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Units.
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(b)20202021 was $83,639,436.
$127,910,424.
Risks Relating to our Business 1. 2. 3. 4.
Theentertainment), resulting in volatility in the global financial markets, disruption in global supply chains, increased unemployment, and operational challenges such as the temporary and permanent closures of businesses,
The rapidcontinuing development of this situation, precludes any prediction asit is not possible to accurately predict how the ultimate adversemarket disruptions caused by
2017, 2016, 2015 and 2014.2017. In addition, MS&Co. annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at
On February 25, 2015, MS&Co. reached an agreement in principle with the United States Department of Justice, Civil Division and the United States Attorney’s Office for the Northern District of California, Civil Division (collectively, the “Civil Division”) to pay $2.6 billion to resolve certain claims that the Civil Division indicated it intended to bring against MS&Co. That settlement was finalized on February 10, 2016.
In October 2014, the Illinois Attorney General’s Office (“ILAG”) sent a letter to MS&Co. alleging that MS&Co. knowingly made misrepresentations related to RMBS purchased by certain pension funds affiliated with the State of Illinois and demanding that MS&Co. pay ILAG approximately $88 million. MS&Co. and ILAG reached an agreement to resolve the matter on February 10, 2016.
On January 13, 2015, the New York Attorney General’s Office (“NYAG”), which is also a member of the RMBS Working Group, indicated that it intended to file a lawsuit related to approximately 30 subprime securitizations sponsored by MS&Co. NYAG indicated that the lawsuit would allege that MS&Co. misrepresented or omitted material information related to the due diligence, underwriting and valuation of the loans in the securitizations and the properties securing them and indicated that its lawsuit would be brought under the Martin Act. MS&Co. and NYAG reached an agreement to resolve the matter on February 10, 2016.
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On April 21, 2015, the Chicago Board Options Exchange, Incorporated (CBOE) and the CBOE Futures Exchange, LLC (CFE) filed statements of charges against MS&Co. in connection with trading by one of MS&Co.’s former traders of EEM options contracts that allegedly disrupted the final settlement price of the November 2012 VXEM futures. CBOE alleged that MS&Co. violated CBOE Rules 4.1, 4.2 and 4.7, Sections 9(a) and 10(b) of the Exchange Act and Rule 10b-5 thereunder. CFE alleged that MS&Co. violated CFE Rules 608, 609 and 620. The matters were resolved on July 12, 2016 and June 28, 2016, respectively, without any findings of fraud. Pursuant to the settlements, MS&Co. was required to pay a $750,000 penalty to the CBOE (for which MS&Co. and an individual were jointly and severally liable) and a $400,000 penalty to the CFE (for which MS&Co. and an individual were jointly and severally liable) and $152,664 in disgorgement.
On August 6, 2015, MS&Co. consented to and became the subject of an order by the CFTC to resolve allegations that MS&Co. violated CFTC Regulation 22.9(a) by failing to hold sufficient U.S. Dollars in cleared swap segregated accounts in the United States to meet all U.S. Dollar obligations to cleared swaps customers. Specifically, the CFTC found that while MS&Co. at all times held sufficient funds in segregation to cover its obligations to its customers, on certain days during 2013 and 2014, it held currencies, such as euros, instead of US dollars, to meet its U.S. dollar obligations. In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to have in place adequate procedures to ensure that it complied with CFTC Regulation 22.9(a). Without admitting or denying the findings or conclusions and without adjudication of any issue of law or fact, MS&Co. accepted and consented to the entry of findings, the imposition of a cease and desist order, a civil monetary penalty of $300,000, and undertakings related to public statements, cooperation, and payment of the monetary penalty.
On December 20, 2016, MS&Co. consented to and became the subject of an order by the SEC in connection with allegations that MS&Co. willfully violated Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3(e), 17a-5(a), and 17a-5(d) thereunder, by inaccurately calculating its Reserve Account requirement under Rule 15c3-3 by including margin loans to an affiliate in its calculations, which resulted in making inaccurate records and submitting inaccurate reports to the SEC. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. consented to a cease and desist order, a censure, and a civil monetary penalty of $7.5 million.
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On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co., styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint relates to a $275 million CDS referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that MS&Co. misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Co. knew that the assets backing the CDO were of poor quality when it entered into the CDS with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the CDS, rescission of CDIB’s obligation to pay an additional $12 million, punitive damages, equitable relief, pre- and post-judgment interest, fees and costs. On February 28, 2011, the court denied MS&Co.’s motion to dismiss the complaint. On December 21, 2018, the court denied MS&Co.’s motion for summary judgment and granted in part MS&Co.’s motion for sanctions related to the spoliation of evidence. On January 18, 2019, CDIB filed a motion to clarify and resettle the portion of the court’s December 21, 2018 order granting spoliation sanctions. On January 24, 2019, CDIB filed a notice of appeal from the court’s December 21, 2018 order, and MS&Co. filed a notice of appeal from the same order. On March 7, 2019, the court denied the relief sought by CDIB in its January 18, 2019 motion. On May 21, 2020, the Appellate Division, First Department (“First Department”), modified the Supreme Court of NY’s order to deny MS&Co.’s motion for sanctions relating to spoliation of evidence and otherwise affirmed the denial of MS&Co.’s motion for summary judgment. On June 19, 2020, MS&Co. moved for leave to appeal the First Department’s decision to the New York Court of Appeals (“Court of Appeals”), which the First Department denied on July 24, 2020. Based on currently available information, MS&Co. believes it could incur a loss in this action of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against MS&Co. and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleges that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by MS&Co. at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiff’s purchase of such certificates. The defendants filed a motion to dismiss the corrected amended complaint on May 27, 2011, which was denied on September 19, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. On January 18, 2017, the court entered an order dismissing all claims related to an additional securitization at issue. After those dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $65 million. At December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $35 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $35 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
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Settled A decision on plaintiffs’ motion for class certification is pending.
On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al. An amended complaint, filed on June 10, 2010, alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $276 million. The complaint raised claims under both the federal securities laws and California law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On December 21, 2016, the parties reached an agreement to settle the litigation.
On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Superior Court of the State of New Jersey, styled The Prudential Insurance Company of America, et al. v. Morgan Stanley, et al. On October 16, 2012, plaintiffs filed an amended complaint. The amended complaint alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. was approximately $1.073 billion. The amended complaint raised claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud, fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey RICO statute, and includes a claim for treble damages. On January 8, 2016, the parties reached an agreement to settle the litigation.
On September 23, 2013, the plaintiff in National Credit Union Administration Board v. Morgan Stanley & Co. Inc., et al. filed a complaint against MS&Co. and certain affiliates in the SDNY. The complaint alleged that defendants made untrue statements of material fact or omitted to state material facts in the sale to the plaintiff of certain mortgage pass-through certificates issued by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiffs in the matter was approximately $417 million. The complaint alleged violations of federal and various state securities laws and sought, among other things, rescissionary and compensatory damages. On November 23, 2015, the parties reached an agreement to settle the matter.
On September 16, 2014, the Virginia Attorney General’s Office filed a civil lawsuit, styled Commonwealth of Virginia ex rel. Integra REC LLC v. Barclays Capital Inc., et al., against MS&Co. and several other defendants in the Circuit Court of the City of Richmond related to RMBS. The lawsuit alleged that MS&Co. and the other defendants knowingly made misrepresentations and omissions related to the loans backing RMBS purchased by the Virginia Retirement System. The complaint asserted claims under the Virginia Fraud Against Taxpayers Act, as well as common law claims of actual and constructive fraud, and sought, among other things, treble damages and civil penalties. On January 6, 2016, the parties reached an agreement to settle the litigation. An order dismissing the action with prejudice was entered on January 28, 2016.
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On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. and other defendants in the Superior Court of the Commonwealth of Massachusetts styled
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Period | Class A (a) Total Purchased * | Class A (b) Average Price Paid per Redeemable Unit ** | (c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet be Plans or Programs | ||||||||||||||
October 1, 2020 - October 31, 2020 | 214.1360 | $ | 1,511.38 | N/A | N/A | |||||||||||||
November 1, 2020 - November 30, 2020 | 223.6990 | $ | 1,470.72 | N/A | N/A | |||||||||||||
December 1, 2020 - December 31, 2020 | 884.9770 | $ | 1,451.82 | N/A | N/A | |||||||||||||
1,322.8120 | $ | 1,464.66 |
Period | Class A (a) Total Number of Redeemable Units Purchased* | Class A (b) Average Price Paid per Redeemable Unit ** | (c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet be Purchased Under the Plans or Programs | ||||||||||||
October 1, 2021 - October 31, 2021 | 223.8300 | $ | 2,204.05 | N/A | N/A | |||||||||||
November 1, 2021 - November 30, 2021 | 379.3450 | $ | 2,246.73 | N/A | N/A | |||||||||||
December 1, 2021 - December 31, 2021 | 548.3860 | $ | 2,290.21 | N/A | N/A | |||||||||||
1,151.5610 | $ | 2,259.14 |
* | Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners. |
** | Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions. |
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Advisor | December 31, 2020 | December 31, 2020 (percentage of Partners’ Capital) | September 30, 2020 | September 30, 2020 (percentage of Partners’ Capital) | ||||||||||||
Millburn | $ | 26,515,021 | 32% | $ | 26,834,779 | 32% | ||||||||||
Ospraie | 19,078,857 | 23% | 21,622,184 | 25% | ||||||||||||
Aquantum | - | 0% | 9,123,204 | 11% | ||||||||||||
Pan | 19,438,951 | 23% | 24,224,733 | 28% | ||||||||||||
Northlander | 2,671,288 | 3% | 3,471,196 | 4% | ||||||||||||
Geosol | 15,935,319 | 19% | - | 0% |
Advisor | December 31, 2021 | December 31, 2021 (percentage of Partners’ Capital) | September 30, 2021 | September 30, 2021 (percentage of Partners’ Capital) | ||||||||||||
Millburn | $ | 28,587,320 | 22% | $ | 28,913,235 | 24% | ||||||||||
Ospraie | 28,131,705 | 22% | 26,911,501 | 22% | ||||||||||||
Pan | 25,139,538 | 20% | 20,942,190 | 17% | ||||||||||||
Northlander | 11,684,330 | 9% | 11,603,387 | 9% | ||||||||||||
Geosol | 20,926,427 | 16% | 21,401,340 | 18% | ||||||||||||
Unallocated | 13,441,104 | 11% | 12,113,462 | 10% |
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•Ensemble of Three Sub-Programs: The Aventis Diversified Commodity Strategy was based on an ensemble of three discretionary sub-programs: spreads, directional and short term trading. This type of trading was based primarily on the fundamentals of the market (i.e., changes in supply or demand of a commodity). It also included supply and demand of the pit (i.e., discovery of over bought and over sold conditions).•Spread Trading: Approximately 60% of trading activity was based on calendar, intra-market and inter-market spreads. Intra-market spreads are where one is simultaneously long and short different delivery months of the same contract (i.e., long April Live Cattle versus short June Live Cattle). Inter-market spreads are where one is long one contract and simultaneously short a completely different contract (i.e., long December Natural Gas and short December Crude Oil).•Directional Trading: Approximately 35% of the strategy was directional in nature utilizing outright and spread positions.•Short Term Trading: Approximately 5% of the strategy was involved in short term trading.•Markets Followed: The Aventis Diversified Commodity Strategy traded on behalf of the Partnership in the following markets, among others: grains, currencies, energies, softs, meats and metals.•Risk Management: Effective risk management was also a crucial aspect of the program. Account size, expectation, volatility of markets traded and the nature of other positions taken were all factors in deciding whether to take a position and determining the amount of equity committed to that position. (spreads,29
GSL Master *
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NL Master
Energy | % | |||||
NL Master | ||||||
Energy | 100 | % |
(a) Liquidity.
(a) | Liquidity . |
2021.
(i) | The Partnership/Funds invest their assets only in commodity interests that the Advisors believe are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisors believe will permit them to enter and exit trades without noticeably moving the market. |
(ii) | An Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66 2/3% of the Partnership’s net assets allocated to such Advisor. |
(iii) | The Partnership/Funds may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged. |
(iv) | The Partnership/Funds do not employ the trading technique commonly known as “pyramiding,” in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities. |
(v) | The Partnership/Funds do not utilize borrowings other than short-term borrowings if the Partnership/Funds take delivery of any cash commodities. |
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(vi) | The Advisors may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership/Funds. The terms “spread” and “straddle” describe commodity futures trading strategies involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets. |
(vii) | The Partnership/Funds will not permit the churning of their commodity trading accounts. The term “churning” refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income. |
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(i) | The Partnership has made no material commitments for capital expenditures. |
(ii) | The Partnership’s capital consists of the capital contributions of the partners, as increased or decreased by net income or losses on trading and by expenses, interest income, subscriptions and redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market movements in commodities are dependent upon fundamental and technical factors which the Advisors may or may not be able to identify, such as changing supply and demand relationships, pandemics, epidemics and other health crises, weather, government, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. Partnership expenses consist of, among other things, clearing fees, ongoing selling agent fees, management fees and General Partner fees. The level of these expenses is dependent upon trading performance and the level of net assets maintained. In addition, the amount of interest income earned by the Partnership is dependent upon (1) the average daily equity maintained in cash in the Partnership’s and/or applicable Funds’ accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds or MS&Co. has control. |
$325,000. For the year ended December 31, 2020, there were subscriptions of 1,834.1890 Class A Redeemable Units totaling $2,670,643 and 224.5500 Class Z Redeemable Units totaling $260,760. For the year ended December 31, 2019, there were subscriptions of 39,975.1700 Class A Redeemable Units totaling $52,019,698, 99.2020 Class Z Redeemable Units totaling $100,000 and 671.4640 Class Z General Partner Redeemable Units totaling $680,750.
