FORM 10-Q
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
[X] Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange
Act of 1934
For the Quarterly Period Ended: September 30, 2005
or
[ ] Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange
Act of 1934
Commission File Number: 000-50725
NESTOR PARTNERS
------------------------------------------------------
(Exact name of registrant as specified in its charter)
NEW JERSEY 22-2149317
-------------------------------- -------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o MILLBURN RIDGEFIELD CORPORATION
411 West Putnam Avenue
Greenwich, Connecticut 06830
----------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (203) 625-7554
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant Limited Partnership Interests
to Section 12(g) of the Act: (Title of Class)
Indicate by check mark whether the registrant (1) 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 is an accelerated filer (as
defined in Rule 12b-2 of the Exchange Act).
Yes [ ] No [X]
Nestor Partners
Financial statements
For the three and nine months ended September 30, 2005 and 2004 (unaudited)
Statements of Financial Condition (a) 1
Condensed Schedules of Investments (a) 2
Statements of Operations (b) 6
Statements of Changes in Partners' Capital (c) 8
Statements of Financial Highlights (b) 10
Notes to the Financial Statements 12
(a) At September 30, 2005 (unaudited) and December 31, 2004
(b) For the three and nine months ended September 30, 2005 and 2004 (unaudited)
(c) For the nine months ended September 30, 2005 and 2004 (unaudited)
PART 1. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
NESTOR PARTNERS
STATEMENTS OF FINANCIAL CONDITION
UNAUDITED
September 30 December 31
2005 2004
----------------------------
ASSETS
Equity in trading accounts:
Investments in U.S. Treasury notes-at market value
(amortized cost $54,881,514 and $46,930,539) $ 54,735,123 $ 46,848,072
Net unrealized appreciation (depreciation)
on open futures and forward currency contracts 8,346,604 4,523,726
Due from brokers 10,649,264 6,193,636
Cash denominated in foreign currencies
(cost $3,240,655 and $2,129,278) 3,199,044 2,169,971
---------------------------
Total equity in trading accounts 76,930,035 59,735,405
INVESTMENTS IN U.S. TREASURY NOTES--at market value
(amortized cost $82,096,318 and $133,147,061) 81,910,609 133,032,588
CASH AND CASH EQUIVALENTS 16,207,291 16,278,049
ACCRUED INTEREST RECEIVABLE 746,710 472,441
---------------------------
TOTAL $175,794,645 $209,518,483
===========================
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
Capital withdrawals payable $ 5,264,654 $ 12,993,466
Capital contributions received in advance 2,355,000 2,165,900
Accrued brokerage fees 398,819 475,296
Accrued expenses 306,254 305,683
---------------------------
Total liabilities 8,324,727 15,940,345
PARTNERS' CAPITAL 167,469,918 193,578,138
---------------------------
TOTAL $175,794,645 $209,518,483
===========================
See notes to financial statements
-1-
NESTOR PARTNERS
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
NET
UNREALIZED
% OF PARTNERS' APPRECIATION/
FUTURES AND FORWARD CURRENCY CONTRACTS CAPITAL (DEPRECIATION)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
Long futures contracts:
Energies 0.25% $ 419,067
Grains 0.03 44,663
Interest rates (1.36) (2,281,163)
Livestock 0.01 10,120
Metals 0.89 1,492,236
Softs 0.16 274,434
Stock indices 2.22 3,724,041
--------------------------
Total long futures contracts 2.20 3,683,398
--------------------------
Short futures contracts:
Grains 0.01 20,715
Interest rates 0.33 554,654
Livestock (0.06) (103,380)
Metals (0.06) (99,723)
Softs (0.17) (278,325)
--------------------------
Total short futures contracts 0.05 93,941
--------------------------
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net 2.25 3,777,339
--------------------------
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts 1.25 2,090,634
Total short forward currency contracts 1.48 2,478,631
--------------------------
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net 2.73 4,569,265
--------------------------
TOTAL 4.98% $ 8,346,604
==========================
(Continued)
See notes to financial statements
-2-
NESTOR PARTNERS
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
U.S. TREASURY NOTES
% OF PARTNERS'
FACE AMOUNT DESCRIPTION CAPITAL VALUE
- --------------------------------------------------------------------------------
$44,380,000 U.S. Treasury notes, 1.875%, 11/30/05 26.43% $ 44,269,050
34,055,000 U.S. Treasury notes, 1.625%, 02/28/06 20.15 33,746,377
44,680,000 U.S. Treasury notes, 2.500%, 05/31/06 26.42 44,240,181
14,600,000 U.S. Treasury notes, 2.375%, 08/15/06 8.59 14,390,124
---------------------------
Total investments in U.S. Treasury notes
(amortized cost $136,977,832) 81.59% $ 136,645,732
===========================
(Concluded)
See notes to financial statements
-3-
NESTOR PARTNERS
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2004
NET
UNREALIZED
% OF PARTNERS' APPRECIATION/
FUTURES AND FORWARD CURRENCY CONTRACTS CAPITAL (DEPRECIATION)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
Long futures contracts:
Energies (0.23)% $ (453,238)
Interest rates 0.01 20,112
Livestock 0.02 36,230
Metals 0.06 128,996
Softs 0.08 153,181
Stock indices 0.82 1,588,752
--------------------------
Total long futures contracts 0.76 1,474,033
--------------------------
Short futures contracts:
Energies 0.20 369,720
Grains 0.15 283,181
Interest rates 0.01 17,599
Metals 0.03 64,779
Softs (0.04) (67,820)
--------------------------
Total short futures contracts 0.35 667,459
--------------------------
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net 1.11 2,141,492
--------------------------
FORWARD CONTRACTS
Total long forward currency contracts 3.55 6,865,386
Total short forward currency contracts (2.32) (4,483,152)
--------------------------
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net 1.23 2,382,234
--------------------------
TOTAL 2.34% $ 4,523,726
==========================
(Continued)
See notes to financial statements
-4-
NESTOR PARTNERS
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2004
