Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2019 | Oct. 31, 2019 | |
Document and Entity Information | ||
Entity Registrant Name | CAVENDISH FUTURES FUND LLC | |
Entity Central Index Key | 0001562622 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2019 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Shell Company | false | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Common Stock, Shares Outstanding | 92,580.635 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q3 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Sep. 30, 2019 | Dec. 31, 2018 |
ASSETS | ||
Investment in Sydling WNT Master Fund LLC, at fair value | $ 109,282,243 | $ 162,308,934 |
Cash | 398,622 | 1,513,137 |
Receivable from Sydling WNT Master Fund LLC | 1,907,688 | 4,774,709 |
Total Assets | 111,588,553 | 168,596,780 |
LIABILITIES | ||
Subscriptions received in advance | 325,000 | 1,425,000 |
Redemptions payable | 1,672,573 | 4,467,098 |
Accrued expenses: | ||
Advisory fees | 138,925 | 208,818 |
Administrative fees | 46,308 | 69,606 |
Professional fees and other expenses | 123,504 | 117,324 |
Total Liabilities | 2,306,310 | 6,287,846 |
MEMBERS' CAPITAL | ||
Total Members' Capital | 109,282,243 | 162,308,934 |
Total Liabilities and Member's Capital | $ 111,588,553 | $ 168,596,780 |
Members' Capital per Redeemable Unit (based on 93,834.364 and 144,067.770 Redeemable Units) | $ 1,164.63 | $ 1,126.62 |
Member Designee | ||
MEMBERS' CAPITAL | ||
Total Members' Capital | $ 29,116 | $ 28,165 |
Non-managing Members | ||
MEMBERS' CAPITAL | ||
Total Members' Capital | $ 109,253,127 | $ 162,280,769 |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - shares | Sep. 30, 2019 | Dec. 31, 2018 |
Redeemable Units (in units) | 93,834.364 | 144,067.770 |
Member Designee | ||
Redeemable Units (in units) | 25 | 25 |
Non-managing Members | ||
Redeemable Units (in units) | 93,809.364 | 144,042.770 |
Statements of Operations and Ch
Statements of Operations and Changes in Members' Capital - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | ||
INVESTMENT INCOME | |||||
Interest allocated from Sydling WNT Master Fund LLC | $ 571,015 | $ 896,854 | $ 2,312,625 | $ 2,322,287 | |
EXPENSES | |||||
Expenses allocated from Sydling WNT Master Fund LLC | 1,069,719 | 1,656,514 | 3,646,729 | 5,000,751 | |
Incentive fees | 311,386 | 311,386 | |||
Advisory fees | 432,501 | 681,344 | 1,482,401 | 2,050,872 | |
Administrative fees | 144,167 | 227,115 | 494,134 | 683,624 | |
Professional fees and other expenses | 105,113 | 95,324 | 261,446 | 272,840 | |
Total Expenses | 1,751,500 | 2,971,683 | 5,884,710 | 8,319,473 | |
NET INVESTMENT (LOSS) | (1,180,485) | (2,074,829) | (3,572,085) | (5,997,186) | |
TRADING RESULTS | |||||
Net realized gain/(loss) allocated from Sydling WNT Master Fund LLC | 9,143,321 | 6,419,631 | 319,922 | 9,320,562 | |
Net change in unrealized appreciation/(depreciation) allocated from Sydling WNT Master Fund LLC | (717,035) | (2,774,847) | 6,217,499 | (3,224,543) | |
Total Trading Results | 8,426,286 | 3,644,784 | 6,537,421 | 6,096,019 | |
Net income/(loss) | 7,245,801 | 1,569,955 | 2,965,336 | 98,833 | |
Subscriptions - 849.732, 1,576.925, 3,670.612 and 9,476.901 units of non-managing member interest, respectively | 971,000 | 1,855,500 | 4,134,500 | 11,110,100 | |
Redemptions - 7,787.526, 3,729.473, 53,904.019 and 12,873.122 units of non-managing member interest, respectively | (9,029,545) | (4,406,042) | (60,126,527) | (15,106,054) | |
Net Increase/(Decrease) in Member's Capital | (812,744) | (980,587) | (53,026,691) | (3,897,121) | |
Member's Capital, Beginning of Period | 110,094,987 | 180,434,341 | 162,308,934 | 183,350,875 | |
Member's capital at end of period | $ 109,282,243 | $ 179,453,754 | $ 109,282,243 | $ 179,453,754 | |
Net income/(loss) per Redeemable Unit | [1] | $ 72.12 | $ 10.25 | $ 38.01 | $ 0.85 |
Weighted average Redeemable Units outstanding | 95,495.541 | 151,730.362 | 117,734.715 | 154,302.899 | |
[1] | Represents the changes in Members' Capital per unit |
Statements of Operations and _2
Statements of Operations and Changes in Members' Capital (Parenthetical) - Non-managing Members - shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Subscriptions of non-managing member interest (in units) | 849.732 | 1,576.925 | 3,670.612 | 9,476.901 |
Redemptions of non-managing member interest (in units) | 7,787.526 | 3,729.473 | 53,904.019 | 12,873.122 |
General
General | 9 Months Ended |
Sep. 30, 2019 | |
General | |
General | 1. General Cavendish Futures Fund LLC (the “Fund”) is a Delaware limited liability company formed on August 7, 2012. Trading operations of the Fund commenced on February 19, 2013. The Fund’s investment objective is to achieve capital appreciation through speculative trading in U.S. and international futures, options on futures and forward markets. The Fund may also engage in swap and other derivative transactions upon approval of Sydling Futures Management LLC ("Sydling"). The Fund privately and continuously offers redeemable units of limited liability company interest in the Fund (“Redeemable Units”) to qualified investors and subscriptions are generally accepted monthly. There is no maximum number of Redeemable Units that may be sold by the Fund. The Fund invests substantially all of its assets in the Sydling WNT Master Fund LLC (“Master Fund”), also a Delaware limited liability company, which has the same investment objective as the Fund. The Master Fund’s Statements of Financial Condition, including Condensed Schedules of Investments and Statements of Operations and Changes in Member’s Capital are included herein. The percentage of the Master Fund’s capital owned by the Fund at September 30, 2019 and December 31, 2018 was 100%. The performance of the Fund is directly affected by the performance of the Master Fund. The Fund is member managed for purposes of Delaware law. Pursuant to the Fund’s limited liability company agreement, as may be amended from time to time (the “LLC Agreement”), the members of the Fund (each, a “Member” and collectively, the “Members”) have appointed Sydling to act as the Fund’s commodity pool operator and trading manager. Sydling is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and a commodity trading advisor and is a member of the National Futures Association (“NFA”) effective August 10, 2011. Sydling, a wholly owned subsidiary of UBS Alternatives LLC, was formed on August 4, 2011. UBS Alternatives LLC is a wholly owned subsidiary of UBS Americas Inc. In the normal course of business, the Fund may enter into contracts that contain a variety of representations that provide indemnification for certain liabilities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had any prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. Sydling, on behalf of the Fund, has entered into a selling agreement appointing UBS Financial Services Inc. ("UBS Financial Services") as selling agent to the Fund. The Master Fund has entered into a customer agreement appointing UBS Securities LLC ("UBS Securities") as commodity broker to the Master Fund. The Fund pays (or causes the Master Fund to pay on its behalf) an ongoing selling agent fee to UBS Financial Services equal to 3.5% per year of the adjusted month-end net assets of the Fund. BNY Mellon Investment Servicing (US) Inc. serves as administrator of the Fund (the "Administrator"). Winton Capital Management Limited (the “Advisor”) serves as the trading advisor to the Fund and the Master Fund. Sydling and each Member share in the profits and losses of the Fund in proportion to the amount of limited liability company interest owned by each except that no Member shall be liable for obligations of the Fund in excess of such member's capital contribution and profits, if any, net of distributions and losses, if any. Management has evaluated relevant conditions and events, which are known and reasonably knowable, and has determined that there are no conditions and events that raise substantial doubt about the Fund's ability to continue as a going concern. The accompanying financial statements and notes are unaudited and are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read in conjunction with the financial statements and