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(c) Results of Operations.
Unit increased 57.7% from $1,151.27 to $1,816.10. For the year ended December 31, 2021, the net asset value per Class Z Redeemable Unit increased 59.0% from $1,172.43 to $1,864.35. For the year ended December 31, 2020, the net asset value per Class A Redeemable Unit increased 8.0% from $1,344.11 to $1,451.82. For the year ended December 31, 2020, the net asset value per Class D Redeemable Unit increased 8.8% from $1,057.77 to $1,151.27. For the year ended December 31, 2020, the net asset value per Class Z Redeemable Unit increased 9.7% from $1,069.04 to $1,172.43. For the year ended December 31, 2019, the net asset value per Class A Redeemable Unit increased 3.3% from $1,300.66 to $1,344.11. For the year ended December 31, 2019, the net asset value per Class D Redeemable Unit increased 4.7% from $1,010.75 to $1,057.77. For the year ended December 31, 2019, the net asset value per Class Z Redeemable Unit increased 5.4% from $1,013.83 to $1,069.04. For
positions in coffee futures.
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The Partnership experienced a net trading gain before fees and expenses for the year ended December 31, 2019 of $8,682,432. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, metals and softs and were partially offset by losses in livestock.
During the first quarter of 2019, the most notable gains were recorded during February and March from long futures positions in Brent crude oil and oil distillates as prices advanced amid signs of tightening global crude supply and strong U.S. demand for distillate products. In the livestock markets, gains were achieved during February and March from long positions in lean hog futures as prices increased amid a rise in U.S. exports as the African swine virus diminished global supplies. Gains within the metals complex were experienced during January and February from long positions in industrial metals futures as prices rebounded amid a decrease in the relative value of the U.S. dollar and optimism of U.S. trade negotiations with China. In the grains sector, smaller gains were achieved throughout the first quarter from positions in corn and wheat. The Partnership’s overall trading gains for the first quarter were partially offset by trading losses within the soft commodities sector primarily during March from long positions in coffee futures positions as prices decreased due to ample supplies.
During the second quarter of 2019, the most notable losses were recorded in livestock markets during May and June from long positions in lean hogs futures as prices dropped amid dampened concerns regarding the African swine flu’s effect on supply. Losses within the energy complex were incurred in May from long positions in Brent crude oil and oil distillates as prices suffered amid trade tensions and rising stockpiles. Additional losses in this sector were incurred during June from short positions in natural gas as prices spiked after forecasts of U.S. temperatures rose, increasing the potential of higher electricity demand. Smaller losses were incurred in the metals complex during June from short gold futures positions as prices benefited from weakness in the U.S. dollar and speculation of looser monetary policy globally. The Partnership’s overall trading losses for the second quarter were partially offset by trading gains within the soft commodities sector primarily during May from long coffee positions as prices surged on concern that wet weather could delay the harvest or erode bean quality in Brazil, the world’s top coffee bean grower.
During the third quarter of 2019, the most notable losses were recorded in livestock markets during July and September from long and short positions in lean hogs as prices whipsawed as investors wrestled with demand, the U.S.-Chinese trade war, and a swine flu epidemic. Losses within the metals complex were incurred during August from short positions in nickel futures as prices soared amid concerns that Indonesia may bring forward a ban on nickel exports. The Partnership’s overall trading losses for the third quarter were partially offset by trading gains within the soft commodities sector primarily during September from long coffee futures positions as prices increased as hot, dry weather in Brazil’s coffee region threatened to stunt crop bloom. Gains were also achieved within the energy complex, during the first half of September, from long natural gas futures positions as a late summer heat stoked power-plant demand, pushing prices higher. Additional gains were recorded during September from long crude oil futures positions. Within the grains market, gains were experienced during July from short positions in corn futures as better growing conditions and U.S. dollar strength pressured market prices lower.
During the fourth quarter of 2019, the most notable gains were recorded within the energy complex throughout the quarter from tactical long and short positioning in natural gas futures as prices fluctuated with U.S. temperatures and natural gas storage levels. Within the metals complex, gains were achieved during November from short precious metals positions as prices fell amid easing of geopolitical tensions. Within the grain markets, gains were experienced during November from short positions in soybeans and corn as prices fell due to weak demand for U.S. exports and positive growing conditions in South America. Within the soft commodity markets, gains were experienced during the second half of October from long coffee futures positions as prices increased amid unrest in North-West Cameroon’s coffee growing region. The Partnership’s overall trading gains for the fourth quarter were partially offset by trading losses within the livestock markets during November from long positions in lean hogs futures as prices fell amid supply demand uncertainty caused by the U.S.-China trade talks.
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2020.
2021.
2020.
2020.
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2020.
Market Sector | Value at Risk | % of Total Capitalization �� | ||||||
Currencies | $ | 94,600 | 0.08 | % | ||||
Energy | 6,985,797 | 5.46 | ||||||
Grains | 470,493 | 0.37 | ||||||
Livestock | 81,180 | 0.06 | ||||||
Metals | 910,596 | 0.71 | ||||||
Softs | 844,031 | 0.66 | ||||||
Total | $ | 9,386,697 | 7.34 | % | ||||
December 31, 2020 | ||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | ||||||||||
Currencies | $ | 2,970 | 0.00 | * | % | |||||||
Energy | 5,401,797 | 6.46 | ||||||||||
Grains | 836,546 | 1.00 | ||||||||||
Livestock | 92,931 | 0.11 | ||||||||||
Metals | 1,778,095 | 2.13 | ||||||||||
Softs | 454,271 | 0.54 | ||||||||||
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Total | $ | 8,566,610 | 10.24 | % | ||||||||
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Market Sector | Value at Risk | % of Total Capitalization | ||||||
Currencies | $ | 2,970 | 0.00 | * % | ||||
Energy | 5,401,797 | 6.46 | ||||||
Grains | 836,546 | 1.00 | ||||||
Livestock | 92,931 | 0.11 | ||||||
Metals | 1,778,095 | 2.13 | ||||||
Softs | 454,271 | 0.54 | ||||||
Total | $ | 8,566,610 | 10.24 | % | ||||
* | Due to rounding. |
The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2019. As of December 31, 2019, the Partnership’s total capitalization was $91,893,284.
December 31, 2019 | ||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | ||||||||||
Energy | $ | 4,297,296 | 4.68 | % | ||||||||
Grains | 491,840 | 0.53 | ||||||||||
Livestock | 243,586 | 0.26 | ||||||||||
Metals | 841,069 | 0.92 | ||||||||||
Softs | 354,990 | 0.39 | ||||||||||
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Total | $ | 6,228,781 | 6.78 | % | ||||||||
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December 31, 2020
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Twelve Months Ended December 31, 2020 | ||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk * | |||||||||||||||||||||||
Currencies | $ | 2,970 | 0.00 | ** % | $ | 187,110 | $ | - | $ | 67,616 | ||||||||||||||||||
Energy | 4,858,983 | 5.81 | 7,529,589 | 2,795,788 | 4,664,387 | |||||||||||||||||||||||
Grains | 836,546 | 1.00 | 909,093 | 224,559 | 538,914 | |||||||||||||||||||||||
Livestock | 92,931 | 0.11 | 2,310,147 | 34,155 | 471,662 | |||||||||||||||||||||||
Metals | 1,778,095 | 2.13 | 4,154,439 | 772,122 | 2,042,098 | |||||||||||||||||||||||
Softs | 454,271 | 0.54 | 2,102,795 | 283,943 | 947,726 | |||||||||||||||||||||||
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Total | $ | 8,023,796 | 9.59 | % | ||||||||||||||||||||||||
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Twelve Months Ended December 31, 2021 | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk * | |||||||||||||||
Currencies | $ | 94,600 | 0.07 | % | $ | 122,815 | $ | - | $ | 34,894 | ||||||||||
Energy | 5,371,868 | 4.20 | 7,462,084 | 1,836,386 | 3,525,980 | |||||||||||||||
Grains | 470,493 | 0.37 | 1,842,907 | 301,478 | 946,454 | |||||||||||||||
Livestock | 81,180 | 0.06 | 748,599 | 32,615 | 234,921 | |||||||||||||||
Metals | 910,596 | 0.71 | 2,702,004 | 357,295 | 1,494,999 | |||||||||||||||
Softs | 844,031 | 0.66 | 1,213,593 | 266,446 | 770,096 | |||||||||||||||
Total | $ | 7,772,768 | 6.07 | % | ||||||||||||||||
* | Annual average of daily Values at Risk. |
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December 31, 2019
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Twelve Months Ended December 31, 2019 | ||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High | Low | Average Value at Risk * | |||||||||||||||||||||||
Energy | $ | 3,787,513 | 4.12 | % | $ | 6,862,028 | $ | 1,785,115 | $ | 3,660,802 | ||||||||||||||||||
Grains | 491,840 | 0.54 | 1,155,704 | 110,693 | 653,440 | |||||||||||||||||||||||
Livestock | 82,060 | 0.09 | 2,177,333 | 47,850 | 680,893 | |||||||||||||||||||||||
Metals | 841,069 | 0.92 | 4,134,491 | 357,863 | 1,604,503 | |||||||||||||||||||||||
Softs | 335,111 | 0.36 | 2,302,157 | 190,851 | 1,135,043 | |||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Total | $ | 5,537,593 | 6.03 | % | ||||||||||||||||||||||||
|
|
|
|
Twelve Months Ended December 31, 2020 | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk * | |||||||||||||||
Currencies | $ | 2,970 | 0.00 | ** % | $ | 187,110 | $ | - | $ | 67,616 | ||||||||||
Energy | 4,858,983 | 5.81 | 7,529,589 | 2,795,788 | 4,664,387 | |||||||||||||||
Grains | 836,546 | 1.00 | 909,093 | 224,559 | 538,914 | |||||||||||||||
Livestock | 92,931 | 0.11 | 2,310,147 | 34,155 | 471,662 | |||||||||||||||
Metals | 1,778,095 | 2.13 | 4,154,439 | 772,122 | 2,042,098 | |||||||||||||||
Softs | 454,271 | 0.54 | 2,102,795 | 283,943 | 947,726 | |||||||||||||||
Total | $ | 8,023,796 | 9.59 | % | ||||||||||||||||
* | Annual average of daily Values at Risk. |
** | Due to rounding. |
Twelve Months Ended December 31, 2021 | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk * | |||||||||||||||
Energy | $ | 252,733 | 1.21 | % | $ | 4,098,617 | $ | - | $ | 564,146 | ||||||||||
Total | $ | 252,733 | 1.21 | % | ||||||||||||||||
December 31, 2020 | ||||||||||||||||||||||||||||||||||||
Twelve Months Ended December 31, 2020 * | ||||||||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk ** | |||||||||||||||||||||||||||||||
Energy | $ | 249,003 | 1.73 | % | $ | 500,744 | $ | 27,781 | $ | 213,814 | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Total | $ | 249,003 | 1.73 | % | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
40
Twelve Months Ended December 31, 2020 * | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk ** | |||||||||||||||
Energy | $ | 249,003 | 1.73 | % | $ | 500,744 | $ | 27,781 | $ | 213,814 | ||||||||||
Total | $ | 249,003 | 1.73 | % | ||||||||||||||||
Twelve Months Ended December 31, 2021 | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk * | |||||||||||||||
Energy | $ | 5,235,369 | 12.39 | % | $ | 12,881,816 | $ | 670,621 | $ | 3,221,401 | ||||||||||
Total | $ | 5,235,369 | 12.39 | % | ||||||||||||||||
December 31, 2020
| ||||||||||||||||||||||||||||
Twelve Months Ended December 31, 2020 | ||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk * | |||||||||||||||||||||||
Energy | $ | 1,579,543 | 11.02 | % | $ | 1,579,543 | $ | 74,383 | $ | 443,187 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Total | $ | 1,579,543 | 11.02 | % | ||||||||||||||||||||||||
|
|
|
|
|
As of December 31, 2019, NL Master’s total capitalization was $21,701,870, and the Partnership owned approximately 20.4% of NL Master. As of December 31, 2019, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to NL Master for trading) was as follows:
December 31, 2019
| ||||||||||||||||||||||||||||
Twelve Months Ended December 31, 2019 * | ||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk ** | |||||||||||||||||||||||
Energy | $ | 402,025 | 1.85 | % | $ | 1,612,667 | $ | - | $ | 556,623 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Total | $ | 402,025 | 1.85 | % | ||||||||||||||||||||||||
|
|
|
|
|
|
As of
As
Twelve Months Ended December 31, 2020 | ||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk * | |||||||||||||||
Energy | $ | 1,579,543 | 11.02 | % | $ | 1,579,543 | $ | 74,383 | $ | 443,187 | ||||||||||
Total | $ | 1,579,543 | 11.02 | % | ||||||||||||||||
December 31, 2019
| ||||||||||||||||||||||||||||||
Twelve Months Ended December 31, 2019 * | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | High Value at Risk | Low Value at Risk | Average Value at Risk ** | |||||||||||||||||||||||||
Energy | $ | 992,506 | 2.79 | % | $ | 1,985,763 | $ | 318,007 | $ | 1,030,946 | ||||||||||||||||||||
Livestock | 374,770 | 1.05 | 1,959,045 | 69,520 | 578,628 | |||||||||||||||||||||||||
Softs | 46,122 | 0.13 | 1,258,748 | - | 190,317 | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 1,413,398 | 3.97 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
41
42
Grainspalladium.