U.S. TREASURY NOTES
% OF PARTNERS'
FACE AMOUNT DESCRIPTION CAPITAL VALUE
- --------------------------------------------------------------------------------
$ 60,230,000 U.S. Treasury notes, 1.500%, 02/28/05 31.09% $ 60,192,357
60,230,000 U.S. Treasury notes, 1.250%, 05/31/05 30.96 59,928,850
60,230,000 U.S. Treasury notes, 1.875%, 11/30/05 30.87 59,759,453
--------------------------
Total investments in U.S. Treasury notes
(amortized cost $180,077,600) 92.92% $179,880,660
===========================
(Concluded)
See notes to financial statements
-5-
NESTOR PARTNERS
STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE THREE MONTHS ENDED
SEPTEMBER 30 SEPTEMBER 30
2005 2004
----------------------------
INVESTMENT INCOME:
Interest income $ 1,240,684 $ 556,677
----------------------------
EXPENSES:
Brokerage fees 1,133,995 1,250,164
Administrative expenses 103,956 110,568
Custody fees 5,201 7,688
----------------------------
Total expenses 1,243,152 1,368,420
----------------------------
NET INVESTMENT LOSS (2,468) (811,743)
----------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts 9,533,350 (17,492,534)
Foreign exchange translation (138,053) (4,365)
Net change in unrealized appreciation:
Futures and forward currency contracts 2,316,544 7,526,589
Foreign exchange translation 9,826 16,894
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized depreciation (109,532) 106,732
----------------------------
Total net realized and unrealized gains (losses) 11,612,135 (9,846,684)
----------------------------
NET INCOME (LOSS) 11,609,667 (10,658,427)
LESS PROFIT SHARE TO GENERAL PARTNER 395,745 4,227
----------------------------
NET INCOME (LOSS) AFTER PROFIT SHARE TO
GENERAL PARTNER $ 11,213,922 $(10,662,654)
============================
See notes to financial statements
-6-
NESTOR PARTNERS
STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE NINE MONTHS ENDED
SEPTEMBER 30 SEPTEMBER 30
2005 2004
----------------------------
INVESTMENT INCOME:
Interest income $ 3,402,074 $ 1,685,681
----------------------------
EXPENSES:
Brokerage fees 3,747,955 4,077,289
Administrative expenses 326,444 376,263
Custody fees 21,227 22,643
----------------------------
Total expenses 4,095,626 4,476,195
----------------------------
NET INVESTMENT LOSS (693,552) (2,790,514)
----------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts (558,376) (29,136,713)
Foreign exchange translation (110,977) 141,416
Net change in unrealized appreciation:
Futures and forward currency contracts 3,822,878 (4,417,810)
Foreign exchange translation (82,302) (19,648)
Net losses from U.S. Treasury notes:
Net change in unrealized depreciation (135,160) (287,668)
----------------------------
Total net realized and unrealized gains (losses) 2,936,063 (33,720,423)
----------------------------
NET INCOME (LOSS) 2,242,511 (36,510,937)
LESS PROFIT SHARE TO GENERAL PARTNER 402,756 30,718
----------------------------
NET INCOME (LOSS) AFTER PROFIT SHARE TO
GENERAL PARTNER $ 1,839,755 $(36,541,655)
============================
See notes to financial statements
-7-
NESTOR PARTNERS
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (UNAUDITED)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2005:
NEW
SPECIAL PROFIT
LIMITED LIMITED MEMO GENERAL
PARTNERS PARTNERS ACCOUNT PARTNER TOTAL
---------------------------------------------------------------------------------
PARTNERS' CAPITAL-
January 1, 2005 $ 152,324,173 $ 37,543,063 $ -- $ 3,710,902 $ 193,578,138
Contributions 8,473,963 1,958,954 -- -- 10,432,917
Withdrawals (37,093,353) (1,206,582) -- (483,713) (38,783,648)
Net income 269,119 1,821,291 22 152,079 2,242,511
General Partner's allocation:
New Profit-Accrued (402,756) -- 364 402,392 --
Transfer of New Profit Memo
Account to General Partner -- -- -- -- --
---------------------------------------------------------------------------------
PARTNERS' CAPITAL-
September 30, 2005 $ 123,571,146 $ 40,116,726 $ 386 $ 3,781,660 $ 167,469,918
=================================================================================
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2004:
NEW
SPECIAL PROFIT
LIMITED LIMITED MEMO GENERAL
PARTNERS PARTNERS ACCOUNT PARTNER TOTAL
----------------------------------------------------------------------------------
PARTNERS' CAPITAL-
January 1, 2004 $ 158,551,000 $ 47,828,770 $ -- $ 4,284,428 $ 210,664,198
Contributions 41,479,825 662,851 -- -- 42,142,676
Withdrawals (33,346,173) (11,489,261) -- (657,400) (45,492,834)
Net loss (30,694,073) (5,255,227) (5,244) (556,393) (36,510,937)
General Partner's allocation:
New Profit-Accrued (30,718) -- 26,491 4,227 --
Transfer of New Profit Memo
Account to General Partner -- -- -- -- --
---------------------------------------------------------------------------------
PARTNERS' CAPITAL-
September 30, 2004 $ 135,959,861 $ 31,747,133 $ 21,247 $ 3,074,862 $ 170,803,103
=================================================================================
See notes to financial statements
-8-
NESTOR PARTNERS
STATEMENTS OF FINANCIAL HIGHLIGHTS (UNAUDITED)
SPECIAL
LIMITED LIMITED
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2005 PARTNERS PARTNERS
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE CAPITAL:
Net investment income (loss) (a) (0.80) % 2.37 %
======================
Total expenses (a) 3.80 % 0.61 %
Profit share allocation (b) 0.31 % -- %
----------------------
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION 4.11 % 0.61 %
======================
Total return before profit share allocation (b) 6.99 % 7.85 %
Profit share allocation (b) (0.33)% -- %
----------------------
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION 6.66 % 7.85 %
======================
SPECIAL
LIMITED LIMITED
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2004 PARTNERS PARTNERS
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE CAPITAL:
Net investment income (loss) (a) (2.44)% 0.64 %
======================
Total expenses (a) 3.71 % 0.62 %
Profit share allocation (b) -- % -- %
----------------------
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION 3.71 % 0.62 %
======================
