UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
x | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
For the Quarterly Period Ended: March 31, 20222023
Or
o | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
Commission File Number: 000-50725
NESTOR PARTNERS
(Exact name of registrant as specified in its charter)
New Jersey |
| 22-2149317 |
(State or other jurisdiction of |
| (I.R.S. Employer |
incorporation or organization) |
| Identification No.) |
c/o MILLBURN RIDGEFIELD CORPORATION
55 West 46th Street, 31st Floor
New York, NY 10036
(Address of principal executive offices) (Zip code)
(212) 332-7300
(Registrant's telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act:
Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
none | none | none |
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes x No o
Indicate by check mark whether the registrant has submitted electronically, every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
Yes x No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”,filer,” “accelerated filer,” “smaller reporting company”,company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer o | Accelerated filer o |
Non-accelerated filer o | Smaller reporting company x |
Emerging growth company o |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes o NaNNo x
PART 1. FINANCIAL INFORMATION | ||||||
ITEM 1. FINANCIAL STATEMENTS | ||||||
Nestor Partners | ||||||
Financial statements | ||||||
| ||||||
Statements of Financial Condition (a) | 1 | |||||
Condensed Schedules of Investments (a) | 2 | |||||
Statements of Operations (b) | 6 | |||||
Statements of Changes in Partners' Capital (b) | 7 | |||||
Statements of Financial Highlights (b) | 8 | |||||
Notes to the Financial Statements | 9 | |||||
(a) At March 31, | ||||||
(b) | ||||||
Nestor Partners | Nestor Partners | Nestor Partners | ||||||||
Statements of Financial Condition | Statements of Financial Condition | Statements of Financial Condition | ||||||||
March 31, 2022 (unaudited) | December 31, 2021 | March 31, 2023 (unaudited) | December 31, 2022 | |||||||
ASSETS | ||||||||||
EQUITY IN TRADING ACCOUNTS: | ||||||||||
Investments in U.S. Treasury notes − at fair value | ||||||||||
(amortized cost $20,231,075 and $19,568,494) | $ | 20,219,062 | $ | 19,563,280 | ||||||
(amortized cost $18,680,868 and $25,557,253) | $ | 18,661,309 | $ | 25,376,719 | ||||||
Net unrealized appreciation on open futures and forward | ||||||||||
currency contracts | 3,222,286 | 481,160 | 1,495,158 | 6,564,636 | ||||||
Due from brokers, net | 4,673,789 | 3,826,824 | 4,908,382 | 6,465,226 | ||||||
Cash denominated in foreign currencies (cost $587,281 | ||||||||||
and $1,080,882) | 579,542 | 1,072,270 | ||||||||
Cash denominated in foreign currencies (cost $387,117 | ||||||||||
and -$2,514) | 394,874 | 5,005 | ||||||||
Total equity in trading accounts | 28,694,679 | 24,943,534 | 25,459,723 | 38,411,586 | ||||||
INVESTMENTS IN U.S. TREASURY NOTES − at fair value | ||||||||||
(amortized cost $88,209,958 and $85,727,554) | 88,068,317 | 85,711,769 | ||||||||
(amortized cost $89,428,853 and $88,668,229) | 89,237,482 | 88,232,276 | ||||||||
CASH AND CASH EQUIVALENTS | 9,742,601 | 8,987,690 | 6,493,454 | 9,166,375 | ||||||
ACCRUED INTEREST RECEIVABLE | 504,710 | 676,077 | 709,481 | 654,085 | ||||||
TOTAL | $ | 127,010,307 | $ | 120,319,070 | $ | 121,900,140 | $ | 136,464,322 | ||
LIABILITIES AND PARTNERS' CAPITAL | ||||||||||
LIABILITIES: | ||||||||||
Capital contributions received in advance | $ | 7,514 | $ | - | ||||||
Net unrealized depreciation on open futures and forward | ||||||||||
currency contracts | $ | 650,340 | $ | 766,206 | 118,701 | - | ||||
Accrued brokerage fees | 179,024 | 187,123 | 168,166 | 197,643 | ||||||
Due to brokers, net | - | 93,087 | ||||||||
Cash denominated in foreign currencies (cost $1,094,142 | ||||||||||
and $177,683) | 1,070,298 | 177,244 | ||||||||
Cash overdraft denominated in foreign currencies (cost $426,438 | ||||||||||
and $1,538,325) | 438,950 | 1,598,022 | ||||||||
Accrued expenses | 98,373 | 25,658 | 115,753 | 35,306 | ||||||
Capital withdrawals payable to Limited Partners | 600,435 | 458,676 | 481,824 | 635,176 | ||||||
Capital withdrawals payable to General Partner | - | 250,478 | - | 1,952,102 | ||||||
Accrued profit share | 109,775 | - | ||||||||
Total liabilities | 2,708,245 | 1,958,472 | 1,330,908 | 4,418,249 | ||||||
PARTNERS' CAPITAL | 124,302,062 | 118,360,598 | 120,569,232 | 132,046,073 | ||||||
TOTAL | $ | 127,010,307 | $ | 120,319,070 | $ | 121,900,140 | $ | 136,464,322 | ||
See notes to financial statements (unaudited) | ||||||||||
Nestor Partners | Nestor Partners | Nestor Partners | ||||||
Condensed Schedule of Investments | Condensed Schedule of Investments | Condensed Schedule of Investments | ||||||
March 31, 2022 (unaudited) | ||||||||
March 31, 2023 (unaudited) | March 31, 2023 (unaudited) | |||||||
Futures and Forward Currency Contracts | Net Unrealized | Net Unrealized | Net Unrealized | Net Unrealized | ||||
FUTURES CONTRACTS | ||||||||
Long futures contracts: | ||||||||
Currencies | 0.00 | % | $ | 1,047 | 0.01 | % | $ | 7,604 |
Energies | (0.30) | (372,710) | 0.42 | 507,337 | ||||
Grains | (0.36) | (447,719) | 0.05 | 64,050 | ||||
Interest rates | (0.07) | (92,719) | ||||||
Livestock | (0.01) | (13,020) | ||||||
Interest rates: | ||||||||
10 Year U.S. Treasury Note (119 contracts, settlement date June 2023) | 0.00 | 4,047 | ||||||
30 Year U.S. Treasury Bond (14 contracts, settlement date June 2023) | 0.01 | 12,687 | ||||||
Other | (0.09) | (113,540) | ||||||
Total interest rates | (0.08) | (96,806) | ||||||
Metals | 1.25 | 1,554,746 | (0.10) | (112,945) | ||||
Softs | 0.12 | 154,268 | 0.08 | 99,109 | ||||
Stock indices | (0.13) | (168,511) | 0.90 | 1,085,249 | ||||
Total long futures contracts | 0.50 | 615,382 | 1.28 | 1,553,598 | ||||
Short futures contracts: | ||||||||
Currencies | 0.04 | 52,442 | 0.00 | 3,629 | ||||
Energies | 0.01 | 8,774 | (0.02) | (20,094) | ||||
Grains | 0.05 | 67,388 | (0.00) | (2,990) | ||||
Interest rates | 0.64 | 791,793 | (0.12) | (142,885) | ||||
Livestock | 0.00 | 1,640 | 0.01 | 6,890 | ||||
Metals | (1.15) | (1,424,727) | 0.01 | 15,386 | ||||
Softs | (0.01) | (11,800) | (0.03) | (39,702) | ||||
Stock indices | 0.46 | 570,700 | 0.01 | 7,668 | ||||
Total short futures contracts | 0.04 | 56,210 | (0.14) | (172,098) | ||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net | 0.54 | 671,592 | 1.14 | 1,381,500 | ||||
FORWARD CURRENCY CONTRACTS | ||||||||
Total long forward currency contracts | 1.49 | 1,852,838 | 2.23 | 2,688,099 | ||||
Total short forward currency contracts | 0.04 | 47,516 | (2.23) | (2,693,142) | ||||
TOTAL INVESTMENTS IN FORWARD CURRENCY | ||||||||
CONTRACTS − Net | 1.53 | 1,900,354 | (0.00) | (5,043) | ||||
TOTAL | 2.07 | % | $ | 2,571,946 | 1.14 | % | $ | 1,376,457 |
(Continued) | (Continued) | |||||||
Nestor Partners | Nestor Partners | Nestor Partners | ||||||||||
Condensed Schedule of Investments | Condensed Schedule of Investments | Condensed Schedule of Investments | ||||||||||
March 31, 2022 (unaudited) | ||||||||||||
March 31, 2023 (unaudited) | March 31, 2023 (unaudited) | |||||||||||
U.S. TREASURY NOTES | U.S. TREASURY NOTES | |||||||||||
Face | Description | Fair Value as a % of Partners' Capital | Fair Value | Face | Description | Fair Value as a % of Partners' Capital | Fair Value | |||||
$ | 26,270,000 | U.S. Treasury notes, 1.750%, 05/15/2022 | 21.17 | % | $ | 26,315,152 | 25,270,000 | U.S. Treasury notes, 1.750%, 05/15/2023 | 20.89 | % | $ | 25,184,615 |
28,470,000 | U.S. Treasury notes, 1.625%, 08/15/2022 | 22.97 | 28,553,964 | 25,470,000 | U.S. Treasury notes, 2.500%, 08/15/2023 | 20.95 | 25,258,579 | |||||
31,000,000 | U.S. Treasury notes, 1.625%, 11/15/2022 | 25.00 | 31,070,840 | 37,000,000 | U.S. Treasury notes, 2.750%, 11/15/2023 | 30.31 | 36,543,281 | |||||
22,270,000 | U.S. Treasury notes, 2.000%, 02/15/2023 | 17.98 | 22,347,423 | 21,270,000 | U.S. Treasury notes, 2.750%, 02/15/2024 | 17.34 | 20,912,316 | |||||
TOTAL INVESTMENTS IN U.S. TREASURY | TOTAL INVESTMENTS IN U.S. TREASURY | |||||||||||
NOTES (amortized cost $108,441,033) | 87.12 | % | $ | 108,287,379 | NOTES (amortized cost $108,109,721) | 89.49 | % | $ | 107,898,791 | |||
See notes to financial statements (unaudited) | (Concluded) | See notes to financial statements (unaudited) | (Concluded) | |||||||||
Nestor Partners | Nestor Partners | Nestor Partners | ||||||
Condensed Schedule of Investments | Condensed Schedule of Investments | Condensed Schedule of Investments | ||||||
December 31, 2021 | ||||||||
December 31, 2022 | December 31, 2022 | |||||||
Futures and Forward Currency Contracts | Net Unrealized | Net Unrealized | Net Unrealized | Net Unrealized | ||||
FUTURES CONTRACTS | ||||||||
Long futures contracts: | ||||||||
Currencies | 0.00 | % | $ | 3,688 | 0.01 | % | $ | 14,239 |
Energies | 0.42 | 492,605 | 0.91 | 1,196,200 | ||||