Softs2021.
Livestock. The Partnership’sPartnership’s/Funds’ primary risk exposure in livestock is to fluctuations in hog and cattle prices.
2021.
43
2019, and 2018;2019; Statements of Financial Condition at December 31, 20202021 and 2019;2020; Condensed Schedules of Investments at December 31, 20202021 and 2019;2020; Statements of Income and Expenses for the years ended December 31, 2021, 2020, 2019, and 2018;2019; Statements of Changes in Partners’ Capital for the years ended December 31, 2021, 2020, 2019, and 2018;2019; and Notes to Financial Statements. Additional financial information has been filed as Exhibits to this Form44
By: | Patrick T. Egan | |
President and Director | ||
Ceres Managed Futures LLC | ||
General Partner, | ||
Ceres Tactical Commodity L.P. | ||
Ceres Managed Futures LLC | ||
522 Fifth Avenue | ||
New York, NY 10036 | ||
(855) 672-4468 |
45
(i) | pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
(ii) | provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States of America, and that receipts and expenditures of the Partnership are being made only in accordance with authorizations of management and directors of the Partnership; and |
(iii) | provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements. |
Patrick T. Egan | Steven Ross | |||
President and Director | Chief Financial Officer and Director | |||
Ceres Managed Futures LLC | Ceres Managed Futures LLC | |||
General Partner, | General Partner, | |||
Ceres Tactical Commodity L.P. | Ceres Tactical Commodity L.P. |
46
/s/ Ernst & Young LLP
We have served as the auditor of the Partnership since 2017.
Boston, MA
/s/ Ernst & Young LLP |
We have served as the auditor of the Partnership since 2017. |
Boston, MA |
47
December 31, 2020 | December 31, 2019 | |||||||
Assets: | ||||||||
Investment in the Funds(1), at fair value (Note 6) | $ | 17,078,330 | $ | 19,760,928 | ||||
Redemptions receivable from the Funds | 3,064,522 | 2,050,873 | ||||||
|
|
|
|
|
| |||
Equity in trading account: | ||||||||
Unrestricted cash (Note 3c) | 56,900,738 | 66,262,634 | ||||||
Restricted cash (Note 3c) | 8,219,507 | 5,558,690 | ||||||
Net unrealized appreciation on open futures contracts | 1,107,408 | 3,104,619 | ||||||
Net unrealized appreciation on open forward contracts | 117,751 | 255,669 | ||||||
Options purchased, at fair value (premiums paid $2,487,075 and $804,127 | 2,557,903 | 308,284 | ||||||
|
|
|
|
|
| |||
Total equity in trading account | 68,903,307 | 75,489,896 | ||||||
|
|
|
|
|
| |||
Interest receivable (Note 3c) | 3,938 | 91,128 | ||||||
|
|
|
|
|
| |||
Total assets | $ | 89,050,097 | $ | 97,392,825 | ||||
|
|
|
|
|
| |||
Liabilities and Partners’ Capital: | ||||||||
Liabilities: | ||||||||
Options written, at fair value (premiums received $3,487,897 and $690,626 | $ | 2,801,304 | $ | 169,935 | ||||
Accrued expenses: | ||||||||
Ongoing selling agent fees (Note 3d) | 70,401 | 159,170 | ||||||
Management fees (Note 3b) | 107,535 | 121,136 | ||||||
General Partner fees (Note 3a) | 53,750 | 60,522 | ||||||
Incentive fees (Note 3b) | 613,765 | 814,167 | ||||||
Professional fees | 179,079 | 227,842 | ||||||
Redemptions payable to General Partner (Note 7) | 300,000 | - | ||||||
Redemptions payable to Limited Partners (Note 7) | 1,284,827 | 3,946,769 | ||||||
|
|
|
|
|
| |||
Total liabilities | 5,410,661 | 5,499,541 | ||||||
|
|
|
|
|
| |||
Partners’ Capital (Notes 1 and 7): | ||||||||
General Partner, Class Z, 862.8760 and 1,118.7550 Redeemable Units | 1,011,664 | 1,195,989 | ||||||
Limited Partners, Class A, 56,256.1017 and 67,005.2267 Redeemable Units | 81,673,675 | 90,062,572 | ||||||
Limited Partners, Class D, 600.0580 Redeemable Units | 690,828 | 634,723 | ||||||
Limited Partners, Class Z, 224.5500 and 0.0000 Redeemable Units | 263,269 | - | ||||||
|
|
|
|
|
| |||
Total partners’ capital (net asset value) | 83,639,436 | 91,893,284 | ||||||
|
|
|
|
|
| |||
Total liabilities and partners’ capital | $ | 89,050,097 | $ | 97,392,825 | ||||
|
|
|
|
|
| |||
Net asset value per Redeemable Unit: | ||||||||
Class A | $ | 1,451.82 | $ | 1,344.11 | ||||
|
|
|
|
|
| |||
Class D | $ | 1,151.27 | $ | 1,057.77 | ||||
|
|
|
|
|
| |||
Class Z | $ | 1,172.43 | $ | 1,069.04 | ||||
|
|
|
|
|
|
December 31, 2021 | December 31, 2020 | |||||||
Assets: | ||||||||
Investment in the Funds (1) , at fair value (Note 6) | $ | 31,910,757 | $ | 17,078,330 | ||||
Redemptions receivable from the Funds | 9,530,301 | 3,064,522 | ||||||
Equity in trading account: | ||||||||
Unrestricted cash (Note 3c) | 83,266,107 | 56,900,738 | ||||||
Restricted cash (Note 3c) | 7,622,510 | 8,219,507 | ||||||
Net unrealized appreciation on open futures contracts | 2,520,777 | 1,107,408 | ||||||
Net unrealized appreciation on open forward contracts | 32,498 | 117,751 | ||||||
Options purchased, at fair value (premiums paid $6,171,271 and $2,487,075 at December 31, 2021 and 2020, respectively) | 11,866,605 | 2,557,903 | ||||||
Total equity in trading account | 105,308,497 | 68,903,307 | ||||||
Interest receivable (Note 3c) | 2,728 | 3,938 | ||||||
Total assets | $ | 146,752,283 | $ | 89,050,097 | ||||
Liabilities and Partners’ Capital: | ||||||||
Liabilities: | ||||||||
Options written, at fair value (premiums received $6,265,420 and $3,487,897 at December 31, 2021 and 2020, respectively) | $ | 7,039,257 | $ | 2,801,304 | ||||
Accrued expenses: | ||||||||
Ongoing selling agent fees (Note 3d) | 85,818 | 70,401 | ||||||
Management fees (Note 3b) | 125,544 | 107,535 | ||||||
General Partner fees (Note 3a) | 87,151 | 53,750 | ||||||
Incentive fees (Note 3b) | 10,012,065 | 613,765 | ||||||
Professional fees | 186,105 | 179,079 | ||||||
Redemptions payable to General Partner (Note 7) | 50,000 | 300,000 | ||||||
Redemptions payable to Limited Partners (Note 7) | 1,255,919 | 1,284,827 | ||||||
Total liabilities | 18,841,859 | 5,410,661 | ||||||
Partners’ Capital (Notes 1 and 7): | ||||||||
General Partner, Class Z, 748.1180 and 862.8760 Redeemable Units outstanding at December 31, 2021 and 2020, respectively | 1,394,753 | 1,011,664 | ||||||
Limited Partners, Class A, 54,425.1587 and 56,256.1017 Redeemable Units outstanding at December 31, 2021 and 2020, respectively | 124,645,209 | 81,673,675 | ||||||
Limited Partners, Class D, 600.0580 Redeemable Units outstanding at December 31, 2021 and 2020 | 1,089,766 | 690,828 | ||||||
Limited Partners, Class Z, 418.7500 and 224.5500 Redeemable Units outstanding at December 31, 2021 and 2020, respectively | 780,696 | 263,269 | ||||||
Total partners’ capital (net asset value) | 127,910,424 | 83,639,436 | ||||||
Total liabilities and partners’ capital | $ | 146,752,283 | $ | 89,050,097 | ||||
Net asset value per Redeemable Unit: | ||||||||
Class A | $ | 2,290.21 | $ | 1,451.82 | ||||
Class D | $ | 1,816.10 | $ | 1,151.27 | ||||
Class Z | $ | 1,864.35 | $ | 1,172.43 | ||||
(1) | Defined in Note 1. |
48
Number of Contracts | Fair Value | % of Partners’ Capital | ||||||||||
Futures Contracts Purchased | ||||||||||||
Currencies | 1 | $ | 900 | 0.00 | * % | |||||||
Energy | 12,660 | (431,676 | ) | (0.51) | ||||||||
Grains | 690 | 1,028,067 | 1.23 | |||||||||
Indices | 85 | (21,965 | ) | (0.03) | ||||||||
Livestock | 31 | 3,820 | 0.00 | * | ||||||||
Metals | 125 | 453,509 | 0.54 | |||||||||
Softs | 223 | 352,409 | 0.42 | |||||||||
|
|
|
|
| ||||||||
Total futures contracts purchased | 1,385,064 | 1.65 | ||||||||||
|
|
|
|
| ||||||||
Futures Contracts Sold | ||||||||||||
Energy | 10,352 | 235,424 | 0.28 | |||||||||
Grains | 309 | (357,181 | ) | (0.43) | ||||||||
Indices | 21 | 39,225 | 0.05 | |||||||||
Livestock | 35 | (9,400 | ) | (0.01) | ||||||||
Metals | 17 | 18,138 | 0.02 | |||||||||
Softs | 163 | (203,862 | ) | (0.24) | ||||||||
|
|
|
|
| ||||||||
Total futures contracts sold | (277,656 | ) | (0.33) | |||||||||
|
|
|
|
| ||||||||
Net unrealized appreciation on open futures contracts | $ | 1,107,408 | 1.32 | % | ||||||||
|
|
|
|
| ||||||||
Unrealized Appreciation on Open Forward Contracts | ||||||||||||
Metals | 763 | $ | 3,792,274 | 4.53 | % | |||||||
|
|
|
|
| ||||||||
Total unrealized appreciation on open forward contracts | 3,792,274 | 4.53 | ||||||||||
|
|
|
|
| ||||||||
Unrealized Depreciation on Open Forward Contracts | ||||||||||||
Metals | 817 | (3,674,523 | ) | (4.39) | ||||||||
|
|
|
|
| ||||||||
Total unrealized depreciation on open forward contracts | (3,674,523 | ) | (4.39) | |||||||||
|
|
|
|
| ||||||||
Net unrealized appreciation on open forward contracts | $ | 117,751 | 0.14 | % | ||||||||
|
|
|
|
| ||||||||
Options Purchased | ||||||||||||
Calls | ||||||||||||
Energy | 996 | $ | 1,591,576 | 1.90 | % | |||||||
Metals | 162 | 753,640 | 0.91 | |||||||||
Puts | ||||||||||||
Energy | 854 | 175,150 | 0.21 | |||||||||
Metals | 121 | 37,537 | 0.04 | |||||||||
|
|
|
|
| ||||||||
Total options purchased (premiums paid $2,487,075) | $ | 2,557,903 | 3.06 | % | ||||||||
|
|
|
|
| ||||||||
Options Written | ||||||||||||
Calls | ||||||||||||
Energy | 1,312 | $ | (616,333 | ) | (0.74) | % | ||||||
Grains | 53 | (78,506 | ) | (0.09) | ||||||||
Livestock | 6 | (12,600 | ) | (0.02) | ||||||||
Metals | 216 | (820,669 | ) | (0.98) | ||||||||
Softs | 20 | (59,550 | ) | (0.07) | ||||||||
Puts | ||||||||||||
Energy | 1,002 | (1,200,786 | ) | (1.44) | ||||||||
Metals | 25 | (3,275 | ) | (0.00) | * | |||||||
Softs | 6 | (9,585 | ) | (0.01) | ||||||||
|
|
|
|
| ||||||||
Total options written (premiums received $3,487,897) | $ | (2,801,304 | ) | (3.35) | % | |||||||
|
|
|
|
| ||||||||
Fair Value | % of Partners’ Capital | |||||||||||
Investment in the Funds | ||||||||||||
CMF NL Master Fund LLC | $ | 2,671,289 | 3.19 | % | ||||||||
CMF GSL Master Fund LLC | 14,407,041 | 17.23 | ||||||||||
|
|
|
|
| ||||||||
Total investment in the Funds | $ | 17,078,330 | 20.42 | % | ||||||||
|
|
|
|
|
* Due to rounding.