Total return before profit share allocation (b) (5.67)% (4.94)%
Profit share allocation (b) -- % -- %
----------------------
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION (5.67)% (4.94)%
======================
(a) annualized
(b) not annualized
See notes to financial statements
-9-
NESTOR PARTNERS
STATEMENTS OF FINANCIAL HIGHLIGHTS (UNAUDITED)
SPECIAL
LIMITED LIMITED
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2005 PARTNERS PARTNERS
- --------------------------------------------------------------------------------
Ratios to average capital:
Net investment income (loss) (a) (1.29)% 2.02 %
======================
Total expenses (a) 3.90 % 0.61 %
Profit share allocation (b) 0.29 % -- %
----------------------
Total expenses and profit share allocation 4.19 % 0.61 %
======================
Total return before profit share allocation (b) 2.17 % 4.71 %
Profit share allocation (b) (0.32)% -- %
----------------------
Total return after profit share allocation 1.85 % 4.71 %
======================
SPECIAL
LIMITED LIMITED
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2004 PARTNERS PARTNERS
- --------------------------------------------------------------------------------
Ratios to average capital:
Net investment income (loss) (a) (2.47)% 0.43 %
======================
Total expenses (a) 3.59 % 0.67 %
Profit share allocation (b) -- % -- %
----------------------
Total expenses and profit share allocation 3.59 % 0.67 %
======================
Total return before profit share allocation (b) (17.22)% (15.34)%
Profit share allocation (b) -- % -- %
----------------------
Total return after profit share allocation (17.22)% (15.34)%
======================
(a) annualized
(b) not annualized
See notes to financial statements
-10-
NOTES TO FINANCIAL STATEMENTS
The accompanying unaudited financial statements, in the opinion of management,
include all adjustments (consisting only of normal recurring adjustments)
necessary for a fair presentation of Nestor Partners' (the "Partnership")
financial condition at September 30, 2005 (unaudited) and December 31, 2004 and
the results of its operations for the three and nine month periods ended
September 30, 2005 and 2004 (unaudited). These financial statements present the
results of interim periods and do not include all disclosures normally provided
in annual financial statements. It is suggested that these financial statements
be read in conjunction with the audited financial statements and notes included
in the Partnership's annual report on Form 10-K filed with the Securities and
Exchange Commission for the year ended December 31, 2004. The December 31, 2004
information has been derived from the audited financial statements as of
December 31, 2004.
The Partnership pays administrative expenses for legal, audit and accounting
services, up to 0.25 of 1% per annum of the Partnership's average month-end net
assets. A portion of such expenses are paid to an affiliate of Millburn
Ridgefield Corporation (the "General Partner"), The Millburn Corporation
("TMC"), for providing accounting services to the Partnership. The Partnership
incurred administrative expenses of $103,956 and $326,444, respectively, during
the three and nine month periods ended September 30, 2005, of which $75,637 and
$224,324, respectively, relates to legal and accounting services provided to the
Partnership by TMC. The General Partner pays all administrative expenses in
excess of 0.25 of 1% per annum of the Partnership's average month-end net
assets.
Interests sold through Selling Agents engaged by the General Partner are
generally subject to a 2.5% redemption charge for redemptions made prior to the
end of the twelfth month following their sale. All redemption charges will be
paid to the General Partner. At September 30, 2005 there were no redemption
charges owed to the General Partner.
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Reference is made to Item 1, "Financial Statements". The information contained
therein is essential to, and should be read in connection with, the following
analysis.
OPERATIONAL OVERVIEW
Due to the nature of the Partnership's business, its results of operations
depend on the General Partner's ability to recognize and capitalize on trends
and other profit opportunities in different sectors of the global capital and
commodity markets. The General Partner's trading methods are confidential, so
that substantially the only information that can be furnished regarding the
Partnership's results of operations is contained in the performance record of
its trading. Unlike operating businesses, general economic or seasonal
conditions do not directly affect the profit potential of the Partnership, and
its past performance is not necessarily indicative of future results. The
General Partner believes, however, that there are certain market conditions, for
example, markets with strong price trends, in which the Partnership has a better
likelihood of being profitable than in others.
-11-
LIQUIDITY AND CAPITAL RESOURCES
The Partnership raises additional capital only through the sale of Interests.
Partnership capital may also be increased by trading profits, if any. The
Partnership does not engage in borrowing. Interests may be offered for sale as
of the beginning of each month.
The Partnership trades futures and forward contracts on interest rates,
commodities, currencies, metals, energy and stock indices. Due to the nature of
the Partnership's business, substantially all its assets are represented by cash
and United States government obligations, while the Partnership maintains its
market exposure through open futures and forward contract positions.
The Partnership's assets are generally held as cash, cash equivalents or U.S.
Government obligations which are used to margin or collateralize the
Partnership's futures and forward positions and are withdrawn, as necessary, to
pay redemptions and expenses. Other than potential market-imposed limitations on
liquidity, due, for example, to daily price fluctuation limits, which are
inherent in the Partnership's futures and forward trading, the Partnership's
assets are highly liquid and are expected to remain so.
