, included within the Post Effective Amendment No. 3 to the Registration Statement on Form S-1 (File No. 333-151632), Superfund USA an entity related to Superfund Capital Management by common ownership, shall be paid selling commissions equal to 2% of the month-end net asset value per Series A-1 Unit and Series B-1 Unit (one-twelfth of 2% per month). These amounts are included under “Selling commissions” in the Statements of Operations. However, the maximum cumulative selling commission per Unit is limited to 10% of the gross offering proceeds price of such Unit.
Superfund Capital Management will also be paid a monthly performance fee equal to 25% of any new appreciation without respect to interest income. Trading losses will be carried forward and no further performance fee may be paid until the prior losses have been recovered.
8. | Financial highlights |
Financial highlights for the period January 1 through September 30, 2011 are as follows:
2011 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return | ||||||||||||||||
Total return before incentive fees | 13.5 | % | 15.3 | % | 17.4 | % | 18.5 | % | ||||||||
Incentive fees | 1.5 | % | 1.8 | % | 4.1 | % | 3.7 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return after incentive fees | 12.0 | % | 13.5 | % | 13.3 | % | 14.8 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to average partners’ capital* | ||||||||||||||||
Operating expenses before incentive fees | 6.7 | % | 4.6 | % | 7.4 | % | 5.3 | % | ||||||||
Incentive fees | 1.4 | % | 1.7 | % | 3.1 | % | 3.0 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 8.1 | % | 6.3 | % | 10.5 | % | 8.3 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment loss* | (6.6 | )% | (4.6 | )% | (7.4 | )% | (5.3 | )% | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per unit, beginning of period | $ | 1,566.65 | $ | 1,671.00 | $ | 1,351.21 | $ | 1,389.80 | ||||||||
Net investment loss | (106.66 | ) | (90.74 | ) | (122.82 | ) | (102.90 | ) | ||||||||
Net gain on investments | 295.04 | 317.11 | 302.49 | 309.06 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per unit, end of period | $ | 1,775.03 | $ | 1,897.37 | $ | 1,530.88 | $ | 1,595.96 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other per Unit information: | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period)** upon weighted average number of Units during period) | $ | 183.05 | $ | 204.67 | $ | 161.94 | $ | 212.79 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) | $ | 188.38 | $ | 226.37 | $ | 179.67 | $ | 206.16 | ||||||||
|
|
|
|
|
|
|
|
39
Table of Contents
* | Annualized for periods less than a year |
** | Weighted average number of Units outstanding for Series A-1 and Series A-2 for the Nine Months Ended September 30, 2011: 7,871.84 and 1,850.80, respectively; and for Series B-1 and Series B-2: 5,696.03 and 3,406.81, respectively. |
Financial highlights for the period January 1 through September 30, 2010 are as follows:
2010 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return | ||||||||||||||||
Total return before incentive fees | 26.4 | % | 28.1 | % | 22.2 | % | 24.1 | % | ||||||||
Incentive fees | 0.4 | % | 0.7 | % | 0.0 | % | 0.0 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return after incentive fees | 26.0 | % | 27.4 | % | 22.2 | % | 24.1 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to average partners’ capital* | ||||||||||||||||
Operating expenses before incentive fees | 7.4 | % | 5.3 | % | 8.5 | % | 6.5 | % | ||||||||
Incentive fees | 0.4 | % | 0.7 | % | 0.0 | % | 0.0 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 7.8 | % | 6.0 | % | 8.5 | % | 6.5 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment loss* | (7.2 | )% | (5.2 | )% | (8.5 | )% | (6.5 | )% | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per unit, beginning of period | $ | 1,056.90 | $ | 1,111.40 | $ | 873.68 | $ | 886.92 | ||||||||
Net investment loss | (66.59 | ) | (56.62 | ) | (58.56 | ) | (49.50 | ) | ||||||||
Net gain on investments | 341.52 | 362.00 | 252.84 | 259.56 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per unit, end of period | $ | 1,331.83 | $ | 1,416.78 | $ | 1,067.96 | $ | 1,100.58 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other per Unit information: | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period)** upon weighted average number of Units during period) | $ | 317.16 | $ | 353.62 | $ | 202.17 | $ | 237.65 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) | $ | 274.93 | $ | 305.38 | $ | 194.28 | $ | 213.65 | ||||||||
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* | Annualized for periods less than a year |
** | Weighted average number of Units outstanding for Series A-1 and Series A-2 for the Nine Months Ended September 30, 2010: 4,790.29 and 1,277.94, respectively; and for Series B-1 and Series B-2: 7,177.88 and 3,195.81, respectively. |
Financial highlights for the period July 1 through September 30, 2011 are as follows:
2011 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return | ||||||||||||||||
Total return before incentive fees | 12.2 | % | 12.8 | % | 14.6 | % | 15.2 | % | ||||||||
Incentive fees | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
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| |||||||||
Total return after incentive fees | 12.2 | % | 12.8 | % | 14.6 | % | 15.2 | % | ||||||||
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| |||||||||
Ratios to average partners’ capital* | ||||||||||||||||
Operating expenses before incentive fees | 6.5 | % | 4.5 | % | 7.2 | % | 5.1 | % | ||||||||
Incentive fees | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
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| |||||||||
Total expenses | 6.5 | % | 4.5 | % | 7.2 | % | 5.1 | % | ||||||||
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Net investment loss* | (6.5 | )% | (4.4 | )% | (7.2 | )% | (5.1 | )% | ||||||||
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Net asset value per unit, beginning of period | $ | 1,564.27 | $ | 1,682.68 | $ | 1,335.27 | $ | 1,385.08 | ||||||||
Net investment loss | (29.16 | ) | (21.46 | ) | (27.91 | ) | (20.72 | ) | ||||||||
Net gain on investments | 219.92 | 236.15 | 223.52 | 231.60 | ||||||||||||
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Net asset value per unit, end of period | $ | 1,755.03 | $ | 1,897.37 | $ | 1,530.88 | $ | 1,595.96 | ||||||||
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Other per Unit information: | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period)** upon weighted average number of Units during period) | $ | 180.47 | $ | 191.48 | $ | 205.46 | $ | 229.20 | ||||||||
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| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) | $ | 190.76 | $ | 214.69 | $ | 195.61 | $ | 210.88 | ||||||||
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* | Annualized for periods less than a year |
** | Weighted average number of Units outstanding for Series A-1 and Series A-2 for the Three Months Ended September 30, 2011: 8,122.38 and 1,811.97, respectively; and for Series B-1 and Series B-2: 4,648.34 and 3,081.49, respectively. |
Financial highlights for the period July 1 through September 30, 2010 are as follows:
2010 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return | ||||||||||||||||
Total return before incentive fees | 10.9 | % | 11.4 | % | 11.5 | % | 12.0 | % | ||||||||
Incentive fees | 0.0 | % | 0.1 | % | 0.0 | % | 0.0 | % | ||||||||
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|
|
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|
|
| |||||||||
Total return after incentive fees | 10.9 | % | 11.3 | % | 11.5 | % | 12.0 | % | ||||||||
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|
|
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|
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| |||||||||
Ratios to average partners’ capital* | ||||||||||||||||
Operating expenses before incentive fees | 7.1 | % | 5.1 | % | 8.0 | % | 6.0 | % | ||||||||
Incentive fees | 0.0 | % | 0.1 | % | 0.0 | % | 0.0 | % | ||||||||
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| |||||||||
Total expenses | 7.1 | % | 5.2 | % | 8.0 | % | 6.0 | % | ||||||||
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|
|
|
|
|
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| |||||||||
Net investment loss* | (7.0 | )% | (5.0 | )% | (7.9 | )% | (5.9 | )% | ||||||||
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|
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|
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|
| |||||||||
Net asset value per unit, beginning of period | $ | 1,201.09 | $ | 1,272.23 | $ | 957.90 | $ | 982.23 | ||||||||
Net investment loss | (21.40 | ) | (17.24 | ) | (19.12 | ) | (14.70 | ) | ||||||||
Net gain on investments | 152.14 | 161.79 | 129.18 | 133.05 | ||||||||||||
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| |||||||||
Net asset value per unit, end of period | $ | 1,331.83 | $ | 1,416.78 | $ | 1,067.96 | $ | 1,100.58 | ||||||||
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|
|
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|
|
| |||||||||
Other per Unit information: | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period)** upon weighted average number of Units during period) | $ | 142.90 | $ | 159.39 | $ | 116.01 | $ | 129.47 | ||||||||
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|
|
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| |||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) | $ | 130.74 | $ | 144.55 | $ | 110.06 | $ | 118.35 | ||||||||
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|
|
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|
|
* | Annualized for periods less than a year |
** | Weighted average number of Units outstanding for Series A-1 and Series A-2 for the Three Months Ended September 30, 2010: 5,546.27 and 1,538.13, respectively; and for Series B-1 and Series B-2: 5,549.68 and 3352.32, respectively. |
Financial highlights are calculated for each Series taken as a whole. An individual partner’s return, per unit data, and ratios may vary based on the timing of capital transactions.
9. | Financial instrument risk |
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term “off balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.
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For the Fund, gross unrealized gains and losses related to exchange-traded futures were $2,312,735 and $610,522, respectively, and gross unrealized gains and losses related to non-exchange-traded forwards were $324,150 and $238,220, respectively, at September 30, 2011.
