Description of Current Charges

Market Sectors

The Fund trades speculatively, through the allocation of its assets to Trading Advisors, in U.S. and international futures markets, and may trade or hold futures, forwards, swaps or options. Specifically, the Fund trades futures on agricultural commodities, currencies, energy products, equity indices, interest rate instruments, metals and single stock futures. The Fund also trades forward currency contracts and may trade options, swaps and other forwards other than currencies in the future.

Market Types

The Fund trades on a variety of U.S. and international futures exchanges. As in the case of its market sector allocations, the Fund’s commitments to different types of markets - U.S. and non-U.S., regulated and non-regulated - differ substantially from time to time, as well as over time, and may change at any time if a Trading Advisor, with the approval of the General Partner, determines such change to be in the best interests of the Fund.

Regulations

The Fund is a registrant with the SEC pursuant to the 1934 Act. As a registrant, the Fund is subject to the regulations of the SEC and the reporting requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the CFTC, an agency of the U.S. government, which regulates most aspects of the commodity futures industry; rules of the NFA, an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of futures commission merchants, futures brokers and Interbank market makers through which the Fund trades.

Commodity exchanges in the U.S. are subject to regulation under the Commodity Exchange Act (“CEAct”), by the CFTC, the governmental agency having responsibility for regulation of commodity exchanges and commodity interest trading conducted thereon. The function of the CFTC is to implement the objectives of the CEAct of preventing price manipulation and excessive speculation and promoting orderly and efficient commodities markets. In addition, the various commodity exchanges themselves exercise regulatory and supervisory authority over their members.

The CFTC has exclusive authority to designate exchanges for the trading of specific futures contracts and options on futures contracts and physicals and to prescribe rules and regulations for the marketing of each. The CFTC also possesses exclusive jurisdiction to regulate the activities of commodity trading advisors, commodity pool operators, introducing brokers, futures commodity merchants, swap dealers and floor brokers, among others, and may suspend, modify or terminate the registration of any registrant for failure to comply with CFTC rules or regulations. Furthermore, the CEAct establishes an administrative procedure under which commodity customers may institute complaints for damages arising from alleged violations of the CEAct by persons registered with the CFTC (“reparations”). The CEAct also gives the states certain powers to enforce its provisions and the regulations of the CFTC.

Pursuant to authority in the CEAct, the NFA has been formed and registered with the CFTC as a “registered futures association.” At the present time, the NFA is the only non-exchange self-regulatory organization for commodities professionals. The CFTC has delegated to the NFA responsibility for certain registration processing. The General Partner, the Fund’s futures brokers and swap dealers are members of the NFA (the Fund itself is not required to become a member of the NFA). As members, they are subject to NFA standards relating to fair trade practices, financial condition and consumer protection. As the self-regulatory body of the commodities industry, the NFA promulgates rules governing the conduct of commodity professionals and disciplines those professionals which do not comply with such standards. The NFA also arbitrates disputes between members and their customers and conducts registration and fitness screening of applicants for membership and audits of its existing members.

The regulations of the CFTC and the NFA prohibit any representation by a person registered with the CFTC or by any member of the NFA that such registration or membership, respectively, in any respect indicates that the CFTC or the NFA, as the case may be, has approved or endorsed such person or such person’s trading program or objectives. The registrations and memberships described above must not be considered as constituting any such approval or endorsement. No commodity exchange has given or will give any such approval or endorsement.

The regulation of commodity trading in the U.S. and other countries is an evolving area of law, particularly in the context of implementing various aspects of Dodd-Frank and similar laws being implemented in other countries. The various statements made herein are subject to modification by legislative action and changes in the rules and regulations of the CFTC, NFA, and commodity exchanges or other regulatory bodies.

Competition

The Fund operates in a competitive environment in which it faces several forms of competition, including, without limitation, the following:

Available Information

Available Information

The Fund files Forms 10-Q, 10-K, 8-K, 3 and 4, as required, with the SEC. The public may read and copy any materials filed with the SEC at the SEC’s Public Reference Room at 100 F Street, N.E., Washington, D.C. 20549. Additional information about the Reference Room may be obtained by calling the SEC at (800) SEC-0330. Reports filed electronically with the SEC may be found at http://www.sec.gov.

Reports to Security Holders

None.

Enforceability of Civil Liabilities Against Foreign Persons

None.

No Limitations on Trading Policies

The Fund’s Partnership Agreement places no limitation on the trading policies the General Partner may pursue for the Fund.

Potential Increase in Leverage

The General Partner may increase the leverage used with a particular Trading Advisor by the use of notional funds. Notional funds are used when a Trading Advisor is instructed to trade an account according to its trading system under the assumption that the account is larger than the actual cash or securities on hand. This additional leverage, while creating additional profit potential which the General Partner feels may be appropriate with certain Trading Advisors in light of the Fund’s multi-trader diversification, also increases the risk of loss to the Fund. It is anticipated that the General Partner will allocate between $1 and $2 to the Trading Advisors for every $1 of equity in the Fund. Throughout 2021,2022, the Fund maintained a notional trading level of approximately $1.60 for every $1 of equity in the Fund.

Volatility

The volatility of the Fund is expected to be similar to what it has been in the past, although it could be more or less volatile in the future depending upon the volatility of the market, the success of the Trading Advisors and the level of notional funding used by the General Partner in its allocations to the Trading Advisors.

Liquidity

Liquidity

Although the Fund offers monthly redemptions, the Fund may delay payment if special circumstances require, such as a market emergency that prevents the liquidation of commodity positions or a delay or default in payment to the Fund by a futures broker or a counterparty.

Coronavirus (COVID-19) Pandemic

The ongoing coronavirus situation could cause unpredictable rapid market changes and increased volatility, which could negatively affect the trading programs of the Trading Advisors.

Fund Expenses Will Be Substantial

The Fund is obligated to pay brokerage expenses, Trading Advisor management and incentive fees, General Partner management and incentive fees, ongoing selling agent fees, Cash Manager fees and other administrative fees, regardless of whether it realizes profits. The Fund will need to make substantial trading profits to avoid depletion of its assets from these expenses.

Reliance on General Partner

The Fund’s success depends significantly on the General Partner’s ability to select Trading Advisors and support the operations of the Fund.

Dependence on Key Personnel

The General Partner is dependent on the services of key management personnel.

Reliance on the Trading Advisors

The Fund’s success depends largely on the ability of its Trading Advisors. There can be no assurance that their trading methods will produce profits (or not generate losses). Past performance is not necessarily indicative of future results.

Reliance on Futures Brokers’ Financial Condition

If one of the futures brokers becomes insolvent, the Fund might incur a loss of all or a portion of the funds it had deposited directly or indirectly with such futures broker. There is no government insurance for commodity brokerage accounts. Such a loss could occur if one of the futures brokers unlawfully failed to segregate its customers’ funds or if a customer failed to pay a deficiency in its account.

Use of Cash Manager

A significant percentage of the Fund’s assets not placed as margin with the futures brokers are managed by PGI. Using investment guidelines established by the General Partner, PGI may invest the excess margin in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Investment in Other Investment Pools

The Fund invests in other pools. The Fund expects to be liable to those pools (e.g., limited partners), only for the amount of its investment plus any undistributed profits. However, there can be no assurance in this regard, and the Fund might invest as a general partner if the situation warranted, and thus be liable for additional amounts. If the Fund does invest in other pools, investors in the Fund could be subject to additional fees, as the Fund would be charged fees by the other pools.

Investment in pools (or similar investment vehicles), as distinguished from direct participation in the markets, has several potential disadvantages. Those investments may increase the Fund’s expenses, since the Fund will have to pay its pro rata share of the expenses borne by the investors in the pools, and the pools may have higher expenses. The Fund will generally be a minority investor in those pools and thus lack control over the pools. The pools might (a) change trading policies, strategies and trading advisors without prior notice to the Fund; (b) substantially restrict the ability of their investors to withdraw their capital from the pools; (c) be new ventures with little or no operating history; (d) be general rather than limited partnerships, thus increasing the Fund’s liability; and/or (e) use aggressive leveraging policies.

Use of Electronic Trading

The Trading Advisors may use electronic trading while implementing their strategies on behalf of the Fund. Electronic trading differs from traditional methods of trading. Electronic system transactions are subject to the rules and regulations of the exchanges offering the system or listing the specific contracts. Attributes of electronic trading may vary widely among the various electronic trading systems with respect to order requirements, processes and administration. There may also be differences regarding conditions for access and reasons for termination and limitations on the types of orders that may be placed into the system. These factors may present various risk factors with respect to trading on or using a specific system. Electronic trading systems may also possess particular risks related to system access, varying response times and security procedures. Internet enabled systems may also have additional risks associated with service providers and the delivery and monitoring of electronic communications.

Electronic trading may also be subject to risks associated with system or component failure. In the event of system or component failure, it is possible that a Trading Advisor may not be able to initiate new orders, fill existing orders or modify or cancel orders that were previously entered, as well as exit existing positions. System or component failure may also result in loss of orders or order priority. Some contracts offered on an electronic trading system may also be traded electronically and through open outcry during the same trading hours. Exchanges offering an electronic trading system which lists contracts may have implemented rules to limit their liability, the liability of futures brokers, as well as software and communication system vendors and the damages that may be collected for system inoperability and delays. These limitations of liability provisions may vary among the various exchanges.

Changes in Trading Strategies

The trading strategies of the Trading Advisors are continually developing. The Trading Advisors are free to make any changes in their trading strategies, without notice, if they feel that doing so will be in the Fund’s best interest. The General Partner will notify the limited partners of any such changes that the General Partner considers material. Changes in commodities or the markets traded shall not be deemed a change in trading strategy.

Disadvantages of Periodic Incentive Fees

Because the Trading Advisor incentive fees (if any) are paid on a quarterly or annual basis, they could receive incentive fees for a period even though their trading for the year was unprofitable. Once an incentive fee is paid, the Trading Advisors retain the fee regardless of their subsequent performance, but no new incentive fees will be paid until after all previous losses have been recovered.

Disadvantages of Multi-Trader Structure

The Fund’s use of multiple Trading Advisors to conduct its trading has several potential disadvantages. Each Trading Advisor is paid incentive fees solely on the basis of its trading for the Fund. The Fund, therefore, could have periods in which it pays fees to one or more Trading Advisors even though the Fund, as a whole, has a loss for the period (because the losses incurred by the Fund from unprofitable Trading Advisors exceed the profits earned by the Fund from profitable Trading Advisors).

Because the Trading Advisors trade independently of each other, they may establish offsetting positions for the Fund. For example, one Trading Advisor may sell 12 March wheat contracts at the same time another Trading Advisor buys 12 March wheat contracts. The net effect for the Fund will be the incurring of two brokerage commissions without the potential for earning a profit (or incurring a loss).

Under certain unusual circumstances, the Fund might have to direct a Trading Advisor to liquidate positions in order to generate funds needed to meet margin calls, to fund the redemption of Units, or to permit the reallocation of funds to another Trading Advisor. Such liquidations could disrupt the Trading Advisor’s trading system or method.

Disadvantages of Replacing Trading Advisors

The General Partner has the authority to reallocate the Fund’s assets among the Trading Advisors, terminate Trading Advisors and allocate assets to new Trading Advisor(s), or invest the Fund’s assets in other investment funds or commodity pools.

Trading Advisors generally have to “make up” previous trading losses incurred by the Fund on portions of the Fund the Trading Advisors are managing, before they can earn an incentive fee. However, a Trading Advisor might terminate its services to the Fund or the General Partner might decide to replace a Trading Advisor when it has such a loss carry-forward. The Fund might have to pay a new Trading Advisor higher advisory fees than are currently being paid to the current Trading Advisor. In addition, the Fund would lose the potential benefit of not having to pay the Trading Advisor an incentive fee during the time that the Trading Advisor was generating profits that made up for the prior losses. The replacement Trading Advisor would “start from scratch,” that is, the Fund would have to pay a new Trading Advisor an incentive fee for each dollar of profit it generated for the Fund, regardless of the Fund’s previous experience.

Limited Partners Do Not Participate in Management

Limited partners are not entitled to participate in the management of the Fund or the conduct of its business.

Non-Transferability of Units

Investors may acquire Units only for investment and not for resale, and the Units are transferable only with the General Partner’s consent, provided that the economic benefits of ownership of a limited partner may be transferred or assigned without the consent of the General Partner. There will be no resale market for the Units. However, limited partners may redeem all or (subject to certain limitations) any portion of their Units at the end of any month, on five business days’ written notice to the General Partner.