There have been no material changes with respect to the Partnership's critical
accounting policies, off-balance sheet arrangements or disclosure of contractual
obligations as reported in the Partnership's Annual Report on Form 10-K for
fiscal year 2004.
RESULTS OF OPERATIONS
During its operations through the three and nine month periods ending September
30, 2005, the Partnership experienced no meaningful periods of illiquidity in
any of the numerous markets traded by the General Partner.
Due to the nature of the Partnership's trading, the results of operations for
the interim period presented should not be considered indicative of the results
that may be expected for the entire year.
PROFIT SHARE
The following table indicates the total profit share earned and accrued during
the three and nine months ended September 30, 2005 and 2004. Profit share earned
(from Limited Partners' redemptions) is credited to the New Profit memo account
as defined in the Partnership's Partnership Agreement.
Three months ended: Sep 30, 2005 Sep 30, 2004
------------ ------------
Profit share earned $ 364 $ --
Profit share accrued(1) 402,392 4,227
Profit share reversal(2) (7,011) --
--------- ---------
Total profit share $ 395,745 $ 4,227
Nine months ended: Sep 30, 2005 Sep 30, 2004
------------ ------------
Profit share earned $ 364 $ 26,491
Profit share accrued(1) 402,392 4,227
Profit share reversal n/a n/a
--------- ---------
Total profit share $ 402,756 $ 30,718
(1) At September 30
(2) Accrued at June 30, reversed on July 1
-12-
TOTAL PARTNERS'
MONTH ENDING: CAPITAL
- --------------------------------------------------------------------------------
September 30, 2005 $ 167,469,918
June 30, 2005 160,792,390
December 31, 2004 193,578,138
- --------------------------------------------------------------------------------
Periods ended September 30, 2005
- --------------------------------------------------------------------------------
THREE MONTHS NINE MONTHS
----------------------------------------
Change in Partners' Capital $ 6,677,528 $ (26,108,220)
Percent Change 4.15% -13.49%
THREE MONTHS ENDED SEPTEMBER 30, 2005
The increase in the Partnership's net assets of $6,677,528 was attributable to
contributions of $3,475,083 and net income from operations (before profit share)
of $11,609,667, which was partially offset by withdrawals of $8,407,222.
Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance, subscriptions and redemptions.
Brokerage fees for the three months ended September 30, 2005 decreased $116,169
relative to the corresponding period in 2004.
The Partnership pays administrative expenses for legal, audit and accounting
services, up to 0.25 of 1% per annum of the Partnership's average month-end net
assets. Administrative expenses for the three months ended September 30, 2005
decreased $6,612 relative to the corresponding period in 2004. The decrease was
attributable to a decrease in the Partnership's net assets.
Interest income is derived from cash and U.S. Treasury instruments held at the
Partnership's brokers and custodian. Interest income for the three months ended
September 30, 2005 increased $684,007 relative to the corresponding period in
2004. This increase was attributable to an increase in short-term Treasury
yields, which was partially offset by a decrease in the Partnership's U.S.
Treasury holdings as a result of net redemptions.
During the three months ended September 30, 2005, the Partnership experienced
net realized and unrealized gains of $11,612,135 from its trading operations
(including foreign exchange translations and U.S. Treasury notes). Brokerage
fees of $1,133,995, administrative expenses of $103,956, custody fees of $5,201
and an accrued and earned profit share to the General Partner (net of reversal
at July 1, 2005 for $7,011) of $395,745 were incurred. Interest income of
$1,240,684 partially offset the Partnership's expenses resulting in a net income
after profit share to General Partner of $11,213,922. An analysis of the trading
gain (loss) by sector is as follows:
-13-
% GAIN
SECTOR LOSS
------------------ ------------
Currencies 0.92%
Energies 3.32%
Grains -0.83%
Interest Rates -4.25%
Livestock -0.29%
Metals 0.45%
Softs 0.05%
Stock Indices 7.98%
------------
TOTAL 7.35%
NINE MONTHS ENDED SEPTEMBER 30, 2005
The decrease in the Partnership's net assets of $26,108,220 was attributable to
withdrawals of $38,783,648 which was partially offset by contributions of
$10,432,917 and net income from operations (before profit share) $2,242,511.
Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance, subscriptions and redemptions.
Brokerage fees for the nine months ended September 30, 2005 decreased $329,334
relative to the corresponding period in 2004.
The Partnership pays administrative expenses for legal, audit and accounting
services, up to 0.25 of 1% per annum of the Partnership's average month-end net
assets. Administrative expenses for the nine months ended September 30, 2005
decreased $49,819 relative to the corresponding period in 2004. The decrease was
attributable to a decrease in the Partnership's net assets.
Interest income is derived from cash and U.S. Treasury instruments held at the
Partnership's brokers and custodian. Interest income for the nine months ended
September 30, 2005 increased $1,716,393 relative to the corresponding period in
2004. This increase was attributable to an increase in short-term Treasury
yields, which was partially offset by a decrease in the Partnership's cash and
U.S. Treasury holdings.
During the nine months ended September 30, 2005, the Partnership experienced net
realized and unrealized gains of $2,936,063 from its trading operations
(including foreign exchange translations and Treasury obligations). Brokerage
fees of $3,747,955, administrative expenses of $326,444, custody fees of $21,227
and an accrued profit share to the General Partner of $402,756 were incurred.