For Series A, gross unrealized gains and losses related to exchange-traded futures were $1,161,003 and $361,614, respectively, and gross unrealized gains and losses related to non-exchange-traded forwards were $162,075 and $120,339, respectively, at September 30, 2011.
For Series B, gross unrealized gains and losses related to exchange-traded futures were $1,151,732 and $248,908, respectively, and gross unrealized gains and losses related to non-exchange-traded forwards were $162,075 and $117,881, respectively, at September 30, 2011.
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Fund’s assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services, Inc., Barclays Capital Inc., and Rosenthal Collins Group, L.L.C. Prior to its insolvency filing, the Fund used MF Global, Inc. as one of its futures commission merchants. Refer to the Subsequent events note for the Fund’s potential exposure to the MF Global liquidation.
Superfund Capital Management monitors and attempts to control the Fund’s risk exposure on a daily basis through financial, credit, and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions, and collateral positions.
The majority of these futures and forwards mature within one year of September 30, 2011. However, due to the nature of the Fund’s business, these instruments may not be held to maturity.
10. | Subscriptions and redemptions |
Investors must submit subscriptions at least five business days prior to the applicable month-end closing date and they will be accepted once payments are received and cleared. All subscription funds are required to be promptly transmitted to HSBC Bank USA, as escrow agent. Subscriptions must be accepted or rejected by Superfund Capital Management within five business days of receipt, and the settlement date for the deposit of subscription funds in escrow must be within five business days of acceptance. No fees or costs will be assessed on any subscription while held in escrow, irrespective of whether the subscription is accepted or subscription funds are returned.
Limited Partners may request any or all of their investment in a Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of the month, subject to a minimum redemption of $1,000. A request for less than a full redemption that would reduce a Limited Partner’s remaining investment to less than $5,000 will be treated as a request for full redemption. Limited Partners must transmit a written request of such redemption to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which redemption is to be effective. Redemptions will generally be paid within 20 days after the effective date of the redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are the subject of such default or delay, and Limited Partners will be paid their pro rata portion of the redemption amount not subject to defaults or delays.
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11. | Subsequent events |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were filed and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements with the exception of the following:
On October 31, 2011, MF Global reported to the SEC and CFTC possible deficiencies in customer segregated accounts held at the firm. As a result, the SEC and CFTC determined that a SIPC-led liquidation proceeding would be the safest and most prudent course of action to protect customer accounts and assets, and SIPC initiated the liquidation of MF Global under the Securities Investor Protection Act. As of October 31, 2011, approximately $416,000 of Series A assets were still on deposit in accounts at MF Global. These assets represent approximately 2.1% of Series A’s net asset value of approximately $19.64 million. As of October 31, 2011 approximately $451,000 of Series B’s assets were still on deposit in accounts at MF Global. These assets represent approximately 3.8% of Series B’s net asset value of approximately $11.75 million. Of the approximately $416,000 of Series A Assets and $451,000 of Series B assets held at MF Global as of October 31, 2011, approximately $400 and $9,600, respectively were held in customer segregated accounts. The remaining Fund assets held at MF Global (approximately $416,000 for Series A and $441,000 for Series B) were held in customer secured amount accounts at the firm. To the best of our knowledge, there have been no reports of any deficiencies in the customer secured amount accounts. Superfund Capital Management, Inc. does not believe that the MF Global liquidation will have a material impact on the ongoing trading operations of the Fund or either Series However, because MF Global is still in the liquidation process, the MF Global liquidation proceedings may have an impact on the ability of Superfund Gold, L.P. to: satisfy redemption requests in the normal 20-day time period; adequately value redemption requests in the ordinary timeframe; accept new subscriptions and properly value the net asset value for new subscribers; and provide for accurate valuation in the Superfund Gold, L.P.’s account statements provided to participants. There can be no assurances that Superfund Gold, L.P. will have immediate access to any or all of its assets in accounts held at MF Global and as to the amount or value of those assets in the context of the bankruptcy.
ITEM 2. | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
INTRODUCTION
The Fund commenced the offering of its Units on February 17, 2009. The initial offering terminated on March 31, 2009, and the Fund commenced operations on April 1, 2009. The continuing offering period commenced at the termination of the initial offering period and is ongoing. Subscription and redemption data is presented for both the Fund, as the SEC registrant, and for Series A and Series B, individually. For the quarter ended September 30, 2011, subscriptions totaling $2,260,462 in the Fund have been accepted and redemptions over the same period totaled $1,912,597. For the quarter ended September 30, 2011, subscriptions totaling $1,469,843 in Series A-1, $401,972 in Series A-2, $266,147 in Series B-1, and $122,500 in Series B-2 have been accepted and redemptions over the same period totaled $709,574 in Series A-1, $53,528 in Series A-2, $709,201 in Series B-1 and $440,294 in Series B-2. The Fund operates as a commodity investment pool, whose purpose is speculative trading in the U.S. and international futures and forward markets. Specifically, the Fund trades a portfolio of more than 120 futures and forward markets using a fully-automated, proprietary, computerized trading system. The Fund also seeks to maintain an investment in gold approximately equal to the total capital of each Series, as of the beginning of each month. The gold investment is intended to delink each Series’ net asset value, which is determined in U.S. dollars, from the value of the U.S. dollar relative to gold, effectively denominating the Series’ net asset value in terms of gold.
LIQUIDITY
Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Fund’s ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.
Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed “off exchange” between private parties, the time required to offset or “unwind” these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a U.S. person.
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Other than these limitations on liquidity, which are inherent in the Fund’s futures and forward trading operations, the Fund’s assets are expected to be highly liquid.
CAPITAL RESOURCES
The Fund will raise additional capital only through the sale of Units offered pursuant to the continuing offering and does not intend to raise any capital through borrowings. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
RESULTS OF OPERATIONS
Three Months Ended September 30, 2011
Series A:
Net results for the quarter ended September 30, 2011 were a gain of 12.2% in net asset value for Series A-1 and a gain of 12.8% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $1,812,831. This increase consisted of interest income of $1,330, trading gains of $2,087,708 and total expenses of $276,207. Expenses included $105,613 in management fees, $35,204 in operating expenses, $75,744 in selling commissions, $57,575 in brokerage commissions and $2,071 in other expenses. At September 30, 2011, the net asset value per Unit of Series A-1 was $1,755.03 and the net asset value per Unit of Series A-2 was $1,897.37.
Series B:
Net results for the quarter ended September 30, 2011 were a gain of 14.6% in net asset value for Series B-1 and a gain of 15.2% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $1,661,338. This increase consisted of interest income of $902, trading gains of $1,856,501 and total expenses of $196,065. Expenses included $71,885 in management fees, $23,962 in operating expenses, $37,836 in selling commissions, $58,139 in brokerage commissions and $4,243 in other expenses. At September 30, 2011, the net asset value per Unit of Series B-1 was $1,530.88 and the net asset value per Unit of Series B-2 was $1,595.96.
Nine Months Ended September 30, 2011
Series A:
Net results for the nine-month period ended September 30, 2011 were a gain of 13.5% in net asset value for Series A-1 and a gain of 15.3% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $1,819,702. This increase consisted of interest income of $5,365, trading gains of $2,821,704 and total expenses of $1,007,367. Expenses included $279,880 in management fees, $93,293 in operating expenses, $198,842 in selling commissions, $186,379 in brokerage commissions and $5,524 in other expenses. At September 30, 2011, the net asset value per Unit of Series A-1 was $1,755.03 and the net asset value per Unit of Series A-2 was $1,897.37.
Series B:
Net results for the nine-month period ended September 30, 2011 were a gain of 17.4% in net asset value for Series B-1 and a gain of 18.5% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $1,647,349. This increase consisted of interest income of $5,280, trading gains of $2,706,213 and total expenses of $1,064,144. Expenses included $225,496 in management fees, $75,163 in operating expenses, $123,698 in selling commissions, $224,342 in brokerage commissions and $9,955 in other expenses. At September 30, 2011, the net asset value per Unit of Series B-1 was $1,530.88 and the net asset value per Unit of Series B-2 was $1,595.96.
Fund results for 3rd Quarter 2011:
In September, the Fund’s trading strategies posted disappointing results as economic uncertainty spiked, precipitating a severe bout of commodity market liquidation and corresponding flight to the U.S. dollar and treasuries. Equities came under pressure early as poor U.S. unemployment data and growing dysfunction in European money markets prompted liquidation. Values remained under duress for the balance of the month as the International Monetary Fund, the U.S. Federal Reserve (the “Fed”), and the European Central Bank (“ECB”) offered bearish assessments of downside risks to global growth. The U.S. dollar gained along with U.S. and European treasuries as investors flocked to safe haven assets while awaiting further clarity from
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European authorities. Gold and silver reversed August’s gains on a stronger U.S. dollar, increased margin requirements and collateral damage from commodity and equity market liquidation. Grains and soft commodities were hit particularly hard amid the fundamental reassessment of demand, a stronger U.S. dollar and improved production prospects. The Fund’s short-term strategies further detracted from overall performance as losses in currencies and energies offset gains in bonds, metals, and stocks. The Fund experienced significant losses in grains and agricultural markets in September. Losses were seen in grain market trades amid global economic concerns, weakening demand, seasonal harvest pressure and a strong U.S. dollar. Positions in agricultural products underperformed as the combination of excellent production and the increasing likelihood of a global recession resulted in heavy liquidation. Allocations to currencies and money markets also yielded negative returns in September. Losses in currency markets resulted from a massive flight out of risk assets, including commodities, commodity currencies and emerging market equities which propelled the U.S. dollar sharply higher against a global basket of currencies. Positions in global money markets lost ground in September as continued instability in financial markets led to choppy action at the top of the recent range. Pressure continued to mount on European officials as major bank shares fell amid reports of rising dysfunction in the inter-bank lending market. This prompted the major central banks to coordinate funding and stability to the system. The Fund’s models produced gains in metals and bonds in September. Metals markets saw positive results overall as the seemingly intractable European debt crisis escalated pessimism regarding industrial metal demand. The Fund’s bond portfolio continued to perform well during September as fear and central bank intervention drove major sovereign debt prices higher. As world commodity and equity prices fell, investors invested in into the safe haven assets of medium and long-term sovereign debt. The Fund’s perpetual long gold position produced losses in September. December Comex gold opened the month with new all-time highs before reversing to post a loss of 11.5% in volatile action. Losses accelerated after the Fed’s plan to purchase long-term debt was announced, citing increasing downside risks to economic growth. By minimizing inflation worries, the Fed’s action also paved the way for a massive exodus out of commodities. As the flight out of risk progressed, gold lost ground as institutions used recent profits to finance losses elsewhere.