Possible Adverse Effect of Large Redemptions

The Trading Advisors’ trading strategies could be disrupted by large redemptions by limited partners. For example, such redemptions could require the Trading Advisors to prematurely liquidate futures positions they had established for the Fund.

Mandatory Redemptions

The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a nonexempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund or (c) necessary to comply with state, federal, or other self-regulatory organization regulations.

Cybersecurity Breaches

The Fund and Traders are subject to risks associated with a breach in their cybersecurity. Cybersecurity is a generic term used to describe the technology, processes and practices designed to protect networks, systems, computers, programs and data from “hacking” by other computer users, other unauthorized access and the resulting damage and disruption of hardware and software systems, loss or corruption of data as well as misappropriation of confidential information. If a cybersecurity breach occurs, the Fund may incur substantial costs, including (without limitation) those associated with: forensic analysis of the origin and scope of the breach; increased and upgraded cybersecurity; investment losses from sabotaged trading systems; identity theft; unauthorized use of proprietary information; litigation; adverse investor reaction; the unauthorized dissemination of confidential and proprietary information; and reputational damage. Any such breach could expose each of the General Partner, the applicable Trader, and/or the Fund to civil liability as well as regulatory inquiry and/or action. In addition, any such breach could cause substantial withdrawals from the Fund.

Indemnification

The Fund is required to indemnify the General Partner, the Trading Advisors and the futures brokers, and their affiliates, against various liabilities they may incur in providing services to the Fund, provided the indemnified party met the standard of conduct specified in the applicable indemnification clause. The Fund’s indemnification obligations could require the Fund to make substantial indemnification payments.

Termination of Fund

The Fund will have an indefinite lifetime, unless terminated earlier as provided in the Partnership Agreement. For example, the General Partner can withdraw as general partner on 90 days’ prior written notice, and such a withdrawal could result in termination of the Fund. The General Partner has no present intention of withdrawing and intends to continue the Fund business as long as it believes that it is in the best interest of all partners to do so. In addition, certain other events may occur which could result in early termination.

Lack of Regulation

The Fund is not an investment company under the federal securities laws. Thus, limited partners will not have the benefits of federal regulation of investment companies.

Conflicts of Interest

The General Partner and its principals have organized and are involved in other business ventures and may have incentives to favor certain of these ventures over the Fund. The Fund will not share in the risks or rewards of such other ventures. However, such other ventures will compete for the General Partner’s and its principals’ time and attention, which might create other conflicts of interest. The Partnership Agreement does not require the General Partner to devote any particular amount of time to the Fund.

The General Partner or any of its affiliates or any person connected with it may invest in, directly or indirectly, or manage or advise other investment funds or accounts which invest in assets which may also be purchased or sold by the Fund. Neither the General Partner nor any of its affiliates nor any person connected with it is under any obligation to offer investment opportunities of which any of them becomes aware to the Fund or to account to the Fund in respect of (or share with the Fund or inform the Fund of) any such transaction or any benefit received by any of them from any such transaction, but will allocate such opportunities on an equitable basis between the Fund and other clients.

Payment of Incentive Fees to the Trading Advisors

The Trading Advisors are entitled to incentive fees, therefore the Trading Advisors may have an incentive to cause the Fund to make riskier or more speculative investments than it otherwise would.

Personal Trading

The Trading Advisors, the futures brokers, the General Partner and the principals and affiliates thereof may trade commodity interests for their own account. In such trading, positions might be taken which are opposite those of the Fund, or that compete with the Fund’s trades.

Trades by the Trading Advisors and their Principals

The Trading Advisors and their principals may trade for their own accounts in addition to directing trading for client accounts. Therefore, the Trading Advisors and their principals may be deemed to have a conflict of interest concerning the sequence in which orders for transactions will be transmitted for execution. Additionally, a potential conflict may occur when the Trading Advisors and their principals, as a result of a neutral allocation system, testing a new trading system, trading their own proprietary account(s) more aggressively, or any other actions that would not constitute a violation of fiduciary duties, take positions in their own proprietary account(s) which are opposite, or ahead of, the position(s) taken for a client. Proprietary accounts, in trading a new or experimental system, may enter the same markets earlier than (either days before or on the same day) client accounts traded at the same or other futures commission merchants. Since the principals of the Trading Advisors trade futures and foreign exchange for their own accounts, there is potentially a conflict of interest between these principals and the Trading Advisors’ clients when allocating prices on trades that are executed by a futures commission merchant at multiple prices. In such instances, the Trading Advisors use a non-preferential method of fill allocation. The clients of the Trading Advisors will not be permitted to inspect the personal trading records of the Trading Advisors, futures brokers and forward currency counterparties, or their respective principals, or the written policies relating to such trading. Client records are not available for inspection due to their confidential nature.

Effects of Speculative Position Limits

The CFTC and domestic exchanges have established speculative position limits on the maximum net long or net short futures position which any person, or group of persons, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures traded on U.S. commodity exchanges. All commodity accounts owned or controlled by the Trading Advisors and their principals are combined for speculative position limits. Because speculative position limits allow the Trading Advisors and their principals to control only a limited number of contracts in any one commodity, the Trading Advisors and their principals are potentially subject to a conflict among the interests of all accounts the Trading Advisors and their principals control which are competing for shares of that limited number of contracts. There exists a conflict between the Trading Advisors’ interest in maintaining a smaller position in an individual client’s account in order to also provide positions in the specific commodity to other accounts under management and the personal accounts of the Trading Advisors and their principals. The General Partner does not believe, however, that the position limits are likely to impair the Trading Advisors’ trading for the Fund, although it is possible the issue could arise in the future.

To the extent that position limits restrict the total number of commodity positions which may be held by the Fund and those other accounts, the Trading Advisors will allocate the orders equitably between the Fund and such other accounts. Similarly, where orders for the same commodity given on behalf of both the Fund and other accounts managed by the Trading Advisors cannot be executed in full, the Trading Advisors will equitably allocate between the Fund and such other accounts that portion of the total quantity able to be executed.

Other Activities of the Principals of the Advisors

Certain principals of the Trading Advisors are currently engaged, and expect in the future to be engaged, in other activities, some of which may involve other business activities in the futures industry. In addition, each principal of the Trading Advisors may be engaged in trading for his own personal account. The principals will have a conflict of interest between their obligations to devote all of their attention to client accounts and their interests in engaging in other activities. However, the principals of the Trading Advisors intend to devote substantial attention to the operation and activities of the Trading Advisors consistent with the division of responsibilities among them as is described herein.

Fiduciary Responsibility of the General Partner

The General Partner has a fiduciary duty to the Fund to exercise good faith and fairness in all dealings affecting the Fund. If a limited partner believes this duty has been violated, he/she may seek legal relief under applicable law, for himself/herself and other similarly situated partners, or on behalf of the Fund. However, it may be difficult for limited partners to obtain relief because of the changing nature of the law in this area, the vagueness of standards defining required conduct and the broad discretion given the General Partner in the Partnership Agreement and the exculpatory provisions therein.

Selling Agents

The receipt by the selling agents and their registered representatives of continued sales commissions and/or servicing fees for outstanding Units may give them an incentive to advise limited partners to remain investors in the Fund. These payments cease to the extent the limited partners withdraw from the Fund.

The General Partner Serving as Selling Agent

The General Partner also serves as a selling agent for the Fund. As a result, the fees and other compensation received by the General Partner as selling agent have not been independently negotiated.

Futures Brokers

The futures brokers affect transactions for customers (including public and private commodity pools), including the Fund, who may compete with the Fund’s transactions including with respect to priorities or order entry. Since the identities of the purchaser and seller are not disclosed until after the trade, it is possible that the futures brokers could affect transactions for the Fund in which the other parties to the transactions are the futures brokers’ officers, directors, employees, customers or affiliates. Such persons might also compete with the Fund in making purchases or sales of commodities without knowing that the Fund is also bidding on such commodities. Since orders are filled in the order in which they are received by a particular floor broker, transactions for any of such persons might be executed when similar trades for the Fund are not executed or are executed at less favorable prices. However, in entering orders for the Fund and other customer accounts, including with respect to priorities of order entry and allocations of executed trades, CFTC regulations prohibit a futures commission merchant from utilizing its knowledge of one customer’s trades for its own or its other customer’s benefit.

None.

The Fund does not use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts, cash and fixed income instruments.

The General Partner’s principal business office is in Excelsior, Minnesota.

None.

Not applicable.

Not applicable.

PART II

Market Information

No class of Units of the Fund is publicly traded. Interests in the Fund may be transferred or redeemed subject to the conditions imposed by the Partnership Agreement.

Each class of Units is offered continuously by selling agents on a best-efforts basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the first business day of each month. The minimum investment for Class A, A2, A3, B and R Units is $10,000, and for Class I Units it is $2,000,000.

Holders

As of February 28, 2022,2023, the number of holder of units by class were:

Dividends

The General Partner has sole discretion in determining what distributions, if any, the Fund will make to its limited partners. From inception through the date of this filing, the General Partner has not made any distributions.

Securities Authorized for Issuance under Equity Compensation Plans

No Units were authorized for issuance under equity compensation plans.

Recent Sales of Unregistered Securities and Use of Proceeds from Registered Securities

There were no sales of unregistered securities of the Fund during the year ended December 31, 2021.2022.

The proceeds of the sale of registered securities are deposited in the Fund’s bank and brokerage accounts for the purpose of engaging in trading activities in accordance with the Fund’s trading policies and the Trading Advisors’ trading programs.

Issuer Purchases of Equity Securities

All classes of Units are eligible for redemption on a continuous basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the last business day of each month. Redemptions may be made by a limited partner as of the last business day of any month at the net asset value on such redemption date of the redeemed Units (or portion thereof) on that date, on five business days’ prior written notice to the General Partner. Partial redemptions must be for at least $1,000, unless such requirement is waived by the General Partner. In addition, if making a partial redemption, the limited partner must maintain at least $10,000 or his or her original investment amount, whichever is less, in the Fund unless such requirement is waived by the General Partner.

Redemptions of Units during the fourth quarter 20212022 were as follows:

There were no redemptions of Class A2, A3 or I Units during the fourth quarter.

The following selected financial data of the Fund as of and for the years ended December 31, 2022, 2021, 2020, 2019 2018 and 20172018 is derived from the financial statements that have been audited by RSM US LLP, the Fund’s independent registered public accountant. This financial data should be read in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” and with the Fund’s financial statements and notes thereto, included elsewhere in this Annual Report on Form 10-K.

Certain amounts in the selected financial information prior to 20212022 have been reclassified to conform to the 20202021 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

Results from past periods are not necessarily indicative of results that may be expected for any future period.

¹Class A2 Units were introduced in December 2018. Total return for 2018 is for the period from introduction to year end and is not annualized.

² Class A3 Units were introduced in July 2019. Total return for 2019 is for the period from introduction to year end and is not annualized.annualized

^{3 2}Class RA3 Units were introduced in April 2017.July 2020. Total return is for 20172020 is for the period from introduction to year end and is not annualized.

³ Class R Units were introduced in April 2018. Total return is for 2018 is for the period from introduction to year end and is not annualized.

The following unaudited supplementary summarized quarterly data are presented for the three-months ended March 31, June 30, September 30 and December 31, 20212022 and 2020.2021.

Current Positioning

The outcome of the ongoing coronavirus situation is uncertain and could have a positive or negative impact on the performance of the Fund. In addition to the tragic human impacts of the virus, the resulting economic fallout appears recessionary. The past two U.S. recessions, in 2000 and 2008, were two of the best performing periods for the Fund. However, the future will not unfold exactly like the past and the Fund’s performance in the future is unknowable.

The Fund’s exposures evolve dynamically based on the tactical opportunities perceived by the underlying systematic trading programs. As macroeconomic trends change course, for example becoming more bearish, we would expect the portfolio’s exposures to adapt accordingly. For example, the Fund’s current positioning has changed substantially from year end.

During February 2021, the Fund removed Quantitative Asset Management as Trading Advisor. In March 2021, the Fund made an investment in a private investment company. In November 2021, the Fund added R.G. Niederhoffer Capital Management, Inc. as Trading Advisor.

Results of Operations

The returns for each class of Units for the years ended, or periods ended from inception to, December 31, 2022, 2021 and 2020 and 2019 were:

† Inception date: July 1, 2019.

Results from past periods are not necessarily indicative of results that may be expected for any future period. Monthly analysis of the trading gains and losses is provided below.