notes included in the Fund’s Form 10-K for the year ended December 31, 2018 filed with the Securities and Exchange Commission (the “SEC”). The preparation of financial statements and accompanying notes in conformity with U.S. GAAP requires Sydling to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. The Master Fund’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2019 and December 31, 2018 and Statements of Operations and Changes in Member’s Capital for the three and nine months ended September 30, 2019 and 2018 are presented below: Sydling WNT Master Fund LLC Statements of Financial Condition (Unaudited) September 30, 2019 December 31, 2018 ASSETS Investment in U.S. Treasury Bills, at fair value (cost $84,522,229 and $0, respectively) $ 84,517,249 $ — Cash (including restricted cash of $12,668,206 and $15,356,440, respectively) 24,367,398 171,222,974 Net unrealized appreciation on open futures contracts 2,236,549 — Interest receivable 448,649 375,668 Total Assets $ 111,569,845 $ 171,598,642 LIABILITIES AND MEMBER'S CAPITAL Net unrealized depreciation on open futures contracts $ — $ 3,985,930 Redemptions payable 1,907,688 4,774,709 Accrued expenses: Selling agent fees 325,253 488,753 Professional fees and other expenses 54,661 40,316 Total Liabilities 2,287,602 9,289,708 MEMBER’S CAPITAL Member's Capital 109,282,243 162,308,934 Total Liabilities and Member’s Capital $ 111,569,845 $ 171,598,642 Sydling WNT Master Fund LLC Condensed Schedule of Investments September 30, 2019 (Unaudited) Percent of Number of Member’s Contracts Fair Value Capital FUTURES CONTRACTS OWNED 351 CURRENCIES $ (99,751) (0.09) % 88 ENERGY (270,477) (0.25) % 5,374 FINANCIALS 661,824 0.61 % 63 GRAINS 23,539 0.02 % 542 INDEX (90,434) (0.08) % 4 MEATS 7,240 0.01 % 626 METALS (628,422) (0.58) % TOTAL FUTURES CONTRACTS OWNED (396,481) (0.36) % FUTURES CONTRACTS SOLD (1,016) CURRENCIES 1,264,208 1.16 % (581) ENERGY 1,133,258 1.04 % (239) FINANCIALS 154,180 0.14 % (1,176) GRAINS (793,833) (0.73) % (190) INDEX 483,385 0.44 % (48) MATERIALS 104,640 0.10 % (85) MEATS (241,845) (0.22) % (309) METALS 529,037 0.48 % TOTAL FUTURES CONTRACTS SOLD 2,633,030 2.41 % TOTAL FUTURES CONTRACTS 2,236,549 2.05 % U.S. GOVERNMENT SECURITIES U.S. TREASURY BILLS, 1.775%, DUE 1/23/2020 (COST, $84,522,229) 84,517,249 77.34 % OTHER ASSETS IN EXCESS OF OTHER LIABILITIES 22,528,445 20.61 % TOTAL MEMBER’S CAPITAL $ 109,282,243 100.00 % Percentages shown represent a percentage of member’s capital as of September 30, 2019. Sydling WNT Master Fund LLC Condensed Schedule of Investments December 31, 2018 Percent of Number of Member’s Contracts Fair Value Capital FUTURES CONTRACTS OWNED 214 CURRENCIES $ 149,610 0.09 % 387 ENERGY (3,697,024) (2.27) % 3,150 FINANCIALS 1,939,185 1.19 % 11 GRAINS 686 0.00 % 286 INDEX (738,566) (0.45) % 37 MATERIALS (126,320) (0.08) % 12 MEATS 5,250 0.00 % 378 METALS (2,016,857) (1.24) % TOTAL FUTURES CONTRACTS OWNED (4,484,036) (2.76) % FUTURES CONTRACTS SOLD (1,271) CURRENCIES (933,928) (0.57) % (400) ENERGY 1,838,934 1.13 % (467) FINANCIALS (660,228) (0.41) % (1,786) GRAINS 606,608 0.37 % (223) INDEX 345,081 0.21 % (1) INDUSTRIALS (55) 0.00 % (87) MEATS 60,248 0.04 % (590) METALS (758,554) (0.47) % TOTAL FUTURES CONTRACTS SOLD 498,106 0.30 % TOTAL FUTURES CONTRACTS (3,985,930) (2.46) % OTHER ASSETS IN EXCESS OF OTHER LIABILITIES 166,294,864 102.46 % TOTAL MEMBER’S CAPITAL $ 162,308,934 100.00 % Percentages shown represent a percentage of member’s capital as of December 31, 2018. Sydling WNT Master Fund LLC Statements of Operations and Changes in Member’s Capital (Unaudited) Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 INVESTMENT INCOME Interest income $ 571,015 $ 896,854 $ 2,312,625 $ 2,322,287 EXPENSES Brokerage, clearing and transaction fees 34,842 37,907 109,565 128,961 Selling agent fees 1,012,428 1,594,732 3,469,818 4,800,165 Professional fees 22,449 23,875 67,346 71,625 Total Expenses 1,069,719 1,656,514 3,646,729 5,000,751 NET INVESTMENT (LOSS) (498,704) (759,660) (1,334,104) (2,678,464) NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM DERIVATIVE INSTRUMENTS AND SECURITIES Net realized gain/(loss) from futures and foreign currency 9,143,778 6,419,631 320,379 9,320,562 Net realized gain/(loss) from securities (457) — (457) — Net change in unrealized appreciation/(depreciation) on futures and foreign currency (706,725) (2,774,847) 6,222,479 (3,224,543) Net change in unrealized appreciation/(depreciation) on securities (10,310) — (4,980) — Net Realized and Unrealized Gain/(Loss) from Derivative Instruments and Securities 8,426,286 3,644,784 6,537,421 6,096,019 Net income/(loss) 7,927,582 2,885,124 5,203,317 3,417,555 INCREASE/(DECREASE) IN MEMBER’S CAPITAL FROM CAPITAL TRANSACTIONS Subscriptions 971,000 1,855,500 4,134,500 11,110,100 Redemptions (9,711,326) (5,721,211) (62,364,508) (18,424,776) Net Increase/(Decrease) in Member’s Capital Derived from Capital Transactions (8,740,326) (3,865,711) (58,230,008) (7,314,676) Net Increase/(Decrease) in Member’s Capital (812,744) (980,587) (53,026,691) (3,897,121) Member’s Capital, Beginning of Period 110,094,987 180,434,341 162,308,934 183,350,875 Member’s Capital, End of Period $ 109,282,243 $ 179,453,754 $ 109,282,243 $ 179,453,754 |
Financial Highlights
Financial Highlights | 9 Months Ended |
Sep. 30, 2019 | |
Financial Highlights | |
Financial Highlights | 2. Financial Highlights Changes in the net asset value per Redeemable Unit for the three and nine months ended September 30, 2019 and 2018 are as follows: Financial Highlights of the Fund: (Unaudited) Three Three Nine Nine Months Ended Months Ended Months Ended Months Ended September 30, September 30, September 30, September 30, 2019 2018 2019 2018 Per share operating performance: (a) Members’ capital per Redeemable Unit, beginning of period $ 1,092.51 $ 1,175.96 $ 1,126.62 $ 1,185.36 Income/(loss) from investment operations: Net investment (loss) including incentive fee (11.93) (13.57) (30.99) (38.69) Net realized and unrealized gain/(loss) from investment activities 84.05 23.82 69.00 39.54 Total from investment operations 72.12 10.25 38.01 0.85 Members’ capital per Redeemable Unit, end of period $ 1,164.63 $ 1,186.21 $ 1,164.63 $ 1,186.21 Ratio/Supplemental Data: (b) Ratio of net investment loss to average Members’ capital (4.24) % (4.61) % (3.71) % (4.43) % Ratio of total expenses to average Members’ capital 6.29 % 5.92 % 6.11 % 5.92 % Ratio of incentive fee to average Members’ capital — % 0.69 % — % 0.23 % Ratio of total expenses and incentive fee to average Members’ capital 6.29 % 6.61 % 6.11 % 6.15 % Total return before incentive fee (c) 6.60 % 1.04 % 3.37 % 0.24 % Incentive fee — % (0.17) % — % (0.17) % Total return after incentive fee (c) 6.60 % 0.87 % 3.37 % 0.07 % Members’ capital at end of period $ 109,282,243 $ 179,453,754 $ 109,282,243 $ 179,453,754 Total return and the ratios to average Member’s capital are calculated for investor’s capital taken as a whole. An individual investor’s capital may vary from these ratios and total return based on the timing of capital transactions. (a) Per share operating performance is calculated on a monthly basis by dividing each line item by the outstanding units at month-end prior to the reduction of redeemed units. (b) The ratios to average Members’ capital are annualized. The average Members’ capital used in the above ratios is an average of each month-end Members’ capital during the period. Ratios include the Fund's share of income and expense allocated from the Master Fund. (c) Total return assumes a purchase of an interest in the Fund at the beginning of the period and a sale of the interest on the last day of the period noted. Total return is reflected after all investment-related and operating expenses, including the advisory and administrative fees. Total return is not annualized. Financial Highlights of the Master Fund: (Unaudited) Three Three Nine Nine Months Ended Months Ended Months Ended Months Ended September 30, September 30, September 30, September 30, 2019 2018 2019 2018 Ratio/Supplemental Data: (a) Ratio of net investment loss to average Member’s capital (1.79) % (1.69) % (1.38) % (1.98) % Ratio of total expenses to average Member’s capital 3.83 % 3.68 % 3.78 % 3.69 % Total return (b) 7.22 % 1.60 % 5.14 % 1.91 % Member’s capital at end of period $ 109,282,243 $ 179,453,754 $ 109,282,243 $ 179,453,754 Total return and the ratios to average Member’s capital are calculated for investor’s capital taken as a whole. An individual investor’s capital may vary from these ratios and total return based on the timing of capital transactions. (a) The ratios to average Member’s capital are annualized. The average Member’s capital used in the above ratios is an average of each month-end member's capital during the period. (b) Total return is calculated based on a time-weighted rate of return methodology. Monthly rates of return are compounded to derive the total return reflected above. Total return is reflected after all investment-related and operating expenses. Total return is not annualized. |