Grains | 0.01 | 12,662 | 0.09 | 111,793 | ||||
Interest rates | (0.79) | (939,443) | (0.04) | (52,481) | ||||
Livestock | (0.01) | (5,370) | (0.01) | (7,130) | ||||
Metals | 1.01 | 1,197,013 | 0.18 | 242,463 | ||||
Softs | (0.01) | (15,847) | (0.02) | (26,476) | ||||
Stock indices | 0.19 | 224,522 | (0.06) | (75,258) | ||||
Total long futures contracts | 0.82 | 969,830 | 1.06 | 1,403,350 | ||||
Short futures contracts: | ||||||||
Currencies | 0.00 | 1,398 | (0.00) | (5,951) | ||||
Energies | 0.06 | 65,449 | 0.67 | 879,485 | ||||
Grains | 0.01 | 6,149 | (0.02) | (28,225) | ||||
Interest rates | 0.04 | 49,461 | ||||||
Livestock | 0.00 | 5,170 | ||||||
Interest rates: | ||||||||
2 Year U.S. Treasury Note (224 contracts, settlement date March 2023) | 0.06 | 80,711 | ||||||
30 Year U.S. Treasury Bond (75 contracts, settlement date March 2023) | 0.01 | 13,375 | ||||||
Other | 2.84 | 3,753,511 | ||||||
Total interest rates | 2.91 | 3,847,597 | ||||||
Metals | (0.89) | (1,047,948) | (0.15) | (196,302) | ||||
Softs | 0.01 | 6,910 | (0.01) | (9,120) | ||||
Stock indices | 0.03 | 38,964 | 0.03 | 36,853 | ||||
Total short futures contracts | (0.74) | (874,447) | 3.43 | 4,524,337 | ||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net | 0.08 | 95,383 | 4.49 | 5,927,687 | ||||
FORWARD CURRENCY CONTRACTS | ||||||||
Total long forward currency contracts | 1.43 | 1,688,217 | 1.05 | 1,392,974 | ||||
Total short forward currency contracts | (1.75) | (2,068,646) | (0.57) | (756,025) | ||||
TOTAL INVESTMENTS IN FORWARD CURRENCY | ||||||||
CONTRACTS − Net | (0.32) | (380,429) | 0.48 | 636,949 | ||||
TOTAL | (0.24) | % | $ | (285,046) | 4.97 | % | $ | 6,564,636 |
(Continued) | (Continued) | |||||||
Nestor Partners | Nestor Partners | Nestor Partners | ||||||||||
Condensed Schedule of Investments | Condensed Schedule of Investments | Condensed Schedule of Investments | ||||||||||
December 31, 2021 | ||||||||||||
December 31, 2022 | December 31, 2022 | |||||||||||
U.S. TREASURY NOTES | U.S. TREASURY NOTES | |||||||||||
Face | Description | Fair Value as a % of Partners' Capital | Fair Value | Face | Description | Fair Value as a % of Partners' Capital | Fair Value | |||||
$ | 30,700,000 | U.S. Treasury notes, 2.500%, 02/15/2022 | 26.01 | % | $ | 30,788,742 | 21,270,000 | U.S. Treasury notes, 2.000%, 02/15/2023 | 16.07 | % | $ | 21,213,917 |
47,840,000 | U.S. Treasury notes, 2.375%, 03/15/2022 | 40.61 | 48,062,381 | 24,370,000 | U.S. Treasury notes, 1.750%, 05/15/2023 | 18.26 | 24,115,828 | |||||
26,270,000 | U.S. Treasury notes, 1.750%, 05/15/2022 | 22.32 | 26,423,926 | 25,470,000 | U.S. Treasury notes, 2.500%, 08/15/2023 | 19.03 | 25,121,777 | |||||
43,900,000 | U.S. Treasury notes, 2.750%, 11/15/2023 | 32.68 | 43,157,473 | |||||||||
TOTAL INVESTMENTS IN U.S. TREASURY | ||||||||||||
NOTES (amortized cost $105,296,048) | 88.94 | % | $ | 105,275,049 | TOTAL INVESTMENTS IN U.S. TREASURY | |||||||
NOTES (amortized cost $114,225,482) | 86.04 | % | $ | 113,608,995 | ||||||||
See notes to financial statements (unaudited) | (Concluded) | |||||||||||
See notes to financial statements (unaudited) | (Concluded) | |||||||||||
d
Nestor Partners | |||||
Statements of Operations (unaudited) | |||||
For the three months ended | |||||
March 31, 2022 | March 31, 2021 | ||||
INVESTMENT INCOME: | |||||
Interest income, net | $ | 59,612 | $ | 8,650 | |
EXPENSES: | |||||
Brokerage fees | 644,565 | 679,262 | |||
Administrative expenses | 72,714 | 73,531 | |||
Custody fees and other expenses | 5,248 | 5,227 | |||
Total expenses | 722,527 | 758,020 | |||
NET INVESTMENT LOSS | (662,915) | (749,370) | |||
NET REALIZED AND UNREALIZED GAINS (LOSSES): | |||||
Net realized gains (losses) on closed positions: | |||||
Futures and forward currency contracts | 5,144,122 | 7,651,060 | |||
Foreign exchange transactions | (50,478) | 48,140 | |||
Net change in unrealized: | |||||
Futures and forward currency contracts | 2,856,992 | (3,356,760) | |||
Foreign exchange translation | 24,278 | (208,560) | |||
Net gains (losses) from U.S. Treasury notes: | |||||
Realized | (687) | (366) | |||
Net change in unrealized | (132,655) | 28,600 | |||
Total net realized and unrealized gains | 7,841,572 | 4,162,114 | |||
NET INCOME | 7,178,657 | 3,412,744 | |||
LESS PROFIT SHARE TO GENERAL PARTNER | 109,775 | 237 | |||
NET INCOME AFTER PROFIT SHARE TO | |||||
GENERAL PARTNER | $ | 7,068,882 | $ | 3,412,507 | |
See notes to financial statements (unaudited) | |||||
Nestor Partners | |||||
Statements of Operations (unaudited) | |||||
For the three months ended | |||||
March 31, 2023 | March 31, 2022 | ||||
INVESTMENT INCOME: | |||||
Interest income, net | $ | 1,104,537 | $ | 59,612 | |
EXPENSES: | |||||
Brokerage fees | 640,548 | 644,565 | |||
Administrative expenses | 80,448 | 72,714 | |||
Custody fees and other expenses | 5,445 | 5,248 | |||
Total expenses | 726,441 | 722,527 | |||
NET INVESTMENT INCOME (LOSS) | 378,096 | (662,915) | |||
NET REALIZED AND UNREALIZED GAINS (LOSSES): | |||||
Net realized gains (losses) on closed positions: | |||||
Futures and forward currency contracts | (5,808,621) | 5,144,122 | |||
Foreign exchange transactions | (86,888) | (50,478) | |||
Net change in unrealized: | |||||
Futures and forward currency contracts | (5,188,179) | 2,856,992 | |||
Foreign exchange translation | 47,423 | 24,278 | |||
Net gains (losses) from U.S. Treasury notes: | |||||
Realized | (39,796) | (687) | |||
Net change in unrealized | 405,557 | (132,655) | |||
Total net realized and unrealized gains (losses) | (10,670,504) | 7,841,572 | |||
NET INCOME (LOSS) | (10,292,408) | 7,178,657 | |||
LESS PROFIT SHARE TO GENERAL PARTNER | - | 109,775 | |||
NET INCOME (LOSS) AFTER PROFIT SHARE TO | |||||
GENERAL PARTNER | $ | (10,292,408) | $ | 7,068,882 | |
See notes to financial statements (unaudited) | (Concluded) | ||||
Nestor Partners | Nestor Partners | Nestor Partners | ||||||||||||||||||||||||||
Statements of Changes in Partners' Capital (unaudited) | Statements of Changes in Partners' Capital (unaudited) | Statements of Changes in Partners' Capital (unaudited) | ||||||||||||||||||||||||||
For the three months ended March 31, 2023: | For the three months ended March 31, 2023: | |||||||||||||||||||||||||||
Limited Partners | Special Limited Partners | New Profit Memo Account | General Partner | Total | ||||||||||||||||||||||||
PARTNERS' CAPITAL- | ||||||||||||||||||||||||||||
January 1, 2023 | $ | 61,612,725 | $ | 68,227,951 | $ | - | $ | 2,205,397 | $ | 132,046,073 | ||||||||||||||||||
Contributions | - | 56,101 | - | - | 56,101 | |||||||||||||||||||||||
Withdrawals | (1,060,705) | (179,829) | - | - | (1,240,534) | |||||||||||||||||||||||
Net loss | (5,001,322) | (5,126,927) | - | (164,159) | (10,292,408) | |||||||||||||||||||||||
General Partner's allocation: | ||||||||||||||||||||||||||||
New Profit-Accrued | - | - | - | - | - | |||||||||||||||||||||||
PARTNERS' CAPITAL- | ||||||||||||||||||||||||||||
March 31, 2023 | $ | 55,550,698 | $ | 62,977,296 | $ | - | $ | 2,041,238 | $ | 120,569,232 | ||||||||||||||||||
For the three months ended March 31, 2022: | For the three months ended March 31, 2022: | For the three months ended March 31, 2022: | ||||||||||||||||||||||||||
Limited Partners | Special Limited Partners | New Profit Memo Account | General Partner | Total | Limited Partners | Special Limited Partners | New Profit Memo Account | General Partner | Total | |||||||||||||||||||
PARTNERS' CAPITAL- | ||||||||||||||||||||||||||||
January 1, 2022 | $ | 56,461,012 | $ | 59,453,090 | $ | - | $ | 2,446,496 | $ | 118,360,598 | $ | 56,461,012 | $ | 59,453,090 | $ | - | $ | 2,446,496 | $ | 118,360,598 | ||||||||
Contributions | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||
Withdrawals | (855,355) | (272,063) | - | - | (1,127,418) | (855,355) | (272,063) | - | - | (1,127,418) | ||||||||||||||||||
Net income | 3,198,913 | 3,819,667 | - | 160,077 | 7,178,657 | 3,198,913 | 3,819,667 | - | 160,077 | 7,178,657 | ||||||||||||||||||
General Partner's allocation: | ||||||||||||||||||||||||||||
New Profit-Accrued | (108,651) | (1,124) | - | - | (109,775) | (108,651) | (1,124) | - | - | (109,775) | ||||||||||||||||||
PARTNERS' CAPITAL- | ||||||||||||||||||||||||||||
March 31, 2022 | $ | 58,695,919 | $ | 62,999,570 | $ | - | $ | 2,606,573 | $ | 124,302,062 | $ | 58,695,919 | $ | 62,999,570 | $ | - | $ | 2,606,573 | $ | 124,302,062 | ||||||||
For the three months ended March 31, 2021: | ||||||||||||||||||||||||||||
Limited Partners | Special Limited Partners | New Profit Memo Account | General Partner | Total | ||||||||||||||||||||||||
PARTNERS' CAPITAL- | ||||||||||||||||||||||||||||
January 1, 2021 | $ | 59,408,722 | $ | 56,659,557 | $ | - | $ | 2,480,650 | $ | 118,548,929 | ||||||||||||||||||
Contributions | - | - | - | - | - | |||||||||||||||||||||||
Withdrawals | (3,383,770) | (105,758) | - | - | (3,489,528) | |||||||||||||||||||||||