Interest income of $3,402,074 partially offset the Partnership's expenses
resulting in net income after profit to General Partner of $1,839,755. An
analysis of the trading gain (loss) by sector is as follows:
% GAIN
SECTOR LOSS
------------------ -------------
Currencies -4.81%
Energies 3.67%
Grains -3.02%
Interest Rates 3.38%
Livestock -0.53%
Metals -1.00%
Softs -0.99%
Stock Indices 6.62%
-------------
TOTAL 3.32%
-14-
TOTAL PARTNERS'
MONTH ENDING: CAPITAL
- -------------------------------------------------------
September 30, 2004 $ 170,803,103
June 30, 2004 188,864,906
December 31, 2003 210,664,198
---------------------------------------------------------------------
Periods ended September 30, 2004
---------------------------------------------------------------------
Three Months Nine Months
----------------------------------
Change in Partners' Capital $ (18,061,803) $ (39,861,095)
Percent Change -9.56% -18.92%
THREE MONTHS ENDED SEPTEMBER 30, 2004
The decrease in the Partnership's net assets of $18,061,803 was attributable to
withdrawals of $18,027,235 and a net loss from operations of $10,662,654, which
was partially offset by contributions of $10,623,859 and a profit share
allocation to the General Partner of $4,227.
Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance, subscriptions and redemptions.
Brokerage fees for the three months ended September 30, 2004 decreased $165,475,
relative to the corresponding period in 2003.
The Partnership pays administrative expenses for legal, audit and accounting
services, up to 0.25 of 1% per annum of the Partnership's average month-end net
assets. Administrative expenses for the three months ended September 30, 2004
decreased $8,684 relative to the corresponding period in 2003. The decrease was
attributable to a decrease in the Partnership's net assets.
Interest income is derived from cash and U.S. Treasury instruments held at the
Partnership's brokers. Interest income for the three months ended September 30,
2004 increased $45,243 relative to the corresponding period in 2003. This
increase was attributable to an increase in short-term Treasury yields, which
was partially offset by a decrease in the Partnership's net assets.
During the three months ended September 30, 2004, the Partnership experienced
net realized and unrealized losses of $9,846,684 from its trading operations
(including foreign exchange translations and Treasury obligations). Brokerage
fees of $1,250,164, administrative expenses of $110,568, custody fees of $7,688
and accrued profit share allocation to the General Partner of $4,227 were
incurred. Interest income of $556,677 partially offset the Partnership's
expenses resulting in a net loss of $10,662,654. An analysis of the trading gain
(loss) by sector is as follows:
-15-
% GAIN
SECTOR LOSS
------------------ -------------
Currencies (5.59)%
Energies 1.93 %
Grains 0.44 %
Interest rates (0.85)%
Metals 0.09 %
Softs 0.08 %
Stock indices (1.52)%
-------------
Total (5.42)%
NINE MONTHS ENDED SEPTEMBER 30, 2004
The decrease in the Partnership's net assets of $39,861,095 was attributable to
redemptions of $45,492,834 and net loss from operations of $36,541,655, which
was partially offset by subscriptions of $42,142,676 and a profit share
allocation to the General Partner of $30,718.
Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance, subscriptions and redemptions.
Brokerage fees for the nine months ended September 30, 2004 increased $216,615,
relative to the corresponding period in 2003.
The Partnership pays administrative expenses for legal, audit and accounting
services, up to 0.25 of 1% per annum of the Partnership's average month-end net
assets. Administrative expenses for the nine months ended September 30, 2004
increased $64,538 relative to the corresponding period in 2003. The increase was
attributable to an increase in the Partnership's average net assets during the
period ended September 30, 2004 relative to the corresponding period in 2003.
Interest income is derived from cash and U.S. Treasury instruments held at the
Partnership's brokers. Interest income for the nine months ended September 30,
2004 increased $140,984 relative to the corresponding period in 2003. This
increase was attributable to an increase in short-term Treasury yields and an
increase in the Partnership's average net assets during the nine months ended
September 30, 2004.
The Partnership experienced net realized and unrealized losses of $33,720,423
from its trading operations (including foreign exchange translations and
Treasury obligations). Brokerage fees of $4,077,289, administrative expenses of
$376,263, custody fees of $22,643 and accrued profit share allocation to the
General Partner of $30,718 were incurred. Interest income of $1,685,681
partially offset the Partnership's expenses resulting in a net loss of
$36,541,655. An analysis of the trading gain (loss) by sector is as follows:
% GAIN
SECTOR LOSS
------------------ -------------
Currencies (16.06)%
Energies 3.60 %
Grains 0.53 %
Interest rates 0.39 %
Metals (0.82)%
Softs 0.21 %
Stock indices (3.68)%
-------------
Total (15.83)%
-16-
MANAGEMENT DISCUSSION - 2005
- ----------------------------
THREE MONTHS ENDED SEPTEMBER 30, 2005
For the three month period ended September 30, 2005, the Partnership's Limited
Partners and Special Limited Partners posted gains, net of fees, of 6.66% and
7.85%, respectively. Strong profits from trading stock index and energy futures,
along with smaller gains from trading metal futures and cross currency
positions, keyed the quarterly advance. Interest rate trading was unprofitable
and to a lesser extent so were U.S. dollar trading against foreign currencies
and agricultural commodity trading.
Global stock markets advanced broadly during the quarter. Fourteen of the
fifteen long index positions registered gains. Asian, European, U.S., and South
African markets all moved higher. Japanese indices displayed the largest
increases as more evidence emerged of an end to Japan's long period of recession
and deflation.
Energy prices rose further, and became increasingly more volatile during the
period due to the interplay of hurricanes in the U.S., continuing Middle East
turmoil, growing demand from the emerging world, and uncertainties about the
growth dampening effects of the Federal Reserve's persistent interest rate
increases. As a result, long positions in crude, crude products and natural gas
were profitable.
Metal trading was fractionally profitable. Long positions in copper, gold, zinc
and platinum produced gains that outweighed losses from trading nickel, lead,
aluminum and silver.
Cross currency trading was also profitable in the quarter. Generally, long
positions in high interest rate currencies produced gains. Hence, long
Australian dollar, Canadian dollar and sterling positions relative to the yen,
and short euro positions relative to the Polish Zloty and Canadian dollar were
profitable. On the other hand, trading of the U.S. dollar against foreign
currencies was somewhat negative. There were gains from short dollar trades
against Canada, Brazil, and Japan, but these were overwhelmed by losses from
trading the dollar versus twelve other currencies.