In August, the Fund’s trading strategies yielded mixed results as volatility continued to rise in conjunction with political and economic uncertainty. Global contagion fears escalated to new levels during the month following the downgrade of U.S. debt and heightened fears of a downgrade of French debt. The Fund’s trend following models produced gains in bonds and money markets as safe haven capital flooded to sovereign debt. The Fund’s short-term strategies also contributed positively to overall performance as gains in bonds, metals and energies offset losses in stocks and currencies. The Fund’s perpetual long gold position furthered gains as gold futures increased over 12% while posting new all-time highs above $1900 per ounce. The Fund’s allocation to bond markets outperformed once again in August as the fear trade picked up momentum amid flagging consumer sentiment as governments continued to fail to address long-term deficit challenges. U.S. bonds skyrocketed over 7% as safe haven demand surged with the S&P downgrade of U.S. debt and subsequent heavy liquidation in global equity markets. The trading strategies also produced gains from short-term interest rate futures positions in August as the uptrend remained firmly entrenched. Short-term rate futures around the world spiked higher early in the month as equities sold off in response to uncertainty surrounding the debt of both sovereigns as well as major financial institutions. Somewhat paradoxically this led to a flight to safety to some of the very sovereigns that were coming under fire, most notably the U.S. Allocations to equities markets yielded negative results in August as global markets collapsed under the weight of fears surrounding the stability of major international banks. Equity market volatility skyrocketed as S&P’s downgrade of U.S. debt was followed by fears of a French downgrade due to exposure to Italy. Global growth expectations contracted quickly sending Italian (-15.7%), Spanish (-8.9%) and French (-11.4%) indices sharply lower, prompting regulators to establish short-selling bans. Short sellers responded by attacking Europe’s leading economy, sending Germany’s DAX to a loss of 19.4%. Asian markets also suffered amid global contagion fears, as Japan (-9%), Korea (-13%) and Singapore (-9.7%) witnessed declines. Late month news that Warren Buffet was investing $5 billion in embattled Bank of America shares along with a surprisingly strong U.S. durable goods number and a Greek bank merger restored some measure of confidence while limiting losses in the Dow Jones Industrial Average (the “Dow”) to 4.1%. The Fund’s currencies positions also yielded negative returns in August as the euro and U.S. dollar settled into tight ranges while risk currencies reversed lower. Other market sectors, relative to those discussed above, did not have a substantial influence on the Fund’s overall positive performance in the month of August.
In July, the Fund’s trading strategies bounced back to produce strong returns as global contagion fears resulted in strong moves for safe haven assets at the expense of risk. The Fund’s short-term strategies contributed positively to overall performance as gains in bonds and stocks offset small losses in currencies, metals and energies. The strongest performing sectors on the month were bonds, metals and currencies, with bonds having the most substantial returns. Meanwhile, stock indices and grains produced moderate losses. The Fund’s perpetual gold position produced substantial positive returns in July as the debt crisis in Europe and the U.S. accelerated. The Fund’s bond positions performed well in July on speculation that there was an increasing likelihood of a debt-related slowdown in Europe and the U.S. German bonds rallied on demand for safe haven assets as CPI figures remained muted despite factory orders and exports easily surpassing expectations. The health of major banks in Italy and Spain came into question forcing Spanish and Italian yield to soar amid increasing loan losses for private banks. In the U.S., the combination of a disappointing early month jobs report and debt ceiling related slowdown fears supported the steady trend higher. Allocations to metals produced positive results on the month as policy maker deadlocks in Europe and the U.S. drove investors to the perceived safety of gold and silver. December gold finished 8.4% higher, surpassing the $1,637 level, while September silver added 15.2% to finish just over the $40 mark. London copper added 4.5% due to strong U.S. corporate
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earnings and a 20% increase in Chinese refined copper imports following May’s domestic stocks drawdown. An early month Chinese rate hike and a somewhat disappointing GDP report did little to slow the advance. The Fund’s currency market positions yielded positive results in July as early U.S. dollar strength reversed mid-month, giving way to concern over the risks associated with a failure to raise the U.S. debt ceiling. The first half of the month saw a significant euro weakness amid conflicting signals from various euro zone officials as to the ultimate fate of their heavily indebted members and the monetary union itself. The U.S. dollar rallied over 2% while the euro gave up over 3% amid Greek default talk and heightening Italian solvency concerns. From there, the U.S dollar reversed as global investors sought protection from a potential U.S. default as debt ceiling negotiations faltered. The Fund yielded slightly negative results in the stock indices sector in July as global markets continued to retrace from spring highs amid debt worries. Grain positions also experienced moderate losses in July on weather related yield uncertainty.
For the third quarter of 2011, the most profitable market group overall was the bonds sector, while the greatest losses were attributable to positions in the currencies sector.
In June, the Fund’s trading strategies yielded negative results as the correction in stocks and commodities that began in May continued, only to reverse late in the month. The Fund’s short-term strategies contributed positively to overall performance as gains in bonds, metals, and stocks offset losses in currencies and energies. The Fund underperformed in equities futures trading in June as stagnating growth and European sovereign debt worries sent indices sharply lower. European equities plummeted as EU officials, private creditors and the Greek government struggled to find a workable solution to the crisis. Meanwhile, the Fund’s bond strategies outperformed across the board in June, responding in a classic inverse manner to the factors impacting equities. German bunds moved steadily higher early as uncertainty over the status of Greek debt intensified. Lower than expected German factory orders and industrial production supported values as well. Australian bonds rallied, due in part to the attractive yield differential versus the U.S., Europe and Japan. The Fund’s allocation to global energy markets produced losses as the recent correction continued in June, reflecting increasing pessimism for economic prospects. Energy markets and commodity currencies sold off while treasuries gained on safe haven flows as softening manufacturing data prompted the ECB and the Fed to lower their longer term inflation estimates. However, with a late month agreement on a new aid package, equities and other risk assets reversed higher, while treasuries gave back earlier gains. Late month losses in previous metals and choppy action in base metals led to negative performance in that sector. The Fund’s trading models also produced losses in grains in June as improving weather and declining demand prospects associated with macroeconomic concerns led to sharp reversals. Gold and silver finished lower on the inflation outlook while grains sold off as excellent weather and an uncertain demand outlook led to higher inventory estimates. The Fund’s perpetual gold futures position yielded subpar results in June as choppy to slightly lower action eroded returns. Europe’s sovereign debt situation dominated much of the headlines as Greek, German and French officials struggled to come to common ground on new financing for the heavily indebted nation. Indeed, gold in euro terms established new all-time highs just below €1,100 per ounce on June 22nd before settling 2.1% lower near the €1,046 per ounce level with the passage of Greek austerity measures and dovish longer term inflation statements by the ECB and the Fed.
In May, the Fund’s medium to long term trading strategies underperformed as investors temporarily abandoned risk assets in favor of safe haven alternatives. The Fund’s short-term strategies also contributed negatively to overall performance as losses in equities, metals and currencies offset gains in bonds and energies. Equities reversed as declines in U.S. employment, housing and gross domestic product (“GDP”) combined with disappointing German factory orders to unnerve bullish investors. The Fund’s allocation to global stock indices underperformed despite a late recovery as the European debt crisis and a slowdown in manufacturing heightened fears of stagnant growth. The Fund’s bond strategies produced positive results across the board in May as safe haven assets pressed higher amid uncertainty concerning the sustainability of global economic growth. Treasuries rallied as bond yields in peripheral European states soared amid growing concern that a Greek default or restructuring was a real possibility. Allocations to currencies yielded poor results for the Fund in May as the U.S. dollar and euro reversed April’s action following the ECB’s unexpected removal of the “strong vigilance” on higher prices language from their May policy statement. The growing focus on the European sovereign debt situation prompted a flight out of risk assets and into the U.S dollar and the Swiss franc, which established a new record high against the euro. Energies and base metals saw sharp declines as a bearish Goldman Sachs commodity call, along with heightened volatility in forex markets tied to the problems in Europe, spurred liquidation. The Fund’s performance in the metals sector reversed as gold futures opened the month retracing over 6% from all time highs established on May 2nd. The weakness stemmed from massive liquidation in silver and receding inflation fears as European sovereign debt instability delayed near term prospects for an ECB rate hike. April gains turned into May losses for the Fund in energies as recent upward trends in crude oil, heating oil and gasoline gave way to significant declines. Grains endured more volatile action as extreme weather in the Northern Hemisphere continued to threaten production prospects. The Fund’s position in grains suffered due to continued volatility from broad based commodity selling, a reversal in the U.S. dollar and a surprise 8% upward revision in 2010-11 U.S. Department of Agriculture (“USDA”) corn ending stocks. The Fund’s perpetual long gold futures position underperformed in May as heavy early month liquidation led to an eventual loss of 1.3% for the precious metal. The market opened the month with a decline of over 6% from May 2nd record highs amid rumors that George Soros and Carlos Slim were cutting precious metal bets. Values stabilized slightly below $1,500 per ounce before rallying to finish near $1,535 per ounce amid safe haven buying.