Net income | 1,475,843 | 1,853,515 | - | 83,386 | 3,412,744 | |||||||||||||||||||||||
General Partner's allocation: | ||||||||||||||||||||||||||||
New Profit-Accrued | (237) | - | - | - | (237) | |||||||||||||||||||||||
PARTNERS' CAPITAL- | ||||||||||||||||||||||||||||
March 31, 2021 | $ | 57,500,558 | $ | 58,407,314 | $ | - | $ | 2,564,036 | $ | 118,471,908 | ||||||||||||||||||
See notes to financial statements (unaudited) | See notes to financial statements (unaudited) | See notes to financial statements (unaudited) | ||||||||||||||||||||||||||
Nestor Partners | |||||||||||||||
Statements of Financial Highlights (unaudited) | |||||||||||||||
For the three months ended March 31, 2022 and 2021 | Limited | Special Limited | |||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||
Ratios to average capital: | |||||||||||||||
Net investment income loss (a) | (3.72) | % | (3.95) | % | (0.91) | % | (1.08) | % | |||||||
Total expenses (a) | 3.92 | % | 4.00 | % | 1.11 | % | 1.13 | % | |||||||
Profit share allocation (b) (c) | 0.19 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||
Total expenses and profit share allocation | 4.11 | % | 4.00 | % | 1.11 | % | 1.13 | % | |||||||
Total return before profit share allocation (b) | 5.68 | % | 2.51 | % | 6.42 | % | 3.25 | % | |||||||
Less: profit share allocation (b) (c) | 0.19 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||
Total return after profit share allocation | 5.49 | % | 2.51 | % | 6.42 | % | 3.25 | % | |||||||
(a) annualized | |||||||||||||||
(b) not annualized | |||||||||||||||
(c) in instances of 0.00, value is less than 0.01 when rounded to two decimal places | |||||||||||||||
See notes to financial statements (unaudited)
Nestor Partners | |||||||||||||||
Statements of Financial Highlights (unaudited) | |||||||||||||||
| |||||||||||||||
For the three months ended March 31, 2023 and 2022 | Limited | Special Limited | |||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||
Ratios to average capital: | |||||||||||||||
Net investment income (loss) (a) | (0.27) | % | (3.72) | % | 2.56 | % | (0.91) | % | |||||||
Total expenses (a) | 3.84 | % | 3.92 | % | 1.01 | % | 1.11 | % | |||||||
Profit share allocation (b) (c) | 0.00 | % | 0.19 | % | 0.00 | % | 0.00 | % | |||||||
Total expenses and profit share allocation | 3.84 | % | 4.11 | % | 1.01 | % | 1.11 | % | |||||||
Total return before profit share allocation (b) | (8.14) | % | 5.68 | % | (7.49) | % | 6.42 | % | |||||||
Less: profit share allocation (b) (c) | 0.00 | % | 0.19 | % | 0.00 | % | 0.00 | % | |||||||
Total return after profit share allocation | (8.14) | % | 5.49 | % | (7.49) | % | 6.42 | % | |||||||
(a) annualized | |||||||||||||||
(b) not annualized | |||||||||||||||
(c) in instances of 0.00, value is less than 0.01 when rounded to two decimal places | |||||||||||||||
See notes to financial statements (unaudited) | |||||||||||||||
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at March 31, 20222023 (unaudited) and December 31, 2021 2022and the results of its operations for the three months ended March 31, 20222023 and 20212022 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2021.2022. The December 31, 20212022 information has been derived from the audited financial statements as of December 31, 2021.2022.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (the “U.S.(“U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
The Partnership enters into contracts that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements.
Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 20182019 to 2021,2022, Millburn Ridgefield Corporation (the “General Partner”) has determined that 0no reserves for uncertain tax positions were required.
Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.
There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2021.2022.
2. FAIR VALUE
The Fair Value Measurements (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:
Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and
Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts.
Cash Instruments – The Partnership’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government securities money market fund. The General Partner does not adjust the quoted price for such instruments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.
Derivative Contracts – Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.
Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model
selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.
During the three months ended March 31, 2022 and 2021, there were 0 transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of March 31, 20222023 and December 31, 20212022 in valuing the Partnership’s investments at fair value. During the three and twelve months ended March 31, 2023 and December 31, 2022, respectively, the Partnership held no assets or liabilities in Level 3. At March 31, 20222023 and December 31, 2021,2022, the Partnership held 0no assets or liabilities in Level 3.
Financial assets and liabilities at fair value as of March 31, 2022 | ||||||||||||||||
Financial assets and liabilities at fair value as of March 31, 2023 | Financial assets and liabilities at fair value as of March 31, 2023 | |||||||||||||||
Level 1 | Level 2 | Total | Level 1 | Level 2 | Total | |||||||||||
U.S. Treasury Notes (1) | $ | 108,287,379 | $ | - | $ | 108,287,379 | $ | 107,898,791 | $ | - | $ | 107,898,791 | ||||
Short-Term Money Market Fund* | 9,492,601 | - | 9,492,601 | 6,243,454 | - | 6,243,454 | ||||||||||
Exchange-Traded Futures Contracts | ||||||||||||||||
Currencies | 53,489 | - | 53,489 | 11,233 | - | 11,233 | ||||||||||
Energies | (363,936) | - | (363,936) | 487,243 | - | 487,243 | ||||||||||
Grains | (380,331) | - | (380,331) | 61,060 | - | 61,060 | ||||||||||
Interest rates | 699,074 | - | 699,074 | (239,691) | - | (239,691) | ||||||||||
Livestock | (11,380) | - | (11,380) | 6,890 | - | 6,890 | ||||||||||
Metals | 130,019 | - | 130,019 | (97,559) | - | (97,559) | ||||||||||
Softs | 142,468 | - | 142,468 | 59,407 | - | 59,407 | ||||||||||
Stock indices | 402,189 | - | 402,189 | 1,092,917 | - | 1,092,917 | ||||||||||
Total exchange-traded futures contracts | 671,592 | - | 671,592 | 1,381,500 | - | 1,381,500 | ||||||||||
Over-the-Counter Forward Currency Contracts | - | 1,900,354 | 1,900,354 | - | (5,043) | (5,043) | ||||||||||
Total futures and forward currency contracts (2) | 671,592 | 1,900,354 | 2,571,946 | 1,381,500 | (5,043) | 1,376,457 | ||||||||||
Total financial assets and liabilities at fair value | $ | 118,451,572 | $ | 1,900,354 | $ | 120,351,926 | $ | 115,523,745 | $ | (5,043) | $ | 115,518,702 | ||||
Per line item in the Statements of Financial Condition | ||||||||||||||||
(1) | ||||||||||||||||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 20,219,062 | Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 18,661,309 | ||||||||||
Investments in U.S. Treasury notes | 88,068,317 | 89,237,482 | ||||||||||||||
Total investments in U.S. Treasury notes | $ | 108,287,379 | $ | 107,898,791 | ||||||||||||
(2) | ||||||||||||||||
Net unrealized appreciation on open futures and forward currency contracts | Net unrealized appreciation on open futures and forward currency contracts | $ | 3,222,286 | Net unrealized appreciation on open futures and forward currency contracts | $ | 1,495,158 | ||||||||||
Net unrealized depreciation on open futures and forward currency contracts | Net unrealized depreciation on open futures and forward currency contracts | (650,340) | Net unrealized depreciation on open futures and forward currency contracts | (118,701) | ||||||||||||
Total net unrealized appreciation on open futures and forward currency contracts | Total net unrealized appreciation on open futures and forward currency contracts | $ | 2,571,946 | Total net unrealized appreciation on open futures and forward currency contracts | $ | 1,376,457 | ||||||||||
*The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition. | *The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition. | *The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition. | ||||||||||||||
Financial assets and liabilities at fair value as of December 31, 2021 | ||||||||
Level 1 | Level 2 | Total | ||||||
U.S. Treasury Notes (1) | $ | 105,275,049 | $ | - | $ | 105,275,049 | ||
Short-Term Money Market Fund* | 8,737,690 | - | 8,737,690 | |||||
Exchange-Traded Futures Contracts | ||||||||
Currencies | 5,086 | - | 5,086 | |||||
Energies | 558,054 | - | 558,054 | |||||
Grains | 18,811 | - | 18,811 | |||||
Interest rates | (889,982) | - | (889,982) | |||||
Livestock | (200) | - | (200) | |||||
Metals | 149,065 | - | 149,065 | |||||
Softs | (8,937) | - | (8,937) | |||||
Stock indices | 263,486 | - | 263,486 | |||||
Total exchange-traded futures contracts | 95,383 | - | 95,383 | |||||
Over-the-Counter Forward Currency Contracts | - | (380,429) | (380,429) | |||||
Total futures and forward currency contracts (2) | 95,383 | (380,429) | (285,046) | |||||