2021
Number of Contracts | Fair Value | % of Partners’ Capital | ||||||||||
Futures Contracts Purchased | ||||||||||||
Currencies | 40 | $ | 9,055 | 0.01 | % | |||||||
Energy | ||||||||||||
NATURAL GAS FUTR Feb 22 - Dec 24 | 12,525 | 15,688,463 | 12.26 | |||||||||
NAT GAS LAST DAY Dec 22 | 230 | 2,925,360 | 2.29 | |||||||||
GLOBEX NAT GAS LD Dec 23 | 235 | 1,984,400 | 1.55 | |||||||||
Other | 2,294 | 1,051,178 | 0.82 | |||||||||
Grains | 285 | 37,245 | 0.03 | |||||||||
Indices | 476 | (1,154,113) | (0.90) | |||||||||
Livestock | 31 | 990 | 0.00 | * | ||||||||
Metals | 110 | 134,848 | 0.11 | |||||||||
Softs | 322 | 1,057 | 0.00 | * | ||||||||
Total futures contracts purchased | 20,678,483 | 16.17 | ||||||||||
Futures Contracts Sold | ||||||||||||
Energy | ||||||||||||
NATURAL GAS FUTR Mar 22 - Mar 25 | 13,228 | (7,865,625) | (6.15) | |||||||||
NAT GAS LAST DAY Mar 22 - Oct 22 | 699 | (6,817,820) | (5.33) | |||||||||
GLOBEX NAT GAS LD Mar 24 | 235 | (1,558,690) | (1.22) | |||||||||
Other | 3,371 | (2,197,193) | (1.72) | |||||||||
Grains | 211 | 115,235 | 0.09 | |||||||||
Indices | 320 | 233,958 | 0.18 | |||||||||
Livestock | 42 | (12,440) | (0.01) | |||||||||
Metals | 34 | (17,100) | (0.01) | |||||||||
Softs | 249 | (38,031) | (0.03) | |||||||||
Total futures contracts sold | (18,157,706) | (14.20) | ||||||||||
Net unrealized appreciation on open futures contracts | $ | 2,520,777 | 1.97 | % | ||||||||
Unrealized Appreciation on Open Forward Contracts | ||||||||||||
Metals | 493 | $ | 2,333,825 | 1.83 | % | |||||||
Total unrealized appreciation on open forward contracts | 2,333,825 | 1.83 | ||||||||||
Unrealized Depreciation on Open Forward Contracts | ||||||||||||
Metals | 507 | (2,301,327) | (1.80) | |||||||||
Total unrealized depreciation on open forward contracts | (2,301,327) | (1.80) | ||||||||||
Net unrealized appreciation on open forward contracts | $ | 32,498 | 0.03 | % | ||||||||
Options Purchased | ||||||||||||
Calls | ||||||||||||
Energy | ||||||||||||
NAT GAS EUR OPT C, 3%—4.25%, Feb 22—Dec 25 | 1,695 | $ | 10,523,414 | 8.23 | % | |||||||
Metals | 97 | 551,393 | 0.43 | |||||||||
Puts | ||||||||||||
Energy | 920 | 661,421 | 0.52 | |||||||||
Metals | 83 | 130,377 | 0.10 | |||||||||
Total options purchased (premiums paid $6,171,271) | $ | 11,866,605 | 9.28 | % | ||||||||
Options Written | ||||||||||||
Calls | ||||||||||||
Energy | 1,377 | $ | (3,786,346) | (2.96) | % | |||||||
Metals | 97 | (551,393) | (0.43) | |||||||||
Puts | ||||||||||||
Energy | 2,179 | (2,553,333) | (2.00) | |||||||||
Metals | 83 | (130,377) | (0.10) | |||||||||
Softs | 25 | (17,808) | (0.01) | |||||||||
Total options written (premiums received $6,265,420) | $ | (7,039,257) | (5.50) | % | ||||||||
Fair Value | % of Partners’ Capital | |||||||||||
Investment in the Funds | ||||||||||||
CMF NL Master Fund LLC | $ | 10,984,329 | 8.59 | % | ||||||||
CMF GSL Master Fund LLC | 20,926,428 | 16.36 | ||||||||||
Total investment in the Funds | $ | 31,910,757 | 24.95 | % | ||||||||
* | Due to rounding. |
49
Number of Contracts | Fair Value | % of Partners’ Capital | ||||||||||
Futures Contracts Purchased | ||||||||||||
Energy | 12,781 | $ | (7,621,903 | ) | (8.29) | % | ||||||
Grains | 453 | 274,002 | 0.30 | |||||||||
Indices | 440 | (354,176 | ) | (0.39) | ||||||||
Livestock | 56 | 10,540 | 0.01 | |||||||||
Metals | 165 | 285,840 | 0.31 | |||||||||
Softs | 343 | 253,714 | 0.28 | |||||||||
|
|
|
|
| ||||||||
Total futures contracts purchased | (7,151,983 | ) | (7.78) | |||||||||
|
|
|
|
| ||||||||
Futures Contracts Sold | ||||||||||||
Energy | ||||||||||||
NAT GAS LAST DAY Mar 20 - Mar 22 | 2,556 | 5,386,190 | 5.86 | |||||||||
Other | 10,416 | 4,966,843 | 5.41 | |||||||||
Grains | 590 | (256,702 | ) | (0.28) | ||||||||
Indices | 380 | 322,626 | 0.35 | |||||||||
Livestock | 54 | 10,710 | 0.01 | |||||||||
Metals | 66 | 4,075 | 0.00 | * | ||||||||
Softs | 323 | (177,140 | ) | (0.19) | ||||||||
|
|
|
|
| ||||||||
Total futures contracts sold | 10,256,602 | 11.16 | ||||||||||
|
|
|
|
| ||||||||
Net unrealized appreciation on open futures contracts | $ | 3,104,619 | 3.38 | % | ||||||||
|
|
|
|
| ||||||||
Unrealized Appreciation on Open Forward Contracts | ||||||||||||
Metals | 658 | $ | 3,736,333 | 4.07 | % | |||||||
|
|
|
|
| ||||||||
Total unrealized appreciation on open forward contracts | 3,736,333 | 4.07 | ||||||||||
|
|
|
|
| ||||||||
Unrealized Depreciation on Open Forward Contracts | ||||||||||||
Metals | 616 | (3,480,664 | ) | (3.79) | ||||||||
|
|
|
|
| ||||||||
Total unrealized depreciation on open forward contracts | (3,480,664 | ) | (3.79) | |||||||||
|
|
|
|
| ||||||||
Net unrealized appreciation on open forward contracts | $ | 255,669 | 0.28 | % | ||||||||
|
|
|
|
| ||||||||
Options Purchased | ||||||||||||
Calls | ||||||||||||
Energy | 950 | $ | 186,010 | 0.21 | % | |||||||
Metals | 131 | 3,869 | 0.00 | * | ||||||||
Puts | ||||||||||||
Energy | 58 | 41,395 | 0.05 | |||||||||
Metals | 68 | 77,010 | 0.08 | |||||||||
|
|
|
|
| ||||||||
Total options purchased (premiums paid $804,127) | $ | 308,284 | 0.34 | % | ||||||||
|
|
|
|
| ||||||||
Options Written | ||||||||||||
Calls | ||||||||||||
Energy | 1,094 | $ | (52,690 | ) | (0.06) | % | ||||||
Metals | 120 | (3,869 | ) | (0.00) | * | |||||||
Puts | ||||||||||||
Energy | 57 | (36,366 | ) | (0.04) | ||||||||
Metals | 68 | (77,010 | ) | (0.08) | ||||||||
|
|
|
|
| ||||||||
Total options written (premiums received $690,626) | $ | (169,935 | ) | (0.18) | % | |||||||
|
|
|
|
| ||||||||
Fair Value | % of Partners’ Capital | |||||||||||
Investment in the Funds | ||||||||||||
CMF NL Master Fund LLC | $ | 4,427,510 | 4.82 | % | ||||||||
CMF Aquantum Master Fund LLC | 15,333,418 | 16.68 | ||||||||||
|
|
|
|
| ||||||||
Total investment in the Funds | $ | 19,760,928 | 21.50 | % | ||||||||
|
|
|
|
|
Number of Contracts | Fair Value | % of Partners’ Capital | ||||||||||
Futures Contracts Purchased | ||||||||||||
Currencies | 1 | $ | 900 | 0.00 | * % | |||||||
Energy | 12,660 | (431,676) | (0.51) | |||||||||
Grains | 690 | 1,028,067 | 1.23 | |||||||||
Indices | 85 | (21,965) | (0.03) | |||||||||
Livestock | 31 | 3,820 | 0.00 | * | ||||||||
Metals | 125 | 453,509 | 0.54 | |||||||||
Softs | 223 | 352,409 | 0.42 | |||||||||
Total futures contracts purchased | 1,385,064 | 1.65 | ||||||||||
Futures Contracts Sold | ||||||||||||
Energy | 10,352 | 235,424 | 0.28 | |||||||||
Grains | 309 | (357,181) | (0.43) | |||||||||
Indices | 21 | 39,225 | 0.05 | |||||||||
Livestock | 35 | (9,400) | (0.01) | |||||||||
Metals | 17 | 18,138 | 0.02 | |||||||||
Softs | 163 | (203,862) | (0.24) | |||||||||
Total futures contracts sold | (277,656) | (0.33) | ||||||||||
Net unrealized appreciation on open futures contracts | $ | 1,107,408 | 1.32 | % | ||||||||
Unrealized Appreciation on Open Forward Contracts | ||||||||||||
Metals | 763 | $ | 3,792,274 | 4.53 | % | |||||||
Total unrealized appreciation on open forward contracts | 3,792,274 | 4.53 | ||||||||||
Unrealized Depreciation on Open Forward Contracts | ||||||||||||
Metals | 817 | (3,674,523) | (4.39) | |||||||||
Total unrealized depreciation on open forward contracts | (3,674,523) | (4.39) | ||||||||||
Net unrealized appreciation on open forward contracts | $ | 117,751 | 0.14 | % | ||||||||
Options Purchased | ||||||||||||
Calls | ||||||||||||
Energy | 996 | $ | 1,591,576 | 1.90 | % | |||||||
Metals | 162 | 753,640 | 0.91 | |||||||||
Puts | ||||||||||||
Energy | 854 | 175,150 | 0.21 | |||||||||
Metals | 121 | 37,537 | 0.04 | |||||||||
Total options purchased (premiums paid $2,487,075) | $ | 2,557,903 | 3.06 | % | ||||||||
Options Written | ||||||||||||
Calls | ||||||||||||
Energy | 1,312 | $ | (616,333) | (0.74) | % | |||||||
Grains | 53 | (78,506) | (0.09) | |||||||||
Livestock | 6 | (12,600) | (0.02) | |||||||||
Metals | 216 | (820,669) | (0.98) | |||||||||
Softs | 20 | (59,550) | (0.07) | |||||||||
Puts | ||||||||||||
Energy | 1,002 | (1,200,786) | (1.44) | |||||||||
Metals | 25 | (3,275) | (0.00) | * | ||||||||
Softs | 6 | (9,585) | (0.01) | |||||||||
Total options written (premiums received $3,487,897) | $ | (2,801,304) | (3.35) | % | ||||||||
Fair Value | % of Partners’ Capital | |||||||||||
Investment in the Funds | ||||||||||||
CMF NL Master Fund LLC | $ | 2,671,289 | 3.19 | % | ||||||||
CMF GSL Master Fund LLC | 14,407,041 | 17.23 | ||||||||||
Total investment in the Funds | $ | 17,078,330 | 20.42 | % | ||||||||
* | Due to rounding. |
50
2020 | 2019 | 2018 | ||||||||||
Investment Income: | ||||||||||||
Interest income (Note 3c) | $ | 234,681 | $ | 1,716,370 | $ | 719,779 | ||||||
Interest income allocated from the Fund(s) (Note 3c) | 62,837 | 308,347 | 394,826 | |||||||||
|
|
|
|
|
|
|
| |||||
Total investment income | 297,518 | 2,024,717 | 1,114,605 | |||||||||
|
|
|
|
|
|
|
| |||||
Expenses: | ||||||||||||
Expenses allocated from the Fund(s) | 309,367 | 345,086 | 318,864 | |||||||||
Clearing fees related to direct investments (Note 3c) | 855,470 | 1,138,045 | 497,270 | |||||||||
Ongoing selling agent fees (Note 3d) | 1,318,996 | 2,062,779 | 1,312,283 | |||||||||
Management fees (Note 3b) | 1,361,440 | 1,550,912 | 1,026,535 | |||||||||
General Partner fees (Note 3a) | 666,898 | 783,963 | 662,607 | |||||||||
Incentive fees (Note 3b) | 2,241,270 | 1,057,828 | 1,017,644 | |||||||||
Professional fees | 318,626 | 394,964 | 351,346 | |||||||||
|
|
|
|
|
|
|
| |||||
Total expenses | 7,072,067 | 7,333,577 | 5,186,549 | |||||||||
|
|
|
|
|
|
|
| |||||