2022

January

As the new COVID-19 variant’s control and impact on financial markets lessened, fears of an aggressive Federal Reserve and inflation took hold. These events drove the S&P 500 Index down by about -9.7% in the opening weeks of 2022. The January Federal Reserve meeting saw a continuation of the hawkish stance set forth by the central bank, indicating the need to begin raising interest rates and winding down its $9 billion balance sheet. This drove yields higher as investors rotated out of fixed income securities. The U.S. 10-Year Treasury rose 0.27% in January, to close the month at 1.78%. Much to the surprise of economists, the U.S. added half a million new jobs in the month, showing the resilience of the labor market through the Omicron variant wave. Against the backdrop of geopolitical tensions with Russia and Ukraine, along with rising global demand, oil prices continued their upward trend as West Texas Intermediate surged over +17% to start the year.

Futures Portfolio Fund’s modest negative returns in January were driven by interest rates and equity indices, while energy and agricultural commodities contributed positively to performance. Despite the overall negative return for the month, the Fund’s ability to go both long and short helped mitigate losses relative to major bond and equity indices. In fixed income, mixed bond positioning detracted as yields finished the month significantly higher. Also detracting was long equity positioning, as volatility in the U.S. and abroad proved difficult for the Fund’s managers. In energy trading, consistent long oil and oil product positioning contributed the most, as prices rose sharply due to the aforementioned reasons. The Fund finished with a net loss of (0.36)%, (0.25)%, (0.26)%, (0.21)%, (0.14)% and (0.20)% for Class A, A2, A3, B, I, and R Units, respectively.

February

COVID-19 related market shocks continue to fall by the wayside as rising interest rates and geopolitical tensions dominated the headlines in February. The combination of these events drove the S&P 500 Index down -2.99% in February, bringing year-to-date 2022 performance down to -8.01%. The continued hawkish stance by the Federal Reserve, coupled with persistent high inflation metrics drove bond yields higher for much of the month. This upward trend in bonds quickly shifted on reports of the invasion of Ukraine by Russia. The U.S. 10-Year Treasury fell from highs around 2% as investors quickly shifted to risk-off assets. This level of rates marks a new high since late 2019. Against the backdrop of geopolitical tensions with Russia and Ukraine, oil prices continued their blistering upward trend as West Texas Intermediate surged over +9% in February, bringing the year-to-date increase up over +28%.

Futures Portfolio Fund’s positive returns in February were driven by energy, agricultural commodities, and interest rates, while currencies and stock indices modestly detracted from performance. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped mitigate losses relative to major bond and equity indices. In energy, consistent long oil and oil product positioning contributed positively as supply fears stemmed from aforementioned reasons. Also contributing were long agricultural positioning which benefited from supply constraints. Detracting from performance was short dollar and long equity positioning, as volatility in those markets proved difficult for the Fund’s managers. The Fund finished with a net gain of 1.97%, 2.09%, 2.07%, 2.12%, 2.20% and 2.14% for Class A, A2, A3, B, I, and R Units, respectively.

March

Rising interest rates and the war in Ukraine dominated news headlines in March. While the S&P 500 Index finished the month up +3.71%, these events contributed to a significant amount of volatility, bringing year-to-date performance for the equity index down -4.60%. Renewed hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields up during the month. Most notably, on the last day of March, the U.S. 2-year Treasury yield briefly rose above the U.S. 10-year yield, also known as an “inversion”, which was last seen in 2019. Investors view this market phenomenon as a potential warning signal of a looming recession. Against the backdrop of Russia’s attack on Ukraine, oil prices continued their blistering upward trend as West Texas Intermediate surged over +7% in March, bringing the year-to-date increase up over +38%, reaching its highest level since 2008.

Futures Portfolio Fund’s strong return in March (+9.37%) received positive contributions from all sectors with energy, currencies, and interest rates leading the way. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped mitigate losses relative to major bond and equity indices in 2022. In energy, deceasing long positioning contributed positively as supply fears stemmed from the aforementioned reasons. Also contributing was long dollar/short foreign currency positioning, which benefited from a flight-to-quality early in the month. Consistent short bond positioning also contributed as yields rose across the globe on the back of rising inflation. While metals, agricultural commodities, and stock indices lagged the other sectors, we are still pleased with their contribution to overall portfolio performance and diversification. The Fund finished with a net gain of 9.12%, 9.25%, 9.24%, 9.29%, 9.37% and 9.30% for Class A, A2, A3, B, I, and R Units, respectively.

April

As Russia’s invasion of Ukraine entered its 3rd month, investors continued to size up daily news flow out of the region along with the increasing pressures of inflation. The S&P 500 Index added to its negative 2022 performance as April proved to be the worst month for the index since March of 2020, bringing the YTD return to down -12.92%. Continued hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields higher during the month. Most notably, the U.S. 10-year yield encroached on a critical 3% level, a point not seen since late 2018. Against the backdrop of Russia’s attack on Ukraine and the uncertainty of supply, oil prices continued their upward trend as West Texas Intermediate surged over +3% in April, bringing the year-to-date increase up over +43%.

Futures Portfolio Fund added to its strong start in 2022 with contributions from currencies, interest rates, energy products, and agricultural commodities, while equities modestly detracted. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide positive performance against the losses by major bond and equity indices in 2022. In currency trading, long U.S. dollar positioning throughout the month contributed positively as real yields moved into positive territory along with a boost from the flight to safety. Also contributing was consistent short bond positioning as yields rose across the globe on the back of rising inflation. Choppy equity markets (as opposed to more sustained trends) provided a difficult environment for the Fund’s managers to take advantage of. As we enter the second quarter of 2022, we are pleased with the portfolio performance and diversification it is providing investors. The Fund finished with a net gain of 5.88%, 6.00%, 5.99%, 6.04%, 6.12% and 6.06% for Class A, A2, A3, B, I, and R Units, respectively.

May

Rising inflation and concerns surrounding China’s zero COVID policy drove financial markets in May as investors assessed their subsequent impact on global economic growth. The S&P 500 Index posted modestly positive performance in May, bringing year-to-date performance to down -12.76%. The Index’s slight gain did not come without its fair share of volatility as numerous companies issued cautious outlooks, raising questions about economic growth and health of the consumer. Additionally, U.S. 10-year yields encroached on a critical 3% level, a point not seen since late 2018. Against the backdrop of Russia’s attack on Ukraine and the uncertainty of supply, oil prices continued their upward trend as West Texas Intermediate surged over +11% in May, bringing the year-to-date increase up over +60%.

Futures Portfolio Fund (“the Fund”) had a small net loss in May, as currencies, interest rates, and agricultural commodities gave back some of their sizable gains from earlier in the year. In currency trading, long U.S. dollar positioning throughout the month detracted as the extended rally stalled on the back of slowing U.S. yield increases. Also detracting from performance was fixed income as range-bound markets provided a difficult trading environment for the Fund’s managers. Energy trading was a positive contributor during the month, however, as consistent long exposure was able to capture the general upward trend due to aforementioned reasons. The Fund finished with a net loss of (0.98)%, (0.86)%, (0.88)%, (0.83)%, (0.75)%, and (0.81)% for Class A, A2, A3, B, I, and R Units, respectively.

June

While the macro drivers from earlier in the year continued into June, market participants’ focus shifted to the Federal Reserve’s response to these events. The S&P 500 Index added to its negative year-to-date return as June, down -8.25%, proved to be the second worst month this year. This brought the 2022 return to down -19.96% for the Index. Continued hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields higher during the month. Most notably, the U.S. 10-year treasury yield rose to 3.49%, before retreating and closing the month below 3%.

Futures Portfolio Fund (“the Fund”) had a small net loss in June, as agricultural commodities and energy products gave back some of their sizable gains from earlier in the year. Gains in interest rates and currency trading were not enough to offset the aforementioned losses. Agricultural commodities, specifically grains markets, detracted most from performance as persistently long positions were hurt by better-than-expected news regarding weather, crop conditions, and exports from Ukraine. Contributing the most to performance was short fixed income positioning as volatile markets provided ample trading opportunities to the Fund’s trading advisors. The Fund finished with a net loss of (0.98)%, (0.87)%, (0.83)%, (0.76)%, and (0.82)% for Class A, A2, B, I, and R Units, respectively.

July

Both stocks and bonds rebounded in July. While employment metrics remain robust, falling energy prices and slowing economic growth boosted hopes that inflation is potentially peaking. Accordingly, market participants became more optimistic that the Fed’s interest rate hiking cycle may end sooner than previously thought which contributed to the rally in equities and fixed income. The S&P 500 Index posted its best month since 2020, up +9.22%, bringing year-to-date performance to down -12.58%. Bond yields fell steadily, with the U.S. 10-year treasury yield finishing July at 2.64%, down from a high of 3.5%, earlier in the year.

While Futures Portfolio Fund (“the Fund”) has been able to capitalize on most of the dominant trends in the markets this year, the Fund had a negative return in July, with all major sectors experiencing losses. As persistent trends reversed, the largest losses were realized in interest rates, where long duration fixed income, specifically in Europe, detracted most from performance. Additionally, within the equity sector, short European positioning turned unprofitable as quickly reversing and volatile markets created a difficult environment for the Fund’s trading advisors. The Fund finished with a net loss of (4.59)%, (4.48)%, (4.45)%, (4.37)% and (4.43)% for Class A, A2, B, I, and R Units, respectively.

August

Both stocks and bonds resumed their year-to-date downward trend in August. While employment metrics remained historically robust, a hawkish Federal Reserve, to combat inflation, signaled to markets the aggressive interest rate hikes were not over. The S&P 500 Index was down -4.08% for the month, bringing year-to-date performance to down -16.14%. August signaled the seventh month, out of eight so far in 2022, in which broad-based stock and bond indices moved in the same direction. The Bloomberg U.S. Aggregate Bond Index was down -2.83% as bond yields rose quickly. The U.S. 10-year Treasury yield finished August at 3.15%, down from a high of 3.5%, earlier in the year.

Futures Portfolio Fund added to its strong performance in 2022 with contributions from currencies and interest rates, while equities and agricultural commodities modestly detracted. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return against the losses sustained by major bond and equity indices. In currency trading, long U.S. dollar positioning throughout the month contributed positively as relatively high interest rates in the U.S. attracted foreign investment along with a boost from flight to safety. Also contributing was short bond positioning as yields rose across the globe on the back of rising inflation. Choppy equity markets, however, provided a difficult environment for the Fund’s managers. As we enter the latter part of 2022, we are pleased with the portfolio’s performance and diversification it is providing investors. The Fund finished with a net gain of 3.58%, 3.70%, 3.73%, 3.81% and 3.75% for Class A, A2, B, I, and R Units, respectively.

September

Both stocks and bonds continued their downward trend in September. The Federal Reserve maintained its hawkish stance amid elevated inflation reports, signaling to markets the aggressive rate hikes were far from over. The S&P 500 Index was down -9.21% in September, its worst month since March of 2020, bringing the year-to-date return to negative -23.87%. The Bloomberg U.S. Aggregate Bond Index was also down, -4.32%, its worst month since February 1980. This marked the eighth month out of nine in 2022 in which broad-based stock and bond indices moved in the same direction. Oil markets fell as recessionary fears, sparked by a Federal Reserve misstep, overwhelmed supply concerns relating to geopolitical tensions.

Futures Portfolio Fund added to its solid performance in 2022 with contributions from currencies and interest rates, while energies and agricultural commodities modestly detracted. The strong month again highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices. In currency trading, long U.S. dollar positioning contributed positively as relatively high interest rates in the U.S. attracted foreign investment along with a boost from flight to safety. Also contributing was short bond positioning as yields rose across the globe on the back of rising inflation. Volatile energy prices, however, provided a difficult environment for the Fund’s managers, resulting in small losses. As we enter the latter part of 2022, we are pleased with the portfolio’s performance and the diversification it is providing investors. The Fund finished with a net gain of 5.10%, 5.22%, 5.26%, 5.34% and 5.27% for Class A, A2, B, I, and R Units, respectively.

October

Stocks rebounded in October, in sharp contrast to the prior month, while bonds did not fare so well, continuing the yearlong downward trend in fixed income. Optimism of a potential pause in interest rate hikes buoyed global equity markets. The S&P 500 Index was up +8.10% in October, its second-best month in 2022, bringing the year-to-date return to -17.70%. The Bloomberg U.S. Aggregate Bond Index was down -1.30%, bringing the year-to-date return to -15.72%. Oil markets climbed as recessionary fears cooled, supporting demand expectations, and OPEC announced production cuts to support falling prices.