Trading Activities
Trading Activities | 9 Months Ended |
Sep. 30, 2019 | |
Trading Activities | |
Trading Activities | 3. Trading Activities The Fund was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Fund invests substantially all of its assets through a “master/feeder” structure. The Fund’s pro rata share of the results of the Master Fund’s trading activities is shown in the Fund’s Statements of Operations and Changes in Members’ Capital. The customer agreement between the Master Fund and UBS Securities gives the Master Fund the legal right to net unrealized gains and losses on open futures contracts. Futures contracts are executed on exchanges and are typically liquidated by entering into offsetting contracts. The Master Fund nets, for financial reporting purposes, the unrealized gains and losses on open futures contracts on the Master Fund’s Statements of Financial Condition. All of the commodity interests owned by the Master Fund are held for trading purposes. The average number of futures contracts traded for the three months ended September 30, 2019 and 2018, based on a monthly calculation, was 3,510 and 4,343, respectively. The average number of futures contracts traded for the nine months ended September 30, 2019 and 2018, based on a monthly calculation, was 3,790 and 5,150, respectively. The following tables indicate the gross fair values of derivative instruments of the Master Fund's futures contracts as separate assets and liabilities as of September 30, 2019 and December 31, 2018. September 30, 2019 December 31, 2018 ASSETS Futures Contracts Currencies $ 1,264,207 $ 492,370 Energy 1,149,558 1,840,834 Financials 2,496,560 1,941,354 Grains 37,061 1,096,951 Index 672,995 360,510 Materials 104,640 — Meats 7,240 93,928 Metals 1,218,663 88,368 Total unrealized appreciation on open futures contracts $ 6,950,924 $ 5,914,315 LIABILITIES Futures Contracts Currencies $ (99,751) $ (1,276,688) Energy (286,777) (3,698,924) Financials (1,680,556) (662,396) Grains (807,356) (489,657) Index (280,044) (753,994) Industrials — (55) Materials — (126,320) Meats (241,845) (28,430) Metals (1,318,046) (2,863,781) Total unrealized depreciation on open futures contracts $ (4,714,375) $ (9,900,245) Net unrealized appreciation (depreciation) on open futures contracts* $ 2,236,549 $ (3,985,930) * These amounts are presented as Net unrealized appreciation or (depreciation) on open futures contracts on the Master Fund’s Statements of Financial Condition. The following table indicates the trading gains and losses, by market sector, on the Master Fund's derivative instruments for the three and nine months ended September 30, 2019 and 2018. Three months ended Three months ended Nine months ended Nine months ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 Gain/(loss) from Gain/(loss) from Gain/(loss) from Gain/(loss) from Sector trading trading trading trading Currencies $ 3,276,730 $ 1,146,568 $ 1,881,400 $ (2,422,554) Energy (853,820) (1,016,000) (6,847,285) 4,362,594 Financials 5,511,297 (1,571,544) 11,505,323 155,161 Grains 620,865 1,958,902 714,516 2,582,723 Index 434,282 608,500 2,709,353 (934,901) Industrials - (40,326) (8,932) 20,240 Materials 115,250 (253,570) 282,805 (53,385) Meats (284,960) 30,953 (1,755,513) (474,163) Metals (382,591) 2,781,301 (1,938,809) 2,860,304 U.S. Treasury bills (10,767) — (5,437) — $ 8,426,286 ** $ 3,644,784 ** $ 6,537,421 ** $ 6,096,019 ** ** These amounts are presented as “Net Realized and Change in Unrealized Gain/(Loss) from Derivative Instruments and Securities” on the Master Fund’s Statements of Operations and Changes in Member’s Capital. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Measurements | |
Fair Value Measurements | 4. Fair Value Measurements Fund’s Investments . The Fund values its investment in the Master Fund at fair value and is represented by the Fund’s proportionate interest in the member’s capital of the Master Fund. Fund’s and Master Fund’s Fair Value Measurements. Financial Accounting Standards Board (“ FASB”) Accounting Standards Codification (“ASC”) 820, “Fair Value Measurements” (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and establishes a fair value hierarchy which prioritizes the inputs to valuation techniques. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. Valuation techniques, as specified by ASC 820, are used to measure fair value. All financial instruments at fair value are categorized into one of three fair value hierarchy levels, based upon the lowest level input that is significant to the financial instrument’s fair value measurement in its entirety: Level 1 —Quoted market prices (unadjusted) in active markets for identical assets or liabilities. Level 2 —Valuation techniques for which all significant inputs are market observable, either directly or indirectly. Level 3 —Valuation techniques which include significant inputs that are not based on observable market data. In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820) – Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Fund early adopted ASU 2018-13 effective December 31, 2018. The impact of the Fund's adoption was limited to changes in the Fund's financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. U.S. GAAP provides guidance in determining whether there has been a significant decrease in the volume and level of activity for an asset or liability when compared with normal market activity for such asset or liability (or similar assets or liabilities). U.S. GAAP also provides guidance on identifying circumstances that indicate a transaction with regards to such an asset or liability is not orderly. In its consideration, the Master Fund must consider inputs and valuation techniques used for each class of assets and liabilities. Judgment is used to determine the appropriate classes of assets and liabilities for which disclosures about fair value measurements are provided. Fair value measurement disclosure for each class of assets and liabilities requires greater disaggregation than the Master Fund’s line items in the Statement of Financial Condition. The Master Fund determines the appropriate classes for those disclosures on the basis of the nature and risks of the assets and liabilities and their classification in the fair value hierarchy (i.e., Level 1, Level 2, and Level 3). For assets and liabilities measured at fair value on a recurring basis during the period, the Master Fund provides quantitative disclosures about the fair value measurements separately for each class of assets and liabilities, as well as a reconciliation of beginning and ending balances of Level 3 assets and liabilities broken down by class. The Master Fund considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) and for those contracts that are priced using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). As of and for the periods ended September 30, 2019 and December 31, 2018, the Master Fund did not hold any derivative instruments for which market quotations are not readily available and which are priced by broker-dealers who derive fair values for these assets from observable inputs (Level 2) or that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). The following is a summary of the Master Fund’s investments at fair value. The inputs or methodology used for valuing derivative instruments are not necessarily an indication of the risk associated with investing in those derivative instruments. ASSET TABLE (Unaudited) Total Fair Value at Description September 30, 2019 Level 1 Level 2 Level 3 Futures Contracts $ 6,950,924 $ 6,950,924 $ — $ — U.S. Treasury bills 84,517,249 — 84,517,249 — Total Assets $ 91,468,173 $ 6,950,924 $ 84,517,249 $ — LIABILITIES TABLE (Unaudited) Total Fair Value at Description September 30, 2019 Level 1 Level 2 Level 3 Futures Contracts $ 4,714,375 $ 4,714,375 $ — $ — Total Liabilities $ 4,714,375 $ 4,714,375 $ — $ — Net Assets and (Liabilities) $ 86,753,798 $ 2,236,549 $ 84,517,249 $ — ASSET TABLE Total Fair Value at Description December 31, 2018 Level 1 Level 2 Level 3 Futures Contracts $ 5,914,315 $ 5,914,315 $ — $ — Total Assets $ 5,914,315 $ 5,914,315 $ — $ — LIABILITIES TABLE Total Fair Value at Description December 31, 2018 Level 1 Level 2 Level 3 Futures Contracts $ 9,900,245 $ 9,900,245 $ — $ — Total Liabilities $ 9,900,245 $ 9,900,245 $ — $ — Net Assets and (Liabilities) $ (3,985,930) $ (3,985,930) $ — $ — |