Interest rates rose rather broadly as the Fed continued to raise the official
rate, as growth in emerging economies remained strong, as Japan showed signs of
exiting from its protracted slump, and as high prices for oil and commodities
induced inflation fears that periodically roiled markets. Therefore, long note
and bond positions for the U.S., Japan, Canada, Australia, Great Britain, and
Europe produced losses. Long positions in short-term interest rate futures in
Canada, Europe and the U. K. also had negative outcomes. On the other hand,
short positions in U.S. short rates were profitable.
Grain prices were volatile and grain trading was fractionally unprofitable. A
short cattle trade was unprofitable. Finally, the gain from a long sugar trade
offset the loss from a short cotton position.
-17-
THREE MONTHS ENDED JUNE 30, 2005
For the three month period ended June 30, 2005, the Partnership's Limited
Partners and Special Limited Partners posted gains, net of fees, of 2.28% and
3.15%, respectively. Interest rate trading was profitable. Currency and stock
index futures trading were essentially flat for the period, but did produced
good gains in May and June. On the other hand, trading of non-financial
markets--energy, metals, and soft and agricultural commodities resulted in
quarterly losses.
Long positions in European, British, Japanese, and Canadian note and bond
futures, were broadly profitable. Continuing sluggish growth on the Continent,
signs of slowing growth in the U.K., and even some reduction in China's still
strong expansion encouraged purchasers of fixed income futures. Moreover,
inflation worldwide, both actual and expected, appears well contained due in
large part to the seemingly endless supply of cheap productive labor available
in China, India, Eastern Europe and other emerging nations.
Long worldwide equity futures positions were maintained throughout the quarter.
Initially these positions generated losses, but in May and June widespread gains
brought the sector's performance back to unchanged. For the quarter overall,
long positions in European and South African stock index futures were quite
profitable, while trading of U.S. and Asian equity futures generated offsetting
losses.
Currency trading also produced mixed results. Non-dollar trading was
fractionally profitable, while dollar trading was similarly negative. Short euro
positions relative to the currencies of Canada, Sweden and Poland were
profitable. Unfavorable short-term interest rate differentials and increasing
concerns about Continental Europe's tepid growth prospects undermined the euro.
In addition, a long euro/short Swedish krona trade produced a gain as the
Swedish Riksbank cut its official interest rate below the European Central Bank
rate. Short Japanese yen positions against the Australian and Canadian
currencies were also quite profitable. Here too it appears that interest rate
differentials and relative growth contributed to the yen's weakness. Meanwhile,
trading of dollar positions was unprofitable. Short dollar positions relative to
the Korean, Australian and New Zealand units, and long dollar positions versus
the South African rand, euro, pound sterling and Japanese yen were not
profitable. On the other hand, short dollar positions against the Brazilian real
and Canadian dollar did produce gains.
Energy prices retreated in April and May, and losses on long positions in crude
and products were widespread, although prices recovered late in the quarter and
trimmed the losses noticeably.
Metals prices were volatile, and worries about slowing growth seemed to weigh on
the markets. Long positions in zinc, nickel, lead, copper, silver and gold
produced losses that outweighed slight gains from long platinum and short tin
trades. A short aluminum trade also lost money.
In agricultural trading, prices were volatile. Long positions throughout the soy
complex resulted in losses when improved weather news generated price declines.
Short corn and wheat trades also resulted in losses. Finally, short sugar, cocoa
and cotton positions were slightly unprofitable, as was a long coffee trade.
-18-
THREE MONTHS ENDED MARCH 31, 2005
For the three-month period ended March 31, 2005, the Partnership's Limited
Partners and Special Limited Partners had negative returns of 6.64% and 5.87%,
respectively. This period was characterized by significant price volatility in
most markets, including trend reversals in a number of currency and equity
futures.
After declining for several months, the dollar staged a significant rally and
losses were sustained on short dollar positions against the yen, South African
rand, Singapore dollar, euro and a number of other European currencies. Tepid
growth in the 12-nation euro zone, dovish comments from the European Central
Bank, and further rate increases from the Federal Reserve seemed to outweigh, at
least temporarily, the dollar depressing effect of concerns about central banks
sales of dollars to diversify reserve holdings.
Equity markets were also volatile during the quarter due to concerns about
higher interest rates in the U.S., sluggish economic activity in "Old Europe"
and the possibility of slower growth in Asia. Losses on long positions in U. S.
and Hong Kong index futures outweighed small gains from long positions in
European and Japanese indices.
A multi-year downtrend in grain prices reversed abruptly, and short positions in
corn, wheat, soybeans and soybean meal sustained large losses. Trading of other
agricultural commodities was also somewhat unprofitable.
In the interest rate sector, higher short-term rates in the U.S. produced a
sizable gain on a short Eurodollar futures trade. Meanwhile, global long-term
interest rates declined but with a good deal of volatility. Hence, positions in
notes and bonds had little net impact on NAV.
Energy prices were quite volatile but maintained an upward momentum during the
quarter. Consequently, long crude, heating oil, kerosene, and London gasoil
positions were profitable. Natural gas trading, on the other hand, produced a
small loss.
MANAGEMENT DISCUSSION - 2004
- ----------------------------
THREE MONTHS ENDED SEPTEMBER 30, 2004
Trading of financial futures--currencies, interest rates and stock indices--was
broadly unprofitable, and gains from non-financial futures trading--energy,
metals, and agricultural--offset only a portion of those losses.