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In April, the Fund produced solid overall gains, rebounding from a subpar performance in March. Global equities continued to trend higher despite U.S and European debt issues, Mid-East unrest and the Japanese disaster. Manufacturing maintained its positive trajectory, with notable improvement in Germany driving the DAX over 6% higher while U.S. shares accelerated to new multi-year highs on strong corporate earnings. Bond markets reversed mid-month as a downgrade in the U.S. credit outlook temporarily shifted focus away from inflation and toward longer term obstacles to growth. Gold posted record highs above $1,500 per ounce and silver fell just short of the $50 per ounce mark, adding over 28% as the Fed’s reaffirmation of quantitative easing and a U.S. credit outlook downgrade sent the U.S. dollar plummeting. The Fund experienced uneven results in grains and agricultural markets amid volatile weather conditions. The Fund’s short-term strategies contributed positively to overall performance as gains in currencies, metals and stocks offset losses in bonds and energies. The Fund’s allocation to global stock indices performed well in April as the uptrend in equities continued. The Dow rose 4.4%, reaching mid-2008 highs on excellent quarterly earnings. Late-month results from Apple and IBM easily offset the downgrade of the U.S. credit outlook by S&P. European equities generally ignored sovereign debt worries, finishing broadly higher as surging Germany factory orders and industrial production set a positive tone. However, Greece’s ASE-20 moved back to its lows as debt restructuring rumors rattled investors. Asian indices tracked steadily higher, continuing to capitalize on China’s dynamic growth. Japan’s Nikkei (+1.3%) broke higher late as disaster recovery efforts progressed. The Fund yielded negative results in global bond markets in April as a mid-month reversal produced losses. German bunds continued their recent trend lower early in the month as strong economic data at home combined with sovereign debt fears on the periphery to drive yields higher. Ongoing inflation fears ahead of the ECB’s 25 basis point rate hike also exerted pressure. Values then recovered somewhat before vaulting higher in conjunction with the downgrade of the U.S. credit outlook by S&P as investors received a sobering reminder of the potential long-term risks to global growth prospects. The Fund experienced minor gains from its allocation to short-term interest rate futures in April in mixed action. Eurodollar futures trended higher as the Fed officially reiterated its commitment to completing the second round of quantitative easing (“QE2”) after some doubts were expressed last month. Euribor futures finished mixed as the ECB maintained its vigilant stance on inflation by raising their discount rate 25 basis points as expected. Allocations to currency markets yielded strong results in April as recent trends extended amid accelerating U.S. dollar weakness. The euro surged to its highest level since December of 2009 as an S&P downgrade of the U.S. credit outlook prompted severe U.S dollar weakness as the month came to a close. The Australian dollar marched 6.2% higher amid excellent export growth, while the New Zealand dollar rose by approximately the same percentage on a rising appetite for yield and risk as global investors sought to offset asset deterioration linked to inflation. The Colombian peso added another 5.5% amid heavy foreign direct investment flows into the oil and mining industries. Sweden’s krona and Brazil’s real also gained significantly as rate hikes attracted yield hungry investors. The Fund’s grain positions suffered losses in April amid heightened volatility as values fluctuated along with uncertain weather. Soybeans finished lower on the prospect of U.S. corn acres shifting to soybeans due to an excessively wet spring. A potentially record breaking South American crop led China to cancel U.S. purchases, while a bearish commodity call by Goldman Sachs pressured values as well. Wheat sold off late, losing 7% of its value as forecasts for badly needed rains in winter wheat areas offset the bullish effects of excessive moisture in spring wheat regions. Corn traded to all-time highs above $7.80 per bushel as poor planting progress threatened to exacerbate historically tight supplies. The Fund’s allocation to agricultural markets also resulted in losses for April as growing supplies offset the weaker U.S. dollar. June cattle (-6.2%) fell throughout the month after establishing record highs on April 4th as the U.S. Department of Agriculture (“USDA”) reported that commercial red-meat production reached a record high. June hogs also reversed to finish 8.4% lower after a reported 12% increase in frozen pork stocks versus last year. Cotton fell sharply on concern that China’s attempts to slow inflation using higher interest rates and reserve rate requirements would cut into demand. Meanwhile, July NY coffee established 14-year highs amid poor weather in South America. Allocations to metals outperformed in April as exceptional U.S. dollar weakness and rising inflation throughout the world propelled precious metals sharply higher. Gold saw an 8.1% gain, surpassing the $1,550 per ounce mark. July silver tacked on another 28%, pushing its year to date return to over 50% in frenzied action. Copper futures lost 3.4% as the U.S. credit downgrade and another reserve requirement hike in China dampened the growth outlook for the world’s two largest copper consumers. The Fund’s perpetual long gold position surged as gold futures rose to new all time highs in U.S. dollar terms. Consumer Price Index (“CPI”) readings in China, Europe and the U.S. continued to expand with rising energy markets, enhancing demand for the perceived inflation hedge. The U.S. dollar struggled early amid rate hikes in Europe and China, along with a number of hikes in lesser economies. The S&P downgrade of the U.S. long term credit outlook accelerated these U.S. dollar losses.
For the second quarter of 2011, the most profitable market group overall was the bonds sector while the greatest losses were attributable to positions in the energy sector.
In March, the Fund’s allocation to global equity markets underperformed as a sharp countertrend reversal following the disaster in Japan produced losses for the Fund’s strategies. Equity markets opened the month moving sideways as the reemergence of sovereign debt and inflation worries in Europe offset steady expansion in global manufacturing. From there the Nikkei plunged 25.0% on panic-induced selling following the events of March 11th. Results for the Fund’s models experienced losses as most leading indices participated in the selloff as risk appetite abated. Equities quickly recovered as the focus shifted to the growth to be generated by rebuilding Japan. Nikkei futures finished only 7.7% lower on the month while shares in South Korea and Hong Kong finished 9.1% and 0.9% higher, respectively, on the belief that these markets are well positioned to fill the
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temporary void left by the decimated Japanese manufacturing sector. U.S. equity markets also experienced small gains as macroeconomic data continued on a positive trajectory. A mixture of long and short positions in equity markets led the Fund to an overall loss. The Fund’s positions in the bond sector experienced gains in March despite volatile market conditions as geopolitical instability in Libya and Japan and financial instability in Europe led investors to the relative safety of treasuries. Positions in Japanese government 10-year bonds experienced gains as the market opened the month near unchanged before rallying sharply in response to a nearly 20.0% washout in equities following the disaster. The Fund experienced losses in German bund futures as the market finished lower on news of improving employment, factory orders and retail sales. Meanwhile, the sovereign debt situation continued to evolve amid several debt downgrades of peripheral states, prompting investors to demand more yield to hold German debt even as European Union leaders agreed to an expanded bailout package for troubled states. Results in U.S. bonds also experienced losses in turbulent trading activity as strong economic prospects offset geopolitical safe haven buying. A mixture of long and short bond positions led the Fund to an overall gain on the month. The Fund’s currency positions experienced gains in March as interest rate expectations and unsettling geopolitical developments dominated trading activity. June euro futures advanced 2.9% despite debt downgrades of Greece, Portugal and Spain as the ECB chairman continued to express the need for extreme vigilance with respect to the growing threat of inflation. The Swiss franc benefitted as investors sought shelter from the U.S.’s quantitative easing and Europe’s sovereign debt troubles. The yen rose over 4.0% following the catastrophic earthquake, amid expectations for a massive repatriation of capital to rebuild the stricken nation. However, in the first coordinated G7 intervention since the 2000 support for the euro, central bankers crushed the rally on March 18th, leading to a loss of 1.6% on the month. The Mexican peso outperformed as the oil producing nation saw slowing inflation complimented by expectations for continuing strong GDP growth. A mixture of long and short currency positions led the Fund to an overall gain on the month. June gold contracts finished a choppy month with a 2.0% gain as the trend of a shift from improving macroeconomic results to inflation risks continued. Daily reminders of rising food costs fuelled the inflation story and, according to the United Nations, food costs posted record highs in February after rising 25.0% in 2010. Gold experienced a mid-month correction of 4.4% following the catastrophe in Japan as investors moved out of risk assets. However, the market closed strong as European Central Bank rate hike expectations pressured the U.S. dollar to a loss of 1.5% on the month. These factors produced an overall gain for the Fund’s perpetual long gold futures position.