Total financial assets and liabilities at fair value | $ | 114,108,122 | $ | (380,429) | $ | 113,727,693 | ||
Per line item in Statements of Financial Condition | ||||||||
(1) | ||||||||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 19,563,280 | ||||||
Investments in U.S. Treasury notes | 85,711,769 | |||||||
Total investments in U.S. Treasury notes | $ | 105,275,049 | ||||||
(2) | ||||||||
Net unrealized appreciation on open futures and forward currency contracts | $ | 481,160 | ||||||
Net unrealized depreciation on open futures and forward currency contracts | (766,206) | |||||||
Total net unrealized depreciation on open futures and forward currency contracts | $ | (285,046) | ||||||
*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. | ||||||||
Financial assets and liabilities at fair value as of December 31, 2022 | ||||||||
Level 1 | Level 2 | Total | ||||||
U.S. Treasury Notes (1) | $ | 113,608,995 | $ | - | $ | 113,608,995 | ||
Short-Term Money Market Fund* | 8,916,375 | - | 8,916,375 | |||||
Exchange-Traded Futures Contracts | ||||||||
Currencies | 8,288 | - | 8,288 | |||||
Energies | 2,075,685 | - | 2,075,685 | |||||
Grains | 83,568 | - | 83,568 | |||||
Interest rates | 3,795,116 | - | 3,795,116 | |||||
Livestock | (7,130) | - | (7,130) | |||||
Metals | 46,161 | - | 46,161 | |||||
Softs | (35,596) | - | (35,596) | |||||
Stock indices | (38,405) | - | (38,405) | |||||
Total exchange-traded futures contracts | 5,927,687 | - | 5,927,687 | |||||
Over-the-Counter Forward Currency Contracts | - | 636,949 | 636,949 | |||||
Total futures and forward currency contracts (2) | 5,927,687 | 636,949 | 6,564,636 | |||||
Total financial assets and liabilities at fair value | $ | 128,453,057 | $ | 636,949 | $ | 129,090,006 | ||
Per line item in Statements of Financial Condition | ||||||||
(1) | ||||||||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 25,376,719 | ||||||
Investments in U.S. Treasury notes | 88,232,276 | |||||||
Total investments in U.S. Treasury notes | $ | 113,608,995 | ||||||
(2) | ||||||||
Net unrealized appreciation on open futures and forward currency contracts | $ | 6,564,636 | ||||||
Net unrealized depreciation on open futures and forward currency contracts | - | |||||||
Total net unrealized appreciation on open futures and forward currency contracts | $ | 6,564,636 | ||||||
*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. | ||||||||
3. DERIVATIVE INSTRUMENTS
The Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.
The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions, and the liquidity of the markets in which it trades.
The Partnership engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Partnership at March 31, 2022,2023, by market sector:
Agricultural (grains, livestock and softs) – The Partnership’s primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors.
Currencies – Exchange rate risk is a principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs.
The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.
Energies – The Partnership’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries, may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in countries or regions, including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S., and the Eurozone. However, the Partnership also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Partnership for the foreseeable future.
Metals – The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.
Stock indices – The Partnership’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.
Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in a netan asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a net liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Partnership’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.
Since the derivatives held or sold by the Partnership are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Partnership’s trading gains and losses in the Statements of Operations.
The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 20222023 and December 31, 2021.2022. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.
Fair Value of Futures and Forward Currency Contracts at March 31, 2022 | ||||||||||||||||||||||||||||
Fair Value of Futures and Forward Currency Contracts at March 31, 2023 | Fair Value of Futures and Forward Currency Contracts at March 31, 2023 | |||||||||||||||||||||||||||
Net Unrealized | Net Unrealized | |||||||||||||||||||||||||||
Fair Value - Long Positions | Fair Value - Short Positions | Gain (Loss) on | Fair Value - Long Positions | Fair Value - Short Positions | Gain (Loss) on | |||||||||||||||||||||||
Sector | Gains | Losses | Gains | Losses | Open Positions | Gains | Losses | Gains | Losses | Open Positions | ||||||||||||||||||
Futures contracts: | ||||||||||||||||||||||||||||
Currencies | $ | 1,260 | $ | (213) | $ | 76,766 | $ | (24,324) | $ | 53,489 | $ | 13,105 | $ | (5,501) | $ | 5,419 | $ | (1,790) | $ | 11,233 | ||||||||
Energies | 184,293 | (557,003) | 8,774 | - | (363,936) | 520,293 | (12,956) | 4,451 | (24,545) | 487,243 | ||||||||||||||||||
Grains | 9,673 | (457,392) | 67,388 | - | (380,331) | 66,088 | (2,038) | - | (2,990) | 61,060 | ||||||||||||||||||
Interest rates | 26,532 | (119,251) | 1,209,640 | (417,847) | 699,074 | 60,681 | (157,487) | 167,522 | (310,407) | (239,691) | ||||||||||||||||||
Livestock | - | (13,020) | 2,500 | (860) | (11,380) | - | - | 8,110 | (1,220) | 6,890 | ||||||||||||||||||
Metals | 1,746,204 | (191,458) | 179,088 | (1,603,815) | 130,019 | 97,216 | (210,161) | 231,149 | (215,763) | (97,559) | ||||||||||||||||||
Softs | 170,544 | (16,276) | 210 | (12,010) | 142,468 | 99,109 | - | 20,606 | (60,308) | 59,407 | ||||||||||||||||||
Stock indices | 251,972 | (420,483) | 665,257 | (94,557) | 402,189 | 1,163,043 | (77,794) | 276,500 | (268,832) | 1,092,917 | ||||||||||||||||||
Total futures contracts | 2,390,478 | (1,775,096) | 2,209,623 | (2,153,413) | 671,592 | 2,019,535 | (465,937) | 713,757 | (885,855) | 1,381,500 | ||||||||||||||||||
Forward currency contracts | 2,592,885 | (740,047) | 2,043,586 | (1,996,070) | 1,900,354 | 2,949,703 | (261,604) | 133,269 | (2,826,411) | (5,043) | ||||||||||||||||||
Total futures and | ||||||||||||||||||||||||||||
forward currency contracts | $ | 4,983,363 | $ | (2,515,143) | $ | 4,253,209 | $ | (4,149,483) | $ | 2,571,946 | $ | 4,969,238 | $ | (727,541) | $ | 847,026 | $ | (3,712,266) | $ | 1,376,457 | ||||||||
Fair Value of Futures and Forward Currency Contracts at December 31, 2021 | ||||||||||||||||||||||||||||
Fair Value of Futures and Forward Currency Contracts at December 31, 2022 | Fair Value of Futures and Forward Currency Contracts at December 31, 2022 | |||||||||||||||||||||||||||
Net Unrealized | Net Unrealized | |||||||||||||||||||||||||||
Fair Value - Long Positions | Fair Value - Short Positions | Gain (Loss) on | Fair Value - Long Positions | Fair Value - Short Positions | Gain (Loss) on | |||||||||||||||||||||||
Sector | Gains | Losses | Gains | Losses | Open Positions | Gains | Losses | Gains | Losses | Open Positions | ||||||||||||||||||
Futures contracts: | ||||||||||||||||||||||||||||
Currencies | $ | 3,688 | $ | - | $ | 4,631 | $ | (3,233) | $ | 5,086 | $ | 26,865 | $ | (12,626) | $ | - | $ | (5,951) | $ | 8,288 | ||||||||
Energies | 616,692 | (124,087) | 102,240 | (36,791) | 558,054 | 1,236,350 | (40,150) | 880,935 | (1,450) | 2,075,685 | ||||||||||||||||||
Grains | 87,400 | (74,738) | 63,535 | (57,386) | 18,811 | 160,870 | (49,077) | - | (28,225) | 83,568 | ||||||||||||||||||
Interest rates | 198,306 | (1,137,749) | 55,062 | (5,601) | (889,982) | - | (52,481) | 3,942,928 | (95,331) | 3,795,116 | ||||||||||||||||||
Livestock | - | (5,370) | 5,220 | (50) | (200) | 290 | (7,420) | - | - | (7,130) | ||||||||||||||||||
Metals | 1,260,221 | (63,208) | 39,297 | (1,087,245) | 149,065 | 397,429 | (154,966) | 151,995 | (348,297) | 46,161 | ||||||||||||||||||
Softs | 5,098 | (20,945) | 21,123 | (14,213) | (8,937) | 90 | (26,566) | 14,759 | (23,879) | (35,596) | ||||||||||||||||||
Stock indices | 471,298 | (246,776) | 181,224 | (142,260) | 263,486 | 30,433 | (105,691) | 135,763 | (98,910) | (38,405) | ||||||||||||||||||
Total futures contracts | 2,642,703 | (1,672,873) | 472,332 | (1,346,779) | 95,383 | 1,852,327 | (448,977) | 5,126,380 | (602,043) | 5,927,687 | ||||||||||||||||||
Forward currency contracts | 2,370,139 | (681,922) | 698,770 | (2,767,416) | (380,429) | 2,048,622 | (655,648) | 386,777 | (1,142,802) | 636,949 | ||||||||||||||||||
Total futures and | ||||||||||||||||||||||||||||
forward currency contracts | $ | 5,012,842 | $ | (2,354,795) | $ | 1,171,102 | $ | (4,114,195) | $ | (285,046) | $ | 3,900,949 | $ | (1,104,625) | $ | 5,513,157 | $ | (1,744,845) | $ | 6,564,636 | ||||||||
The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2023 and 2022 and 2021 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.