Futures Portfolio Fund added to its solid performance in 2022 with contributions from energy products and stock indices, while agricultural commodities modestly detracted. The positive month once again highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices. In energy trading, long positioning in oil and oil-related products contributed positively as markets rose for the aforementioned reasons. Also profitable in October were equities, particularly long Asian indices, as prices rose amid anticipation that economic conditions were improving. Volatile agricultural commodity prices provided a difficult environment for the Fund’s managers, resulting in small losses. The Fund finished with a net gain of 0.97%, 1.09%, 1.12%, 1.20% and 1.14% for Class A, A2, B, I, and R Units, respectively.

November

Stocks continued to recover in November, adding to last month’s gains, bringing the year-to-date return for the S&P 50 Index to -13.10%. Bonds posted their first positive month since July, up +3.68%, and best month since December 2008. Despite the positive month, the Bloomberg U.S. Aggregate Bond Index continues to be in its most difficult performance period since its inception in 1980, down -12.62% year-to-date. Positively impacting both equity and fixed income was optimism surrounding a potential peak in inflation and possible pause in rate hikes. As a result, the U.S. Dollar had its largest monthly loss since July 2010, down -5%, bringing its year-to-date return to +10.40%.

Futures Portfolio Fund (the “Fund”) fell in November, posting its first monthly loss since July as many major trends, which had heavily contributed to year-to-date performance, sharply reversed course. While all major sectors detracted, the Fund’s managers were able to adjust for heightened market volatility and adjust position sizing accordingly. This nimble approach, inherent in managing risk, allowed the Fund to stay well in positive territory when it comes to the largest positive contributing markets thus far in 2022. Despite the negative performance, this month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices thus far in 2022. The Fund finished with a net loss of (9.01)%, (8.90)%, (8.87)%, (8.80)% and (8.85)% for Class A, A2, B, I, and R Units, respectively.

December

The S&P 500 Index resumed its downward trend in December, dropping -5.76% and capping off its largest annual loss since 2008, down -18.11% for the year. In addition, bonds failed to protect investor capital, selling off -0.45% during the month and finishing the year down -13.01%, which was the worst year on record for the Bloomberg U.S. Aggregate Bond Index. Negatively impacting equity and fixed income markets was pessimism surrounding potential Federal Reserve policy missteps in the central bank’s pursuit to stifle elevated inflation. The U.S. Dollar, which had gained for much of the year, but reversed course in October, continued to slide, down over -2%, bringing its year-to-date return to just over +7.50%.

Futures Portfolio Fund (the “Fund”) fell modestly in December as low volatility and range-bound markets provided limited trading opportunities for the Fund’s managers. While a majority of the Fund’s sectors detracted from performance, the Fund was profitable in fixed income trading. Despite the negative performance, this month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices in 2022. The Fund finished with a net loss of (1.63)%, (1.52)%, (1.48)%, (1.41)% and (1.47)% for Class A, A2, B, I, and R Units, respectively.

2021

January

Much of January was marked by increasing confidence in a post-pandemic global recovery along with ongoing accommodative monetary policy which helped lift equities for the greater part of the month. Ultimately global stocks finished down in January, however, as COVID variants and unusual retail activity in several highly shorted stocks rattled investor confidence late in the month. Global bond yields rose (prices fell) with the 10-year U.S. Treasury yield surging above 1%, buoyed by expectations for additional stimulus. Commodity prices also moved higher led by gains in energy and agricultural markets. In oil markets, Saudi Arabia unexpectedly cut production helping to boost prices. Finally, the U.S. Dollar strengthened on higher Treasury yields and expectations for fiscal stimulus.

The Fund was profitable for most of January, continuing to build on bullish trends in agricultural products and equities. However, the volatility of the markets in the last few days of the month (the VIX spiked 62% on Jan. 27th) worked to offset those gains, resulting in a loss for the Fund that could not recovered before month-end. Overall, during the month unprofitable trading in currency and fixed income markets more than offset positive contributions from positions in agricultural commodities and, to a lesser extent, equities. Long foreign currency positions including the Euro and Yen were hurt by the rallying dollar, which clawed back some of its losses from last year. In fixed income trading, long exposure in the U.S. and Europe were hurt by rising rates. Long positions in agricultural commodities provided a lift, particularly in corn and soybean.

The Fund finished with a net loss of (2.02)%, (1.90)%, (1.92)%, (1.87)%, (1.80)% and (1.86)% for Class A, A2, A3, B, I, and R Units, respectively.

February

In February, the reflation trade remained the dominant theme for investors as encouraging economic data along with surging vaccination rates and declining COVID cases/hospitalization helped spur optimism. Against this backdrop, global equities moved higher with the rotation towards “re-opening stocks” continuing. Commodities prices soared as oil surged nearly 20% on the improving economic outlook along with constrained production. Copper moved above $4 per pound, its highest level since 2011. The bond market, as measured by the Bloomberg Barclay’s U.S. Aggregate Bond Index, was also impacted by the reflation trade and is now down -2.15% in 2021. These concerns led to a jump of approximately 50 basis-point in the 10-year U.S. Treasury yield, to 1.4%.

The Fund had a positive return for February, bringing its YTD return back into the black. Profitable trading in equity and commodity markets were the largest contributors as long positions benefitted from the upward push in risk assets. Within commodities, the largest gains stemmed from long exposure in energy, notably oil, while trading in metals and agricultural markets was also profitable. Fixed income produced losses, as rates seemed to have found a bottom, and the uptick hurt the Fund’s long positions. Trading models responded accordingly, and as a result, long exposure fell sharply with long- and medium-term instruments shifting short by the end of the month. The Fund finished with a net gain of 2.91%, 3.03%, 3.02%, 3.07%, 3.15% and 3.08% for Class A, A2, A3, B, I, and R Units, respectively.

March

In March, the Fed communicated its intention to maintain easy monetary policy until the economy is further along in its recovery. Market participants, however, were increasingly concerned about building inflationary pressure in the U.S. from improving economic growth, the rapid acceleration in vaccinations, and implications of the massive proposed $2 trillion infrastructure package and the recently passed $1.9 trillion American Rescue Plan Act of 2021. Accordingly, the 10-Year U.S. Treasury yield climbed to 1.75% intramonth as investors fear the Fed may need to act sooner than it is currently communicating. Yields in Europe were little changed, however, as the increasing number of COVID cases and potential for further lockdowns weighed on economic growth expectations. Global equities moved higher as the rotation toward cyclical “recovery” stocks continued. Commodity prices retreated with oil correcting on demand worries from European lockdowns/vaccine rollout along with the stronger dollar.

The Fund had a positive return in March. Profitable trading in equity and foreign currency positions were the largest contributors. Long positions in equities were buoyed by the continued strength in stocks, led by gains in European markets and, to a lesser extent, in the United States. Rising yields in the U.S. contributed to USD strength, which benefitted long dollar/short foreign currency positions, particularly in the Yen. The largest losses during the month were from commodities, particularly long silver positions as precious metals were pressured by rising yields and the strengthening dollar. The Fund finished with a net gain of 0.07%, 0.19%, 0.17%, 0.22%, 0.30% and 0.24% for Class A, A2, A3, B, I, and R Units, respectively.

April

Investor apprehension toward building inflationary pressure seemed to relax in April as the Federal Reserve maintained its easy monetary policy and Chairman Powell indicated it was too early to taper. This helped foster a positive environment for risk assets as market participants instead focused on the continued improvement in global economic activity. Concurrently, the worsening COVID-19 situation in India coupled with Europe’s slow progress in their vaccine rollout tempered growth expectations and contributed to the view that growth/inflation would not spiral out-of-control to the upside. Against this backdrop, global stock prices continued to climb. U.S. Treasury yields and dollar declined in April after moving higher in the first quarter. Eurozone bond yields, however, climbed during the month. The improving economic growth outlook and the weak dollar helped fuel the continued rally in commodities which saw prices for many markets set new multi-year highs.

The Fund had a positive return in April, benefitting from the reflationary trade driving risk assets higher, especially in the commodity and equity markets. In commodities, long exposure benefitted from higher prices in agricultural, energy, and base metal markets with notable contributors including corn, brent crude, and copper. The Fund’s long equity positions were also profitable, particularly in the U.S. while in fixed income, long European exposure accounted for the bulk of the losses as rates pushed higher. Unprofitable trading in currency markets was led by short positions in the Euro and Yen which reversed course by moving higher versus the U.S. dollar in April. The Fund finished with a net gain of 3.98%, 4.10%, 4.09%, 4.13%, 4.22% and 4.15% for Class A, A2, A3, B, I, and R Units, respectively.

May

Strengthening economic conditions helped push global stock prices modestly higher in May as the ongoing vaccine roll-out and supportive fiscal/monetary policy fueled the recovery. Evidence of the improving economic environment included the strong April 60.7 U.S. Manufacturing Purchasing Manager’s Index reading. In Europe, the Eurozone Manufacturing PMI was 62.9, also indicative of an expanding economy. While the global growth outlook strengthened, inflationary pressure continued to build with the CPI rising a larger than expected +4.2% in April, its fastest pace since 2008 and raising concerns of Fed tapering. These fears were alleviated in part by the disappointing non-farm payroll numbers which fell well short of expectations and helped soften concerns that the economy may overheat. Against this backdrop, commodity prices were generally mixed, though oil (West Texas Intermediate crude) prices moved to their highest level since 2018. Global bond yields were little changed while the U.S. dollar weakened.

The Fund’s positive return in May was driven by long positions in commodity markets. The largest gains in the sector were from long energy exposure, including oil and oil products along with power markets. Long exposure in metals was also profitable while long positions in agricultural commodities had losses, particularly grains where prices retreated from multi-year highs. Foreign currency trading was profitable, led by long positions in emerging market currencies which benefitted from rising commodity prices. The Fund also had gains from long positions in equities, particularly in the U.S. and Europe. Trading in fixed income produced small losses. The Fund finished with a gain loss of 2.05%, 2.17%, 2.15%, 2.20%, 2.28%, and 2.22%% for Class A, A2, A3, B, I, and R Units, respectively.

June

Economic conditions in the U.S. remain robust as recent data suggests the recovery continues to strengthen. The U.S. added a better-than-expected 850,000 jobs in June while wages were up +3.6% year-over-year. Consumer prices (CPI) jumped +5% in May, its fastest pace since August 2008 and higher-than-expected. The economic recovery outside the U.S. generally remains at a slower pace, with rising concerns regarding the spread of the delta variant, particularly in regions with lower vaccination rates. At the June meeting, the Fed’s stance shifted more hawkish as it projected two rate hikes in 2023. This contributed to the yield curve flattening as yields at the front end of the curve moved higher while longer duration yields moved lower as the Fed’s more hawkish comments tampered long-term inflation and growth expectations. Against this backdrop the U.S. dollar moved higher against other major currencies. Stocks and commodities also moved higher, with oil prices breaking out to the upside.

Futures Portfolio Fund returns were slightly positive in June, capping off a strong first half of the year. The Fund capitalized on rising oil prices as long exposure in oil and oil products boosted returns, led by gains from WTI positions. Trading elsewhere in commodities was slightly unprofitable with small losses in agricultural and metal markets. The largest losses were from currency trading as long foreign currency positions were hurt by the strengthening U.S. dollar. Trading in Fixed Income produced small losses as gains from long exposure in long-term instruments, where rates generally fell in June, were more than offset by losses from long positions in short-term fixed income where rates rose. Long equity exposure produced modest gains. The Fund finished with a net gain of 0.14%, 0.26%, 0.24%, 0.29%, 0.37% and 0.31% for Class A, A2, A3, B, I, and R Units, respectively.

July

Markets provided conflicting signals in July as the S&P 500 reached a new all-time high while global bond yields moved lower and, in the U.S., the yield curve flattened. The rapid spread of the Delta variant along with the more hawkish rhetoric from the Federal Reserve has shifted the economic outlook narrative. While fiscal and monetary policy remain supportive, market participants perhaps increasingly anticipate that future economic growth will not spiral out of control. This view was reinforced by the +6.5% rise in the second quarter U.S. GDP growth, well below the +8.5% consensus expectation. Commodity markets were mixed during the month as energy and industrial metals prices generally rose while agricultural commodity prices declined. The U.S. dollar declined slightly versus other major currencies.

Futures Portfolio Fund returns were slightly positive in July as positive contributions from fixed income trading more than offset losses by currency markets. In fixed income, long exposure in the U.S. and Europe benefitted from the downward move in global bond yields with the strongest contributions from the U.S. Treasury Bond, Australian 10-year, and the Euro Bund. Trading in foreign currency markets versus the U.S. dollar was unprofitable with the largest losses from short Euro and Yen positions. Commodity markets had small gains led by profitable long energy exposure, partially offset by small losses in agricultural and metal markets. Equity trading was slightly unprofitable led by losses from long positions in Asian markets, notably the Nikkei and Hang Seng. The Fund finished with a net gain of 0.18%, 0.30%, 0.28%, 0.33%, 0.41% and 0.35% for Class A, A2, A3, B, I, and R Units, respectively.