In February, the Fund’s allocation to equity markets performed well in February as major indices in the U.S. and Europe continued to press higher on improving economic conditions and strong corporate results. Late in the month, European and U.S. equities were shaken as the political unrest in Egypt spread to Libya and Bahrain, where protesters were met with force. The outbreak of violence triggered a spike in energy markets, which, when combined with uncertainty surrounding the severity of the crisis, prompted liquidation. Most major U.S. and European indices recovered late amid reassuring comments that the Saudis would cover any oil supply shortfalls. Asian shares struggled as inflation took a toll on growth prospects. Chinese H-shares lagged, finishing unchanged as inflation and consequent fiscal tightening dominated the action. Spillover pressure also affected shares in Singapore and Taiwan, which finished 5.9% and 5.6% lower, respectively. Japan’s Nikkei and Australia’s SPI finished 3.7% and 2.1% higher, respectively, in relatively quiet trading. A mixture of long and short positions in equity markets led the Fund to an overall gain in February. The Fund experienced losses in the bond sector in February as existing positions suffered amid a reversal in investors’ perception of the current risk environment. After breaking lower early in the month on strong corporate earnings and forward guidance, U.S. 30-year bond futures surged to January highs as growing unrest across the Middle East unnerved investors, prompting a general flight to safety. Germany’s bund futures opened the month under pressure as anecdotal evidence of exceptional demand from China offset disappointing December factory orders and retail sales data. However, the deteriorating geopolitical situation and local election losses by the majority ruling party in Germany spurred a reversal that led to losses for the Fund. Trade in Australian bond futures was particularly volatile, to the Fund’s detriment, as weakness associated with a strong early month employment report faded as the Reserve Bank of Australia chief indicated that the central bank was not considering a rate hike at the current time. A mixture of long and short bond positions led the Fund to an overall loss on the month. The Fund obtained gains in currencies in February as the U.S. dollar continued to trend lower, extending January’s losses by another 0.7%. The Swiss franc and Japanese yen finished 1.5% and 0.3% higher, respectively, amid safe haven buying as the situation deteriorated in the Middle East. The Fund experienced gains in the British pound, which finished the month 1.5% higher, after CPI readings showed that prices were increasing at a 4.0% annualized rate, the highest level since fall of 2008. Meanwhile, central bankers in Peru, Colombia, Indonesia and Russia raised rates as they continued to battle inflation while also attempting to fend off the negative effects that massive currency inflows are having on domestic currency appreciation. Colombia extended its dollar purchase program for another three months, hoping to cap currency gains to protect its export prospects. The Australian dollar finished 2.5% higher against the U.S. dollar as strong commodity markets supported full employment. A mixture of long and short positions in the currency sector led the Fund to an overall gain on the month. The Fund’s allocation to global energy markets yielded gains as growing instability in the Middle East and Northern Africa sent prices significantly higher. Short positions in West Texas Intermediate (“WTI”) crude oil performed well early in the month, falling over 5.0% following the Egyptian president’s resignation and total U.S. fuel supplies moving to twenty year highs at the Cushing, Oklahoma delivery point. From there, the Fund experienced gains on long positions in April gasoline, heating oil and brent crude, which finished 9.8%, 7.6% and 10.9% higher, respectively, at the expense of the Fund’s WTI crude position as civil unrest spread to Bahrain, Libya and Oman. The markets gathered momentum as speculation surrounding the stability of the Saudi regime intensified. Short positions in April natural gas also performed well, falling 8.9% on the month as forecasts for mild weather contributed to a convincing breach of
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the $4 British thermal level (“btu”) level. A mixture of long and short positions in the energy sector led the Fund to an overall gain on the month. The Fund experienced gains in April gold contracts, which finished the month 5.6% higher as the market’s focus shifted from improving economic results to inflation risks. Gold rallied early as China responded aggressively to its inflation challenges with interest rate and reserve requirement hikes. While the unrest in Egypt subsided relatively peacefully, matters took a more violent turn in Bahrain and Libya as rising food costs exacerbated widespread discontent, fuelling skyrocketing energy markets which posed even greater inflation risks and support for gold. These factors produced an overall gain for the Fund’s perpetual long gold futures position.
In January, the Fund’s allocation to global equities finished mixed in January as disappointing performances in several peripheral markets offset steady trends in major indices. In Europe, several past laggards, including Greece, Italy and Spain finished the month 13.9%, 9.2% and 10.2% higher, respectively, as heavy ECB participation in secondary market debt auctions and plans for a comprehensive debt relief structure reassured investors. Small gains on positions in Germany’s DAX, France’s CAC40 and the Amsterdam EOE Index, which finished 2.5%, 5.1% and 1.3% higher, respectively, offset losses in the sector as several core European economies improved. U.S. equities pressed higher as improving employment figures and solid consumer demand elevated corporate earnings. The Fund experienced early losses in Australia’s SPI as epic flooding cut into 2011 GDP prospects. Chinese H-Shares reversed lower late in the month to the Fund’s detriment as authorities continued to struggle with inflation. Overall, a mixture of long and short stock indices positions led the Fund to an overall loss. The Fund’s allocation to global bond markets underperformed in January as investors exited safe haven assets in response to improving global economic conditions. The Fund experienced losses in its Japanese government bond positions as large auctions and generally poor economic performance resulted in a ratings agency debt downgrade, encouraging investors to put money to work outside the country. In Europe, investors sold bund and bobl futures as Euro-zone industrial production readings easily surpassed expectations. Additionally, positive dialogue from various heads of state regarding a comprehensive crisis solution was backed up by aggressive ECB purchases of Italian, Portuguese and Spanish debt in secondary markets, ensuring successful auctions for the embattled countries. In the U.S., performance suffered in choppy countertrend action as bond and note futures moved sideways to slightly higher as QE2 persisted in spite of rising inflation concerns in the rest of the world. A mixture of long and short bond positions led the Fund to an overall loss on the month. The Fund experienced losses in the interest rates sector as European short rates reversed sharply from December’s strong close. While the ECB left rates unchanged in January, their policy minutes emphasized vigilance over price stability in the midst of rising commodity prices. Policy makers also noted that uncertainty remains elevated and some financial institutions still face the threat of balance sheet adjustments despite positive underlying momentum in the economy. They also stressed the need for Euro members to reduce debt-to-GDP ratios. Short rate futures in the U.S. finished near their highs as early weakness associated with a strong employment report was offset by staunchly accommodative Fed monetary policy. Their focus, in contrast to the ECB, continues to be focused on growth and full employment at the expense of inflation. Meanwhile, Australian short rate futures moved higher to the Fund’s benefit as epic flooding cut into 2011 GDP estimates, thereby reducing prospects for previously expected rate hikes. A mixture of long and short interest rate positions led the Fund to an overall loss on the month. The Fund’s allocation to currency markets underperformed in January as the euro and British pound finished 2.4% and 2.8% higher against the U.S. dollar, respectively, and euro-zone regionals reversed late 2010 losses. Early month news that Japan would buy distressed sovereign debt and strong ECB secondary market participation in Portugal, Spain and Italian bond auctions provided support to these economies. As confidence in the euro improved, investors moved out of the Swiss franc, which finished 0.9% lower against the U.S. dollar, and back into risk plays in Hungary and Poland, which finished 5.4% and 4.1% higher, respectively, resulting in losses for the Fund. The Australian dollar finished 2.1% lower against the U.S. dollar as flood damage triggered a one-time levy, which tempered 2011 growth estimates and rate hike expectations. The Fund experienced losses in the yen following a credit rating downgrade as Japan’s huge debt load and limited policy options unnerved investors. Gains in the Mexican peso, which finished 1.8% higher against the U.S. dollar offset some losses in the sector as the peso rallied on prospects for a sustained U.S. economic recovery. The Fund’s mixture of long and short currency positions led to an overall loss on the month. The Fund experienced losses in the metals sector in January as gold and silver futures traded sharply lower amid growing optimism that the global economic recovery is gaining momentum. April gold finished with a loss of 6.2% as strong early month U.S. employment figures and ebbing contagion fears in Europe limited investors’ appetite for the alternative asset. March silver finished the month 8.8% lower in correlated action. The Fund’s allocation to industrial metals also suffered. The Fund’s positions in March Comex copper were stopped out after a 6.0% intra-month decline due to China raising its reserve requirement in response to elevated GDP and CPI reports. Fears that China would take more aggressive measures to limit growth led to losses in London aluminum, lead and zinc as several Chinese banks were forced to cease lending for the remainder of the month. A mixture of long and short metals positions led the Fund to an overall loss on the month. The Fund’s allocation to global energy markets produced positive returns in January as economic, logistical and geopolitical factors underpinned values. Strong U.S. employment figures and a pipeline shutdown in Alaska supported the Fund’s New York crude oil positions early in the month. However, elevated Chinese GDP and CPI readings precipitated another reserve requirement hike while increasing expectations for additional measures to slow their economy. This scenario, along with a bearish U.S. inventory report, contributed to losses for the Fund amid an 8.0% drop from intra-month highs. Long positions in brent crude finished 6.6% higher, surpassing $100 per barrel following a reversal in European demand expectations, an accident in the North Sea which idled 200k barrels of production and heightening unrest in Egypt. Front-month heating oil surged as well, adding 7.4% as exceptionally cold weather gripped the northern hemisphere, providing excellent returns for the Fund. A mixture of long and short energy positions led the Fund to an overall gain on the month.
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For the first quarter of 2011, the most profitable market group overall was the energy sector while the greatest losses were attributable to positions in the stock indices sector.