Net investment loss | (6,774,549 | ) | (5,308,860 | ) | (4,071,944) | |||||||
|
|
|
|
|
|
|
| |||||
Trading Results: | ||||||||||||
Net gains (losses) on trading of commodity interests and investments in the Fund(s): | ||||||||||||
Net realized gains (losses) on closed contracts | 14,839,905 | 10,192,456 | 4,886,607 | |||||||||
Net realized gains (losses) on closed contracts allocated from the Fund(s) | (573,110 | ) | (2,988,301 | ) | (113,328 | ) | ||||||
Net change in unrealized gains (losses) on open contracts | (1,421,890 | ) | �� | 2,156,294 | 1,238,838 | |||||||
Net change in unrealized gains (losses) on open contracts allocated from the Fund(s) | 735,132 | (678,017 | ) | (94,059 | ) | |||||||
|
|
|
|
|
|
|
| |||||
Total trading results | 13,580,037 | 8,682,432 | 5,918,058 | |||||||||
|
|
|
|
|
|
|
| |||||
Net income (loss) | $ | 6,805,488 | $ | 3,373,572 | $ | 1,846,114 | ||||||
|
|
|
|
|
|
|
| |||||
Net income (loss) per Redeemable Unit (Note 8): * | ||||||||||||
Class A | $ | 107.71 | $ | 43.45 | $ | 35.02 | ||||||
|
|
|
|
|
|
|
| |||||
Class D | $ | 93.50 | $ | 47.02 | $ | 10.75 | ** | |||||
|
|
|
|
|
|
|
| |||||
Class Z | $ | 103.39 | $ | 55.21 | $ | 47.07 | ||||||
|
|
|
|
|
|
|
| |||||
Weighted average Redeemable Units outstanding: | ||||||||||||
Class A | 60,513.3041 | 77,176.4275 | 50,108.3523 | |||||||||
|
|
|
|
|
|
|
| |||||
Class D | 600.0580 | 600.0580 | 583.3817 | ** | ||||||||
|
|
|
|
|
|
|
| |||||
Class Z | 1,208.2984 | 1,308.9342 | 757.7553 | |||||||||
|
|
|
|
|
|
|
|
2021 | 2020 | 2019 | ||||||||||
Investment Income: | ||||||||||||
Interest income (Note 3c) | $ | 26,691 | $ | 234,681 | $ | 1,716,370 | ||||||
Interest income allocated from the Funds (Note 3c) | 11,380 | 62,837 | 308,347 | |||||||||
Total investment income | 38,071 | 297,518 | 2,024,717 | |||||||||
Expenses: | ||||||||||||
Expenses allocated from the Funds | 265,252 | 309,367 | 345,086 | |||||||||
Clearing fees related to direct investments (Note 3c) | 1,071,298 | 855,470 | 1,138,045 | |||||||||
Ongoing selling agent fees (Note 3d) | 903,744 | 1,318,996 | 2,062,779 | |||||||||
Management fees (Note 3b) | 1,316,998 | 1,361,440 | 1,550,912 | |||||||||
General Partner fees (Note 3a) | 916,641 | 666,898 | 783,963 | |||||||||
Incentive fees (Note 3b) | 11,419,401 | 2,241,270 | 1,057,828 | |||||||||
Professional fees | 434,587 | 318,626 | 394,964 | |||||||||
Total expenses | 16,327,921 | 7,072,067 | 7,333,577 | |||||||||
Net investment loss | (16,289,850 | ) | (6,774,549 | ) | (5,308,860 | ) | ||||||
Trading Results: | ||||||||||||
Net gains (losses) on trading of commodity interests and investment in the Funds: | ||||||||||||
Net realized gains (losses) on closed contracts | 18,211,530 | 14,839,905 | 10,192,456 | |||||||||
Net realized gains (losses) on closed contracts allocated from the Funds | 37,773,316 | (573,110 | ) | (2,988,301 | ) | |||||||
Net change in unrealized gains (losses) on open contracts | 5,495,078 | (1,421,890 | ) | 2,156,294 | ||||||||
Net change in unrealized gains (losses) on open contracts allocated from the Funds | 2,197,213 | 735,132 | (678,017 | ) | ||||||||
Total trading results | 63,677,137 | 13,580,037 | 8,682,432 | |||||||||
Net income (loss) | $ | 47,387,287 | $ | 6,805,488 | $ | 3,373,572 | ||||||
Net income (loss) per Redeemable Unit (Note 8): * | ||||||||||||
Class A | $ | 838.39 | $ | 107.71 | $ | 43.45 | ||||||
Class D | $ | 664.83 | $ | 93.50 | $ | 47.02 | ||||||
Class Z | $ | 691.92 | $ | 103.39 | $ | 55.21 | ||||||
Weighted average Redeemable Units outstanding: | ||||||||||||
Class A | 54,414.5840 | 60,513.3041 | 77,176.4275 | |||||||||
Class D | 600.0580 | 600.0580 | 600.0580 | |||||||||
Class Z | 1,113.3481 | 1,208.2984 | 1,308.9342 | |||||||||
* | Represents the change in net asset value per Redeemable Unit. |
|
51
Class A | Class D | Class Z | Total | |||||||||||||||||||||||||||||
Amount | Redeemable Units | Amount | Redeemable Units | Amount | Redeemable Units | Amount | Redeemable Units | |||||||||||||||||||||||||
Partners’ Capital, December 31, 2017 | $ | 68,946,282 | 54,475.3577 | $ | - | - | $ | 769,492 | 795.9520 | $ | 69,715,774 | 55,271.3097 | ||||||||||||||||||||
Subscriptions - Limited Partners | 7,965,516 | 6,166.2010 | 600,000 | 600.0580 | - | - | 8,565,516 | 6,766.2590 | ||||||||||||||||||||||||
Redemptions - General Partner | - | - | - | - | (50,000 | ) | (50.9290 | ) | (50,000 | ) | (50.9290 | ) | ||||||||||||||||||||
Redemptions - Limited Partners | (21,858,538 | ) | (16,927.6520 | ) | - | - | - | - | (21,858,538 | ) | (16,927.6520 | ) | ||||||||||||||||||||
Net income (loss) | 1,803,774 | - | 6,507 | - | 35,833 | - | 1,846,114 | - | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||
Partners’ Capital, December 31, 2018 | 56,857,034 | 43,713.9067 | 606,507 | 600.0580 | 755,325 | 745.0230 | 58,218,866 | 45,058.9877 | ||||||||||||||||||||||||
Subscriptions - General Partner | - | - | - | - | 680,750 | 671.4640 | 680,750 | 671.4640 | ||||||||||||||||||||||||
Subscriptions - Limited Partners | 52,019,698 | 39,975.1700 | - | - | 100,000 | 99.2020 | 52,119,698 | 40,074.3720 | ||||||||||||||||||||||||
Redemptions - General Partner | - | - | - | - | (315,025 | ) | (297.7320 | ) | (315,025 | ) | (297.7320 | ) | ||||||||||||||||||||
Redemptions - Limited Partners | (22,078,526 | ) | (16,683.8500 | ) | - | - | (106,051 | ) | (99.2020 | ) | (22,184,577 | ) | (16,783.0520 | ) | ||||||||||||||||||
Net income (loss) | 3,264,366 | - | 28,216 | - | 80,990 | - | 3,373,572 | - | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||
Partners’ Capital, December 31, 2019 | 90,062,572 | 67,005.2267 | 634,723 | 600.0580 | 1,195,989 | 1,118.7550 | 91,893,284 | 68,724.0397 | ||||||||||||||||||||||||
Subscriptions - Limited Partners | 2,670,643 | 1,834.1890 | - | - | 260,760 | 224.5500 | 2,931,403 | 2,058.7390 | ||||||||||||||||||||||||
Redemptions - General Partner | - | - | - | - | (300,000 | ) | (255.8790 | ) | (300,000 | ) | (255.8790 | ) | ||||||||||||||||||||
Redemptions - Limited Partners | (17,690,739 | ) | (12,583.3140 | ) | - | - | - | - | (17,690,739 | ) | (12,583.3140 | ) | ||||||||||||||||||||
Net income (loss) | 6,631,199 | - | 56,105 | - | 118,184 | - | 6,805,488 | - | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||
Partners’ Capital, December 31, 2020 | $ | 81,673,675 | 56,256.1017 | $ | 690,828 | 600.0580 | $ | 1,274,933 | 1,087.4260 | $ | 83,639,436 | 57,943.5857 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019
Class A | Class D | Class Z | Total | |||||||||||||||||||||||||||||
Redeemable | Redeemable | Redeemable | Redeemable | |||||||||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||||||||
Partners’ Capital, December 31, 2018 | $ | 56,857,034 | 43,713.9067 | $ | 606,507 | 600.0580 | $ | 755,325 | 745.0230 | $ | 58,218,866 | 45,058.9877 | ||||||||||||||||||||
Subscriptions - General Partner | - | - | - | - | 680,750 | 671.4640 | 680,750 | 671.4640 | ||||||||||||||||||||||||
Subscriptions - Limited Partners | 52,019,698 | 39,975.1700 | - | - | 100,000 | 99.2020 | 52,119,698 | 40,074.3720 | ||||||||||||||||||||||||
Redemptions - General Partner | - | - | - | - | (315,025 | ) | (297.7320 | ) | (315,025 | ) | (297.7320 | ) | ||||||||||||||||||||
Redemptions - Limited Partners | (22,078,526 | ) | (16,683.8500 | ) | - | - | (106,051 | ) | (99.2020 | ) | (22,184,577 | ) | (16,783.0520 | ) | ||||||||||||||||||
Net income (loss) | 3,264,366 | - | 28,216 | - | 80,990 | - | 3,373,572 | - | ||||||||||||||||||||||||
Partners’ Capital, December 31, 2019 | 90,062,572 | 67,005.2267 | 634,723 | 600.0580 | 1,195,989 | 1,118.7550 | 91,893,284 | 68,724.0397 | ||||||||||||||||||||||||
Subscriptions - Limited Partners | 2,670,643 | 1,834.1890 | - | - | 260,760 | 224.5500 | 2,931,403 | 2,058.7390 | ||||||||||||||||||||||||
Redemptions - General Partner | - | - | - | - | (300,000 | ) | (255.8790 | ) | (300,000 | ) | (255.8790 | ) | ||||||||||||||||||||
Redemptions - Limited Partners | (17,690,739 | ) | (12,583.3140 | ) | - | - | - | - | (17,690,739 | ) | (12,583.3140 | ) | ||||||||||||||||||||
Net income (loss) | 6,631,199 | - | 56,105 | - | 118,184 | - | 6,805,488 | - | ||||||||||||||||||||||||
Partners’ Capital, December 31, 2020 | 81,673,675 | 56,256.1017 | 690,828 | 600.0580 | 1,274,933 | 1,087.4260 | 83,639,436 | 57,943.5857 | ||||||||||||||||||||||||
Subscriptions - Limited Partners | 10,121,560 | 4,927.5530 | - | - | 325,000 | 194.2000 | 10,446,560 | 5,121.7530 | ||||||||||||||||||||||||
Redemptions - General Partner | - | 0 | - | - | (190,000 | ) | (114.7580 | ) | (190,000 | ) | (114.7580 | ) | ||||||||||||||||||||
Redemptions - Limited Partners | (13,372,859 | ) | (6,758.4960 | ) | - | - | - | - | (13,372,859 | ) | (6,758.4960 | ) | ||||||||||||||||||||
Net income (loss) | 46,222,833 | - | 398,938 | - | 765,516 | - | 47,387,287 | - | ||||||||||||||||||||||||
Partners’ Capital, December 31, 2021 | $ | 124,645,209 | 54,425.1587 | $ | 1,089,766 | 600.0580 | $ | 2,175,449 | 1,166.8680 | $ | 127,910,424 | 56,192.0847 | ||||||||||||||||||||
Class A | Class D | Class Z | ||||||||
2018: | $1,300.66 | $1,010.75 | $1,013.83 | |||||||
|
|
|
|
| ||||||
2019: | $1,344.11 | $1,057.77 | $1,069.04 | |||||||
|
|
|
|
| ||||||
2020: | $1,451.82 | $1,151.27 | $1,172.43 | |||||||
|
|
|
|
|
Class A | Class D | Class Z | ||||||||||
2019: | $ | 1,344.11 | $ | 1,057.77 | $ | 1,069.04 | ||||||
2020: | $ | 1,451.82 | $ | 1,151.27 | $ | 1,172.43 | ||||||
2021: | $ | 2,290.21 | $ | 1,816.10 | $ | 1,864.35 | ||||||
52
1. | Organization: |
Square.