August

Global equity prices advanced during the month, supported by strong second quarter earnings and dovish comments from Fed Chair Jerome Powell. The Fed Chair reiterated his view that recent high inflation is likely transitory and that the Fed needs to be mindful of risks of tapering too aggressively while reassuring investors that rate hikes are not expected for some time. Meanwhile, economic growth showed signs of stalling, culminating in the jobs report that showed August nonfarm payroll growth of only 235,000 versus expectations for 720,000. Consumer confidence also slumped to its lowest level since February of this year. Global bond yields moved higher in August, both in the U.S. and international markets, while the U.S. Dollar slipped from a nine-month high on the dovish Fed comments. Commodity prices were down slightly in August, as oil prices declined sharply on concerns that the spike in COVID-19 cases globally would threaten the recovery in demand.

Futures Portfolio Fund’s returns were negative in August as the positive contributions from equity trading were offset by losses in fixed income and, to a lesser extent, commodities, and currency markets. In equities, persistent long U.S. exposure during the month produced the largest gains. Fixed income losses were primarily attributable to trading in European markets, particularly long positions in the Euro Bund and Buxl. Foreign currency trading was mixed, but overall had a small loss with a long Canadian Dollar position the most notable detractor. In commodities, gains from trading softs, natural gas, power, and precious metals were more than offset by losses in oil & oil products, grains, and base metal markets. The Fund finished with a net loss of (1.26)%, (1.14)%, (1.16)%, (1.11)%, (1.03)% and (1.09)% for Class A, A2, A3, B, I, and R Units, respectively.

September

Many global markets reversed course in September, leaving investors unsure about future Central Bank policy, world-wide economic growth, and the pandemic’s lasting impact. The S&P 500 Index was down -4.65% during the month of September. This pullback was concentrated in large cap technology names as represented by the NASDAQ which was down -5.31% during September. This sell off was heavily influenced by upward moving yields due to widespread inflation fears. Yields on the U.S. 10-year Treasury note finished the month at 1.53%, up from 1.30% at the end of August, a level not seen since June of this year. Initial unemployment claims ticked upward to 362,000 during the last week of September, up from 310,000 claims at the start of the month, a record low since the start of the pandemic. The U.S. Dollar continued its upward trend versus most major currencies against the backdrop of hawkish comments by the Federal Reserve. Oil prices remained at elevated levels as global travel continues to slowly return, closing the month at $75.03 a barrel, up over +50% this year.

Futures Portfolio Fund returns were slightly negative in September as positive contributions from Energy trading were offset by losses in fixed income and, to a lesser extent, equities. In energy, persistent long European natural gas and power markets contributed the most as gas supply concerns drove prices higher. Fixed income losses were primarily attributable to trading in U.S. and European markets, particularly long positions on the mid to long end of the U.S. Treasury yield curve. In foreign currency trading, relatively small gains came from long U.S. Dollar positioning, particularly against the Euro and Yen. The Fund finished with a net loss of (0.98)%, (0.86)%, (0.88)%, (0.83)%, (0.75)% and (0.81)% for Class A, A2, A3, B, I, and R Units, respectively.

October

After a brief pause in September, the S&P 500 Index resumed its upward trend, up +7.01% in October, and up +26.56% for the year. Strong corporate earnings combined with robust economic growth and accommodative Federal Reserve actions pushed the S&P 500 and NASDAQ to all time highs. Amidst higher equity prices, rising inflation continued to be on the minds of investors as labor shortages and supply bottlenecks have the potential to magnify issues during the busy Holiday shopping season. Movement on the U.S. 10-year note was modest, edging higher 0.02%. The U.S. economy added 531,000 jobs in October, bringing the unemployment rate down to 4.6%, a change of -0.2%. Oil prices continued to climb, reflecting the rising demand for global manufacturing and travel. The price of West Texas Intermediate, soared over 11% in October to $83.57 per barrel, up from $75.03 per barrel at the end of September. So far in 2021, WTI has exploded over 70%.

Futures Portfolio Fund’s positive returns in October were driven by energy, currency, and equity trading, while metals modestly detracted. In energy, persistent long oil and oil product positioning contributed the most as higher demand coupled with supply concerns drove prices higher. In foreign currency trading, gains came from long U.S. Dollar positioning, particularly against the Euro and Yen. In metals trading, short positioning in precious metals detracted as prices rallied. Overall, the Fund finished the month with a net loss of 4.32%, 4.44%, 4.42%, 4.47%, 4.55% and 4.49% for Class A, A2, A3, B, I and R Units, respectively.

November

Despite a strong start to November for global markets, a new COVID-19 variant emerged, spooking investors late in the month and causing reversals in many of the prevailing market trends. The S&P 500 Index finished down -0.69% as investors transitioned to risk-off assets. Amongst the resurfacing virus concerns, inflation fears also weighed on investors as Federal Reserve Chair Jerome Powell acknowledged elevated prices may not be transitory and that the Fed may need to accelerate its tapering program. Bond yields ended November modestly lower as rising yields earlier in the month reversed sharply following the emergence of the Omicron variant. Despite the U.S. economy adding just half as many jobs as expected, the unemployment rate continued to drop and reached its lowest level since the pandemic began. Oil prices broke their year-long upward trend, as West Texas Intermediate plummeted over 20% in November to $66.18 per barrel, down from $83.57 at the end of October.

Futures Portfolio Fund’s negative returns in November were driven by energy, equities, and agricultural commodities, while interest rates contributed positively to performance. Despite the overall negative return for the month, the Fund’s diversified approach helped mitigate losses as trend-following strategies were hit hard by the reversal in markets while short-term and systematic macro strategies performed better. In energy, persistent long oil and oil product positioning detracted the most as demand concerns surrounding the new variant and the potential for oversupply pushed prices lower. Also detracting was long equity positioning, specifically in the U.S., which was positive for the fund until the Thanksgiving Holiday. In fixed income, long positions in European bonds contributed as investors fled to risk-off assets, driving bond prices higher. Overall, the Fund finished the month with a net gain of (2.87)%, (2.76)%, (2.77)%, (2.73)%, (2.65)% and (2.71)% for Class A, A2, A3, B, I and R Units, respectively.

December

The new COVID-19 variant, Omicron, dominated global markets in the early days of December. As many unanswered questions about the variant were resolved, and fears of another economic shutdown diminished, market participants returned to risk-on assets in the latter half of the month, as shown by the S&P 500 Index, finishing December up +4.48%. All eyes then turned to the Fed and the plan to accelerate the taper along with the ensuing path of interest rates. The seemingly milder variant, along with persistent inflation, reduced the chances of a dovish Fed. This perceived hawkishness by the market drove yields on the US 10-Year Treasury to 1.52% at the end of December, up from 1.43% a month earlier. Despite the U.S. unemployment rate continuing to drop since pandemic highs, investors have begun to scrutinize labor shortages and the subsequent impact on the economic recovery. Oil prices resumed their year-long upward trend, as West Texas Intermediate rose over +13% in December.

Futures Portfolio Fund’s modest negative returns in December were driven by interest rates and metals, while equity indices and agricultural commodities contributed positively to performance. In fixed income, persistent long bond positioning detracted as yields rose significantly into the end of the month against the backdrop of the more hawkish Fed. Also modestly detracting was short precious metal positioning, as prices ticked higher in December amid lingering inflation worries. In equity indices, long positions in U.S. equities contributed positively as investors shifted back to risk-on assets. Overall, the Fund finished the month with a net gain of (0.43)%, (0.32)%, (0.33)%, (0.28)%, (0.20)% and (0.27)% for Class A, A2, A3, B, I and R Units, respectively.

2020

January

In January, capital markets were impacted by two significant developments. Early in the month, Iranian General Qassem Soleimani was killed in a U.S. airstrike. Iran responded with their own missile attack against a U.S. military base in Iraq, though tensions de-escalated from there. While global equity markets shrugged off these events, they fell later in the month as mounting concerns regarding the coronavirus outbreak fueled a risk-off stance by market participants. Speculation regarding the virus’ future effect on Chinese and global economic growth helped drive rates lower/bond prices higher. Gold also continued to surge as investors sought safe haven assets while oil prices sold-off sharply.

The Fund enjoyed a strong start to the year with the largest gains from long fixed income positions, which were boosted by falling rates. Foreign currency trading was profitable as long U.S. Dollar positions benefitted from the greenback’s strength. Long positions in equities were unprofitable, as stocks were hurt by the coronavirus fears during the second half of January. In commodities, long precious metals exposure was profitable. Energy trading also enjoyed gains as plunging natural gas prices provided a lift to short positions. Trading in agricultural commodities was not a significant factor. The Fund finished with a net gain of 3.19%, 3.31%, 3.30%, 3.34%, 3.43% and 3.36% for Class A, A2, A3, B, I, and R Units, respectively.

February

After the S&P 500 reached a new high in mid-February, intensifying coronavirus fears contributed to a massive sell-off in equities while the U.S. 10-year Treasury yield fell to an all-time low. The rapidity of the correction in the S&P 500 was historic as the Index experienced its fastest ever 10% sell-off. With the outbreak spreading outside of China and cases in Italy, Iran, and South Korea soaring, investors fled risk assets in droves as they grappled with how deeply and for how long quarantines, reduced travel, factories shutting down, school closures, etc. will negatively impact economic growth and corporate profitability. While the severity of the economic toll may be unknowable at this time, some recent datapoints, like the official Chinese PMI indicator which plunged to an all-time low of 35.7 in February, are certainly worrisome. As expectations for the Fed to take action quickly ramped, bond yields plunged. The U.S. dollar weakened and failed to act as a traditional safe haven asset. Meanwhile, the Japanese Yen and Euro rallied. In commodities, oil prices continued their collapse while gold, another traditional safe haven asset, declined during the market correction.

The Fund finished with a negative return for the month as the massive risk-off move by investors hurt long exposure in equities. Overall, foreign currency trading was not a significant factor during February though during the market correction a long U.S. dollar position was hurt by softness in the greenback. In commodities, short energy positions benefitted from declining oil and natural gas prices as economic growth concerns weighed heavily. Fixed income trading was the largest positive contributor for the Fund as weakening growth and rate cut expectations fueled the collapse in yields which benefitted long positions. The Fund finished with a net loss of (6.57)%, (6.46)%, (6.48)%, (6.43)%, (6.36)% and (6.42)% for Class A, A2, A3, B, I, and R Units, respectively.

March

As the COVID-19 global pandemic worsened and the world economy was brought to its knees, the stock market continued to plummet. At the steepest point of its drawdown, the S&P 500 fell -33.8% from its high before recovering late in the month. The actions taken to stem the advance of the virus are having an unprecedented effect on business activity. Second quarter GDP growth estimates are as dire as -40% while unemployment is expected to exceed the post-World War II high of 10.8%. In response to the crisis, massive stimulus measures have been undertaken by central banks and governments around the globe to inject liquidity and stabilize markets. U.S. Treasury yields reached historical lows in March. Briefly during the month, bonds failed to act as a safe haven asset as yields unexpectedly moved higher when bond prices fell. Meanwhile, oil prices collapsed as OPEC failed to reach a production cut agreement with Russia, resulting in an oil price war that coincided with an historic collapse in demand.

Positive returns during the 2^nd half of March, were not enough to offset losses during the first two weeks of the month. While equity exposure had shifted neutral by the end of the month, the Fund was hurt by long positions during that transition as stock prices continued their collapse. Fixed income trading has been highly profitable in 2020, but had small losses in March as gains from positions in U.S. Treasuries were offset by losses from overseas trading. Foreign currency trading was unprofitable while in commodities, short positions in energy were highly profitable as oil prices plummeted. The Fund finished with a net loss of (6.99)%, (6.88)%, (6.89)%, (6.85)%, (6.77)% and (6.83)% for Class A, A2, A3, B, I, and R Units, respectively.