Three Months Ended September 30, 2010
Series A:
Net results for the quarter ended September 30, 2010 were a gain of 10.9% in net asset value for Series A-1 and a gain of 11.4% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $1,037,721. This increase consisted of interest income of $3,232, trading gains of $1,181,098 and total expenses of $146,609. Expenses included $49,471 in management fees, $16,490 in operating expenses, $33,976 in selling commissions, $44,963 in brokerage commissions, $1,658 in incentive fees and $51 in other expenses. At September 30, 2010, the net asset value per Unit of Series A-1 was $1,331.83 and the net asset value per Unit of Series A-2 was $1,416.78.
Series B:
Net results for the quarter ended September 30, 2010 were a gain of 11.5% in net asset value for Series B-1 and a gain of 12.0% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $1,077,851. This increase consisted of interest income of $2,602, trading gains of $1,231,376 and total expenses of $156,127. Expenses included $48,747 in management fees, $16,249 in operating expenses, $26,684 in selling commissions, $63,745 in brokerage commissions and $702 in other expenses. At September 30, 2010, the net asset value per Unit of Series B-1 was $1,067.96 and the net asset value per Unit of Series B-2 was $1,100.58.
Nine Months Ended September 30, 2010
Series A:
Net results for the nine-month period ended September 30, 2010 were a gain of 26.4% in net asset value for Series A-1 and a gain of 28.1% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $1,971,183. This increase consisted of interest income of $4,152, trading gains of $2,351,977 and total expenses of $390,545. Expenses included $112,931 in management fees, $40,476 in operating expenses, $31,461 in selling commissions, $121,429 in brokerage commissions and $97 in other expenses. At September 30, 2011, the net asset value per Unit of Series A-1 was $1,331.83 and the net asset value per Unit of Series A-2 was $1,416.78.
Series B:
Net results for the nine-month period ended September 30, 2010 were a gain of 22.2% in net asset value for Series B-1 and a gain of 24.1% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $2,198,498. This increase consisted of interest income of $2,734, trading gains of $2,763,975 and total expenses of $568,211. Expenses included $164,100 in management fees, $54,700 in operating expenses, $99,890 in selling commissions, $248,009 in brokerage commissions and $1,512 in other expenses. At September 30, 2011, the net asset value per Unit of Series B-1 was $1,067.96 and the net asset value per Unit of Series B-2 was $1,100.58.
Fund results for 3rd Quarter 2010:
In September, the Fund’s allocation to global equities proved successful as equities moved sharply higher. Indices in the U.S. experienced gains as the combined effects of excellent technology earnings and elevated M&A activity drove the Nasdaq index 13.1% higher. Although short positions in European indices experienced losses as the Dow Jones Eurostoxx, France’s CAC-40 and Spain’s IBEX finished 5.0%, 6.4% and 2.5% higher, respectively, long positions in Korea’s Kospi index, which finished 7.4% higher, performed well amid upward revisions in the country’s current account surplus. A mixture of long and short positions led the Fund to an overall gain in the stock indices sector. The long-term upward trend in Canadian 3-month bank acceptance and Australian 90-day bank bill futures reversed, resulting in losses for the Fund’s short rates allocation. The selloff in Canada of 3-month bank notes was attributed to the Bank of Canada raising rates by 25 basis points for the third time since June, along with a better than expected rebound in Canadian employment and household spending. Australian short-term interest rates sold off dramatically in response to employers adding more jobs than forecasted. In the U.S., 3-month Eurodollar futures bucked the global trend, trading higher as better than expected economic data was overshadowed by statements that the Fed was prepared to implement a second wave of unconventional monetary easing. Long positions in short-term interest rate products led the Fund to an overall loss on the month. Negative dollar statements by the Federal Reserve served as a catalyst
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for extreme currency market moves worldwide. The Australian dollar led the way, finishing 9.0% higher on the U.S. dollar. The Swiss franc finished 3.5% higher as investors perceived a safe haven play with the Japanese yen and U.S. dollar in tumult. Emerging market currencies also performed well as the South African rand, Brazilian real and Korean won finished 6.0%, 3.7% and 4.8% higher, respectively. The Fund’s long positions in currency markets led to an overall gain on the month. The Fund obtained strong results from its allocation to the metals markets in September as investors sought safety from the devaluation of fiat currencies and exposure to alternative assets. As the dollar collapsed to a seven-month low, silver gained 12.2% on the month, breeching a 30-year high. Long positions in base metals performed well as positive early month manufacturing readings in the U.S. and China sent copper futures higher. London copper added 8.5% amid falling inventories while aluminum and nickel posted gains of 14.7% and 12.4%, respectively. Long positions in the metals sector led the Fund to an overall gain on the month. December gold futures marched higher in September, finishing up 4.7% on the month and establishing a new all-time high above $1,300 per ounce. As a result, the Fund’s long gold position produced an overall gain on the month.
In August, the Fund’s allocations to global equity futures markets underperformed as heightening uncertainty continued to drive market volatility. The Dow Jones index finished the month down 3.9% as a poor labor market, deteriorating durable goods sales and acute housing market declines challenged investor confidence. The Fund also lost ground in Europe as markets reversed lower with France’s CAC 40, Spain’s IBEX 35 and Italy’s MIB 40 finishing 4.2%, 2.7% and 6.3% lower, respectively. A mixture of long and short positions in the stock indices sector led the Fund to an overall loss on the month. The strong upward trend in U.S. Treasury bond futures persisted with the front-month contract trading to an 18-month high while front-month 10-year Japanese government bond futures traded up to their highest level since 2003 as Japan’s GDP growth missed expectations by rising at an annualized rate of only 0.4%. A mixture of long and short bond futures positions led the Fund to an overall gain on the month. The Fund’s net long allocation to short-term interest rate futures yielded positive returns in August due to the prevailing fear that global growth was languishing. The long-term upward trend in 3-month Eurodollar futures extended higher after the Fed reversed plans to exit from monetary stimulus and decided to keep its bond holdings level with the possibility of resuming purchases. Long positions in the interest rate sector led the Fund to an overall gain on the month. The Fund experienced gains from its allocation to currency markets as positions in the Japanese yen and the Swiss franc performed well amid a growing sense of uncertainty surrounding the global economic recovery. Japan’s currency rallied to a 15-year high against the U.S. dollar while the Swiss franc ended the month 2.2% higher. Alternatively, long positions in the Canadian dollar and Mexican peso ended the month 3.5% and 4.1% lower against the U.S. dollar as investors curbed exposure to these major U.S. trade partners’ currencies amid flagging U.S. data. A mixture of long and short positions in the currency sector led the Fund to an overall gain on the month. The Fund’s trading systems yielded positive results in the metals sector as strong gains on long positions in gold outweighed negative performance in base metals. December gold contracts finished 5.5% higher as investment demand surged, more than doubling in the second quarter. Meanwhile, results suffered in the base metals as these markets succumbed to the same inputs that supported gold. In China, aluminum production was shuttered by another 330,000 tons while manufacturing grew at the slowest pace in 17 months, sparking fears of a double dip recession. These factors led to the possibility of weakening demand, subsequently putting downside pressure on London aluminum and nickel, which ended the month down 5.3% and 1.5%, respectively. A mixture of long and short metals positions led the Fund to an overall gain on the month. The Fund also saw strong results in global energy markets as these products established solid trends for most of August. Demand prospects for natural gas declined as July’s new and existing home sales data unexpectedly fell while initial jobless claims rose. Milder weather and the reduced threat of Atlantic hurricanes moving into the Gulf of Mexico pushed stockpiles to near-record highs. The Fund’s short positions in natural gas produced substantial gains as front-month futures traded well below the 50/100/200 day moving averages, finishing with a loss of 22.4% on the month. Rising U.S. jobless claims, contracting manufacturing and a widening trade deficit sent October crude down 9.3% on the month. A mixture of long and short positions in the energy sector led the Fund to an overall gain for the month. Gold futures marched steadily higher in August as investors became more and more convinced that neither the U.S. dollar nor the euro offered a safe alternative for their assets. December gold futures recouped all of July’s losses, finishing the month 5.5% higher as investors grew increasingly concerned with macroeconomic data in the U.S. and Europe. The Fund’s long gold position produced an overall gain on the month.
In July, equities rallied impressively despite macroeconomic data that continued to point to various challenges moving forward. Strong corporate earnings reports, increased certainty following the passage of the Dodd-Frank financial reform law and a settlement between the SEC and Goldman Sachs combined to produce sharply higher equity prices. The S&P 500 rallied to finish the month 7.0% higher, stopping out the Fund’s short positions early in the month. Asian equities also moved higher, fueled by growing optimism in China. The Hang Seng index responded with steady returns, finishing the month 4.4% higher, while Australia’s SPI 200 gained 4.7% on the month. In Europe, the UK’s FTSE 100 and the Amsterdam EOE Index recovered most of the prior month’s losses, ending the month 7.2% and 4.4% higher, respectively, due in part to positive European bank stress tests results. A mixture of long and short positions in the stock indices sector led the Fund to an overall loss on the month. The U.S. dollar index declined 5.4% on the month amid falling U.S. household sentiment, poor private sector job growth and expectations of rate increase diminishing. Accordingly, investors rotated assets into alternative safe haven currencies such as the Japanese yen and the Swiss franc, which ended the month 2.4% and 3.5% higher, respectively. The Australian dollar finished the month 7.4% higher as prospects for higher interest rates increased amid strong consumer prices
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and surging metals markets. Asian regional currencies also fared well as the Singapore dollar and New Zealand dollar finished the month 2.6% and 6.0% higher, respectively, benefitting from a return of risk appetite and increasing comfort with Chinese growth prospects following a sharp reversal higher in Chinese equities. The Fund’s long positions in the currency sector led to an overall gain on the month. The energy sector languished as mixed fundamental data produced choppy range-bound markets in both crude oil and natural gas. Large natural gas reserves caused prices to fall throughout the month even as above-average temperatures across the U.S. bolstered cooling demand. Similarly, short positions in crude oil suffered as positive U.S. retail sales figures and the IMF boosting its growth forecast sent values higher. A decrease in jobless claims combined with improving confidence in Europe’s economic recovery to spur initiation of long positions by month-end as September crude oil futures finished 3.7% higher on the month. A mixture of long and short positions in the energy sector led the Fund to an overall loss on the month. After establishing all-time highs in June, gold futures responded with steadily lower action throughout July, finishing with a loss of 5.1% on the month. Perceived structural stability in Europe following the positive results of the banking sector stress tests eliminated a key source of gold sponsorship. Furthermore, excellent corporate earnings also contributed to losses as investors became more comfortable investing in depressed equity markets than on gold at historic highs. The Fund’s long gold position produced an overall loss on the month.