Trading gains (losses) of futures and forward currency contracts for the three months ended March 31, 20222023 and 20212022
Sector | Three months ended: March 31, 2022 | Three months ended: March 31, 2021 | Three months ended: March 31, 2023 | Three months ended: March 31, 2022 | ||||||||
Futures contracts: | ||||||||||||
Currencies | $ | 78,099 | $ | - | $ | 179,926 | $ | 78,099 | ||||
Energies | 7,764,357 | 1,029,878 | (3,054,079) | 7,764,357 | ||||||||
Grains | (454,162) | 1,010,762 | (214,450) | (454,162) | ||||||||
Interest rates | 171,570 | (3,033,571) | (8,038,947) | 171,570 | ||||||||
Livestock | (12,370) | (112,720) | 8,660 | (12,370) | ||||||||
Metals | (2,302,360) | (318,751) | 265,003 | (2,302,360) | ||||||||
Softs | 165,493 | 50,942 | (167,391) | 165,493 | ||||||||
Stock indices | 1,321,065 | 6,709,251 | 97,801 | 1,321,065 | ||||||||
Total futures contracts | 6,731,692 | 5,335,791 | (10,923,477) | 6,731,692 | ||||||||
Forward currency contracts | 1,269,422 | (1,041,491) | (73,323) | 1,269,422 | ||||||||
Total futures and | ||||||||||||
forward currency contracts | $ | 8,001,114 | $ | 4,294,300 | $ | (10,996,800) | $ | 8,001,114 | ||||
The following table presents average notional value by sector of open futures and forward currency contracts for the three months ended March 31, 20222023 and 20212022 in U.S. dollars. The Partnership’s average net asset value for the three months ended March 31, 20222023 and 20212022 was approximately $125,000,000 and $119,000,000,. respectively.
Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2022 and 2021 | ||||||||||||||||||||||||
Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2023 and 2022 | Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2023 and 2022 | |||||||||||||||||||||||
2022 | 2021 | 2023 | 2022 | |||||||||||||||||||||
Sector | Long positions | Short positions | Long positions | Short positions | Long positions | Short positions | Long positions | Short positions | ||||||||||||||||
Futures contracts: | ||||||||||||||||||||||||
Currencies | $ | 765,982 | $ | 4,501,330 | $ | - | $ | - | $ | 3,773,233 | $ | 856,008 | $ | 765,982 | $ | 4,501,330 | ||||||||
Energies | 18,187,070 | 2,063,304 | 17,069,725 | 1,662,735 | 22,809,357 | 2,035,086 | 18,187,070 | 2,063,304 | ||||||||||||||||
Grains | 10,365,052 | 2,696,518 | 12,171,369 | 3,498,195 | 7,561,569 | 789,700 | 10,365,052 | 2,696,518 | ||||||||||||||||
Interest rates | 132,690,559 | 57,360,599 | 269,121,382 | 12,409,952 | 25,651,152 | 141,854,566 | 132,690,559 | 57,360,599 | ||||||||||||||||
Livestock | 444,460 | 770,665 | - | 544,600 | 326,300 | 183,250 | 444,460 | 770,665 | ||||||||||||||||
Metals | 11,979,478 | 2,437,005 | 21,123,173 | 387,686 | 1,704,995 | 2,352,994 | 11,979,478 | 2,437,005 | ||||||||||||||||
Softs | 3,363,858 | 1,638,682 | 1,271,100 | 2,315,592 | 1,696,912 | 2,431,002 | 3,363,858 | 1,638,682 | ||||||||||||||||
Stock indices | 58,671,391 | 33,058,158 | 75,788,377 | 11,205,613 | 41,334,477 | 31,180,078 | 58,671,391 | 33,058,158 | ||||||||||||||||
Total futures contracts | 236,467,850 | 104,526,261 | 396,545,126 | 32,024,373 | 104,857,995 | 181,682,684 | 236,467,850 | 104,526,261 | ||||||||||||||||
Forward currency contracts | 37,766,152 | 56,709,909 | 58,529,409 | 35,908,651 | 57,965,349 | 10,652,126 | 37,766,152 | 56,709,909 | ||||||||||||||||
Total futures and | ||||||||||||||||||||||||
forward currency contracts | $ | 274,234,002 | $ | 161,236,170 | $ | 455,074,535 | $ | 67,933,024 | $ | 162,823,344 | $ | 192,334,810 | $ | 274,234,002 | $ | 161,236,170 | ||||||||
Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at March 31, 20222023 and
2021. 2022. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions.
The averages have been calculated based on the amounts outstanding at the end of each quarter during the calculation period.
The customer agreements between the Partnership, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under FASB Accounting Standards Codification Topic 210, “Balance Sheet,” (Topic 210) of the codification were met.
The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition atas of March 31, 20222023 and December 31, 2021.2022.
Offsetting derivative assets and liabilities at March 31, 2022 | ||||||||||||||||
Offsetting derivative assets and liabilities at March 31, 2023 | Offsetting derivative assets and liabilities at March 31, 2023 | |||||||||||||||
Assets | Gross amounts of | Gross amounts | Net amounts of | Gross amounts of | Gross amounts | Net amounts of | ||||||||||
Futures contracts | ||||||||||||||||
Counterparty C | $ | 1,832,976 | $ | (511,044) | $ | 1,321,932 | $ | 1,183,514 | $ | (597,510) | $ | 586,004 | ||||
Counterparty J | 264,685 | (128,560) | 136,125 | |||||||||||||
Counterparty L | 1,285,093 | (625,722) | 659,371 | |||||||||||||
Total futures contracts | 1,832,976 | (511,044) | 1,321,932 | 2,733,292 | (1,351,792) | 1,381,500 | ||||||||||
` | ||||||||||||||||
Forward currency contracts | ||||||||||||||||
Counterparty G | 1,704,331 | (1,072,155) | 632,176 | |||||||||||||
Counterparty K | 2,932,140 | (1,663,962) | 1,268,178 | 2,142,937 | (2,029,279) | 113,658 | ||||||||||
Total forward currency contracts | 4,636,471 | (2,736,117) | 1,900,354 | |||||||||||||
Total assets | $ | 6,469,447 | $ | (3,247,161) | $ | 3,222,286 | $ | 4,876,229 | $ | (3,381,071) | $ | 1,495,158 | ||||
Liabilities | Gross amounts of | Gross amounts | Net amounts of | Gross amounts of | Gross amounts | Net amounts of | ||||||||||
Futures contracts | ||||||||||||||||
Counterparty J | $ | 658,652 | $ | (557,649) | $ | 101,003 | ||||||||||
Counterparty L | 2,758,813 | (2,209,476) | 549,337 | |||||||||||||
Forward currency contracts | ||||||||||||||||
Counterparty G | $ | 1,058,736 | $ | (940,035) | $ | 118,701 | ||||||||||
Total liabilities | $ | 3,417,465 | $ | (2,767,125) | $ | 650,340 | $ | 1,058,736 | $ | (940,035) | $ | 118,701 | ||||
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||
Counterparty | Net amounts of assets | Financial Instruments | Collateral Received(1)(2) | Net Amount(3) | ||||||||
Counterparty C | $ | 586,004 | $ | - | $ | (586,004) | $ | - | ||||
Counterparty J | 136,125 | - | (136,125) | - | ||||||||
Counterparty K | 113,658 | - | - | 113,658 | ||||||||
Counterparty L | 659,371 | - | (659,371) | - | ||||||||
Total | $ | 1,495,158 | $ | - | $ | (1,381,500) | $ | 113,658 | ||||
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||
Counterparty | Net amounts of liabilities | Financial Instruments | Collateral Pledged(1)(2) | Net Amount(4) | ||||||||
Counterparty G | $ | 118,701 | $ | - | $ | (118,701) | $ | - | ||||
Total | $ | 118,701 | $ | - | $ | (118,701) | $ | - | ||||
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed | ||||||||||||
by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty. | ||||||||||||
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets and liabilities presented in the Statement of | ||||||||||||
Financial Condition for each respective counterparty. | ||||||||||||
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2023. | ||||||||||||
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of March 31, 2023. | ||||||||||||
Offsetting derivative assets and liabilities at December 31, 2022 | ||||||||
Assets | Gross amounts of | Gross amounts | Net amounts of | |||||
Futures contracts | ||||||||
Counterparty C | $ | 3,008,522 | $ | (203,651) | $ | 2,804,871 | ||
Counterparty J | 1,806,867 | (159,073) | 1,647,794 | |||||
Counterparty L | 2,163,318 | (688,296) | 1,475,022 | |||||
Total futures contracts | 6,978,707 | (1,051,020) | 5,927,687 | |||||
Forward currency contracts | ||||||||
Counterparty G | $ | 884,233 | $ | (632,742) | $ | 251,491 | ||
Counterparty K | 1,551,166 | (1,165,708) | 385,458 | |||||
Total forward currency contracts | 2,435,399 | (1,798,450) | 636,949 | |||||
Total assets | $ | 9,414,106 | $ | (2,849,470) | $ | 6,564,636 | ||
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||
Counterparty | Net amounts of assets | Financial Instruments | Collateral Received(1)(2) | Net Amount(3) | ||||||||
Counterparty C | $ | 1,321,932 | $ | - | $ | (1,321,932) | $ | - | ||||
Counterparty G | 632,176 | - | - | 632,176 | ||||||||
Counterparty K | 1,268,178 | - | - | 1,268,178 | ||||||||
Total | $ | 3,222,286 | $ | - | $ | (1,321,932) | $ | 1,900,354 | ||||
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||
Counterparty | Net amounts of liabilities | Financial Instruments | Collateral Pledged(1)(2) | Net Amount(4) | ||||||||
Counterparty J | $ | 101,003 | $ | - | $ | (101,003) | $ | - | ||||
Counterparty L | 549,337 | - | (549,337) | $ | - | |||||||
Total | $ | 650,340 | $ | - | $ | (650,340) | $ | - | ||||
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed | ||||||||||||
by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty. | ||||||||||||
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets and liabilities presented in the Statement of | ||||||||||||
Financial Condition for each respective counterparty. | ||||||||||||
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2022. | ||||||||||||
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of March 31, 2022. | ||||||||||||
Offsetting derivative assets and liabilities at December 31, 2021 | ||||||||
Assets | Gross amounts of | Gross amounts | Net amounts of | |||||
Futures contracts | ||||||||
Counterparty J | $ | 767,838 | $ | (354,289) | $ | 413,549 | ||
Counterparty L | 1,859,710 | (1,792,099) | 67,611 | |||||
Total assets | $ | 2,627,548 | $ | (2,146,388) | $ | 481,160 | ||
(Continued) | ||||||||
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||
Counterparty | Net amounts of assets | Financial Instruments | Collateral Received(1)(2) | Net Amount(3) | ||||||||