April

Optimism regarding the potential for re-opening the economy sparked a massive relief rally in equities during April. After reaching its 2020 low on March 23^rd, the S&P 500 continued its recovery in April by gaining +12.8% and recouping much of its year-to-date losses. For now, market participants are looking past the disruption to the economy that has seen the number of individuals filing unemployment claims reach 33.5 million since mid-March, wiping out all of the post-Global Financial Crisis job creation. Instead, positive news on the COVID-19 treatment front, including Gilead’s Remdesivir and the push to re-open in the U.S. and abroad, buoyed investor spirits. U.S. bond yields were relatively stable during the month while yields in international instruments like the UK Gilt and German Bund declined. In an unprecedented development, the May 2020 West Texas Intermediate crude contract closed at -$37.63 the day prior to expiration as a collapse in demand and oil storage at capacity caused companies to pay buyers to take oil off their hands.

The Fund posted a positive return during April. While positioning fluctuated between long and short, trading in equities generated the largest profits. Long positions in fixed income also produced gains led by positions in U.S. Treasuries and the Euro Bund. Trading in commodities was also profitable, as long positions in precious metals and short positions in agricultural markets provided a boost. Trading in energy was not a significant performance driver as falling prices in the first half of the month reversed course during the latter half. Foreign currency trading was unprofitable in April, particularly a short position in the Australian Dollar. The Aussie dollar’s rally is likely attributable to the relative success that country has had containing the coronavirus and accordingly, a faster timeline to successfully reopening its economy. The Fund finished with a net gain of 2.08%, 2.20%, 2.19%, 2.23%, 2.31%, and 2.25% for Class A, A2, A3, B, I, and R Units, respectively.

May

May saw a continuation of the shift back toward risk assets as investors looked past the current economic weakness and the climbing number of COVID-19 cases. Instead, investors focused on the reopening of the global economy and path towards a return to “normal”. Continued responsiveness by central banks to support asset prices and indications that more can be done if necessary, further buoyed investor confidence. With investor enthusiasm surging, equities, as measured by the S&P 500, have now rallied nearly +40% off their March 23^rd low. In commodities, West Texas Intermediate (“WTI”) oil had its best monthly gain in its history, climbing an astounding ~90% in May to approximately $35/barrel. Bond yields were relatively unchanged at the shorter end of the curve which are anchored by the Fed. Yields for longer duration instruments pushed higher reflecting improving optimism regarding the economic outlook. The U.S. Dollar weakened, notably against the Euro which moved higher on improving risk appetite and passage of the $825 billion Coronavirus Recovery Fund by the EU.

The Fund had a slightly positive return in May led by profitable trading in equities, though exposure shifted between long and short during the month. In commodities, there were losses from short positions in the energy and agricultural sectors as prices rallied on hopes that the economy had bottomed. The Fund had small losses in fixed income and currency trading, as declining bond prices and a depreciation of the safe haven U.S. Dollar negatively impacted long positions in these markets. The Fund finished with a net gain of 0.21%, 0.32%, 0.31%, 0.35%, 0.43%, and 0.37% for Class A, A2, A3, B, I, and R Units, respectively.

June

Indications that economic conditions are bottoming helped buoy risk assets during June. Early in the month, equities surged following a remarkable U.S. employment report showing 2.5 million jobs added in May. Volatility returned intra-month, however, as concerns regarding a resurgence in COVID-19 cases as lock-downs were relaxed and heightened U.S./China trade tension ramped. Risk assets resumed their upward trajectory in the second half of June as accommodative monetary policy, improving economic data, and a belief that politicians would not re-impose strict lock-downs again, buoyed risk appetite. With investors looking at a global recovery, the world’s reserve currency (U.S. Dollar) weakened while cyclical commodity prices moved higher. Within fixed income markets, yields were relatively unchanged.

The Fund had slight losses in June led by unprofitable trading in currencies. While positioning shifted mid-month, long U.S. dollar exposure in the first half of the month detracted as the greenback weakened versus other major currencies. Long positions in fixed income and equities were profitable but were largely offset by losses from trading in commodities. While trading in energy has generated robust gains in 2020, short positions during June were unprofitable. The Fund finished with a net loss of (1.27)%, (1.15)%, (1.16)%, (1.12)%, (1.04)%, and (1.10)% for Class A, A2, A3, B, I, and R Units, , respectively.

July

Despite Q2 U.S. GDP plunging -32.9% on an annualized basis, investors in July remained optimistic. Instead, focusing on the recovery in economic data from its Q2 bottom and progress toward a COVID-19 vaccine. While economic activity continued to rebound, the daily number of new COVID-19 cases has been rising since mid-June. Accordingly, a growing number of states in the U.S. have paused or reversed their re-openings, threatening to slow or derail the fledgling recovery. Against this backdrop, however, risk assets including global stocks moved higher. Bond yields were lower with the U.S. 3- and 5-year Treasuries reaching historic lows. The U.S. Dollar Index had its largest monthly drop since 2010, as lower U.S. rates, lack of progress on additional fiscal stimulus, and the increasing number of COVID-19 cases weighed on the greenback. The weakening dollar and risk-on sentiment spurred cyclical commodity prices higher. Despite the move in risk assets, gold surged to an all-time high as dollar weakness, political tension and worsening U.S./China relations provided a lift to the safe haven asset.

The Fund had positive returns in July led by gains from equities and metals trading. In equities, long positions in the U.S. and developed Asian markets more than offset losses from short positions in Europe. In metals trading, the bulk of the gains were from long precious metal exposure, notably positions in gold and silver. Trading in fixed income was also profitable during the month, primarily attributable to long exposure in the U.S. In currency trading, long FX vs. U.S. dollar positions were slightly profitable, benefiting from the weakness in the greenback. Trading in energy and agricultural markets were slightly unprofitable during July. The Fund finished with a net gain of 2.95%, 3.07%, 3.06%, 3.11%, 3.19%, and 3.12% for Class A, A2, A3, B, I, and R Units, respectively.

August

Buoyed by solid economic data, strong corporate earnings, and a decline in new COVID-19 cases in the U.S., stock prices surged in August as the S&P 500 again reached an all-time high. Against this backdrop, government bond yields rose (bond prices fell) and the U.S. 10-year Treasury yield moved back above 0.70% before settling at 0.67% at the end of the month. Late in the month, the Fed announced a major policy shift, targeting a 2% average inflation rate, signaling that easy monetary policy will remain in place for the foreseeable future. As a result, the U.S. dollar continued its decline, reaching its lowest level since April 2018. The weakening dollar and improving economic sentiment helped lift commodity prices during the month, evidenced by strong gains in metals and in most agricultural commodities. In energy markets, natural gas prices surged as hot weather increased the demand for cooling, and Hurricane Laura shut down much of the Gulf Coast’s production.

The Fund finished the month with a negative return, as long bond positions in the U.S. and Europe were hurt by the rise in rates. Energy trading was also unprofitable, with short positions in natural gas impacted by the rise in demand and supply interruption. Somewhat offsetting these losses however were gains in long U.S. equity positions, and long exposure in base and precious metals, particularly silver and iron ore. Finally, long foreign currency positions, notably the Euro, Australian and New Zealand dollars, were profitable as the greenback continued to weaken versus other major currencies. The Fund finished with a net loss of (2.12)%, (2.01)%, (2.02)%, (1.98)%, (1.90)%, and (1.96)% for Class A, A2, A3, B, I, and R Units, respectively.

September

Investor appetite for risk was negatively impacted by economic growth concerns as the rising number of COVID-19 cases in Europe sparked fears of the potential for new lockdown measures. The likelihood of additional fiscal stimulus measures in the U.S. were dampened as Democrats and Republicans sparred over a replacement on the Supreme Court following the death of Supreme Court Justice Ruth Bader Ginsberg. Finally, AstraZeneca’s Phase 3 COVID-19 vaccine trial was put on hold following an adverse reaction by a participant in the UK. Against this backdrop, the S&P 500 fell nearly 10% from September 3^rd to September 23^rdwhile the tech-heavy NASDAQ Composite reached an official correction during that period. With stimulus efforts stalled and investors seeking safe-haven assets, the U.S. dollar rallied to a two-month high contributing to weakness in commodity prices which were also impacted by economic growth concerns. Yields in Europe generally declined slightly during the month while U.S. yields ended September little changed.

The Fund had negative returns during September. With investors migrating toward safe-haven assets, the Fund’s largest losses were from long foreign currency exposure versus the U.S. dollar which rallied off its August low. In precious metals, long silver positions were hurt as prices retreated sharply from multi-year highs on the strengthening dollar and increased uncertainty regarding the economic outlook. Finally, in equities the sell-off in stocks led to losses from long positions in Europe which were partially offset by gains from trading in U.S. markets. Long exposure in fixed income was profitable led by gains from positions in European markets. Short positions in oil and oil product also helped offset the aforementioned losses. The Fund finished with a net loss of (1.51)%, (1.39)%, (1.40)%, (1.36)%, (1.28)% and (1.34)% for Class A, A2, A3, B, I, and R Units, respectively.

October 

During October, investors were focused on the U.S. presidential election and rising COVID-19 cases in both the U.S. and Europe which set new record daily highs. Market participants’ anxiety increased as the surging case count caused several European countries to reintroduce national lockdown measures which will likely stifle economic growth. As the U.S. drew closer to the presidential election, stimulus negotiations broke down once again, creating additional uncertainty with respect to the sustainability of economic growth. Against this backdrop, the S&P 500 finished down -2.7% during October. This modest decline masked considerable volatility during the month, however, as the Index declined -7.4% from October 13th through October 30th. In fixed income markets, the U.S. 10-year yield moved higher, though yields in Europe fell as lockdown measures were implemented. The escalating coronavirus case count in Europe contributed to a move toward safe-haven currencies including the Japanese Yen and the U.S. dollar toward the end of the month. In commodities, oil prices declined as the outlook for economic growth weakened.

The Fund posted a negative return for October as losses during the back half of the month more than offset gains experienced in the first half. Long exposure in equities was the primary culprit, as positions were hurt by the sell-off in stocks that began mid-October. Losses were most acute in U.S. and European equity indices. Trading in currency markets produced the largest gains as short Euro and long Yen exposure benefited from the move towards safe-haven currencies. Elsewhere, trading in fixed income was profitable as long exposure in European markets where yields generally declined more than offset losses in the U.S where yields rose. In commodities, gains were made from short energy positions while long precious metals exposure detracted. Overall, the Fund finished the month with a net loss of (1.42)%, (1.31)%, (1.32)%, (1.27)%, (1.20)% and (1.26)% for Class A, A2, A3, B, I and R Units, respectively.

November

News of the Pfizer Phase 3 study showing its COVID-19 vaccine had more than 90% efficacy helped propel risk assets higher in November. This positive development helped assuage investor anxiety regarding new lockdown measures introduced by some states in the U.S. and in Europe as cases surged. This bullish sentiment suggested market participants were increasingly looking toward the other side of the pandemic and a recovery in the global economy. Despite the ongoing challenge by the Trump campaign, the conclusion of the U.S. Presidential election also seemed to reduce investor anxiety. Against this backdrop, global stock prices surged, enjoying double-digit percentage gains. Global bond yields also moved higher on prospects for an improving economy. The lack of progress on fiscal stimulus in the U.S., a rising COVID-19 case count in the U.S. versus Europe, and increased risk appetite all contributed to U.S. dollar weakness. Finally, prospects for an improving economy contributed to a surge in commodity prices, particularly oil, as West Texas Intermediate crude jumped to nearly $45 per barrel.

The Fund posted a positive return for November as long positions in equities benefitted from the big risk-on rally. Gains were particularly robust in the U.S., but also included solid contributions from positions in Japan and continental Europe. Though short positions in energy were significantly reduced during the month, trading in energy generated the largest losses. Long exposure in fixed income, particularly the long end of the curve also detracted. Finally, long positions in grain and base metal markets were profitable but were offset by losses from trading in currencies and precious metals. Overall, the Fund finished the month with a net gain of 2.88%, 3.00%, 2.99%, 3.03%, 3.12% and 3.05% for Class A, A2, A3, B, I and R Units, respectively.

December

In December, investor sentiment was buoyed by approvals of the first COVID-19 vaccines and optimism toward a post-pandemic economic recovery. Market participants looked past political uncertainty caused by President Trump’s ongoing challenge of the U.S. Presidential election as well as the surge in COVID-19 cases and increased lockdown measures. With investor sentiment toward risk assets remaining favorable, global stocks climbed higher. Commodity prices also advanced on recovery hopes with agricultural markets particularly strong due to dry weather in South America and an Argentinian export ban. Optimism regarding a global economic recovery, heightened appetite for risk, and progress toward a Brexit trade deal between the EU and UK contributed to U.S. dollar weakness.