53
Units.
2. | Basis of Presentation and Summary of Significant Accounting Policies: |
a. |
|
b. |
|
54
c. |
|
d. |
|
e. |
|
|
f. |
|
g. |
|
h. |
|
55
i. |
|
|
3. | Agreements: |
a. | Limited Partnership Agreement: |
b. | Management Agreement: |
56
c. | Customer Agreement: |
57
d. | Selling Agreement: |
4. | Trading Activities: |
58
December 31, 2020 | Gross Amounts Recognized | Gross Amounts Offset in the Statements of Financial Condition | Amounts Presented in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||||||
Financial Instruments | Cash Collateral Received/ Pledged * | Net Amount | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Futures | $ | 10,247,949 | $ | (9,140,541) | $ | 1,107,408 | $ | - | $ | - | $ | 1,107,408 | ||||||||||||
Forwards | 3,792,274 | (3,674,523) | 117,751 | - | - | 117,751 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets | $ | 14,040,223 | $ | (12,815,064) | $ | 1,225,159 | $ | - | $ | - | $ | 1,225,159 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||||||
Futures | $ | (9,140,541) | $ | 9,140,541 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards | (3,674,523) | 3,674,523 | - | - | - | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | $ | (12,815,064) | $ | 12,815,064 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net fair value | $ | 1,225,159 | * | |||||||||||||||||||||
|
|
December 31, 2019 | Gross Amounts Recognized | Gross Amounts Offset in the Statements of Financial Condition | Amounts Presented in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amount | |||||||||||||||||||
Financial Instruments | Cash Collateral Received/ Pledged * | |||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Futures | $ | 12,487,330 | $ | (9,382,711) | $ | 3,104,619 | $ | - | $ | - | $ | 3,104,619 | ||||||||||||
Forwards | 3,736,333 | (3,480,664) | 255,669 | - | - | 255,669 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets | $ | 16,223,663 | $ | (12,863,375) | $ | 3,360,288 | $ | - | $ | - | $ | 3,360,288 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||||||
Futures | $ | (9,382,711) | $ | 9,382,711 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards | (3,480,664) | 3,480,664 | - | - | - | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | $ | (12,863,375) | $ | 12,863,375 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net fair value | $ | 3,360,288 | * | |||||||||||||||||||||
|
|
Gross Amounts Recognized | Gross Amounts Offset in the Statements of Financial Condition | Amounts Presented in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||||||||
December 31, 2021 | Financial Instruments | Cash Collateral Received/ Pledged* | Net Amount | |||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Futures | $ | 33,395,257 | $ | (30,874,480) | $ | 2,520,777 | $ | - | $ | - | $ | 2,520,777 | ||||||||||||
Forwards | 2,333,825 | (2,301,327) | 32,498 | - | - | 32,498 | ||||||||||||||||||
Total assets | $ | 35,729,082 | $ | (33,175,807) | $ | 2,553,275 | $ | - | $ | - | $ | 2,553,275 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Futures | $ | (30,874,480) | $ | 30,874,480 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards | (2,301,327) | 2,301,327 | - | - | - | - | ||||||||||||||||||
Total liabilities | $ | (33,175,807) | $ | 33,175,807 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Net fair value | $ | 2,553,275 | * | |||||||||||||||||||||
Gross Amounts Recognized | Gross Amounts Offset in the Statements of Financial Condition | Amounts Presented in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||||||||
December 31, 2020 | Financial Instruments | Cash Collateral Received/ Pledged* | Net Amount | |||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Futures | $ | 10,247,949 | $ | (9,140,541) | $ | 1,107,408 | $ | - | $ | - | $ | 1,107,408 | ||||||||||||
Forwards | 3,792,274 | (3,674,523) | 117,751 | - | - | 117,751 | ||||||||||||||||||
Total assets | $ | 14,040,223 | $ | (12,815,064) | $ | 1,225,159 | $ | - | $ | - | $ | 1,225,159 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Futures | $ | (9,140,541) | $ | 9,140,541 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards | (3,674,523) | 3,674,523 | - | - | - | - | ||||||||||||||||||
Total liabilities | $ | (12,815,064) | $ | 12,815,064 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Net fair value | $ | 1,225,159 | * | |||||||||||||||||||||
* | In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
59
December 31, 2021 | ||||
Assets | ||||
| ||||
Futures Contracts | ||||
Currencies | $ | |||
Energy | ||||
Grains | ||||
Indices | ||||
Livestock | ||||
Metals | ||||
Softs | ||||
Total unrealized appreciation on open futures contracts | 33,395,257 | |||
Liabilities | ||||
Futures Contracts | ||||
Currencies | (10,497) | |||
Energy | (29,296,133) | |||
Grains | (116,535) | |||
Indices | (1,161,116) | |||
Livestock | (25,750) | |||
Metals | (46,730) | |||
Softs | (217,719) | |||
| ||||
| ||||
| ||||
| ||||
| ||||
| ||||
| ||||
| ||||
| ||||
Total unrealized depreciation on open futures contracts | ||||
Net unrealized appreciation on open futures contracts | $ | * | ||
Assets | ||||
| ||||
Forward Contracts | ||||
Metals | $ | |||
Total unrealized appreciation on open forward contracts | ||||
Liabilities | ||||
| ||||
| ||||
Forward Contracts | ||||
Metals | (2,301,327) | |||
Total unrealized depreciation on open forward contracts | ||||
Net unrealized appreciation on open forward contracts | $ | ** | ||
Assets | ||||
| ||||
Options Purchased | ||||
Energy | $ | |||
Metals | ||||
Total options purchased | $ | *** | ||
Liabilities | ||||
| ||||
Options Written | ||||
Energy | $ | |||
Metals | ||||
Softs | ||||
| ||||
| ||||
Total options written | $ | **** | ||
* | This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. |
** | This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. |
*** | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. |
**** | This amount is in “Options written, at fair value” in the Statements of Financial Condition. |
60
December 31, | ||||||||
| ||||||||
2020 | ||||||||
Assets | ||||||||
Futures Contracts | ||||||||
Currencies | $ | |||||||
Energy | ||||||||
Grains | ||||||||
Indices | ||||||||
Livestock | ||||||||
Metals | ||||||||
Softs | 355,995 | |||||||
Total unrealized appreciation on open futures contracts | ||||||||
| ||||||||
| ||||||||
| ||||||||
Liabilities | ||||||||
Futures Contracts | ||||||||
Energy | ) | |||||||
Grains | ) | |||||||
Indices | ) | |||||||
Livestock | (9,990 | ) | ||||||
Metals | (20,635 | ) | ||||||
Softs | (207,448 | ) | ||||||
Total unrealized depreciation on open futures contracts | ) | |||||||
Net unrealized appreciation on open futures contracts | $ | |||||||
1,107,408 | * | |||||||
| ||||||||
| ||||||||
Assets | ||||||||
Forward Contracts | ||||||||
Metals | $ | |||||||
Total unrealized appreciation on open forward contracts | ||||||||
| ||||||||
| ||||||||
| ||||||||
Liabilities | ||||||||
Forward Contracts | ||||||||
Metals | (3,674,523 | ) | ||||||
Total unrealized depreciation on open forward contracts | ) | |||||||
Net unrealized appreciation on open forward contracts | $ | |||||||
117,751 | ** | |||||||
| ||||||||
| ||||||||
Assets | ||||||||
Options Purchased | ||||||||
Energy | $ | |||||||
Metals | ||||||||
Total options purchased | $ | |||||||
2,557,903 | *** | |||||||
| ||||||||
| ||||||||
Liabilities | ||||||||
Options Written | ||||||||
Energy | $ | ) | ||||||
Grains | ) | |||||||
Livestock | (12,600 | ) | ||||||
Metals | (823,944 | ) | ||||||
Softs | (69,135 | ) | ||||||
Total options written | $ | |||||||
) | **** | |||||||
* | This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial dition . |
** | This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. |
*** | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. |
**** | This amount is in “Options written, at fair value” in the Statements of Financial Condition. |
61
Sector | 2021 | 2020 | 2019 | |||||||||||||||||||||||||||||
Currencies | $ | (83,859 | ) | $ | 28,365 | $ | 102,185 | |||||||||||||||||||||||||
Energy | 20,738,877 | 11,685,245 | 8,018,754 | |||||||||||||||||||||||||||||
Grains | 946,520 | 902,146 | 896,448 | |||||||||||||||||||||||||||||
Indices | 90,103 | (153,769 | ) | 56,860 | ||||||||||||||||||||||||||||
Livestock | (781,028 | ) | (251,731 | ) | 1,749,339 | |||||||||||||||||||||||||||
Metals | 1,725,808 | (580,364 | ) | 117,352 | ||||||||||||||||||||||||||||
Softs | 1,070,187 | 1,788,123 | 1,407,812 | |||||||||||||||||||||||||||||
Total | $ | 23,706,608 | * | **** | $ | 13,418,015 | * | **** | $ | 12,348,750 | * | **** | ||||||||||||||||||||
Sector | 2020 | 2019 | 2018 | |||||||||
Currencies | $ | 28,365 | $ | 102,185 | $ | (361,231) | ||||||
Energy | 11,685,245 | 8,018,754 | 5,468,819 | |||||||||
Grains | 902,146 | 896,448 | 147,389 | |||||||||
Indices | (153,769) | 56,860 | - | |||||||||
Interest Rates Non-U.S. | - | - | 17,430 | |||||||||
Livestock | (251,731) | 1,749,339 | 570,324 | |||||||||
Metals | (580,364) | 117,352 | (865,848) | |||||||||
Softs | 1,788,123 | 1,407,812 | 1,148,562 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 13,418,015 | ***** | $ | 12,348,750 | ***** | $ | 6,125,445 | ***** | |||
|
|
|
|
|
|
5. |
|
Fair Value Measurements: |
20202021 and 2019,2020, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).62
December 31, 2020 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Assets | ||||||||||||||||
Futures | $ | 10,247,949 | $ | 10,247,949 | $ | - | $ | - | ||||||||
Forwards | 3,792,274 | - | 3,792,274 | - | ||||||||||||
Options purchased | 2,557,903 | 2,557,903 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 16,598,126 | $ | 12,805,852 | $ | 3,792,274 | $ | - | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Futures | $ | 9,140,541 | $ | 9,140,541 | $ | - | $ | - | ||||||||
Forwards | 3,674,523 | - | 3,674,523 | - | ||||||||||||
Options written | 2,801,304 | 2,801,304 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | $ | 15,616,368 | $ | 11,941,845 | $ | 3,674,523 | $ | - | ||||||||
|
|
|
|
|
|
|
|
December 31, 2019 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Assets | ||||||||||||||||
Futures | $ | 12,487,330 | $ | 12,487,330 | $ | - | $ | - | ||||||||
Forwards | 3,736,333 | - | 3,736,333 | - | ||||||||||||
Options purchased | 308,284 | 308,284 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | $ | 16,531,947 | $ | 12,795,614 | $ | 3,736,333 | $ | - | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Futures | $ | 9,382,711 | $ | 9,382,711 | $ | - | $ | - | ||||||||
Forwards | 3,480,664 | - | 3,480,664 | - | ||||||||||||
Options written | 169,935 | 169,935 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | $ | 13,033,310 | $ | 9,552,646 | $ | 3,480,664 | $ | - | ||||||||
|
|
|
|
|
|
|
|
December 31, 2021 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Assets | ||||||||||||||||
Futures | $ | 33,395,257 | $ | 33,395,257 | $ | - | $ | - | ||||||||
Forwards | 2,333,825 | - | 2,333,825 | - | ||||||||||||
Options purchased | 11,866,605 | 11,866,605 | - | - | ||||||||||||
Total assets | $ | 47,595,687 | $ | 45,261,862 | $ | 2,333,825 | $ | - | ||||||||
Liabilities | ||||||||||||||||
Futures | $ | 30,874,480 | $ | 30,874,480 | $ | - | $ | - | ||||||||
Forwards | 2,301,327 | - | 2,301,327 | - | ||||||||||||
Options written | 7,039,257 | 7,039,257 | - | - | ||||||||||||
Total liabilities | $ | 40,215,064 | $ | 37,913,737 | $ | 2,301,327 | $ | - | ||||||||
December 31, 2020 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Assets | ||||||||||||||||
Futures | $ | 10,247,949 | $ | 10,247,949 | $ | - | $ | - | ||||||||
Forwards | 3,792,274 | - | 3,792,274 | - | ||||||||||||
Options purchased | 2,557,903 | 2,557,903 | - | - | ||||||||||||
Total assets | $ | 16,598,126 | $ | 12,805,852 | $ | 3,792,274 | $ | - | ||||||||
Liabilities | ||||||||||||||||
Futures | $ | 9,140,541 | $ | 9,140,541 | $ | - | $ | - | ||||||||
Forwards | 3,674,523 | - | 3,674,523 | - | ||||||||||||
Options written | 2,801,304 | 2,801,304 | - | - | ||||||||||||
Total liabilities | $ | 15,616,368 | $ | 11,941,845 | $ | 3,674,523 | $ | - | ||||||||
6. | Investment in the Funds: |
63
On February 1, 2013, the Partnership allocated substantially all of its capital to MB Master, a limited partnership organized under the partnership laws of the State of Delaware. Effective November 30, 2018, the Partnership fully redeemed its investment in MB Master.