Financial Instrument Risks
Financial Instrument Risks | 9 Months Ended |
Sep. 30, 2019 | |
Financial Instrument Risks | |
Financial Instrument Risks | 5. Financial Instrument Risks In the normal course of business, the Master Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards and options on futures whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified 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, a swap execution facility ("SEF"), or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forward and options contracts. OTC contracts are negotiated between contracting parties and include certain forward, option and swap contracts. Certain swap contracts may also be traded on a SEF. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. 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 or SEF traded instruments because of the greater risk of default by the counterparty to an OTC contract. For the nine months ended September 30, 2019 and 2018 the Master Fund traded futures contracts only. The risk to the members that have purchased interests in the Master Fund is limited to the amount of their capital contributions to the Master Fund and their share of the Master Fund’s assets and undistributed profits. This limited liability is a consequence of the organization of the Master Fund as a limited liability company under applicable law. Market risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Master Fund is exposed to a market risk equal to the value of futures contracts purchased and unlimited liability on such contracts sold short. 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. The Master Fund’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Master Fund has credit risk and concentration risk because the sole counterparty or broker with respect to the Master Fund’s assets is UBS Securities or a UBS affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through UBS Securities, the Master Fund’s counterparty is an exchange or clearing organization. Futures contracts are conducted through regulated exchanges which have margin requirements, and are settled in cash on a daily basis, thereby minimizing credit risk. |
Significant Accounting Policies
Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2019 | |
Significant Accounting Policies | |
Significant Accounting Policies | 6. Significant Accounting Policies The Fund’s and the Master Fund’s accounting policies are the same and are consistent with the accounting policies in the Fund’s financial statements on Form 10-K for the year ended December 31, 2018. The Fund and the Master Fund have determined their status as investment companies and as such, follow the accounting and reporting requirements of ASC 946, Financial Services – Investment Companies. Statement of Cash Flows. The Fund is not required to provide a Statement of Cash Flows in accordance with ASC 230 – Statement of Cash Flows. Investment in Master Fund. The Fund records its investment in the Master Fund at fair value and is represented by the Fund’s proportionate interest in the capital of the Master Fund at September 30, 2019 and December 31, 2018. Valuation of securities held by the Master Fund is discussed in the Notes to the Master Fund’s financial statements on Form 10-K for the year ended December 31, 2018. The Fund records its pro rata share of the Master Fund’s income, expenses and realized and unrealized gains and losses. The performance of the Fund is directly attributable to the performance of the Master Fund. The Fund records its subscription and withdrawal of the capital account related to its investment in the Master Fund on the transaction date. The Master Fund will adjust the capital account of the Fund. Brokerage, clearing and transaction fees are incurred by the Master Fund and are reflected in the pro rata allocation received by the Fund from the Master Fund. Subscriptions Received in Advance. Subscriptions received in advance represent amounts paid by the non-managing Members for a percentage ownership into the Fund which have not yet been added as Members’ capital as of September 30, 2019 and December 31, 2018. The amount paid is held as cash in the Fund’s escrow account and represents the majority of the cash on the Fund’s Statements of Financial Condition. Redemptions Payable. Pursuant to ASC Topic 480, Distinguishing Liabilities from Equity , capital withdrawals effective September 30, 2019 and December 31, 2018 have been reflected as redemptions payable in the Statements of Financial Condition. Income Taxes. The Fund is classified as a partnership for U.S. federal income tax purposes, and the Fund will not pay U.S. federal income tax. As a result, no income tax liability or expense has been recorded in the financial statements. Each member will be subject to taxation on its share of the Fund’s ordinary income, capital gains and losses. U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Master Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Master Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Sydling has analyzed the Master Fund’s tax positions for the open tax period and has concluded that no provision is required in the Master Fund’s financial statements. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in its Statements of Operations and Changes in Member’s Capital. For the periods ended September 30, 2019 and December 31, 2018, the Master Fund did not incur any interest or penalties. The Master Fund earns interest income on 100% of the average daily equity in the Master Fund’s brokerage account at a rate equal to the monthly average 30-day U.S. Treasury bill rate. Beginning June 1, 2019, the Master Fund placed the majority of its cash in U.S. Treasury bills. The Master Fund receives 100% of the interest earned on U.S. Treasury bills. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2019 | |
Subsequent Events. | |
Subsequent Events | 7. Subsequent Events Sydling has evaluated the impact of all subsequent events on the Fund through the date of the filing. Subsequent to September 30, 2019, additional subscriptions were received from the non-managing Members totaling $1,028,500. Subsequent to September 30, 2019, redemptions of $1,722,958 will be paid to the non-managing Members. Sydling has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2019 | |
Significant Accounting Policies | |
Statement of Cash Flows | Statement of Cash Flows. The Fund is not required to provide a Statement of Cash Flows in accordance with ASC 230 – Statement of Cash Flows. |
Investment in Master Fund | Investment in Master Fund. The Fund records its investment in the Master Fund at fair value and is represented by the Fund’s proportionate interest in the capital of the Master Fund at September 30, 2019 and December 31, 2018. Valuation of securities held by the Master Fund is discussed in the Notes to the Master Fund’s financial statements on Form 10-K for the year ended December 31, 2018. The Fund records its pro rata share of the Master Fund’s income, expenses and realized and unrealized gains and losses. The performance of the Fund is directly attributable to the performance of the Master Fund. The Fund records its subscription and withdrawal of the capital account related to its investment in the Master Fund on the transaction date. The Master Fund will adjust the capital account of the Fund. Brokerage, clearing and transaction fees are incurred by the Master Fund and are reflected in the pro rata allocation received by the Fund from the Master Fund. |