The Fund posted a positive return for December as profitable trading in agricultural, metals, and equity indices more than offset losses from fixed income. Gains from trading in agricultural commodities were led by long soybean positions which were aided by dry weather in South America and strong demand which helped lift prices. In metals, a rebound in gold prices boosted long positions while long copper positions were buoyed by hopes for a cyclical recovery which led to copper prices reaching their highest level since 2012. In equity trading, the largest contributors were from long U.S. and Asian positions. Losses in fixed income were primarily from positions in the longer end of the curve, particularly in the US and Europe. Overall, the Fund finished the month with a net gain of 4.67%%, 4.79%, 4.78%, 4.82%, 4.91% and 4.84% for Class A, A2, A3, B, I and R Units, respectively.

2019

January

January saw a sharp rebound in equity indices following December’s sell-off. The Federal Reserve moderated its previous hawkish language and suggested it could pause interest rate hikes, which boosted investor optimism. Milder market expectations for U.S. monetary tightening led to a weakening of the U.S. Dollar and a helped to boost industrial commodities such as oil and metals. In Europe, concerns over the economic impact of an uncertain Brexit process led to a rally in bonds.

The month’s trend reversal in risk assets such as equities and oil proved challenging for the Fund’s trend-following programs, which began the year with defensive net short positioning. U.S. Dollar weakness, especially against commodity exporter currencies as the Canadian Dollar, also detracted from performance. The Fund did make gains in fixed income trading with long positions in European bonds, which rallied during the month. The Fund finished with a net loss of 3.31%, 3.20%, 3.16%, 3.08%, and 3.15% for Class A, A2, B, I, and R Units, respectively.

February

In February, the Federal Reserve and the European Central Bank affirmed they would be flexible and could adopt a less hawkish monetary policy stance in the near term as a result of softness in economic data. This led to a rally in global equity indices despite slowing GDP growth. U.S. and German bond yields were choppy, ending the month slightly higher, while the U.S. Dollar gained against most developed market currencies. In commodities, oil prices rose on global supply cuts, while agricultural commodities trended lower.

The Fund made gains with short positions in agricultural markets, particularly wheat and coffee, which saw large price declines. In currencies, long U.S. Dollar positions against the Euro were profitable. However, long U.S. and European bond positions detracted from performance. There were also modest losses in stock indices, as trend-following systems gradually transitioned out of short positions. The Fund finished with a net loss of 0.16%, 0.04%, 0.01% for Class A, A2, and B Units, respectively, and a net gain of 0.07% and 0.01% for Class I and R Units, respectively.

March

In March, investors grew increasingly worried about potential recession risks over the coming year, due to soft global economic data, as well as Brexit uncertainty and the unresolved trade conflict between the U.S. and China. As a result, the Federal Reserve indicated that it would pause rate hikes, while the European Central Bank signaled an accommodative stance. This caused a yield curve inversion in the U.S. with 10-Year Treasury yields falling below 3-Month rates, and it led to German 10-Year yields turning negative for the first time since 2016.

The Fund had a strong month, profiting from long positions in bonds, particularly in Europe, which rallied as a result of economic growth concerns. Long positions in stocks also added to performance, as equity markets were lifted by supportive central bank statements. In currencies, long U.S. Dollar positions against the Euro made a positive contribution. Performance in commodities was relatively flat with modest losses in energy markets. The Fund finished with a net gain of 4.82%, 4.94%, 4.98%, 5.07%, and 5.00% for Class A, A2, B, I, and R Units, respectively.

April

In April, better economic data propelled risk assets higher. U.S. first quarter GDP growth beat estimates, coming in at 3.2%, while Chinese economic activity also surprised to the upside. This led to a sell-off in bonds and perceived safe haven currencies such as the Japanese Yen and Swiss Franc, and a rally in pro-cyclical assets such as global equities, oil and emerging market currencies.

The Fund made a profit during the month across a range of sectors. In equities, gains came from net long positions in stock indices, as well as a short position in VIX futures. Currencies were also a positive contributor, through short positions in the Yen and the Franc, and long positions in a range of emerging markets. In energy, long positions in crude oil and refined oil products were profitable. Meanwhile, in the agricultural sector, the Fund benefited from downward trends in grain prices through short positions. The largest negative contribution came from long bond positions, which gave back some of the prior month’s gains. The Fund finished with a net gain of 1.28%, 1.40%, 1.43%, 1.51%, and 1.45% for Class A, A2, B, I, and R Units, respectively.

Liquidity

May

Escalating trade tensions dominated financial headlines in May. With the U.S. increasing its pressure on Chinese phone maker Huawei, trade negotiations between the two countries devolved into heated rhetoric and political brinksmanship. In addition, the U.S. threatened Mexico with punitive tariffs if it did not help to reduce illegal immigration. Trade concerns fed fears of faltering economic growth over the coming year, leading to an inversion of the front end of the yield curve as investors priced in the potential need for interest rate cuts by the Federal Reserve. Equities reversed their bullish trend and saw a sharp drop, with the S&P 500 Total Return Index falling 6.35% in May. Other risk assets such as oil and emerging market currencies also retreated during the month.

Reversals in global equity and energy markets had a negative impact on the Fund’s predominantly trend-following strategy, which came into the month with long positions in those markets. These losses were partially offset by gains in bonds as a rotation into defensive assets helped the Fund’s long fixed income positions. Short positions in agricultural commodities detracted from performance as poor weather in growing regions caused a rise in grain prices. The Fund finished with a net loss of 3.38%, 3.27%, 3.24%, 3.16%, and 3.22% for Class A, A2, B, I, and R Units, respectively.

June

In June, several leading indicators for economic growth weakened, prompting central banks around the world to make increasingly dovish policy signals. Global bond prices rallied as a result, with yields falling in most developed markets. German 10-year Bund yields tumbled further below zero, setting an all-time record low of -0.33%. Expectations that the Fed might cut U.S. interest rates more than other countries led to a weakening of the U.S. Dollar. Despite economic risks on the horizon, equity investors were focused on the potential for more monetary stimulus and progress in U.S./China trade talks, leading to a strong rise in stock indices.

The largest contributions in June came from long positions in global bonds and stocks. These gains were somewhat offset by losses in currencies, as a rebound in the Euro hurt the Fund’s short Euro positions. Commodities were a minor detractor, as oil and other markets saw trendless, choppy moves. Overall however, the Fund benefitted from sustained, sizable trends, and finished the month with strong positive performance. The Fund finished with a net gain of 3.42%, 3.54%, 3.57%, 3.65%, and 3.59% for Class A, A2, B, I, and R Units, respectively.

July

In July, financial markets focused their attention on anticipated central bank action. In Europe, investors expected further easing from both the European Central Bank and the Bank of England in response to weakening economic growth and the prospect of a hard Brexit under new UK Prime Minister Boris Johnson. As a result, bond yields fell in Germany and the UK, while the Euro and Pound Sterling depreciated against the U.S. Dollar. In the U.S., the Federal Reserve delivered its first interest rate cut in 10 years, in an attempt to offset risks from worsening business confidence indicators and deteriorating trade relations between the US and China. Global equity indices rose on the prospect of more central bank support, while gold rallied to its highest level since 2013 on the expectation of looser monetary policies.

Amid all this uncertainty and volatility, the Fund had a strong month. The currency sector was the largest contributor, as gains came from short positions in the Euro and Pound Sterling. The Fund was also profitable in the fixed income sector, as long positions benefited from the rally in European and UK bonds. Gains were also made in long equity positions, while performance was flat in physical commodities. The Fund finished with a net gain of 3.66%, 3.78%, 3.76%, 3.81%, 3.89%, and 3.83% for Class A, A2, A3, B, I, and R Units, respectively.

August

In August, financial markets became increasingly concerned about the potential impact of a trade war on global growth. The U.S. and China threatened each other with additional tariffs, and the Chinese currency depreciated to its weakest level since 2008. Meanwhile, in Europe, the prospect of a “no deal” Brexit became more likely. Global bonds rallied strongly in an environment of rising macroeconomic risks. U.S. 30-year Treasury bond yields declined to an all-time low of 1.95% during the month, while 10-year bond yields dropped further into negative territory in Japan, Germany and 11 other European countries. Global equities sold off during the month, while gold rallied.

The Fund enjoyed a strong month, even as risk assets like equities sold off. The largest gains came from long positions in a range of global bond futures. Modest long equity positions detracted from performance. However, the Fund profited in foreign exchange markets, through long U.S. Dollar positions against the Euro and emerging market currencies. Commodities were also a positive contributor, benefiting from short agricultural exposures, as well as long gold and short copper positions in the metals sector. The Fund finished with a net gain of 3.04%, 3.16%, 3.15%, 3.20%, 3.28%, and 3.21% for Class A, A2, A3, B, I, and R Units, respectively.

September

In September, investor risk appetite grew after signs of progress in U.S.-China trade relations, leading to a rise in global equity indices. Central banks in the U.S., Europe and Japan precipitated a sell-off in bonds after signaling that they saw limits on how much more they could push down interest rates and bond yields to support economic growth. In energy markets, a drone attack on Saudi facilities caused a temporary 15% spike in crude oil prices, the largest one day jump in over 10 years.

Some of the profitable trends from July and August made partial reversals in September. While the Fund made gains in long stock index positions, there were losses in fixed income futures as a result of a correction in bond prices. In the commodities sector, short positions in grains, short positions in energy and long positions in precious metals all saw declines on market reversals. The Fund finished with a net loss of 2.90%, 2.79%, 2.80%, 2.76%, 2.68% and 2.74% for Class A, A2, A3, B, I, and R Units, respectively.

October

In October, the Federal Reserve made its third interest rate cut of the year as global growth data continued to underwhelm. Market sentiment improved, however, as a result of apparent progress in both Brexit negotiations and the U.S.-China trade conflict. The UK was given a 3-month Brexit deadline extension, allowing time for a general election and a chance for the UK Prime Minister to try to build a parliamentary majority to approve a draft Brexit deal. This led to a “risk-on” rally in European stocks, a rebound in European currencies, particularly the British Pound, and a sell-off in global bonds. Meanwhile, the U.S. and China appeared willing to compromise in the first phase of trade talks towards a possible long-term agreement. This positive development led to a rotation out of bonds and into stocks in the U.S. and Asia.

The Fund saw declines in its long positions in global bonds, as investors rolled out of perceived safe-haven assets, reversing a bullish bond trend from earlier in the year. In the foreign exchange sector, short positions in the Euro and British Pound were also detractors as those currencies recovered. Commodities also saw a modest giveback as a result of choppy price action. However, the Fund did make gains in its long equity positions, capitalizing on stronger investor risk appetite during the month. The Fund finished with a net loss of 3.66%, 3.54%, 3.56%, 3.51%, 3.54%, and 3.50% for Class A, A2, A3, B, I, and R Units, respectively.

November

In November, global equities rallied as the U.S. and China appeared to make progress in trade negotiations. Better U.S. economic data made it likely the Federal Reserve would pause interest rate cuts, which led to a rally in the U.S. dollar against most currencies. Meanwhile, pre-election polls in the UK pointed to a likely Conservative Party victory, raising the likelihood of a soft rather than hard Brexit. Investors became less risk averse, rotating away from perceived safe-haven assets such as bonds and gold, and into stocks.

The Fund enjoyed a positive month, with the strongest gains coming from long positions in global stock indices. Currencies were also a positive contributor, as the Fund’s long U.S. dollar/short Euro position benefited from a dollar rally. Greater investor risk appetite caused bonds to sell off, negatively impacting long exposures in fixed income futures. In commodities, metals were the primary detractor due to price reversals in gold and nickel. Trading in agricultural and energy contracts saw mixed results. The Fund finished with a net gain of 1.05%, 1.17%, 1.16%, 1.20%, 1.28% and 1.22% for Class A, A2, A3, B, I, and R Units, respectively.

December

December saw a continued rally in global equities and other risk assets. Rising investor risk tolerance was driven by a preliminary U.S.-China trade agreement, as well as a Conservative Party win in the UK elections, which resolved much of the policy uncertainty surrounding Brexit. In domestic politics, the passage of articles of impeachment against President Trump did little to dampen market optimism. Monetary policy across the globe remained largely expansionary, while international economic growth data improved. This macroeconomic boost, together with rising oil prices, spurred an increase in inflation expectations, which pushed gold prices higher and caused bonds to sell off.

The Fund made gains during the month from its long positions in equities. However, there were declines in fixed income and currency trading, as falling bond prices and a depreciation of the U.S. Dollar negatively impacted the Fund’s long positions in these markets. In commodities, the Fund profited from long oil and long precious metals exposures. There were modest losses from short positions in the agricultural sector as the re-opening of the Chinese market to U.S. exports caused prices to rise. While the Fund saw a net decline in December, it finished the year with a positive return.