2021.
64
December 31, 2020 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
GSL Master | $ | 14,472,056 | $ | 65,928 | $ | 14,406,128 | ||||||
NL Master | 14,423,589 | 85,616 | 14,337,973 |
December 31, 2019 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
NL Master | $ | 22,919,671 | $ | 1,217,801 | $ | 21,701,870 | ||||||
Aquantum Master | 37,857,547 | 2,327,205 | 35,530,342 |
December 31, 2021 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
GSL Master | $ | 27,210,336 | $ | 6,284,765 | $ | 20,925,571 | ||||||
NL Master | 50,260,292 | 8,006,342 | 42,253,950 | |||||||||
December 31, 2020 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
GSL Master | $ | 14,472,056 | $ | 65,928 | $ | 14,406,128 | ||||||
NL Master | 14,423,589 | 85,616 | 14,337,973 |
For the year ended December 31, 2020 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
GSL Master (a) | $ | (43,875) | $ | (476,699) | $ | (520,574) | ||||||
NL Master | (68,277) | (377,694) | (445,971) | |||||||||
Aquantum Master | (404,975) | 1,636,543 | 1,231,568 |
For the year ended December 31, 2019 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
Harbour Square Master (b) | $ | (14,678) | $ | 160,848 | $ | 146,170 | ||||||
NL Master (c) | 152,833 | (6,328,890) | (6,176,057) | |||||||||
Aquantum Master (d) | (121,296) | (4,828,049) | (4,949,345) |
For the year ended December 31, 2021 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
GSL Master | $ | (180,767 | ) | $ | 31,753,338 | $ | 31,572,571 | |||||
NL Master | (264,783 | ) | 29,103,122 | 28,838,339 | ||||||||
For the year ended December 31, 2020 | ||||||||||||
Net Investment Income (Loss) | Total Trading Results | Net Income (Loss) | ||||||||||
GSL Master (a) | $ | (43,875 | ) | $ | (476,699 | ) | $ | (520,574 | ) | |||
NL Master | (68,277 | ) | (377,694 | ) | (445,971 | ) | ||||||
Aquantum Master | (404,975 | ) | 1,636,543 | 1,231,568 |
(a) | From November 1, 2020, commencement of operations for GSL Master, through December 31, 2020. |
|
|
|
65
�� | ||||||||||||||||||||||||||||||||||
December 31, 2020 | For the year ended December 31, 2020 | |||||||||||||||||||||||||||||||||
Funds | % of Partners’ Capital | Fair Value | Income (Loss) | Expenses | Net Income (Loss) | Investment Objective | Redemptions Permitted | |||||||||||||||||||||||||||
Clearing Fees | Professional Fees | |||||||||||||||||||||||||||||||||
GSL Master (a) | 17.23 % | $ | 14,407,041 | $ | (474,915) | $ | 15,660 | $ | 30,000 | $ | (520,575) | Commodity Portfolio | Monthly | |||||||||||||||||||||
NL Master | 3.19 % | 2,671,289 | (100,249) | 13,895 | 11,977 | (126,121) | Commodity Portfolio | Monthly | ||||||||||||||||||||||||||
Aquantum Master | - % | - | 800,023 | 207,526 | 30,309 | 562,188 | Commodity Portfolio | Monthly | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | 17,078,330 | $ | 224,859 | $ | 237,081 | $ | 72,286 | $ | (84,508) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
December 31, 2019 | For the year ended December 31, 2019 | |||||||||||||||||||||||||||||||||
% of Partners' Capital | Fair Value | Income (Loss) | Expenses | Net Income (Loss) | ||||||||||||||||||||||||||||||
Funds | Clearing Fees | Professional Fees | Investment Objective | Redemptions Permitted | ||||||||||||||||||||||||||||||
Harbour Square Master (b) | - % | $ | - | $ | 141,964 | $ | 7,656 | $ | 29,566 | $ | 104,742 | Commodity Portfolio | Monthly | |||||||||||||||||||||
NL Master (c) |
| 4.82 % | 4,427,510 | (1,327,556) | 19,738 | 14,904 | (1,362,198) | Commodity Portfolio | Monthly | |||||||||||||||||||||||||
Aquantum Master (d) | 16.68 % | 15,333,418 | (2,172,379) | 239,973 | 33,249 | (2,445,601) | Commodity Portfolio | Monthly | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | 19,760,928 | $ | (3,357,971) | $ | 267,367 | $ | 77,719 | $ | (3,703,057) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
December 31, 2021 | For the year ended December 31, 2021 | |||||||||||||||||||||||||||||||
% of Partners’ Capital | Expenses | Net Income (Loss) | ||||||||||||||||||||||||||||||
Funds | Fair Value | Income (Loss) | Clearing Fees | Professional Fees | Investment Objective | Redemptions Permitted | ||||||||||||||||||||||||||
GSL Master | 16.36 % | $ | 20,926,428 | $ | 31,762,143 | $ | 120,488 | $ | 69,086 | $ | 31,572,569 | Commodity Portfolio | Monthly | |||||||||||||||||||
NL Master | 8.59 % | 10,984,329 | 8,219,766 | 60,522 | 15,156 | 8,144,088 | Commodity Portfolio | Monthly | ||||||||||||||||||||||||
Total | $ | 31,910,757 | $ | 39,981,909 | $ | 181,010 | $ | 84,242 | $ | 39,716,657 | ||||||||||||||||||||||
December 31, 2020 | For the year ended December 31, 2020 | |||||||||||||||||||||||||||||||
% of | Expenses | Net | ||||||||||||||||||||||||||||||
Funds | Partners’ Capital | Fair Value | Income (Loss) | Clearing Fees | Professional Fees | Income (Loss) | Investment Objective | Redemptions Permitted | ||||||||||||||||||||||||
GSL Master (a) | 17.23 % | $ | 14,407,041 | $ | (474,915 | ) | $ | 15,660 | $ | 30,000 | $ | (520,575 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
NL Master | 3.19 % | 2,671,289 | (100,249 | ) | 13,895 | 11,977 | (126,121 | ) | Commodity Portfolio | Monthly | ||||||||||||||||||||||
Aquantum Master | - % | - | 800,023 | 207,526 | 30,309 | 562,188 | Commodity Portfolio | Monthly | ||||||||||||||||||||||||
Total | $ | 17,078,330 | $ | 224,859 | $ | 237,081 | $ | 72,286 | $ | (84,508 | ) | |||||||||||||||||||||
(a) | From November 1, 2020, the date the Partnership invested into GSL Master, through December 31, 2020. |
|
7. |
|
|
Subscriptions, Distributions and Redemptions: |
66
8. | Financial Highlights: |
2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||
Class A | Class D | Class Z ** | Class A | Class D | Class Z *** | Class A | Class D **** | |||||||||||||||||||||||||||||||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period/year): * | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gains (losses) | $ | 217.51 | $ | 171.18 | $ | 157.53 | $ | 111.36 | $ | 87.51 | $ | 90.94 | $ | 115.36 | $ | 36.19 | ||||||||||||||||||||||||
Net investment loss | (109.80) | (77.68) | (51.64) | (67.91) | (40.49) | (29.94) | (80.34) | (25.44) | ||||||||||||||||||||||||||||||||
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|
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|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Increase (decrease) for the period/year | 107.71 | 93.50 | 105.89 | 43.45 | 47.02 | 61.00 | 35.02 | 10.75 | ||||||||||||||||||||||||||||||||
Net asset value per Redeemable Unit, beginning of period/year | 1,344.11 | 1,057.77 | 1,066.54 | 1,300.66 | 1,010.75 | 1,008.04 | 1,265.64 | 1,000.00 | ||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value per Redeemable Unit, end of period/year | $ | 1,451.82 | $ | 1,151.27 | $ | 1,172.43 | $ | 1,344.11 | $ | 1,057.77 | $ | 1,069.04 | $ | 1,300.66 | $ | 1,010.75 | ||||||||||||||||||||||||
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2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||
Class A | Class D | Class Z ****** | Class A | Class D | Class Z ******* | Class A | Class D ******** | |||||||||||||||||||||||||||||||||
Ratios to Average Limited Partners’ Capital: |
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Net investment loss ***** | (7.9) | % | (7.0) | % | (5.1) | % | (5.2) | % | (3.9) | % | (3.0) | % | (6.4) | % | (4.1) | % | ||||||||||||||||||||||||
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Operating expenses | 5.6 | % | 4.8 | % | 4.2 | % | 6.1 | % | 4.8 | % | 4.0 | % | 6.5 | % | 5.1 | % | ||||||||||||||||||||||||
Incentive fees | 2.6 | % | 2.5 | % | 1.0 | % | 1.0 | % | 1.0 | % | 0.9 | % | 1.6 | % | 1.0 | % | ||||||||||||||||||||||||
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Total expenses | 8.2 | % | 7.3 | % | 5.2 | % | 7.1 | % | 5.8 | % | 4.9 | % | 8.1 | % | 6.1 | % | ||||||||||||||||||||||||
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Total return: | ||||||||||||||||||||||||||||||||||||||||
Total return before incentive fees | 10.7 | % | 11.5 | % | 10.9 | % | 4.4 | % | 5.7 | % | 7.0 | % | 4.4 | % | 2.1 | % | ||||||||||||||||||||||||
Incentive fees | (2.7) | % | (2.7) | % | (1.0) | % | (1.1) | % | (1.0) | % | (0.9) | % | (1.6) | % | (1.0) | % | ||||||||||||||||||||||||
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Total return after incentive fees | 8.0 | % | 8.8 | % | 9.9 | % | 3.3 | % | 4.7 | % | 6.1 | % | 2.8 | % | 1.1 | % | ||||||||||||||||||||||||
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2021 | 2020 | 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class D | Class Z ** | Class A | Class D | Class Z *** | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per Redeemable Unit Performance | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(for a unit outstanding throughout the period/year): * | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gains (losses) | $ | 1,130.71 | $ | 894.58 | $ | 891.22 | $ | 217.51 | $ | 171.18 | $ | 157.53 | $ | 111.36 | $ | 87.51 | $ | 90.94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss | (292.32 | ) | (229.75 | ) | (199.30 | ) | (109.80 | ) | (77.68 | ) | (51.64 | ) | (67.91 | ) | (40.49 | ) | (29.94 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) for the period/year | 838.39 | 664.83 | 691.92 | 107.71 | 93.50 | 105.89 | 43.45 | 47.02 | 61.00 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per Redeemable Unit, beginning of period/year | 1,451.82 | 1,151.27 | 1,172.43 | 1,344.11 | 1,057.77 | 1,066.54 | 1,300.66 | 1,010.75 | 1,008.04 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per Redeemable Unit, end of period/year | $ | 2,290.21 | $ | 1,816.10 | $ | 1,864.35 | $ | 1,451.82 | $ | 1,151.27 | $ | 1,172.43 | $ | 1,344.11 | $ | 1,057.77 | $ | 1,069.04 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class D | Class Z ***** | Class A | Class D | Class Z ****** | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Limited Partners’ Capital: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss **** | (14.7 | ) | % | (14.5 | ) | % | (12.3 | ) | % | (7.9 | ) | % | (7.0 | ) | % | (5.1 | ) | % | (5.2 | ) | % | (3.9 | ) | % | (3.0 | ) | % | |||||||||||||||||||||||||||||||||||||||||||||
Operating expenses | 4.4 | % | 4.4 | % | 3.6 | % | 5.6 | % | 4.8 | % | 4.2 | % | 6.1 | % | 4.8 | % | 4.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Incentive fees | 10.3 | % | 10.1 | % | 8.7 | % | 2.6 | % | 2.5 | % | 1.0 | % | 1.0 | % | 1.0 | % | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 14.7 | % | 14.5 | % | 12.3 | % | 8.2 | % | 7.3 | % | 5.2 | % | 7.1 | % | 5.8 | % | 4.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return before incentive fees | 71.9 | % | 71.7 | % | 71.1 | % | 10.7 | % | 11.5 | % | 10.9 | % | 4.4 | % | 5.7 | % | 7.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Incentive fees | (14.2 | ) | % | (14.0 | ) | % | (12.1 | ) | % | (2.7 | ) | % | (2.7 | ) | % | (1.0 | ) | % | (1.1 | ) | % | (1.0 | ) | % | (0.9 | ) | % | |||||||||||||||||||||||||||||||||||||||||||||
Total return after incentive fees | 57.7 | % | 57.7 | % | 59.0 | % | 8.0 | % | 8.8 | % | 9.9 | % | 3.3 | % | 4.7 | % | 6.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
* | Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses by the average number of Redeemable Units outstanding during the period/year. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. |
** | For the period from February 1, 2020 to December 31, 2020. |
*** | For the period from February 1, 2019 to December 31, 2019. |
**** |
Interest income less total expenses. |
***** |
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Annualized (except for incentive fees) and for the period from February 1, 2020 to December 31, 2020. |
****** | Annualized (except for incentive fees) and for the period from February 1, 2019 to December 31, 2019. |
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9. | Financial Instrument Risks: |
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Theentertainment), resulting in volatility in the global financial markets, disruption in global supply chains, increased unemployment, and operational challenges such as the temporary and permanent closures of businesses,
The rapidcontinuing development of this situation, precludes any prediction asit is not possible to accurately predict how the ultimate adversemarket disruptions caused by
10. | Subsequent Events: |
Also effective January 1, 2021, the management fee paid to Millburn was reduced to 1/12 of 1.0% (1.0% per year) of month-end Net Assets (as defined in the Management Agreement) and the incentive fee paid to Millburn was increased to 27.5% of New Trading Profits (as defined in the Management Agreement) earned by Millburn for the Partnership during the calendar year.