Subscriptions Received in Advance | Subscriptions Received in Advance. Subscriptions received in advance represent amounts paid by the non-managing Members for a percentage ownership into the Fund which have not yet been added as Members’ capital as of September 30, 2019 and December 31, 2018. The amount paid is held as cash in the Fund’s escrow account and represents the majority of the cash on the Fund’s Statements of Financial Condition. |
Redemptions Payable | Redemptions Payable. Pursuant to ASC Topic 480, Distinguishing Liabilities from Equity , capital withdrawals effective September 30, 2019 and December 31, 2018 have been reflected as redemptions payable in the Statements of Financial Condition. |
Income Taxes | Income Taxes. The Fund is classified as a partnership for U.S. federal income tax purposes, and the Fund will not pay U.S. federal income tax. As a result, no income tax liability or expense has been recorded in the financial statements. Each member will be subject to taxation on its share of the Fund’s ordinary income, capital gains and losses. U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Master Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Master Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Sydling has analyzed the Master Fund’s tax positions for the open tax period and has concluded that no provision is required in the Master Fund’s financial statements. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in its Statements of Operations and Changes in Member’s Capital. For the periods ended September 30, 2019 and December 31, 2018, the Master Fund did not incur any interest or penalties. The Master Fund earns interest income on 100% of the average daily equity in the Master Fund’s brokerage account at a rate equal to the monthly average 30-day U.S. Treasury bill rate. Beginning June 1, 2019, the Master Fund placed the majority of its cash in U.S. Treasury bills. The Master Fund receives 100% of the interest earned on U.S. Treasury bills. |
General (Tables)
General (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
General | |
Statements of Financial Condition | Sydling WNT Master Fund LLC Statements of Financial Condition (Unaudited) September 30, 2019 December 31, 2018 ASSETS Investment in U.S. Treasury Bills, at fair value (cost $84,522,229 and $0, respectively) $ 84,517,249 $ — Cash (including restricted cash of $12,668,206 and $15,356,440, respectively) 24,367,398 171,222,974 Net unrealized appreciation on open futures contracts 2,236,549 — Interest receivable 448,649 375,668 Total Assets $ 111,569,845 $ 171,598,642 LIABILITIES AND MEMBER'S CAPITAL Net unrealized depreciation on open futures contracts $ — $ 3,985,930 Redemptions payable 1,907,688 4,774,709 Accrued expenses: Selling agent fees 325,253 488,753 Professional fees and other expenses 54,661 40,316 Total Liabilities 2,287,602 9,289,708 MEMBER’S CAPITAL Member's Capital 109,282,243 162,308,934 Total Liabilities and Member’s Capital $ 111,569,845 $ 171,598,642 |
Condensed Schedule of Investments | Sydling WNT Master Fund LLC Condensed Schedule of Investments September 30, 2019 (Unaudited) Percent of Number of Member’s Contracts Fair Value Capital FUTURES CONTRACTS OWNED 351 CURRENCIES $ (99,751) (0.09) % 88 ENERGY (270,477) (0.25) % 5,374 FINANCIALS 661,824 0.61 % 63 GRAINS 23,539 0.02 % 542 INDEX (90,434) (0.08) % 4 MEATS 7,240 0.01 % 626 METALS (628,422) (0.58) % TOTAL FUTURES CONTRACTS OWNED (396,481) (0.36) % FUTURES CONTRACTS SOLD (1,016) CURRENCIES 1,264,208 1.16 % (581) ENERGY 1,133,258 1.04 % (239) FINANCIALS 154,180 0.14 % (1,176) GRAINS (793,833) (0.73) % (190) INDEX 483,385 0.44 % (48) MATERIALS 104,640 0.10 % (85) MEATS (241,845) (0.22) % (309) METALS 529,037 0.48 % TOTAL FUTURES CONTRACTS SOLD 2,633,030 2.41 % TOTAL FUTURES CONTRACTS 2,236,549 2.05 % U.S. GOVERNMENT SECURITIES U.S. TREASURY BILLS, 1.775%, DUE 1/23/2020 (COST, $84,522,229) 84,517,249 77.34 % OTHER ASSETS IN EXCESS OF OTHER LIABILITIES 22,528,445 20.61 % TOTAL MEMBER’S CAPITAL $ 109,282,243 100.00 % Sydling WNT Master Fund LLC Condensed Schedule of Investments December 31, 2018 Percent of Number of Member’s Contracts Fair Value Capital FUTURES CONTRACTS OWNED 214 CURRENCIES $ 149,610 0.09 % 387 ENERGY (3,697,024) (2.27) % 3,150 FINANCIALS 1,939,185 1.19 % 11 GRAINS 686 0.00 % 286 INDEX (738,566) (0.45) % 37 MATERIALS (126,320) (0.08) % 12 MEATS 5,250 0.00 % 378 METALS (2,016,857) (1.24) % TOTAL FUTURES CONTRACTS OWNED (4,484,036) (2.76) % FUTURES CONTRACTS SOLD (1,271) CURRENCIES (933,928) (0.57) % (400) ENERGY 1,838,934 1.13 % (467) FINANCIALS (660,228) (0.41) % (1,786) GRAINS 606,608 0.37 % (223) INDEX 345,081 0.21 % (1) INDUSTRIALS (55) 0.00 % (87) MEATS 60,248 0.04 % (590) METALS (758,554) (0.47) % TOTAL FUTURES CONTRACTS SOLD 498,106 0.30 % TOTAL FUTURES CONTRACTS (3,985,930) (2.46) % OTHER ASSETS IN EXCESS OF OTHER LIABILITIES 166,294,864 102.46 % TOTAL MEMBER’S CAPITAL $ 162,308,934 100.00 % |
Statements of Operations and Changes in Member's Capital | Sydling WNT Master Fund LLC Statements of Operations and Changes in Member’s Capital (Unaudited) Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 INVESTMENT INCOME Interest income $ 571,015 $ 896,854 $ 2,312,625 $ 2,322,287 EXPENSES Brokerage, clearing and transaction fees 34,842 37,907 109,565 128,961 Selling agent fees 1,012,428 1,594,732 3,469,818 4,800,165 Professional fees 22,449 23,875 67,346 71,625 Total Expenses 1,069,719 1,656,514 3,646,729 5,000,751 NET INVESTMENT (LOSS) (498,704) (759,660) (1,334,104) (2,678,464) NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM DERIVATIVE INSTRUMENTS AND SECURITIES Net realized gain/(loss) from futures and foreign currency 9,143,778 6,419,631 320,379 9,320,562 Net realized gain/(loss) from securities (457) — (457) — Net change in unrealized appreciation/(depreciation) on futures and foreign currency (706,725) (2,774,847) 6,222,479 (3,224,543) Net change in unrealized appreciation/(depreciation) on securities (10,310) — (4,980) — Net Realized and Unrealized Gain/(Loss) from Derivative Instruments and Securities 8,426,286 3,644,784 6,537,421 6,096,019 Net income/(loss) 7,927,582 2,885,124 5,203,317 3,417,555 INCREASE/(DECREASE) IN MEMBER’S CAPITAL FROM CAPITAL TRANSACTIONS Subscriptions 971,000 1,855,500 4,134,500 11,110,100 Redemptions (9,711,326) (5,721,211) (62,364,508) (18,424,776) Net Increase/(Decrease) in Member’s Capital Derived from Capital Transactions (8,740,326) (3,865,711) (58,230,008) (7,314,676) Net Increase/(Decrease) in Member’s Capital (812,744) (980,587) (53,026,691) (3,897,121) Member’s Capital, Beginning of Period 110,094,987 180,434,341 162,308,934 183,350,875 Member’s Capital, End of Period $ 109,282,243 $ 179,453,754 $ 109,282,243 $ 179,453,754 |
Financial Highlights (Tables)
Financial Highlights (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Financial Highlights of the Fund | |