Trading of financial markets was treacherous during the quarter, particularly in
July and August. Most of the financial markets in the program were mired in
broad ranges with unhelpful volatility and little net direction. These
conditions reflected uncertainty concerning developments in Iraq, the outcome of
the U.S. elections, the strength of the U. S. economy, and China's ability to
slow its economy without damage to the world economy. Market expectations about
the U.S. dollar vacillated from weak to strong to neutral to weak during the
three months under review. As a result, currency trading was broadly
unprofitable, with the largest losses registered in dollar/yen and dollar/euro.
With this much uncertainty roiling equity markets, losses were produced on long
and short positions for German, U.S. and Japanese stock index futures. The
exception in this sector was a long position in the Hong Kong Hang Seng index
which was profitable.
-19-
Interest rate futures were also buffeted by the aforementioned uncertainties,
resulting in overall losses for the sector. Long positions in U.S. notes and
German bonds were profitable, however.
In contrast to the financial markets, energy markets displayed rather persistent
and strong trends over the summer. Growing worldwide demand, spurred on
especially by China, coupled with worries about supplies from Venezuela,
Nigeria, and Iraq, and hurricane disruptions near the U.S., kept petroleum and
petroleum product prices on the upswing. As a result, long positions in crude
oil, heating oil and London gasoil were profitable. A short natural gas position
was slightly profitable as well.
Elsewhere, a long copper position, and short corn and cotton positions were
profitable, and outweighed losses from a long gold position and trading of
coffee.
THREE MONTHS ENDED JUNE 30, 2004
The Partnership's net asset value fell sharply during the quarter. Trend
reversals followed by non-directional and volatile range-trading characterized a
broad spread of markets during the period. As a result sizable losses were
sustained in five of the six sectors in the portfolio: interest rates,
currencies, stock indices, and agricultural commodities. Energy was moderately
profitable for the quarter, but even there an uptrend seemed to peter out near
the end of the quarter.
Surprisingly strong U.S. employment reports beginning in April, and official
moves in China to slow its booming economy caused abrupt price trend reversals
in most of the markets comprising our portfolio. For example, as the quarter
began, the portfolio held long positions across a broad range of US and European
interest rate futures. These positions had been quite profitable in prior weeks
and reflected declining interest rate trends that were in large measure a
response to the so-called "jobless recovery" in the U.S. However, in the wake of
strong employment data, interest rates rose sharply worldwide and bond market
sentiment seemed to turn negative on a dime. As a result, the portfolio
sustained sizable losses on its long bond futures positions. Thereafter,
interest rates vacillated and failed to sustain a trend.
At the start of the period, the portfolio also held long positions in a number
of Asian currencies including, the yen, Korean won and Singapore dollar. Long
commodity currency positions (Australian dollar, New Zealand dollar, and South
African rand) were also held in the portfolio. Market participants, intuiting
that any slowdown in Chinese growth would be negative for Asia and for
industrial commodities, sold the Asian and commodity currencies, producing
declines. Once again, subsequent trading in the quarter was largely
non-directional. Gold and copper prices, which were trending upward early in the
year, fell markedly due to the altered growth prospects in China and in the wake
of a strengthening US currency, resulting in losses from long positions.
Stock markets were also unsettled by the changing prospects for growth, interest
rates and monetary policies throughout the world. Hence, trading in German,
U.S., and Hong Kong index futures resulted in losses.
An upward trend in energy prices led to gains from long positions in unleaded
gasoline, London gas oil, crude oil, and heating oil. Natural gas, on the other
hand, was quite volatile and produced a loss for the quarter.
Finally, with volatility in corn prices, losses were registered on both long and
short positions.
-20-
THREE MONTHS ENDED MARCH 31, 2004
A large profit derived from trading interest rate futures combined with small
gains from stock index, energy, metals and agricultural commodity futures
trading more than outweighed a sizable loss that was produced trading in foreign
exchange markets.
Long positions in U.S., European and Japanese interest rate futures were
profitable as questions about the strength and sustainability of U.S. growth,
given the lack of employment expansion, speculation about a possible European
Central Bank rate cut to spur lagging economic activity, and persistent
purchases of U.S. Treasurys by Asian Central Banks following massive foreign
exchange intervention pushed rates lower across the maturity spectrum.
Low interest rates and an improving economic environment provided some lift to
Japanese stock markets, and long positions in the NIKKEI and TOPIX index futures
were profitable. On the other hand, political uncertainties in Hong Kong and
growth concerns in Germany produced marginal losses on stock futures trades for
those two countries.
In the energy sector, a long position in unleaded gasoline and a long position
in crude oil were marginally profitable, while long heating oil, London gas oil
and natural gas positions generated small losses.
A long copper position, benefiting from the China inspired global demand for
base metals, was profitable, while a long gold position lost marginally.
Increased worldwide demand for grains led to rising corn prices and a gain on a
long corn position.
On the other hand, trading of foreign exchange rates, which were volatile but
non-directional for much of the period, generated sizable losses. Hence, aside
from modest gains from long positions in commodity currencies (Australian and
New Zealand dollars), a long sterling position relative to the Euro, and a long
Euro trade against the Norwegian Krone, losses on the Partnership's currency
positions were widespread.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Value at Risk is a measure of the maximum amount which the Partnership could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Partnership's speculative trading and the occurrence in
the markets traded by the Partnership of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated or the Partnership's experience to date (i.e., "risk of ruin"). In
light of the foregoing as well as the risks and uncertainties intrinsic to all
future projections, the inclusion of the quantification included in this section
should not be considered to constitute any assurance or representation that the
Partnership's losses in any market sector will be limited to Value at Risk or by
the Partnership's attempts to manage its market risk.
Materiality, as used in this section "Quantitative and Qualitative Disclosures
About Market Risk," is based on an assessment of reasonably possible market
movements and the potential losses caused by such movements, taking into account
the leverage, optionality and multiplier features of the Partnership's market
sensitive instruments.