And also effective January 1, 2021, the Partnership is no longer offering Class D Redeemable Units.
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For the period from October 1, 2020 to December 31, 2020 | For the period from July 1, 2020 to September 30, 2020 | For the period from April 1, 2020 to June 30, 2020 | For the period from January 1, 2020 to March 31, 2020 | |||||||||||||
Total investment income | $ | 15,673 | $ | 18,826 | $ | 20,544 | $ | 242,475 | ||||||||
Total expenses | (1,007,953) | (2,341,103) | (1,334,565) | (2,388,446) | ||||||||||||
Total trading results | (717,301) | 9,144,876 | 920,897 | 4,231,565 | ||||||||||||
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Net income (loss) | $ | (1,709,581) | $ | 6,822,599 | $ | (393,124) | $ | 2,085,594 | ||||||||
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Increase (decrease) in net asset value per Redeemable Unit: | ||||||||||||||||
Class A | $ | (29.51) | $ | 112.83 | $ | (7.40) | $ | 31.79 | ||||||||
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Class D | $ | (22.66) | $ | 90.11 | $ | (2.39) | $ | 28.44 | ||||||||
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Class Z | $ | (20.81) | $ | 93.71 | $ | (0.33) | $ | 30.82 | ||||||||
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For the period from October 1, 2019 to December 31, 2019 | For the period from July 1, 2019 to September 30, 2019 | For the period from April 1, 2019 to June 30, 2019 | For the period from January 1, 2019 to March 31, 2019 | |||||||||||||
Total investment income | $ | 370,428 | $ | 480,574 | $ | 583,414 | $ | 590,301 | ||||||||
Total expenses | (2,160,621) | (1,582,390) | (1,576,213) | (2,014,353) | ||||||||||||
Total trading results | 5,239,438 | (1,155,845) | (34,710) | 4,633,549 | ||||||||||||
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Net income (loss) | $ | 3,449,245 | $ | (2,257,661) | $ | (1,027,509) | $ | 3,209,497 | ||||||||
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Increase (decrease) in net asset value per Redeemable Unit: | ||||||||||||||||
Class A | $ | 47.12 | $ | (29.12) | $ | (13.19) | $ | 38.64 | ||||||||
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Class D | $ | 40.30 | $ | (19.57) | $ | (7.02) | $ | 33.31 | ||||||||
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Class Z | $ | 42.69 | $ | (17.78) | $ | (5.09) | $ | 35.39 | ||||||||
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For the period from October 1, 2021 to December 31, 2021 | For the period from July 1, 2021 to September 30, 2021 | For the period from April 1, 2021 to June 30, 2021 | For the period from January 1, 2021 to March 31, 2021 | |||||||||||||
Total investment income | $ | 14,152 | $ | 11,882 | $ | 2,905 | $ | 9,132 | ||||||||
Total expenses | (2,614,080 | ) | (3,003,456 | ) | (2,754,020 | ) | (7,956,365 | ) | ||||||||
Total trading results | 7,958,774 | 9,847,519 | 8,853,961 | 37,016,883 | ||||||||||||
Net income (loss) | $ | 5,358,846 | $ | 6,855,945 | $ | 6,102,846 | $ | 29,069,650 | ||||||||
Increase (decrease) in net asset value per Redeemable Unit: | ||||||||||||||||
Class A | $ | 95.63 | $ | 122.68 | $ | 111.21 | $ | 508.87 | ||||||||
Class D | $ | 75.84 | $ | 97.28 | $ | 88.18 | $ | 403.53 | ||||||||
Class Z | $ | 81.46 | $ | 103.06 | $ | 93.35 | $ | 414.05 | ||||||||
For the period from October 1, 2020 to December 31, 2020 | For the period from July 1, 2020 to September 30, 2020 | For the period from April 1, 2020 to June 30, 2020 | For the period from January 1, 2020 to March 31, 2020 | |||||||||||||
Total investment income | $ | 15,673 | $ | 18,826 | $ | 20,544 | $ | 242,475 | ||||||||
Total expenses | (1,007,953 | ) | (2,341,103 | ) | (1,334,565 | ) | (2,388,446 | ) | ||||||||
Total trading results | (717,301 | ) | 9,144,876 | 920,897 | 4,231,565 | |||||||||||
Net income (loss) | $ | (1,709,581 | ) | $ | 6,822,599 | $ | (393,124 | ) | $ | 2,085,594 | ||||||
Increase (decrease) in net asset value per Redeemable Unit: | ||||||||||||||||
Class A | $ | (29.51 | ) | $ | 112.83 | $ | (7.40 | ) | $ | 31.79 | ||||||
Class D | $ | (22.66 | ) | $ | 90.11 | $ | (2.39 | ) | $ | 28.44 | ||||||
Class Z | $ | (20.81 | ) | $ | 93.71 | $ | (0.33 | ) | $ | 30.82 | ||||||
2020,2021, and, based on that evaluation, the General Partner’s President and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.20202021 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.January 1, 2021, the ongoing selling agent fee paid by the Partnership to Morgan Stanley Wealth Management was reduced for Class A Redeemable Unit holders from an annual rate of 1.00%February 25, 2022, Etsuko Jennings resigned as a director of the adjusted net assets of Class A Redeemable Units to an annual rate of 0.75% of the adjusted net assets of Class A Redeemable Units.Effective January 1, 2021, the management fee paid to Millburn was reduced to 1/12 of 1.0% (1.0% per year) of month-end Net Assets (as defined in the Management Agreement) and the incentive fee paid to Millburn was increased to 27.5% of New Trading Profits (as defined in the Management Agreement) earned by Millburn for the Partnership during the calendar year.Effective January 1, 2021, the Partnership is no longer offering Class D Redeemable Units.72
73
49,50, has been Chief Financial Officer and a principal of the General Partner since July 2014 and a Director of the General Partner since February 2016. Mr. Ross has been employed by Morgan Stanley Investment Management, a financial services firm, since September 2005, where his responsibilities include serving as an Assistant Treasurer of Morgan Stanley with respect to certain investment vehicles publicly offered by Morgan Stanley. Mr. Ross is also an Executive Director of the Morgan Stanley Fund Administration Group where he is responsible for finance and accounting matters for certain private funds offered by Morgan Stanley. Before joining Morgan Stanley Investment Management, Mr. Ross was employed by JPMorgan Investor Services Co., a financial services firm, from December 1997 through September 2005, where his responsibilities included serving as a Vice President responsible for the accounting of certain funds sponsored by JPMorgan Chase & Co. and other large fund families serviced by JPMorgan Investor Services Co. From April 1997 to December 1997, Mr. Ross was employed by Investors Bank & Trust, a financial services firm, where his responsibilities included performing mutual fund accounting for financial services firms. Mr. Ross began his career at Putnam Investments LLC, a financial services firm, where he was responsible for providing broker services for certain funds sponsored by Putnam Investments LLC from August 1996 to April 1997. Mr. Ross received a B.S. in Accounting from Rhode Island College in May 1995.53,54, has been a Director of the General Partner and listed as a principal since November 2016. Since January 2008, Mr. Graver has served as Managing Director of Morgan Stanley Investment Management, a financial services firm, and Chief Operating Officer for Morgan Stanley AIP Fund of Hedge Funds, a business unit offering managed portfolios of hedge funds. Since November 2015, Mr. Graver has been listed as a principal and director of Morgan Stanley AIP Cayman GP Ltd., a commodity pool operator. From January 2005 to January 2008, Mr. Graver served as Executive Director of Morgan Stanley Investment Management and from August 2003 to January 2005, Mr. Graver served as Vice President of Morgan Stanley Investment Management. From August 2003 to January 2008, Mr. Graver’s primary responsibilities included serving as Head of Operational Due Diligence for Morgan Stanley AIP Fund of Hedge Funds in which role he oversaw due diligence into operational factors of alternative investment entities. From July 1997 to July 2003, Mr. Graver was employed by PricewaterhouseCoopers LLP, an international auditing and professional services firm, where he served as a senior audit manager and was responsible for managing independent audits of financial services firms. From June 1993 to June 1997, Mr. Graver was employed by PNC Bank, a bank offering consumer and corporate services, where he served as a mutual fund accounting manager and was responsible for managing an accounting team that performed daily accounting functions and valuation calculations for a group of mutual funds. From July 1989 through June 1993, Mr. Graver was employed by Coopers & Lybrand LLP, a predecessor accounting firm to PricewaterhouseCoopers LLP, where he was a senior audit associate and was responsible for performing audits of financial services firms. Mr. Graver earned his Bachelor of Science degree in Accounting in May 1989 from Pennsylvania State University and Masters of Business Administration from Villanova University in May 2002.Etsuko Jennings, age 62, has been a Director of the General Partner since September 2018. She has been a Managing Director of Morgan Stanley Investment Management since January 2007 and is currently head of the Operational Risk group for Morgan Stanley Investment Management’s Global Risk and Analysis division, responsible for ongoing analysis as well as reporting and mitigation of operational risk. She joined Morgan Stanley in 1985 and has approximately 22 years of investment experience. Previously, she managed a variety of strategic initiatives in the Global Operations group. Before that, Ms. Jennings was a member of the firm’s IT department in New York, Tokyo and London where she developed and managed trading and accounting systems. She received a B.A. from Keio University’s School of Letters/International Program in Japan and an M.A. in international relations from the University of North Carolina at Chapel Hill.74
(2) Name of Beneficial Owner (3) Amount and Nature of Beneficial Class Z Redeemable Units 2021:2021,2022, the Partnership knows of no persons who beneficially own more than 5% of the Redeemable Units outstanding.2020:(1) Title of Class
Ownership (4) Percent of
Class General Partner 862.8760 79.4% General Partner 748.1180 64.1% 20202021 and 20192020 for the audits of the Partnership’s annual financial statements, reviews of financial statements included in the Partnership’s Forms2019 $126,67020202021 and 20192020 for professional services in connection with tax compliance, tax advice and tax planning.75
2020.
2020.
2019.
2019.
3.1(a) | ||
(b) | ||
(c) | ||
(d) | ||
(e) | ||
(f) | ||
(g) | ||
(h) | ||
(i) | ||
3.2(a) | ||
3.2(b) | ||
4.1 | ||
10.1(a) | ||
(b) | ||
(b) | ||
10.3 |
(b) | |||
10.5 | |||
10.6 | |||
10.7 | |||
10.8 | |||
10.9 | |||
10.10(a) | |||
(b) | |||
10.11 | |||
10.12 | |||
11.1 | |||
99.1 | |||
99.2 | |||
The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by reference: | |||
31.1 | |||
31.2 | |||
32.1 | |||
32.2 | |||
101.INS | Inline XBRL Instance Document. | ||
101.SCH | Inline XBRL Taxonomy Extension Schema Document. | ||
101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document. | ||
101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document. | ||
101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document. | ||
101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document. | ||
104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). |
77
By: | Ceres Managed Futures LLC | |
(General Partner) | ||
By: | /s/ Patrick T. Egan | |
Patrick T. Egan | ||
President & Director | ||
Date: March |
/s/ Patrick T. Egan | ||||||||
/s/ Matthew R. Graver | /s/ Steven Ross | |||||||
Patrick T. Egan | Matthew R. Graver | |||||||
Steven Ross | ||||||||
President and Director | Director | Chief Financial Officer and Director | ||||||
Ceres Managed Futures LLC | Ceres Managed Futures LLC | Ceres Managed Futures LLC | ||||||
Date: March 24, 2022 | Date: March 24, 2022 | |||||||
Date: March | 24, 2022 |
78