Schedule of Financial Highlights reflecting changes in net asset value per Redeemable Unit and relevant ratios | (Unaudited) Three Three Nine Nine Months Ended Months Ended Months Ended Months Ended September 30, September 30, September 30, September 30, 2019 2018 2019 2018 Per share operating performance: (a) Members’ capital per Redeemable Unit, beginning of period $ 1,092.51 $ 1,175.96 $ 1,126.62 $ 1,185.36 Income/(loss) from investment operations: Net investment (loss) including incentive fee (11.93) (13.57) (30.99) (38.69) Net realized and unrealized gain/(loss) from investment activities 84.05 23.82 69.00 39.54 Total from investment operations 72.12 10.25 38.01 0.85 Members’ capital per Redeemable Unit, end of period $ 1,164.63 $ 1,186.21 $ 1,164.63 $ 1,186.21 Ratio/Supplemental Data: (b) Ratio of net investment loss to average Members’ capital (4.24) % (4.61) % (3.71) % (4.43) % Ratio of total expenses to average Members’ capital 6.29 % 5.92 % 6.11 % 5.92 % Ratio of incentive fee to average Members’ capital — % 0.69 % — % 0.23 % Ratio of total expenses and incentive fee to average Members’ capital 6.29 % 6.61 % 6.11 % 6.15 % Total return before incentive fee (c) 6.60 % 1.04 % 3.37 % 0.24 % Incentive fee — % (0.17) % — % (0.17) % Total return after incentive fee (c) 6.60 % 0.87 % 3.37 % 0.07 % Members’ capital at end of period $ 109,282,243 $ 179,453,754 $ 109,282,243 $ 179,453,754 (a) Per share operating performance is calculated on a monthly basis by dividing each line item by the outstanding units at month-end prior to the reduction of redeemed units. (b) The ratios to average Members’ capital are annualized. The average Members’ capital used in the above ratios is an average of each month-end Members’ capital during the period. Ratios include the Fund's share of income and expense allocated from the Master Fund. (c) Total return assumes a purchase of an interest in the Fund at the beginning of the period and a sale of the interest on the last day of the period noted. Total return is reflected after all investment-related and operating expenses, including the advisory and administrative fees. Total return is not annualized. |
Sydling WNT Master Fund LLC | |
Financial Highlights of the Fund | |
Schedule of Financial Highlights reflecting changes in net asset value per Redeemable Unit and relevant ratios | (Unaudited) Three Three Nine Nine Months Ended Months Ended Months Ended Months Ended September 30, September 30, September 30, September 30, 2019 2018 2019 2018 Ratio/Supplemental Data: (a) Ratio of net investment loss to average Member’s capital (1.79) % (1.69) % (1.38) % (1.98) % Ratio of total expenses to average Member’s capital 3.83 % 3.68 % 3.78 % 3.69 % Total return (b) 7.22 % 1.60 % 5.14 % 1.91 % Member’s capital at end of period $ 109,282,243 $ 179,453,754 $ 109,282,243 $ 179,453,754 (a) The ratios to average Member’s capital are annualized. The average Member’s capital used in the above ratios is an average of each month-end member's capital during the period. (b) Total return is calculated based on a time-weighted rate of return methodology. Monthly rates of return are compounded to derive the total return reflected above. Total return is reflected after all investment-related and operating expenses. Total return is not annualized. |
Trading Activities (Tables)
Trading Activities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Trading Activities | |
Schedule of gross fair values of derivative instruments of futures contracts as separate assets and liabilities | September 30, 2019 December 31, 2018 ASSETS Futures Contracts Currencies $ 1,264,207 $ 492,370 Energy 1,149,558 1,840,834 Financials 2,496,560 1,941,354 Grains 37,061 1,096,951 Index 672,995 360,510 Materials 104,640 — Meats 7,240 93,928 Metals 1,218,663 88,368 Total unrealized appreciation on open futures contracts $ 6,950,924 $ 5,914,315 LIABILITIES Futures Contracts Currencies $ (99,751) $ (1,276,688) Energy (286,777) (3,698,924) Financials (1,680,556) (662,396) Grains (807,356) (489,657) Index (280,044) (753,994) Industrials — (55) Materials — (126,320) Meats (241,845) (28,430) Metals (1,318,046) (2,863,781) Total unrealized depreciation on open futures contracts $ (4,714,375) $ (9,900,245) Net unrealized appreciation (depreciation) on open futures contracts* $ 2,236,549 $ (3,985,930) * These amounts are presented as Net unrealized appreciation or (depreciation) on open futures contracts on the Master Fund’s Statements of Financial Condition. |
Schedule of trading gains and losses, by market sector, on derivative instruments and securities | Three months ended Three months ended Nine months ended Nine months ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 Gain/(loss) from Gain/(loss) from Gain/(loss) from Gain/(loss) from Sector trading trading trading trading Currencies $ 3,276,730 $ 1,146,568 $ 1,881,400 $ (2,422,554) Energy (853,820) (1,016,000) (6,847,285) 4,362,594 Financials 5,511,297 (1,571,544) 11,505,323 155,161 Grains 620,865 1,958,902 714,516 2,582,723 Index 434,282 608,500 2,709,353 (934,901) Industrials - (40,326) (8,932) 20,240 Materials 115,250 (253,570) 282,805 (53,385) Meats (284,960) 30,953 (1,755,513) (474,163) Metals (382,591) 2,781,301 (1,938,809) 2,860,304 U.S. Treasury bills (10,767) — (5,437) — $ 8,426,286 ** $ 3,644,784 ** $ 6,537,421 ** $ 6,096,019 ** ** These amounts are presented as “Net Realized and Change in Unrealized Gain/(Loss) from Derivative Instruments and Securities” on the Master Fund’s Statements of Operations and Changes in Member’s Capital. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Measurements | |
Summary of the master fund's investments at fair value | ASSET TABLE (Unaudited) Total Fair Value at Description September 30, 2019 Level 1 Level 2 Level 3 Futures Contracts $ 6,950,924 $ 6,950,924 $ — $ — U.S. Treasury bills 84,517,249 — 84,517,249 — Total Assets $ 91,468,173 $ 6,950,924 $ 84,517,249 $ — LIABILITIES TABLE (Unaudited) Total Fair Value at Description September 30, 2019 Level 1 Level 2 Level 3 Futures Contracts $ 4,714,375 $ 4,714,375 $ — $ — Total Liabilities $ 4,714,375 $ 4,714,375 $ — $ — Net Assets and (Liabilities) $ 86,753,798 $ 2,236,549 $ 84,517,249 $ — ASSET TABLE Total Fair Value at Description December 31, 2018 Level 1 Level 2 Level 3 Futures Contracts $ 5,914,315 $ 5,914,315 $ — $ — Total Assets $ 5,914,315 $ 5,914,315 $ — $ — LIABILITIES TABLE Total Fair Value at Description December 31, 2018 Level 1 Level 2 Level 3 Futures Contracts $ 9,900,245 $ 9,900,245 $ — $ — Total Liabilities $ 9,900,245 $ 9,900,245 $ — $ — Net Assets and (Liabilities) $ (3,985,930) $ (3,985,930) $ — $ — |
General - Statements of Financi
General - Statements of Financial Condition (Details) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2019USD ($)itemshares | Dec. 31, 2018USD ($) | Jun. 30, 2019USD ($) | Sep. 30, 2018USD ($) | Jun. 30, 2018USD ($) | Dec. 31, 2017USD ($) | |
Maximum number of Redeemable Units that may be sold by the Fund (in shares) | shares | 0 | |||||
Annual brokerage fee payable by Feeder as a percentage of adjusted month-end net assets of the Fund | 3.50% | |||||
Number of members to be liable for obligations of the Fund in excess of capital contribution and profits | item | 0 | |||||
ASSETS | ||||||
Total Assets | $ 111,588,553 | $ 168,596,780 | ||||
LIABILITIES AND MEMBER'S CAPITAL | ||||||
Redemptions payable | 1,672,573 | 4,467,098 | ||||
Accrued expenses: | ||||||
Professional fees and other expenses | 123,504 | 117,324 | ||||
Total Liabilities | 2,306,310 | 6,287,846 | ||||
MEMBER'S CAPITAL | ||||||
Member's Capital | 109,282,243 | 162,308,934 | $ 110,094,987 | $ 179,453,754 | $ 180,434,341 | $ 183,350,875 |
Total Liabilities and Member's Capital | $ 111,588,553 | $ 168,596,780 | ||||
Sydling WNT Master Fund LLC | ||||||
Ownership percentage in Master Fund | 100.00% | 100.00% | ||||
ASSETS | ||||||
Investment in U.S. Treasury Bills, at fair value (cost $84,522,229 and $0, respectively) | $ 84,517,249 | |||||
Cash (including restricted cash of $12,668,206 and $15,356,440, respectively) | 24,367,398 | $ 171,222,974 | ||||
Net unrealized appreciation on open futures contracts | 2,236,549 | |||||
Interest receivable | 448,649 | 375,668 | ||||
Total Assets | 111,569,845 | 171,598,642 | ||||
LIABILITIES AND MEMBER'S CAPITAL | ||||||
Net unrealized depreciation on open futures contracts | 3,985,930 | |||||
Redemptions payable | 1,907,688 | 4,774,709 | ||||
Accrued expenses: | ||||||
Selling agent fees | 325,253 | 488,753 | ||||
Professional fees and other expenses | 54,661 | 40,316 | ||||
Total Liabilities | 2,287,602 | 9,289,708 | ||||
MEMBER'S CAPITAL | ||||||
Member's Capital | 109,282,243 | 162,308,934 | $ 110,094,987 | $ 179,453,754 | $ 180,434,341 | $ 183,350,875 |
Total Liabilities and Member's Capital | 111,569,845 | 171,598,642 | ||||
Investment in U.S. Treasury bills, at cost | 84,522,229 | 0 | ||||
Restricted cash | $ 12,668,206 | $ 15,356,440 |
General - Condensed Schedule of
General - Condensed Schedule of Investments (Details) | 9 Months Ended | |||||
Sep. 30, 2019USD ($)contract | Jun. 30, 2019USD ($) | Dec. 31, 2018USD ($)contract | Sep. 30, 2018USD ($) | Jun. 30, 2018USD ($) | Dec. 31, 2017USD ($) | |
Condensed Schedule of Investments | ||||||