Counterparty C | $ | 2,804,871 | $ | - | $ | (2,804,871) | $ | - | ||||
Counterparty G | 251,491 | - | - | 251,491 | ||||||||
Counterparty J | 1,647,794 | - | (1,647,794) | - | ||||||||
Counterparty K | 385,458 | - | - | 385,458 | ||||||||
Counterparty L | 1,475,022 | - | (1,475,022) | - | ||||||||
Total | $ | 6,564,636 | $ | - | $ | (5,927,687) | $ | 636,949 | ||||
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed | ||||||||||||
by the exchange. | ||||||||||||
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition | ||||||||||||
for each respective counterparty. | ||||||||||||
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2022. | ||||||||||||
Liabilities | Gross amounts of | Gross amounts | Net amounts of | |||||
Futures contracts | ||||||||
Counterparty C | $ | 873,264 | $ | (487,487) | $ | 385,777 | ||
Total futures contracts | 873,264 | (487,487) | 385,777 | |||||
Forward currency contracts | ||||||||
Counterparty G | 1,536,772 | (1,191,819) | 344,953 | |||||
Counterparty K | 1,912,566 | (1,877,090) | 35,476 | |||||
Total forward currency contracts | 3,449,338 | (3,068,909) | 380,429 | |||||
Total liabilities | $ | 4,322,602 | $ | (3,556,396) | $ | 766,206 | ||
(Concluded) |
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||
Counterparty | Net amounts of assets | Financial Instruments | Collateral Received(1)(2) | Net Amount(3) | ||||||||
Counterparty J | $ | 413,549 | $ | - | $ | (413,549) | $ | - | ||||
Counterparty L | 67,611 | - | (67,611) | - | ||||||||
Total | $ | 481,160 | $ | - | $ | (481,160) | $ | - | ||||
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||
Counterparty | Net amounts of liabilities | Financial Instruments | Collateral Pledged(1)(2) | Net Amount(4) | ||||||||
Counterparty C | $ | 385,777 | $ | - | $ | (385,777) | $ | - | ||||
Counterparty G | 344,953 | - | (344,953) | - | ||||||||
Counterparty K | 35,476 | - | (35,476) | - | ||||||||
Total | $ | 766,206 | $ | - | $ | (766,206) | $ | - | ||||
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed | ||||||||||||
by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty. | ||||||||||||
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition | ||||||||||||
for each respective counterparty. | ||||||||||||
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2021. | ||||||||||||
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2021. | ||||||||||||
CONCENTRATION OF CREDIT RISK
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.
The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Partnership
enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.
The Partnership’s forward currency trading activities are cleared bythrough DB and BA. The Partnership’s concentration of credit risk associated with DB or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB and BA. The amount of such credit risk was $10,949,740$12,224,101 and $8,359,643$10,489,098 at March 31, 20222023 and December 31, 2021,2022, respectively.
4. PROFIT SHARE
The following table indicates the total profit share earned and accrued during the three months ended March 31, 20222023 and 2021.2022. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Partnership’s Agreement of Limited Partnership.
Three months ended: | Three months ended: | |||||||||||||||||
March 31, | March 31, | March 31, | March 31, | |||||||||||||||
2022 | 2021 | 2023 | 2022 | |||||||||||||||
Profit share earned | $ | - | $ | - | $ | - | $ | - | ||||||||||
Profit share accrued | 109,775 | 237 | - | 109,775 | ||||||||||||||
Total profit share | $ | 109,775 | $ | 237 | $ | - | $ | 109,775 | ||||||||||
5. RELATED PARTY TRANSACTIONS
The Partnership pays the General Partner broker commissions. The General Partner in turn bears all such brokerage commissions and fees.
Limited partnership interests (“Interests”) sold through selling agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. At March 31, 20222023 and December 31, 2021, $02022, $0 was owed to the General Partner.
6. SUBSEQUENT EVENTS
The General Partner has performed its evaluation of subsequent events from April 1, 20222023 to May 16, 2022,15, 2023, the date thisthe Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the financial statements.Financial Statements.
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Reference is made to Item 1, "Financial Statements." The information contained therein is essential to, and should be read in connection with, the following analysis.
OPERATIONAL OVERVIEW
Due to the nature of the Partnership's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Partnership's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Partnership and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Partnership has a better likelihood of being profitable than in others.
LIQUIDITY AND CAPITAL RESOURCES
Interests may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.
The Partnership raises additional capital only through the sale of interestsInterests and capital is increased through trading profits (if any). The Partnership does not engage in borrowing.
The Partnership trades futures, forward, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.
The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; and (4) prohibiting pyramiding - that is, using unrealized profits in a particular market as margin for additional positions in the same market. The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.
The financial instruments traded by the Partnership contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward, and spot contracts or the Partnership’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Partnership.
Due to the nature of the Partnership’s business, substantially all its assets are represented by cash, cash equivalents, and U.S. government obligations while the Partnership maintains its market exposure through open futures, forward, and spot currency contract positions.
The Partnership’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Partnership’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Partnership is assigned a position in the underlying future which is then settled by offset. The Partnership’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.
The value of the Partnership’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Partnership’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends during which the Partnership’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Partnership is likely to suffer losses.
P
The Partnership’s assets are generally held as cash or cash equivalents, including short-term U.S. government securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other Commodity Futures Trading Commission authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits),obligations, which are used to margin the Partnership’s futures, forward and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, for example, which are inherent in the Partnership’s futures, forward and spot trading, the Partnership’s assets are highly liquid and are expected to remain so.
During its operations for the three months ended March 31, 2022,2023, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.
CRITICAL ACCOUNTING ESTIMATES
The Partnership records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Partnership on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine
fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.
RESULTS OF OPERATIONS
Due to the nature of the Partnership’s trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
Period ended March 31, 2023 | ||
Month Ended: | Total Partners' | |
March 31, 2023 | $ | 120,569,232 |
December 31, 2022 | 132,046,073 | |
Three Months ended | ||
Change in Partners' Capital | $ | (11,476,841) |
Percent Change | (8.69)% | |
THREE MONTHS ENDED MARCH 31, 2023
The decrease in the Partnership’s net assets of $11,476,841 was attributable to net loss of $10,292,408 and withdrawals of $1,240,534, which was partially offset by and contributions of $56,101.
Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2023 decreased $4,017 relative to the corresponding period in 2022. The decrease was due to an increased amount of lower fee paying investors in the Partnership during the three months ended March 31, 2023, relative to the corresponding period in 2022.
Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2023 increased $1,044,925 relative to the corresponding period in 2022. This increase was due predominantly to an increase in short-term U.S. treasury yields during the three months ended March 31, 2023 relative to the corresponding period in 2022.
During the three months ended March 31, 2023, the Partnership experienced net realized and unrealized losses of $10,670,504 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $640,548, administrative expenses of $80,448, custody fees and other expenses of $5,445. Interest income of $1,104,537 partially offset the Partnership expenses resulting in net loss after profit share to the General Partner of $10,292,408. An analysis of the trading gain (loss) by sector is as follows:
Sector | % Gain (Loss) of Partnership Capital | |||
Currencies | 0.10 | % | ||
Energies | (2.38) | % | ||
Grains | (0.15) | % | ||
Interest rates | (6.14) | % | ||
Livestock | 0.03 | % | ||
Metals | 0.23 | % | ||
Softs | (0.10) | % | ||
Stock indices | 0.12 | % | ||
Trading Loss | (8.29) | % | ||
MANAGEMENT DISCUSSION –2023
Three months ended March 31, 2023
The Partnership was unprofitable in the quarter predominantly due to losses from trading interest rate and energy futures. Elsewhere, trading of non-energy commodity futures was marginally unprofitable, trading of equity index futures was flat and trading of currency forwards was marginally profitable.