For the third quarter of 2010, the most profitable market group overall was the metals sector, while the greatest losses were attributable to positions in the energy sector.
Fund results for 2nd Quarter 2010:
In June, the Fund’s allocations to global equity indices underperformed as volatile action resulted in losses. Extremely poor housing and retail sales figures spurred profit-taking, leaving front-month Dow futures down 3.5% on the month. A mixture of long and short positions led the Fund to an overall loss in the stock indices sector for the month. Stronger results were obtained in the global bond markets as weaker than expected fundamental and inflation data complemented intensifying euro area sovereign debt risk, thus prompting widespread buying of bonds. September 30-year U.S. Treasury bonds surged after U.S. employment increased less than previously forecasted with private payrolls accounting for only 10% of the jobs added. A mixture of long and short positions led the Fund to an overall gain in the bond sector for the month. Allocations to the energy sector underperformed amid significant losses in natural gas futures following an 18% rally through mid-month. Mild weather moved in toward the end of the month, sending values sharply lower and leaving the August contract with only a modest gain of 4.7%. A mixture of long and short positions led the Fund to an overall loss in the energy sector for the month. The Fund’s gold hedge experienced gains as gold futures posted new all-time highs as unease surrounding the sustainability of the global recovery continued to mount. In euro terms, gold traded near the €1,050 per ounce level due to early month news of a possible Hungarian default and ongoing civil strife in Europe. Meanwhile in the U.S., poor retail sales, weak consumer confidence and falling housing figures supported August gold to a gain of 2.5%. Growing concern surrounding Chinese growth also cast a pall over risk assets, providing support to gold into month-end.
In May, the Fund’s allocation to global equities lost ground as weakness in the global financial system from April carried over into the month. Germany’s Dax, the UK’s FTSE and the Dow finished the month down 2.1%, 5.2% and 7.6%, respectively. A mixture of long and short positions led the Fund to an overall loss in the stock indices sector on the month. The Fund’s long positions in the global bond futures markets provided positive returns as the sovereign debt crisis in the euro area intensified, prompting the purchase of safe-haven government securities. Front-month U.S. 30-year Treasury bonds posted 18-month highs on speculation that the debt contagion could hamper the fragile global economic rebound. The Fund’s long positions in the bond sector led to an overall gain on the month. Fallout from a lack of European consensus in dealing with the sovereign debt crisis triggered soaring borrowing costs that closely resembled the levels of mistrust seen following the 2008 collapse of Lehman Brothers. The euro and Swiss franc fell 7.3% and 6.8%, respectively, while the regional currencies of Hungary, Poland and Denmark also declined 11.0%, 12.7% and 7.8%, respectively. The Fund experienced an overall loss on the month from its mixture of long and short currency sector positions. July crude oil traded as low as $67.24 per barrel on May 25th before a late-month rally based on strong consumer confidence and durable goods orders led to a close of $73.98, which still represented a 16.2% loss for the month. Gasoline and heating oil followed crude oil lower as front-month contracts finished the month down 15.4% and 14.1%, respectively. A mixture of long and short positions led the Fund to a relatively large loss in the energies sector for the month. August gold futures endured volatile price action during the month of May and finished 2.7% higher in U.S. dollar terms, while adding 11.2% in euro terms. Futures rallied to a new record high by mid-month amid concerns that the European debt crisis could worsen to the point that the euro would no longer be considered a fiat currency. The Fund’s gold hedge experienced an overall gain on the month.
In April, markets around the globe finished with mixed results. Stocks came under acute pressure in Europe as concerns continued over the financial condition of several European Union members. Japan’s Nikkei and Australia’s SPI finished with modest losses, down 0.4% and 1.2%, respectively, while gains were seen in Taiwan and Singapore, finishing 1.1% and 3.1% higher, respectively, as those economies benefited from rebounding export demand. In the U.S., the NASDAQ and the Dow finished the month 2.1% and 1.5% higher, respectively. A mixture of long and short positions led the Fund to an overall gain on the month in the stock indices sector. Early month news that the U.S. economy added 162,000 jobs combined with excellent
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growth in the U.S. services industry propelled crude oil futures to their highest levels since the fall of 2008. Later in the month, excellent U.S. corporate earnings, rising consumer confidence and the loss of a production platform in the Gulf of Mexico propelled July crude to a 4.3% gain. June gasoline futures finished 4.1% higher as a late month inventory report showed supplies had fallen more than expected. A mixture of long and short positions led the Fund to an overall gain in the energies sector on the month. The Fund experienced strong gains on its June gold futures, as the metal finished the month 5.8% higher. The Fund’s long positions in the metals sector resulted in gains for the month.
For the second quarter of 2010, the most profitable market group overall was the bonds sector, while the greatest losses were attributable to positions in the energy sector.
Fund results for 1st Quarter 2010:
In March, the Fund saw excellent results in the equities sector as global stock markets throughout the world surged. Rising business confidence in Germany propelled the DAX to a gain of 9.7%, while Italy’s MIB40, Spain’s IBEX and Poland’s WIG20 finished up 8.5%, 4.8% and 12.6%, respectively. In Asia, Japan’s Nikkei finished up 10.3% and in the U.S., the S&P 500 and the Dow finished up 6.0% and 5.3%, respectively. A mixture of long and short positions in the stock indices sector led to a gain for the Fund for the month. The Fund continued to experience significant gains from its energy positions as global economic strength propelled crude oil demand expectations higher while warm weather and inflated inventories extended the downtrend in natural gas prices. Front-month crude oil futures finished up 4.7% on the month. The U.S. increased the number of natural gas rigs to 941, up 16.0% from a year earlier. These factors, combined with a mild weather forecast, sent front-month natural gas down, finishing 19.6% lower on the month. A mixture of long and short positions in the energy sector led to a gain for the Fund for the month. The Fund also experienced positive results in its long metals positions as base metals surged despite the stronger U.S. dollar. London copper finished 8.4% higher as exchange inventories fell for most of the month. London nickel rose to its highest level since June 2008, finishing 17.9% higher. The Fund’s long positions in the metals sector resulted in an overall gain for the month. Front-month gold futures experienced sideways price action during the month of March and closed with a slight decline in U.S. dollar terms. In relation to the euro, the rally in gold futures continued and reached another record high as the worries regarding the European sovereign debt crisis widened.
In February, world bond markets experienced volatile action as sovereign debt contagion worries spread while economic data showed promising signs. The Fund’s net short position in U.S. 30-year Treasury bonds resulted in small losses as futures rallied near month-end despite better than expected economic reports. In Europe, March bonds surged at month-end to finish moderately higher, producing overall gains for the Fund’s long positions. Overall, a mixture of long and short positions in the bonds sector produced a gain for the Fund for the month. Global short-term interest rate futures traded higher in February, continuing a strong-upward trend and providing the Fund with positive returns. In the U.S., three-month Eurodollar futures rallied to new highs after the Fed unexpectedly raised the discount rate but reaffirmed that the federal funds rate will remain at exceptionally low levels for an extended period. The Fund’s long positions in the interest rates sector resulted in a gain for the month. Fundamentals in the grain sector improved enough to offset the U.S. dollar rally. May soybeans, wheat and corn finished the month 3.9%, 6.3% and 5.7% higher, respectively. A mixture of long and short positions in the grains sector led to a loss for the Fund on the month. The Fund experienced positive returns in global energy markets in February as macroeconomic data continued to show strength. Crude oil finished 8.5% higher and natural gas finished 6.1%. A mixture of long and short positions in the energy sector led to an overall loss for the Fund on the month. New York and London front-month sugar futures reversed sharply, finishing the month 19.2% and 9.8% lower, respectively, while May New York cocoa contracts lost 10.2% on the month. Chinese cotton production was estimated to have fallen 15.0% from the prior year, propelling May cotton to a gain of 16.7% on the month. A mixture of long and short positions in the agricultural sector led to a loss for the Fund on the month. In the month of February, front-month gold futures rallied and finished the month with a gain of 3.3%. Buying was attributed to investors exiting the euro due to the intensifying Greek sovereign debt crisis and seeking the safety of gold as an alternative currency. Gold futures proceeded to trade to a record-high in euro currency terms near month-end.