TOTAL MEMBER'S CAPITAL | $ 109,282,243 | $ 110,094,987 | $ 162,308,934 | $ 179,453,754 | $ 180,434,341 | $ 183,350,875 |
Sydling WNT Master Fund LLC | ||||||
Condensed Schedule of Investments | ||||||
Percent of Member's Capital | 100.00% | 100.00% | ||||
U.S. TREASURY BILLS, 1.775%, DUE 1/23/2020 (COST, $84,522,229) | $ 84,517,249 | |||||
U.S TREASURY BILLS, 1.775%, DUE 1/23/2020, at cost | 84,522,229 | $ 0 | ||||
OTHER ASSETS IN EXCESS OF OTHER LIABILITIES | $ 22,528,445 | $ 166,294,864 | ||||
OTHER ASSETS IN EXCESS OF OTHER LIABILITIES AS PERCENT OF MEMBER'S CAPITAL | 20.61% | 102.46% | ||||
TOTAL MEMBER'S CAPITAL | $ 109,282,243 | $ 110,094,987 | $ 162,308,934 | $ 179,453,754 | $ 180,434,341 | $ 183,350,875 |
Sydling WNT Master Fund LLC | Futures Contracts | ||||||
Condensed Schedule of Investments | ||||||
Percent of Member's Capital | 2.05% | (2.46%) | ||||
TOTAL FUTURES CONTRACTS | $ 2,236,549 | $ (3,985,930) | ||||
Sydling WNT Master Fund LLC | U.S. Treasury bills | ||||||
Condensed Schedule of Investments | ||||||
Percent of Member's Capital | 77.34% | |||||
U.S. TREASURY BILLS, 1.775%, DUE 1/23/2020 (COST, $84,522,229) | $ 84,517,249 | |||||
U.S. TREASURY BILLS, Interest Rate | 1.775% | |||||
U.S TREASURY BILLS, 1.775%, DUE 1/23/2020, at cost | $ 84,522,229 | |||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | ||||||
Condensed Schedule of Investments | ||||||
TOTAL FUTURES CONTRACTS OWNED | $ (396,481) | $ (4,484,036) | ||||
Percent of Member's Capital | (0.36%) | (2.76%) | ||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | CURRENCIES | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 351 | 214 | ||||
TOTAL FUTURES CONTRACTS OWNED | $ (99,751) | $ 149,610 | ||||
Percent of Member's Capital | (0.09%) | 0.09% | ||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | ENERGY | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 88 | 387 | ||||
TOTAL FUTURES CONTRACTS OWNED | $ (270,477) | $ (3,697,024) | ||||
Percent of Member's Capital | (0.25%) | (2.27%) | ||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | FINANCIALS | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 5,374 | 3,150 | ||||
TOTAL FUTURES CONTRACTS OWNED | $ 661,824 | $ 1,939,185 | ||||
Percent of Member's Capital | 0.61% | 1.19% | ||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | GRAINS | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 63 | 11 | ||||
TOTAL FUTURES CONTRACTS OWNED | $ 23,539 | $ 686 | ||||
Percent of Member's Capital | 0.02% | 0.00% | ||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | INDEX | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 542 | 286 | ||||
TOTAL FUTURES CONTRACTS OWNED | $ (90,434) | $ (738,566) | ||||
Percent of Member's Capital | (0.08%) | (0.45%) | ||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | MATERIALS | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 37 | |||||
TOTAL FUTURES CONTRACTS OWNED | $ (126,320) | |||||
Percent of Member's Capital | (0.08%) | |||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | MEATS | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 4 | 12 | ||||
TOTAL FUTURES CONTRACTS OWNED | $ 7,240 | $ 5,250 | ||||
Percent of Member's Capital | 0.01% | 0.00% | ||||
Sydling WNT Master Fund LLC | CONTRACTS OWNED | Futures Contracts | METALS | ||||||
Condensed Schedule of Investments | ||||||
Number of Contracts owned | contract | 626 | 378 | ||||
TOTAL FUTURES CONTRACTS OWNED | $ (628,422) | $ (2,016,857) | ||||
Percent of Member's Capital | (0.58%) | (1.24%) | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | ||||||
Condensed Schedule of Investments | ||||||
TOTAL FUTURES CONTRACTS SOLD | $ 2,633,030 | $ 498,106 | ||||
Percent of Member's Capital | 2.41% | 0.30% | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | CURRENCIES | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (1,016) | (1,271) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ 1,264,208 | $ (933,928) | ||||
Percent of Member's Capital | 1.16% | (0.57%) | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | ENERGY | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (581) | (400) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ 1,133,258 | $ 1,838,934 | ||||
Percent of Member's Capital | 1.04% | 1.13% | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | FINANCIALS | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (239) | (467) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ 154,180 | $ (660,228) | ||||
Percent of Member's Capital | 0.14% | (0.41%) | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | GRAINS | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (1,176) | (1,786) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ (793,833) | $ 606,608 | ||||
Percent of Member's Capital | (0.73%) | 0.37% | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | INDEX | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (190) | (223) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ 483,385 | $ 345,081 | ||||
Percent of Member's Capital | 0.44% | 0.21% | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | INDUSTRIALS | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (1) | |||||
TOTAL FUTURES CONTRACTS SOLD | $ (55) | |||||
Percent of Member's Capital | 0.00% | |||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | MATERIALS | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (48) | |||||
TOTAL FUTURES CONTRACTS SOLD | $ 104,640 | |||||
Percent of Member's Capital | 0.10% | |||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | MEATS | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (85) | (87) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ (241,845) | $ 60,248 | ||||
Percent of Member's Capital | (0.22%) | 0.04% | ||||
Sydling WNT Master Fund LLC | CONTRACTS SOLD | Futures Contracts | METALS | ||||||
Condensed Schedule of Investments | ||||||
Number of contracts sold | contract | (309) | (590) | ||||
TOTAL FUTURES CONTRACTS SOLD | $ 529,037 | $ (758,554) | ||||
Percent of Member's Capital | 0.48% | (0.47%) |
General - Statements of Operati
General - Statements of Operations and Changes in Member's Capital (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
EXPENSES | ||||
Total Expenses | $ 1,751,500 | $ 2,971,683 | $ 5,884,710 | $ 8,319,473 |
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM DERIVATIVE INSTRUMENTS AND SECURITIES | ||||
Net income/(loss) | 7,245,801 | 1,569,955 | 2,965,336 | 98,833 |
INCREASE/(DECREASE) IN MEMBER'S CAPITAL FROM CAPITAL TRANSACTIONS | ||||
Subscriptions | 971,000 | 1,855,500 | 4,134,500 | 11,110,100 |
Redemptions | (9,029,545) | (4,406,042) | (60,126,527) | (15,106,054) |
Net Increase/(Decrease) in Member's Capital | (812,744) | (980,587) | (53,026,691) | (3,897,121) |
Member's Capital, Beginning of Period | 110,094,987 | 180,434,341 | 162,308,934 | 183,350,875 |
Member's capital at end of period | 109,282,243 | 179,453,754 | 109,282,243 | 179,453,754 |
Sydling WNT Master Fund LLC | ||||
INVESTMENT INCOME | ||||
Interest income | 571,015 | 896,854 | 2,312,625 | 2,322,287 |
EXPENSES | ||||
Brokerage, clearing and transaction fees | 34,842 | 37,907 | 109,565 | 128,961 |
Selling agent fees | 1,012,428 | 1,594,732 | 3,469,818 | 4,800,165 |
Professional fees | 22,449 | 23,875 | 67,346 | 71,625 |
Total Expenses | 1,069,719 | 1,656,514 | 3,646,729 | 5,000,751 |
NET INVESTMENT (LOSS) | (498,704) | (759,660) | (1,334,104) | (2,678,464) |
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM DERIVATIVE INSTRUMENTS AND SECURITIES | ||||
Net Realized and Unrealized Gain/(Loss) from Derivative Instruments and Securities | 8,426,286 | 3,644,784 | 6,537,421 | 6,096,019 |
Net income/(loss) | 7,927,582 | 2,885,124 | 5,203,317 | 3,417,555 |
INCREASE/(DECREASE) IN MEMBER'S CAPITAL FROM CAPITAL TRANSACTIONS | ||||
Subscriptions | 971,000 | 1,855,500 | 4,134,500 | 11,110,100 |
Redemptions | (9,711,326) | (5,721,211) | (62,364,508) | (18,424,776) |
Net Increase/(Decrease) in Member's Capital Derived from Capital Transactions | (8,740,326) | (3,865,711) | (58,230,008) | (7,314,676) |
Net Increase/(Decrease) in Member's Capital | (812,744) | (980,587) | (53,026,691) | (3,897,121) |
Member's Capital, Beginning of Period | 110,094,987 | 180,434,341 | 162,308,934 | 183,350,875 |