Liquidity

There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.

Capital Resources

The Fund intends to raise additional capital through the continued sale of Units and does not intend to raise capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. The Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investment in futures contracts, etc. in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows funds related to the sale and redemption of Units. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Fund’s capital resource arrangements at the present time.

Contractual Obligations

The Fund does not have any contractual obligations of the type contemplated by Item 303(a)(5) of Regulation S-K. The Fund’s sole business is trading futures and forward currency contracts, both long (contracts to buy) and short (contracts to sell).

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering these contracts there exists a risk to the Fund that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio allocations to multiple trading advisors and strategies, and maintenance of a margin-to-equity ratio that rarely exceeds 35%.

In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk. In cases where the clearinghouse is not backed by the clearing members, as is the case with some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward currency contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions, thus there may be a greater counterparty risk. The General Partner utilized only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance, however, that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The Fund may invest in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, certificates of deposit, commercial paper, asset backed securities and corporate notes. Should an issuing entity default on its obligation to the Fund and such entity is not backed by the full faith and credit of the U.S. government, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities and certificates of deposit of firms with high quality debt ratings.

Significant Accounting Policies

A summary of the Fund’s significant accounting policies is included in Note 1 to the financial statements.

The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures and forward currency contracts, and fixed income instruments. The Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair values of non-exchange-traded contracts, such as forward currency contracts, are based on third-party quoted dealer values on the interbank market. The fair value of money market funds is based on quoted market prices for identical shares. U.S. Treasury securities are stated at fair value based on quoted market prices for identical assets in an active market. Notes of U.S. and foreign government sponsored enterprises, as well as certificates of deposit, commercial paper, asset backed securities and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions. The Fund’s investment in a private investment company is valued at net asset value as provided by the private fund’s administrator. This use of net asset value as the practical expedient to approximate fair value under ASC 820 is advisable due to the investment not having a readily determinable fair value.

Introduction

The Fund is a speculative commodity pool. The market-sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance cannot be relied on as indicative of its future results.

Standard of Materiality

Materiality as used in this section, “Quantitative and Qualitative Disclosures about Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Fund’s market sensitive instruments.

Quantifying the Fund’s Trading Value at Risk

The following quantitative disclosures regarding the Fund’s market risk exposures contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund to market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). Risk of ruin is defined to be no more than a 5% chance of losing 20% or more on a monthly basis. In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

The Fund’s risk exposure in the various market sectors traded by the Fund’s Trading Advisors is quantified below in terms of Value at Risk. Due to mark-to-market accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings.

Exchange margin requirements have been used by the Fund as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments that are not exchange-traded (includes currencies, certain energy products and metals), the margin requirements required by the forward counterparty is used as Value at Risk.

In quantifying the Fund’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated, have not been reflected.

Value at Risk as provided may not be comparable to similarly titled measures used by others.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between approximately 1% and 15% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The past performance of the Fund gives no indication of this risk of ruin.

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial to the Fund as a whole. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury securities, U.S. government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures - except for those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”). The Fund’s primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of December 31, 2021, by market sector.

Agricultural Commodities

The Fund takes positions in a broad range of agricultural futures, including soybeans, wheat, corn, sugar, and cotton among others. Prices in these markets can be affected by changes in demand, as well changes in supply factors such as weather and inventory levels.

Currencies

The Fund trades in foreign exchange markets by taking positions in currency futures and forward contracts for a large number of developed and emerging market currencies. Exposures may take the form of direct exchange rates against the U.S. dollar, or cross-rates between two foreign currencies. Exchange rates can be impacted by economic differences between regions (such as interest rate differentials or economic growth differentials), political events, as well as investor risk sentiment.

Energy

The Fund gains trading exposure in energy markets through oil and gas futures, which include WTI crude oil, Brent crude oil, distillates such as heating oil, and natural gas. Prices have historically been highly volatile, driven by demand side factors such as global economic growth and weather conditions, as well as supply side factors such as Middle East conflicts, OPEC production agreements, and shale production.

Equity Indices

The Fund has exposure to major stock market indices around the world through equity index futures. Primary exposures are in developed markets such as the U.S., the UK, Germany, Japan, Hong Kong and Australia, but there can also be exposure to smaller developing market stock indices. Equity index price movements can be affected by microeconomic factors such as corporate earnings, by macroeconomic factors such as government fiscal and monetary policy, as well as by investor sentiment.

Interest Rate Instruments

The Fund has exposure to global fixed income markets through bond futures and interest rate futures in countries such as the U.S., the UK, Germany, Japan and Australia. The Fund has exposure across the yield curve with positions in the futures for both short term and long-term instruments. The yield curve (and futures prices) can be affected by economic growth, inflation expectations, monetary policy and investor risk aversion.

Metals

The Fund has exposure to metals futures, including both precious metals such as gold, silver and platinum, as well as industrial metals such as copper, aluminum and zinc. Metals prices can be volatile. Precious metals prices are often driven by inflation expectations, risk aversion, and mining output. Industrial metals prices tend to be impacted by industrial demand relative to production.

Single Stock Futures

The Fund has a small exposure to single stock futures, with positions primarily in companies that trade on U.S. exchanges. The price drivers here tend to be more microeconomic with corporate earnings and industry trends being important. However, macroeconomic and market-wide factors can also affect single stock futures prices.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the significant non-trading risk exposures of the Fund as of December 31, 20212022 and 2020.2021.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than once a week).

U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes, Asset Backed Securities and Certificates of Deposit

Monies in excess of margin requirements are generally invested in fixed income instruments, including U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Fluctuations in prevailing interest rates could cause mark-to-market gains or losses on the Fund’s investments, although substantially all of these investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Fund and the Fund’s Trading Advisors, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market sectors traded. The Fund’s Trading Advisors apply risk management policies to their respective trading which generally limit the total exposure that may be taken. In addition, the Trading Advisors generally follow proprietary diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups).

The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally will use a small percentage of assets as margin, the Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.

Financial statements meeting the requirements of Regulation S-X appear in Part IV of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading “Selected Financial Data” above.

None.

Evaluation of Disclosure Controls and Procedures

The General Partner of the Fund, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at December 31, 20212022 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

Management’s Annual Report on Internal Control over Financial Reporting

The management of the General Partner is responsible for establishing and maintaining adequate internal control over financial reporting by the Fund.

The Fund’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States. The Fund’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Fund; (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, and that receipts and expenditures of the Fund are being made only in accordance with authorizations of management of the Fund; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. All internal control systems, no matter how well designed, have inherent limitations, including the possibility of human error and the circumvention of overriding controls. Accordingly, even effective internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2021,2022, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework published in 2013. Based on that assessment, management concluded that, as of December 31, 2021,2022, the Fund’s internal control over financial reporting is effective based on the criteria established in Internal Control-Integrated Framework published in 2013.

Changes in Internal Control Over Financial Reporting

There has been no change in internal control over financial reporting that occurred during the year ended December 31, 20212022 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

None.

PART III

Directors and Executive Officers

The Fund itself has no directors or officers and has no employees. It is managed by the General Partner in its capacity as General Partner. The General Partner is a wholly owned subsidiary of Octavus Group, LLC. The directors and executive officers of the General Partner are Kevin Kinzie and Jon Essen. Their respective biographies are set forth below.

Kevin Kinzie is the General Partner’s Chairman and Chief Executive Officer. Mr. Kinzie founded the LoCorr Investment Trust (“LIT”), a family of mutual funds, in November 2010 and founded LoCorr Fund Management (“LFM”), a CPO, in March 2011. He has served as Chairman and Trustee of LIT and as Chairman and CEO of LFM, since their inception. He has been listed as a Principal of LoCorr Distributors (“LD”), an IB, since November 2005, and registered with the NFA as an Associated Person of LD since November 2007. He has been listed as a Principal of LFM, a CPO since March 2013, and listed as a Principal of Steben & Company since November 9, 2019. Mr. Kinzie holds a B.S. in Business and Marketing from the University of Colorado. He holds the FINRA series 6, 7, 24, 31 and 63 licenses and the CLU designation.

Jon C. Essen is Chief Financial Officer at Steben & Company. He has served as Chief Financial Officer of LoCorr Fund Management, a CPO, since March 2011. He has also served as Trustee, Treasurer, Chief Financial Officer and Portfolio Manager of the LoCorr Investment Trust, a family of mutual funds, since March 2011. Mr. Essen has been listed as a Principal of LoCorr Distributors LLC, an Introducing Broker, since April 2008. He has been registered as an Associated Person, approved as a Swap Associated Person, and listed as a CFTC Principal of LoCorr Fund Management LLC, a CPO, since June 2013, August 2014 and May 2013 respectively. Mr. Essen became registered as an Associated Person and listed as a CFTC principal of Steben & Company on February 10, 2020.Mr. Essen received a Bachelor of Science in Business Administration from Minnesota State University Mankato, is a CPA (inactive), and holds FINRA Series 3, 7, 24, 28 & 99 licenses.

The General Partner has acted as the investment manager for Steben Managed Futures Strategy Fund, an open-end mutual fund, which merged into the LoCorr Macro Strategies Fund in January 2020. The General Partner also acted as either the general partner or investment manager for the Steben Select Multi-Strategy funds. The Steben Select Multi-Strategy funds operated in a master feeder structure involving two registered closed-end funds and a limited partnership. All of those funds liquidated during 2019. Because Steben & Company, LLC served as the general partner or investment manager of these funds, the officers and directors of Steben & Company, LLC effectively managed the respective funds.

Significant Employees

The General Partner is dependent on the services of key management personnel. If their services became unavailable, another principal of the firm or a new principal (whose experience cannot be known at this time) would need to take charge of the General Partner.

Family Relationships

None.

Business Experience

See “Item 10. Directors, Executive Officers and Corporate Governance” above.

Involvement in Certain Legal Proceedings

None.

Promoters and Control Persons

Not applicable.

Section 16 (A) Beneficial Ownership Reporting Compliance

Section 16(a) of the 1934 Act requires that reports of beneficial ownership of limited partner interests and changes in such ownership be filed with the SEC by Section 16 “reporting persons.” The Fund is required to disclose in this annual report on Form 10-K each reporting person whom it knows to have failed to file any required reports under Section 16(a) on a timely basis during the year ended December 31, 2021.2022. During the year ended December 31, 2021,2022, all reporting persons complied with all Section 16(a) filing requirements applicable to them.

Code of Ethics

The General Partner has adopted a code of ethics, as of the period covered by this report, which applies to the Fund’s principal executive officer and principal financial officer, or persons performing similar functions. A copy of the code of ethics is available without charge upon request by calling 952-767-2600.

The Fund does not have any officers, directors or employees. The managing officers of the General Partner are remunerated by the General Partner in their respective positions. The directors and managing officers of the General Partner receive no other compensation from the Fund.

The following fees were paid by the Fund to the General Partner:

Additionally, each year the General Partner receives from the Fund 1% of any net income earned by the Fund or pays to the Fund 1% of any net loss incurred by the Fund. For the years ended December 31, 2022, 2021 2020 and 2019,2020, the General Partner received from or paid the Fund the following amounts:

The Fund has no officers or directors as its affairs are managed by the General Partner, and there are no securities authorized for issuance under an equity compensation plan.

At February 28, 2022,2023, neither the General Partner, nor any of its officers owned any Units. The General Partner does participate in the profits or losses of the Fund through its general partner 1 percent allocation, in which it receives 1 percent of the profits or losses of the Fund.

At February 28, 2022,2023, no person or group is known to have been the beneficial owner of more than 5% of the Units.

On October 31, 2019, and the General Partner was acquired by Octavus. See Item 2. for additional information.

See “Item 1. Business” for a description of the relationships between the General Partner, the Fund, the Trading Advisor, the futures brokers and the Cash Managers. See “Item 11. Executive Compensation” and “Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.”

The following table sets forth the fees billed to the Fund for professional audit services provided by RSM US LLP, the Fund’s independent registered public accountant, for the audits of the Fund’s annual financial statements for the years ended December 31, 20212022 and 2020,2021, and fees billed for other professional services rendered by RSM US LLP during those years.

The General Partner’s Board of Directors pre-approves all audit and permitted non-audit services of the Fund’s independent accountants, including all engagement fees and terms. The General Partner’s Board of Directors approved all the services provided by RSM US LLP during 20212022 and 20202021 to the Fund described above. The General Partner’s Board of Directors has determined that the payments made to RSM US LLP for these services during 20212022 and 20202021 are compatible with maintaining that firm’s independence.