-21-
QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK
QUANTITATIVE FORWARD-LOOKING STATEMENTS
The following quantitative disclosures regarding the Partnership's market risk
exposures contain "forward-looking statements" within the meaning of the safe
harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act and Section 21E of the Securities Exchange Act of 1934). All
quantitative disclosures in this section are deemed to be forward-looking
statements for purposes of the safe harbor, except for statements of historical
fact.
The Partnership's risk exposure in the various market sectors traded by the
General Partner is quantified below in terms of Value at Risk. Due to the
Partnership's mark-to-market accounting, any loss in the fair value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized or unrealized) and cash flow (at least in the case of exchange-traded
contracts in which profits and losses on open positions are settled daily
through variation margin).
Exchange maintenance margin requirements have been used by the Partnership as
the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair
value of any given contract incurred during the time period over which
historical price fluctuations are researched for purposes of establishing margin
levels. The maintenance margin levels are established by dealers and exchanges
using historical price studies as well as an assessment of current market
volatility (including the implied volatility of the options on a given futures
contract) and economic fundamentals to provide a probabilistic estimate of the
maximum expected near-term one-day price fluctuation.
In the case of market sensitive instruments which are not exchange traded
(almost exclusively currencies in the case of the Partnership), dealers' margins
have been used as Value at Risk.
The fair value of the Partnership's futures and forward positions does not have
any optionality component. However, the General Partner may also trade commodity
options on behalf of the Partnership. The Value at Risk associated with options
would be reflected in the margin requirement attributable to the instrument
underlying each option.
In quantifying the Partnership's Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Partnership's
positions are rarely, if ever, 100% positively correlated have not been
reflected.
In the case of contracts denominated in foreign currencies, the Value at Risk
figures include foreign margin amounts converted into U.S. Dollars.
-22-
THE PARTNERSHIP'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS
- -------------------------------------------------------------------
The following table indicates the average, highest and lowest amounts of trading
Value at Risk associated with the Partnership's open positions by market
category for each quarter-end during the period ended September 30, 2005. During
the nine months ended September 30, 2005, the Partnership's average total
capitalization was approximately $169,685,000.
Average Highest Lowest
Value % of Average Value Value
Market Sector at Risk Capitalization at Risk at Risk
- --------------------------------------------------------------------------------
Currencies $ 21.5 12.7% $ 25.2 $ 18.2
Energies 1.5 0.9% 1.7 1.3
Grains 0.4 0.2% 0.5 0.2
Interest rates 5.4 3.2% 6.4 4.4
Livestock 0.1 0.1% 0.2 0.1
Metals 1.8 1.1% 1.9 1.8
Softs 0.9 0.5% 1.4 0.5
Stock indices 9.4 5.5% 11.0 7.7
Total $ 41.0 24.2%
Average, highest and lowest Value at Risk amounts relate to the quarter-end
amounts for the nine months ended September 30, 2005. Average capitalization is
the average of the Partnership's capitalization at the end of each of the nine
months ended September 30, 2005. Dollar amounts represent millions of dollars.
ITEM 4. CONTROLS AND PROCEDURES
Millburn Ridgefield Corporation, the General Partner of the Partnership, with
the participation of the General Partner's Co-Chief Executive Officers and Chief
Financial Officer, has evaluated the effectiveness of the design and operation
of its disclosure controls and procedures with respect to the Partnership 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 significant changes in the General Partner's internal
controls with respect to the Partnership or in other factors applicable to the
Partnership that could materially affect these controls subsequent to the date
of their evaluation.
PART II. OTHER INFORMATION
ITEM 1. Legal Proceedings - None
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
(c) Pursuant to the Partnership's Declaration of Partnership and Partnership
Agreement, investors may redeem their Interests at the end of each calendar
month at the then current month-end Net Asset Value. The redemption of Interests
has no impact on the value of Interests that remain outstanding, and Interests
are not reissued once redeemed.
-23-
The following table summarizes Interests redeemed during the three months ended
September 30, 2005:
SPECIAL
DATE OF LIMITED LIMITED
WITHDRAWAL PARTNERS PARTNERS TOTAL
- ------------------------------------------------------------------------
July 31, 2005 $ (829,419) $ -- $ (829,419)
August 31, 2005 (2,313,149) -- (2,313,149)
September 30, 2005 (5,244,325) (20,330) (5,264,655)
---------------------------------------------
TOTAL $(8,386,893) $ (20,330) $(8,407,223)
=============================================
ITEM 3. Defaults Upon Senior Securities - None
ITEM 4. Submission of Matters to a Vote of Security Holders - None
ITEM 5. Other Information - None
ITEM 6. (a) Exhibits -
The following exhibits are incorporated by reference from the exhibit of the
same number and description filed with the Partnership's Registration Statement
(file # 000-50725) filed on April 29, 2004 on Form 10 under the Securities Act
of 1934 and declared effective June 28, 2004.
3.01 Amended and Restated Certificate of Limited Partnership of Nestor
Partners
3.02 Amended and Restated Agreement of Limited Partnership of Nestor
Partners
10.01 Acknowledgement of Separate Risk Disclosure Statements and Customer
Agreement between Merrill Lynch Futures Inc. and Nestor Partners
10.02 Customer Agreement between Warburg Dillon Reed LLC and Nestor Partners
10.03 Futures and Options Agreement for Institutional Customers between
Deutsche Morgan Grenfell Inc. and Nestor Partners
10.04 Form of Selling Agreement
The following exhibits are included herewith:
31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive
Officer
31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive
Officer
31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer
32.01 Section 1350 Certification of Co-Chief Executive Officer
32.02 Section 1350 Certification of Co-Chief Executive Officer
32.03 Section 1350 Certification of Chief Financial Officer
-24-
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.
By: Millburn Ridgefield Corporation,
General Partner
Date: November 11, 2005
/s/ TOD A. TANIS
-----------------
Tod A. Tanis
Vice-President
(principal accounting officer)
-25-