During January, February and into early March, markets were volatile as the negative impulses from tightening of monetary policies and sluggish manufacturing and housing sectors globally clashed with the positive impulses from better than expected employment, consumption and service sector growth globally. Then, during the last three weeks of the quarter, the banking crisis evidenced by the sudden collapses of Silicon Valley Bank and Signature Bank in the U.S., the Swiss government’s brokered sale of Credit Suisse to UBS in Europe, and the challenges of other European and small and mid-sized U.S. banks rattled trading in financial and commodity markets.
Interest rates were volatile during the quarter. In January, global interest rates declined as many market participants came to believe that a further easing of price and wage inflation may lead to an easing of monetary policy in the second half of the year. During February and into early March, however, the global bond market rally stalled as signs of continued inflation, the “hot” U.S. labor market, better-than-expected economic data in the U.S. and Europe, and Congressional testimony by Federal Reserve (“Fed”) Chairman Powell on March 7th and 8th led some investors to believe that global interest rates were primed to go still higher as central banks continued to address inflation. However, the next day global interest rates collapsed amid historic levels of interest rate volatility as risks of economic slowdown and/or recession rose in the wake of the banking crisis. For example, the U.S. 2-year note, which was yielding near 5 1/8% on March 8th following the Fed Chairman’s testimony, plunged to about 3.5% before recovering to around 4 1/8% at month-end. Overall, short positions in U.S., German, French, Italian, British, Canadian and Japanese interest futures were highly unprofitable.
For much of the quarter, energy prices as measured by WTI crude oil were influenced by conflicting forces and traded in a range between $73 and $82 per barrel. In general, global supply and demand fundamentals saw mixed results amid a number of global events: Russian supply did not fall as steeply as some expected; Iraq exports through Turkey were reduced significantly late in the quarter; Chinese demand did not pick up as quickly as many forecast; concerns about slowing growth in Europe and the U.S. likely impacted fundamentals; strikes at French refineries seemingly weakened crude consumption; the U.S. government did not replenish its Strategic Petroleum Reserve; and developed world commercial oil inventories rose. OPEC+ appeared unwilling to change policy until it better understood the mixed results. Then, in March as recession risks increased in the wake of the banking sector crisis, energy prices fell with WTI crude plunging from $80 per barrel on March 6 to $65 per barrel on March 20, before recovering to close the month near $70/barrel. On balance, long positions in Brent crude, WTI crude, London gas oil, heating oil and RBOB gasoline were unprofitable. On the other hand, short natural gas positions were quite profitable as prices declined amid warmer than typical weather in Europe and the U.S. and expanding inventories.
Equity markets, although also rattled by the mix of positive and negative factors discussed above, were steady during the quarter and results were mixed and flat. Long positions in European, Chinese, Taiwanese and Australian stock index futures were profitable. Short positions in Brazilian, Indian and U.S. Russell equity index futures, and trading of Singaporean futures were profitable. On the other hand, short U.S. NASDAQ, S&P and Mid-Cap 400 positions, and trading of Korean, Japanese and EAFE equity index futures posted offsetting losses.
A short silver position was profitable in February, possibly impacted by higher interest rates, a stronger U.S. dollar and sluggish manufacturing globally. In March, safe haven demand and a weaker U.S. dollar likely affected precious metal prices and a long gold trade was profitable. These gains slightly outpaced the loss from a short copper trade. Turning to grain futures, strong supply expectations from major producers of wheat, corn and soybeans seemingly weighed down grain prices. Losses on long corn and soybean trades outdistanced the profit from a short wheat position. Among soft commodities, small losses on short coffee, cotton and cocoa positions marginally outdistanced the profit from a long sugar trade.
Varying expectations about relative growth and monetary policy outlooks across countries likely caused fluctuations in the U.S. dollar during the quarter. Trading results were mixed, though marginally positive overall. Short U.S. dollar positions versus high yield currencies—Chile, Mexico and Poland—were profitable, particularly in March. Long U.S. dollar positions against the Japanese yen and Swiss franc posted gains in January and February. On the other hand, short U.S. dollar trades relative to the Korean won and Brazilian real in February were unprofitable, as was trading the U.S. dollar against the Australian, Canadian and New Zealand dollars, respectively, and trading the Norwegian krone versus the euro and U.S. dollar.
Period ended March 31, 2022 | ||
Month Ended: | Total Partners' | |
March 31, 2022 | $ | 124,302,062 |
December 31, 2021 | 118,360,598 | |
Three Months ended | ||
Change in Partners' Capital | $ | 5,941,464 |
Percent Change | 5.02% | |
THREE MONTHS ENDED MARCH 31, 2022
The increase in the Partnership’s net assets of $5,941,464 was attributable to net income after profit share of $7,068,882, which were partially offset by withdrawals of $1,127,418.
Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2022 decreased $34,697 relative to the corresponding period in 2021. The decrease was due to an increased amount of lower fee paying investors in the Partnership during the three months ended March 31, 2022, relative to the corresponding period in 2021.
Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2022 increased $50,962 relative to the corresponding period in 2021. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2022 relative to the corresponding period in 2021.
During the three months ended March 31, 2022, the Partnership experienced net realized and unrealized gains of $7,841,572 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $644,565, administrative expenses of $72,714, custody fees and other expenses of $5,248 and accrued profit share to the General Partner of $109,775 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $59,612, were partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $7,068,882. An analysis of the trading gain (loss) by sector is as follows:
Sector | % Gain (Loss) of Partnership Capital | |||
Currencies | 1.10 | % | ||
Energies | 6.80 | % | ||
Grains | (0.40) | % | ||
Interest rates | 0.15 | % | ||
Livestock | (0.03) | % | ||
Metals | (1.99) | % | ||
Softs | 0.13 | % | ||
Stock indices | 0.99 | % | ||
Trading Gain | 6.75 | % | ||
MANAGEMENT DISCUSSION –2022
Three months ended March 31, 2022
The Partnership was profitable in the quarter as gains from trading energy futures, stock index futures and currency forwards outpaced losses from trading metal futures. Elsewhere, trading of interest rate futures and softs futures were marginally positive while trading of agricultural commodity futures was marginally negative.
During the quarter, market prices experienced significant volatility as market participants endeavored to understand the impacts of recent events—including the increasingly hawkish Federal Reserve (the “Fed”) and global central bank monetary policies; the Russia-Ukraine war and accompanying sanctions; and the Chinese growth slowdown, which was exacerbated by recent COVID-19 lockdowns—on individual markets and on growth/inflation outlooks for various regions of the world.
Disciplined supply management from both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers together with oil consumption recovering toward pre-pandemic levels underpinned a rise in Brent crude oil prices from $77/barrel at the end of 2021 to around $90/barrel on January 31 amid concerns that the market may face an oil-market squeeze triggered by too little investment and quickly rebounding demand. Then, as the Russia-Ukraine war erupted, energy prices, represented by Brent crude oil, surge to nearly $130/barrel on March 8 amid fears that Russian energy supplies would be negatively impacted. Russia is among the top three global producers of crude oil and natural gas. Over the last three weeks of the quarter, energy prices were extremely volatile with Brent crude plunging to $98/barrel on March 16 and jumping to $122/barrel on March 24 before closing the month at $108/barrel. The price drop near month-end followed news that the U.S. would release a million barrels per day from the Strategic Petroleum Reserve for up to six months. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, and heating oil were profitable. In addition, periodic short positions in Brent crude, RBOB gasoline and London gas oil posted small gains. On the other hand, a short position in U.S. natural gas was unprofitable and shifted to a long position late in the quarter.
The Fed and other central banks’ embrace of more hawkish policy stances impacted global financial markets, contributing to increased volatility and significant losses for global equities, despite a modest recovery at quarter-end. China’s growth slowdown and property market distress also weighed on equities, as did Europe’s struggles with high energy prices, supply bottlenecks and personnel shortages. The potential stagflationary impacts of the Russia-Ukraine war also contributed to uncertainty in global equity markets. Overall, short positions in Chinese, Hong Kong, Korean, Singaporean, German, Italian, South African, and the EEM and EAFE index futures were profitable. Trading of the S&P Mid-Cap index, and long positions in Australian and British index futures late in the quarter were also profitable. On the other hand, long positions in most U.S. equity index futures and trading of Dutch, French, and the Euro Stoxx index futures posted partially offsetting losses. Short vix and Brazilian index futures positions, a long Canadian equity index future position, and trading of the Taiwanese stock index future were also unprofitable.
The U.S. dollar was volatile for most of the quarter, but it spiked about 3% higher during the first week of the Russian invasion of Ukraine and as market participants anticipated a hawkish tilt for the mid-March Federal Open Market Committee meeting. A long U.S. dollar trade versus the Japanese yen was particularly profitable as the Bank of Japan continued to pursue an expansive monetary policy while the Fed was becoming decidedly more restrictive. A long Brazilian real/short dollar trade benefitted from high level of Brazilian interest rates and from rising commodity prices. Given that the war in Ukraine is likely to have a much greater negative impact on Europe than the U.S., a long U.S. dollar position against the Euro was profitable. A short U.S. dollar trade versus the Russian ruble was closed out at a loss during February when the Partnership halted trading of the Russian currency. Elsewhere, trading the U.S. dollar against the currencies of Switzerland, Sweden, the U.K. and India; long U.S. dollar trades against the Australian and Canadian currencies; and a short U.S. dollar/ long New Zealand dollar position posted partially offsetting losses.
Led by an seemingly increasingly hawkish Fed, global interest rates increased throughout the quarter as Chairman Powell indicated that the March start to official rate increases and end to Quantitative Easing would be followed shortly thereafter by Quantitate Tightening (“QT”) as the Fed seeks to rein in inflation without derailing strong GDP and employment growth. Following this news, the 10-year U.S. government
bond yield, which ended 2021 near 1.50%, soared to nearly 2.50% on March 28 before settling back to about 2.30% at month-end. Concerns that higher rates and QT would slow growth nor safe haven demand deriving from the Russian-Ukraine war kept rates down. On balance, short positions in shorter-term U.S., European, Canadian and Italian interest rate futures were profitable. In addition, short positions in the U.S. ultra-bond future and the 10-year Italian bond future were profitable. On the other hand, trading of Australian, Canadian, French, Japanese and U.S. note futures posted largely offsetting losses.