Member's capital at end of period | 109,282,243 | 179,453,754 | 109,282,243 | 179,453,754 |
Sydling WNT Master Fund LLC | Futures Contracts | ||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM DERIVATIVE INSTRUMENTS AND SECURITIES | ||||
Net realized gain/(loss) from futures and foreign currency | 9,143,778 | 6,419,631 | 320,379 | 9,320,562 |
Net realized gain/(loss) from securities | (457) | (457) | ||
Net change in unrealized appreciation/(depreciation) on futures and foreign currency | (706,725) | $ (2,774,847) | 6,222,479 | $ (3,224,543) |
Net change in unrealized appreciation/(depreciation) on securities | $ (10,310) | $ (4,980) |
Financial Highlights (Details)
Financial Highlights (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Per share operating performance: | ||||
Members' capital per Redeemable Unit, beginning of period (in dollars per unit) | $ 1,092.51 | $ 1,175.96 | $ 1,126.62 | $ 1,185.36 |
Income/(loss) from investment operations: | ||||
Net investment (loss) including incentive fee (in dollars per unit) | (11.93) | (13.57) | (30.99) | (38.69) |
Net realized and unrealized gain/(loss) from investment activities (in dollars per unit) | 84.05 | 23.82 | 69 | 39.54 |
Total from investment operations (in dollars per unit) | 72.12 | 10.25 | 38.01 | 0.85 |
Members' capital per Redeemable Unit, end of period (in dollars per unit) | $ 1,164.63 | $ 1,186.21 | $ 1,164.63 | $ 1,186.21 |
Ratio/Supplemental Data: | ||||
Ratio of net investment loss to average Member's capital (as a percent) | (4.24%) | (4.61%) | (3.71%) | (4.43%) |
Ratio of total expenses to average Member's capital (as a percent) | 6.29% | 5.92% | 6.11% | 5.92% |
Ratio of incentive fee to average Members' capital (as a percent) | 0.69% | 0.23% | ||
Ratio of total expenses and incentive fee to average Members' capital (as a percent) | 6.29% | 6.61% | 6.11% | 6.15% |
Total return before incentive fee (as a percent) | 6.60% | 1.04% | 3.37% | 0.24% |
Incentive fee (as a percent) | (0.17%) | (0.17%) | ||
Total return after incentive fee (as a percent) | 6.60% | 0.87% | 3.37% | 0.07% |
Member's capital at end of period | $ 109,282,243 | $ 179,453,754 | $ 109,282,243 | $ 179,453,754 |
Sydling WNT Master Fund LLC | ||||
Ratio/Supplemental Data: | ||||
Ratio of net investment loss to average Member's capital (as a percent) | (1.79%) | (1.69%) | (1.38%) | (1.98%) |
Ratio of total expenses to average Member's capital (as a percent) | 3.83% | 3.68% | 3.78% | 3.69% |
Total return (as a percent) | 7.22% | 1.60% | 5.14% | 1.91% |
Member's capital at end of period | $ 109,282,243 | $ 179,453,754 | $ 109,282,243 | $ 179,453,754 |
Trading Activities (Details)
Trading Activities (Details) - Sydling WNT Master Fund LLC | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019USD ($)item | Sep. 30, 2018USD ($)item | Sep. 30, 2019USD ($)item | Sep. 30, 2018USD ($)item | Dec. 31, 2018USD ($) | |
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | $ 8,426,286 | $ 3,644,784 | $ 6,537,421 | $ 6,096,019 | |
CURRENCIES | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | 3,276,730 | 1,146,568 | 1,881,400 | (2,422,554) | |
ENERGY | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | (853,820) | (1,016,000) | (6,847,285) | 4,362,594 | |
FINANCIALS | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | 5,511,297 | (1,571,544) | 11,505,323 | 155,161 | |
GRAINS | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | 620,865 | 1,958,902 | 714,516 | 2,582,723 | |
INDEX | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | 434,282 | 608,500 | 2,709,353 | (934,901) | |
INDUSTRIALS | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | (40,326) | (8,932) | 20,240 | ||
MATERIALS | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | 115,250 | (253,570) | 282,805 | (53,385) | |
MEATS | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | (284,960) | 30,953 | (1,755,513) | (474,163) | |
METALS | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | (382,591) | $ 2,781,301 | (1,938,809) | $ 2,860,304 | |
U.S. Treasury bills | |||||
Trading gains and losses, by market sector, on derivative instruments | |||||
Gain (loss) from trading | $ (10,767) | $ (5,437) | |||
Futures Contracts | |||||
Gross fair values of derivative instruments of futures and options contracts as separate assets and liabilities | |||||
Monthly average number of derivative contracts traded | item | 3,510 | 4,343 | 3,790 | 5,150 | |
ASSETS | |||||
Total unrealized appreciation on open futures contracts | $ 6,950,924 | $ 6,950,924 | $ 5,914,315 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (4,714,375) | (4,714,375) | (9,900,245) | ||
Net unrealized appreciation (depreciation) on open futures contracts | 2,236,549 | 2,236,549 | (3,985,930) | ||
Futures Contracts | CURRENCIES | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 1,264,207 | 1,264,207 | 492,370 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (99,751) | (99,751) | (1,276,688) | ||
Futures Contracts | ENERGY | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 1,149,558 | 1,149,558 | 1,840,834 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (286,777) | (286,777) | (3,698,924) | ||
Futures Contracts | FINANCIALS | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 2,496,560 | 2,496,560 | 1,941,354 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (1,680,556) | (1,680,556) | (662,396) | ||
Futures Contracts | GRAINS | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 37,061 | 37,061 | 1,096,951 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (807,356) | (807,356) | (489,657) | ||
Futures Contracts | INDEX | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 672,995 | 672,995 | 360,510 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (280,044) | (280,044) | (753,994) | ||
Futures Contracts | INDUSTRIALS | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | (55) | ||||
Futures Contracts | MATERIALS | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 104,640 | 104,640 | |||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (126,320) | ||||
Futures Contracts | MEATS | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 7,240 | 7,240 | 93,928 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | (241,845) | (241,845) | (28,430) | ||
Futures Contracts | METALS | |||||
ASSETS | |||||
Total unrealized appreciation on open futures contracts | 1,218,663 | 1,218,663 | 88,368 | ||
LIABILITIES | |||||
Total unrealized depreciation on open futures contracts | $ (1,318,046) | $ (1,318,046) | $ (2,863,781) |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - Sydling WNT Master Fund LLC - Recurring Basis - USD ($) | Sep. 30, 2019 | Dec. 31, 2018 |
ASSET | ||
Total Assets | $ 91,468,173 | $ 5,914,315 |
LIABILITIES | ||
Total Liabilities | 4,714,375 | 9,900,245 |
Net Assets and (Liabilities) | 86,753,798 | (3,985,930) |
Futures Contracts | ||
ASSET | ||
Total Assets | 6,950,924 | 5,914,315 |
LIABILITIES | ||
Total Liabilities | 4,714,375 | 9,900,245 |
U.S. Treasury bills | ||
ASSET | ||
Total Assets | 84,517,249 | |
Level 1 | ||
ASSET | ||
Total Assets | 6,950,924 | 5,914,315 |
LIABILITIES | ||
Total Liabilities | 4,714,375 | 9,900,245 |
Net Assets and (Liabilities) | 2,236,549 | (3,985,930) |
Level 1 | Futures Contracts | ||
ASSET | ||
Total Assets | 6,950,924 | 5,914,315 |
LIABILITIES | ||
Total Liabilities | 4,714,375 | $ 9,900,245 |
Level 2 | ||
ASSET | ||
Total Assets | 84,517,249 | |
LIABILITIES | ||
Net Assets and (Liabilities) | 84,517,249 | |
Level 2 | U.S. Treasury bills | ||
ASSET | ||
Total Assets | $ 84,517,249 |
Significant Accounting Polici_3
Significant Accounting Policies (Details) - Sydling WNT Master Fund LLC | 9 Months Ended |
Sep. 30, 2019USD ($) | |
Income Taxes | |
Income tax liability or expense | $ 0 |
Percentage of Interest Income on Equity in Brokerage Account | 100.00% |
Percentage of interest received by fund on U.S. Treasury Bills | 100.00% |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Subsequent Events | ||||
Additional subscriptions received | $ 971,000 | $ 1,855,500 | $ 4,134,500 | $ 11,110,100 |
Non-managing Members | ||||
Subsequent Events | ||||
Additional subscriptions received | 1,028,500 | |||
Redemptions to be paid | $ 1,722,958 |