In January, global equities continued to trend higher but reversed sharply by month-end. In the U.S., the Dow and Nasdaq Composite Index finished 3.5% and 6.8% lower, respectively. European equities also experienced significant declines, with Germany’s DAX, the UK’s FTSE and France’s CAC40 finishing 6.7%, 4.2% and 5.1% lower, respectively. Asian stocks fell as China began to take steps to slow growth and curb lending in response to an overheating economy. The Hang Seng and Japan’s Nikkei finished 7.8% and 3.6% lower, respectively. A mixture of long and short positions in the stock indices sector produced an overall loss for the Fund on the month. Global short-term interest futures rebounded in January with numerous products trading to new contract highs. Eurodollar futures rallied as weaker than expected fundamental data in the U.S. prompted the selling of equities and the buying of safer short-term assets. A mixture of long and short positions in the interest rates sector resulted in a gain for the Fund for the month. The U.S. dollar index extended its December gains in January, finishing the month 1.7% higher as risk capital flowed into the U.S. dollar following China’s strong signals that it would act to contain its rapid growth. Entrenched trends in emerging market currencies continued to unwind with the Brazilian real and Chilean peso finishing the month down 8.7% and 3.3%, respectively against the U.S dollar. The Fund’s short positions in the U.S. dollar led the currencies sector to a loss on the month. Front-month crude oil futures rose to their highest level since
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the fall of 2008 in early January until a U.S. dollar reversal and growing global economic fears led to an 8.4% decline on the month. March natural gas finished 7.0% lower as the return of mild temperatures stabilized inventories near the 5-year average after the steep drawdown following December’s cold snap. A mixture of long and short energy positions led the Fund to an overall loss on the month in the sector. London zinc declined 17.0%, while lead and copper lost 17.1% and 9.0%, respectively on the month, as the Chinese central bank raised reserve requirements and ordered some banks to cease lending altogether. February gold sold off late to finish 1.2% lower. The Fund’s long positions in the metals sector led to an overall loss for the month. Front-month gold futures ended the month of January down 1.3% as the U.S. dollar appreciated amid widespread deleveraging, which decreased the buying of gold as an alternative investment. The combination of the Chinese moving to limit excessive growth in their economy and the U.S. government’s planned initiative to ban proprietary trading by U.S. banks contributed to the decline.
For the first quarter of 2010, the most profitable market group overall was the energy sector, while the greatest losses were attributable to positions in the currency sector.
OFF-BALANCE SHEET RISK
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio in all but extreme instances not greater than 50%.
In addition to market risk, in entering into futures and forward contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
Prior to its insolvency filing, the Fund used MF Global, Inc. as one of its futures commission merchants. On October 31, 2011, MF Global reported to the SEC and CFTC possible deficiencies in customer segregated accounts held at the firm. As a result, the SEC and CFTC determined that a SIPC-led liquidation proceeding would be the safest and most prudent course of action to protect customer accounts and assets, and SIPC initiated the liquidation of MF Global under the Securities Investor Protection Act. As of October 31, 2011, approximately $416,000 of Series A assets were still on deposit in account at MF Global. These assets represent approximately 2.1% of Series A’s net asset value of approximately $19.64 million. As of October 31, 2011 approximately $451,000 of Series B assets were still on deposit in account at MF Global. These assets represent approximately 3.8% of Series B’s net asset value of approximately $11.75 million. Superfund Capital Management, Inc. does not believe that the MF Global liquidation will have a material impact on the ongoing trading operations of the Fund or either Series.
OFF-BALANCE SHEET ARRANGEMENTS
The Fund does not engage in off-balance sheet arrangements.
CONTRACTUAL OBLIGATIONS
The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Fund’s sole business is trading futures, currency, forward and certain swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The Financial Statements of the Fund present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of each Series’ open forward contracts as well as the fair value of the futures contracts purchased and sold by each Series at September 30, 2011 and December 31, 2010.
CRITICAL ACCOUNTING POLICIES - VALUATION OF THE FUND’S POSITIONS
Superfund Capital Management believes that the accounting policies that will be most critical to the Fund’s financial condition and results of operations relate to the valuation of the Fund’s positions. The Fund uses the amortized cost method for valuing
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U.S. Treasury Bills. Superfund Capital Management believes the cost of securities plus accreted discount, or minus amortized premium, approximates fair value. The majority of the Fund’s positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Any spot and forward foreign currency or swap contracts held by the Fund will also be valued at published daily settlement prices or at dealers’ quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Fund’s assets will be valued on a daily basis using objective measures. Please see Note 3 of the financial statements, Fair Value Measurements, for more detailed information regarding valuation of the Fund’s positions
ITEM 3. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
Not required.
ITEM 4. | CONTROLS AND PROCEDURES |
Superfund Capital Management, the Fund’s general partner, with the participation of Superfund Capital Management’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no formal changes in Superfund Capital Management’s internal controls over financial reporting during the quarter ended September 30, 2011 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Management’s internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole.
The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, Exhibit 31.1, Exhibit 31.2, Exhibit 32.1 and Exhibit 32.2 hereto, respectively, are applicable with respect to each Series individually, as well as to the Fund as a whole.
PART II - OTHER INFORMATION
ITEM 1. | LEGAL PROCEEDINGS |
Superfund Capital Management is not aware of any pending legal proceedings to which either the Fund is a party or to which any of its assets are subject. The Fund has no subsidiaries.
ITEM 1A. | RISK FACTORS |
Not required.
ITEM 2. | UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS |
(a) | There were no sales of unregistered securities during the quarter ended September 30, 2011. |
(b) | Updated information required by Item 701(f) of Regulation S-K: |
(1) | The use of proceeds information is being disclosed for Registration Statement No. 333-151632 declared effective on February 17, 2009. | |||
(4) | (iv) | As of September 30, 2011, the Fund sold $13,658,875 of Series A-1 Units, $3,252,334 of Series A-2 Units, $10,306,391 of Series B-1 Units and $4,004,716 of Series B-2 Units. | ||
(v) | As of September 30, 2011, the Fund incurred expenses for the account of the Fund totaling $4,479,011 of which $3,794,633 was paid to Superfund Capital Management and $684,378 was paid to Superfund USA. | |||
(vi) | Net offering proceeds to the Fund as of September 30, 2011 were $26,743,305. | |||
(vii) | As of September 30, 2011, the amount of net offering proceeds to the Fund for commodity futures and forward trading in accordance with Superfund Capital Management’s trading program totaled $26,743,305. |
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(c) | Pursuant to the Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. |
The following tables summarize the redemptions by investors during the three months ended September 30, 2011:
Series A-1: | ||||||||
Month | Units Redeemed | Net Asset Value per Unit ($) | ||||||
July 31, 2011 | 129.854 | 1,777.43 | ||||||
August 31, 2011 | 139.233 | 2,015.88 | ||||||
September 30, 2011 | 112.818 | 1,755.03 | ||||||
|
| |||||||
Total | 381.905 | |||||||
|
| |||||||
Series A-2: | ||||||||
Month | Units Redeemed | Net Asset Value per Unit ($) | ||||||
July 31, 2011 | 0.000 | 1,915.17 | ||||||
August 31, 2011 | 24.602 | 2,175.75 | ||||||
September 30, 2011 | 0.000 | 1,897.37 | ||||||
|
| |||||||
Total | 24.602 | |||||||
|
| |||||||
Series B-1: | ||||||||
Month | Units Redeemed | Net Asset Value per Unit ($) | ||||||
July 31, 2011 | 371.632 | 1,554.54 | ||||||
August 31, 2011 | 52.758 | 1,774.2 | ||||||
September 30, 2011 | 24.808 | 1,530.88 | ||||||
|
| |||||||
Total | 449.198 | |||||||
|
| |||||||
Series B-2: | ||||||||
Month | Units Redeemed | Net Asset Value per Unit ($) | ||||||
July 31, 2011 | 19.261 | 1,615.22 | ||||||
August 31, 2011 | 221.530 | 1,847.08 | ||||||
September 30, 2011 | 0.000 | 1,595.96 | ||||||
|
| |||||||
Total | 240.791 | |||||||
|
|
ITEM 3. | DEFAULTS UPON SENIOR SECURITIES |
Not applicable.
ITEM 4. | (REMOVED AND RESERVED) |
ITEM 5. | OTHER INFORMATION |
None.
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ITEM 6. | EXHIBITS |
The following exhibits are included herewith:
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | |
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1 | Section 1350 Certification of Principal Executive Officer | |
32.2 | Section 1350 Certification of Principal Financial Officer | |
101.INS* | XBRL Instance Document | |
101.SCH* | XBRL Taxonomy Extension Schema Document | |
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB* | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document |
* | XBRL information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
Date:November 14, 2011 | SUPERFUND GOLD, L.P. | |||
(Registrant) | ||||
By: Superfund Capital Management, Inc. | ||||
General Partner | ||||
By: /s/ Nigel James | ||||
Nigel James | ||||
President and Principal Executive Officer | ||||
By: /s/ Martin Schneider | ||||
Martin Schneider | ||||
Vice President and Principal Financial Officer |
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EXHIBIT INDEX
Exhibit | Description of Document | Page | ||||
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | E-2 | ||||
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | E-3 | ||||
32.1 | Section 1350 Certification of Principal Executive Officer | E-4 | ||||
32.2 | Section 1350 Certification of Principal Financial Officer | E-5 | ||||
101.INS* | XBRL Instance Document | |||||
101.SCH* | XBRL Taxonomy Extension Schema Document | |||||
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | |||||
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | |||||
101.LAB* | XBRL Taxonomy Extension Label Linkbase Document | |||||
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document |
* | XBRL information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document. |
E-1