Geopolitical developments, the Chinese growth slowdown, monetary policy uncertainties and dollar volatility impacted metal markets, which experienced an overall sector loss. Trading of silver, gold, platinum and copper futures produced losses. On the other hand, a long nickel position was profitable as rising demand—especially for EV batteries, and low inventories buoyed prices. Trading of zinc was also slightly profitable.
Finally, turning to soft and agricultural commodities, losses from a short wheat position and from trading soybean oil, sugar and coffee outdistanced the profits from long soybean, soybean meal and cotton positions.
Period ended March 31, 2021 | ||
Month Ended: | Total Partners' | |
March 31, 2021 | $ | 118,471,908 |
December 31, 2020 | 118,548,929 | |
Three Months ended | ||
Change in Partners' Capital | $ | (77,021) |
Percent Change | (0.06)% | |
THREE MONTHS ENDED MARCH 31, 2021
The decrease in the Partnership’s net assets of $77,021 was attributable to withdrawals of $3,489,528, which were partially offset by net income after profit share of $3,412,507.
Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2021 decreased $200,334 relative to the corresponding period in 2020. The decrease was due to a decrease in average net assets of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.
Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2021 decreased $634,843 relative to the corresponding period in 2020. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended March 31, 2021 relative to the corresponding period in 2020.
During the three months ended March 31, 2021, the Partnership experienced net realized and unrealized gains of $4,162,114 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $679,262, administrative expenses of $73,531, custody fees and other expenses of $5,227 and accrued profit share to the General Partner of $237 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $8,650, were partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $3,412,507. An analysis of the trading gain (loss) by sector is as follows:
|
| |||
|
|
| ||
|
|
| ||
|
|
| ||
|
|
| ||
|
|
| ||
|
|
| ||
|
|
| ||
|
|
| ||
|
|
| ||
MANAGEMENT DISCUSSION –2021
Three months ended March 31, 2021
The Partnership was profitable in the quarter as gains from trading equity, energy and grain futures outpaced losses from trading interest rate futures, metal futures and currency forwards. Trading of livestock and soft commodity futures was marginally negative.
The global reflation trade gathered momentum throughout the quarter amid fiscal stimulus expansion from the Biden Administration; Federal Reserve (the “Fed”) Chairman Powell reiterating in testimony before Congress that the Fed will maintain low interest rates and continue asset purchases until “substantial further progress has been made” toward its employment and inflation goals; the global vaccine rollout; and the resurgence of global trade. Periodically, however, the growth outlook and investor enthusiasm were tamped down and markets experienced increased volatility while concerns about the slow pace of vaccine distribution in Europe, Asia and emerging markets relative to the U.S. and U.K. lingered; evidence of moderating monetary and fiscal policy support came out of China; and the geopolitical conflict between China and the U.S. expanded.
Trading of equity futures was highly profitable. Positive impulses from massive fiscal and monetary policy support globally outweighed the negative impact of higher global interest rates and less synchronous global growth. The Reddit-driven short frenzy in January, Archegos events in March, and the week-long Suez Canal closure in March did not seem to have long-term effects on equity markets. Long positions in U.S., Canadian, European, British, Chinese and EAFE equity index futures were profitable. A short VIX position and trading of the EEM emerging market index future were also profitable. On the other hand, trading of South African, Brazilian and Australian futures registered small offsetting losses.
Energy markets were volatile during the quarter. After exceeding 2-year highs early in March amid strong reflation trade and Organization of the Petroleum Exporting Countries’ production restraint, crude prices dropped sharply as reopening demand expectations receded along with the global growth outlook. For example, Brent crude climbed from just over $50/barrel at the start of the year to nearly $71/barrel on March 7, but plunged to nearly $60/barrel on March 23. Even though the closure of the Suez Canal provided some support to crude prices, Brent closed the month at less than $63/barrel. Overall, long positions in Brent crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short natural gas trade was unprofitable, especially as prices rose in January in response to unusually cold weather across Europe and China and in February in the wake of weather-induced energy market turmoil in Texas. Trading of WTI crude oil was slightly unprofitable as well.
Chinese demand for U.S. exports, a weaker than expected U.S. harvest of row crops and dry weather in South America contributed to profits on long corn, soybean and soybean oil trades. Then, on March 31 the USDA reported that farmers are likely to plant lower-than-expected corn and soybean acreage in 2021, and corn and soybean prices traded limit-up on the day, reinforcing results from earlier in the quarter. Trading of soybean meal was marginally unprofitable.
Interest rates were volatile during the quarter, trading across a broad range in January, spiking higher in February, and then dropping back sharply in March before entering volatile range-trading to close out the period. Amid growth, inflation and government borrowing concerns, global note and bond yields pushed sharply higher during the January-February period as evidenced by the German 10-year Bund yield which rose from about -0.60% at the start of January to as high as -0.23% on February 25. Then, as growth optimism faded somewhat in March, the Bund yield fell to -0.39% on March 21 before closing the quarter at -0.32%. Long positions in U.S., Canadian and Australian long bond futures were unprofitable, especially in February. Trading of German, French, Italian and Japanese bond futures were also unprofitable, particularly in January and March. Trading of U.S., British, Australian, German and Italian short-term interest rate futures registered small losses as well. On the other hand, short positions in the U.S. 5-year note future and in the German ultra-long bond future posted partially offsetting gains in February.
Currency markets too were impacted by the fluid growth, inflation and interest rate developments, and trading of currency forwards was mixed and unprofitable. The euro, which traded toward five-year highs during January and February, declined sharply in March and a long euro position against the dollar was unprofitable. Long Swiss franc and Swedish krona positions were also unprofitable. Trading the U.S. dollar against the currencies of Brazil and Singapore posted losses, as did a long U.S. dollar/short Canadian dollar position as commodity currencies outperformed. On the other hand, long U.S. dollar positions versus the Japanese yen and Israeli shekel, short dollar trades versus the Norwegian krone and South African rand, and trading the dollar against the British pound sterling produced partially offsetting gains.
The improving economic outlook and COVID-19 prognosis together with higher interest rates and a stronger U.S. dollar weighed on precious metal prices and long gold and silver positions posted losses. Meanwhile, long positions in copper and aluminum produced partially offsetting profits, especially in February as prices rose and reflation optimism was high.
OFF-BALANCE SHEET ARRANGEMENTS
The Partnership does not engage in off-balance sheet arrangements with other entities.
CONTRACTUAL OBLIGATIONS
The Partnership does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures, forward currency, spot, option and swap contracts, both long (contracts to buy) and short (contacts(contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements present a Condensed SchedulesSchedule of Investments setting forth the Partnership’s open futures and forward currency contracts, both long and short, at March 31, 2022.2023.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Not required.
ITEM 4. CONTROLS AND PROCEDURES
The General Partner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal controls over financial reporting during the quarter ended March 31, 20222023 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal controls over financial reporting with respect to the Partnership.
PART II. OTHER INFORMATION
ITEM 1. Legal Proceedings
None.
ITEM 1A. Risk Factors
Not required.
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
(a) Pursuant to the Partnership's Agreement of Limited Partnership, the Partnership may sell Interests at the beginning of each calendar month. As of the quarter endingOn March 31, 2022,1, 2023, the Partnership sold no Interests to new and existing limited partners.partners of $56,101. There were no underwriting discounts or commissions in connection with the sales of the Interests described above.
Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.
(b) Pursuant to the Partnership’s Agreement of Limited Partnership, Limited Partners may redeem their Interests at the end of each calendar month at the then current month-end net asset value. The redemption of Interests has no impact on the value of Interests that remain outstanding, and Interests are not reissued once redeemed.
The following table summarizes Interests redeemed during the three months ended March 31, 2022: | ||||||
Date of | Limited | Special Limited | Total | |||
January 31, 2022 | $ (229,563) | $ (200,000) | $ (429,563) | |||
February 28, 2022 | (76,240) | (21,180) | (97,420) | |||
March 31, 2022 | (549,552) | (50,883) | (600,435) | |||
Total | $ (855,355) | $ (272,063) | $ (1,127,418) | |||
The following table summarizes Interests redeemed during the three months ended March 31, 2023: | ||||||
Date of | Limited | Special Limited | Total | |||
January 31, 2023 | $ (241,646) | $ (106,822) | $ (348,468) | |||
February 28, 2023 | (383,745) | (26,497) | (410,242) | |||
March 31, 2023 | (435,314) | (46,510) | (481,824) | |||
Total | $ (1,060,705) | $ (179,829) | $ (1,240,534) | |||
ITEM 3. Defaults Upon Senior Securities
None.
ITEM 4. Mine Safety Disclosures
Not Applicable.
ITEM 5. Other Information
None.
ITEM 6. Exhibits
The following exhibits are included herewith:
| Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer | |
| Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer | |
| Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Operating Officer | |
| Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer | |
| Section 1350 Certification of Co-Chief Executive Officer | |
| Section 1350 Certification of Co-Chief Executive Officer | |
| Section 1350 Certification of President and Chief Operating Officer | |
| Section 1350 Certification of Chief Financial Officer | |
|
|
|
101.INS |
| XBRL Instance Document |
101.SCH |
| XBRL Taxonomy Extension Schema Document |
101.CAL |
| XBRL Taxonomy Extension Calculation Linkbase Document |
101.DEF |
| XBRL Taxonomy Extension Definition Linkbase Document |
101.LAB |
| XBRL Taxonomy Extension Label Linkbase Document |
101.PRE |
| XBRL Taxonomy Extension Presentation Linkbase Document |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
By: | Millburn Ridgefield Corporation, | /s/ Michael W. Carter |
| General Partner | Michael W. Carter |
| Vice-President | |
Date: May | (Principal Accounting Officer) | |