QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware | 26-0151234 26-0151301 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) | |
c/o GreenHaven Commodity Services LLC | ||
3340 Peachtree Rd, Suite 1910 | ||
Atlanta, Georgia | 30326 | |
(Address of Principal Executive Offices) | (Zip Code) |
Large Accelerated Filer | Accelerated Filer ☒ | Smaller reporting company | ||||||
(Do not check if a smaller reporting company) |
PART 1. FINANCIAL INFORMATION | |||
ITEM 1. FINANCIAL STATEMENTS | |||
Consolidated Statements of Financial Condition at | 3 | ||
Unaudited Consolidated Schedule of Investments at | 4 | ||
Consolidated Schedule of Investments at December 31, | 5 | ||
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended | 6 | ||
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the | 7 | ||
Unaudited Consolidated Statements of Cash Flows for the | 8 | ||
Statements of Financial Condition at | 9 | ||
Unaudited Schedule of Investments at | 10 | ||
Schedule of Investments at December 31, | 11 | ||
Unaudited | 12 | ||
Unaudited Statement of Changes in Shareholders’ Equity for the | 13 | ||
Unaudited Statements of Cash Flows for the | 14 | ||
Notes to Consolidated Unaudited | 15 | ||
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | 23 | ||
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK | 29 | ||
ITEM 4. CONTROLS AND PROCEDURES | 31 | ||
PART II. OTHER INFORMATION | 33 | ||
ITEM 1. Legal Proceedings | 33 | ||
ITEM 1A. Risk Factors | 33 | ||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds | 33 | ||
ITEM 3. Defaults Upon Senior Securities | 33 | ||
ITEM 4. Reserved | 33 | ||
ITEM 5. Other Information | 33 | ||
ITEM 6. Exhibits | 34 | ||
SIGNATURES | 35 | ||
EXHIBIT INDEX | 36 | ||
EX-31.1 SECTION 302 CERTIFICATION OF CEO | |||
EX-31.2 SECTION 302 CERTIFICATION OF CEO | |||
EX-31.3 SECTION 302 CERTIFICATION OF CFO | |||
EX-31.4 SECTION 302 CERTIFICATION OF CFO | |||
EX-32.1 SECTION 906 CERTIFICATION OF CEO | |||
EX-32.2 SECTION 906 CERTIFICATION OF CEO | |||
EX-32.3 SECTION 906 CERTIFICATION OF CFO | |||
EX-32.4 SECTION 906 CERTIFICATION OF CFO |
2 |
September 30, | ||||||||||||||||
2014 | December 31, | March 31, 2015 | December 31, | |||||||||||||
(unaudited) | 2013 | (unaudited) | 2014 | |||||||||||||
Assets | ||||||||||||||||
Equity in broker trading accounts: | ||||||||||||||||
Short-term investments (cost $99,996,305 and $199,996,365 as of September 30, 2014 and December 31, 2013, respectively) | $ | 99,998,500 | $ | 199,998,800 | ||||||||||||
Short-term investments (cost $199,994,248 and $199,994,069 as of March 31, 2015 and December 31, 2014, respectively) | $ | 199,996,950 | $ | 199,995,250 | ||||||||||||
Cash held by broker | 247,825,537 | 124,417,599 | 60,768,219 | 94,433,074 | ||||||||||||
Net unrealized depreciation on futures contracts | (26,493,168 | ) | (4,055,188 | ) | (16,701,398 | ) | (27,249,076 | ) | ||||||||
Total assets | $ | 321,330,869 | $ | 320,361,211 | $ | 244,063,771 | $ | 267,179,248 | ||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Management fee payable to related party | $ | 232,843 | $ | 241,143 | 177,535 | 205,492 | ||||||||||
Accrued brokerage fees and expenses payable | 80,620 | 127,484 | 120,702 | 75,622 | ||||||||||||
Total liabilities | 313,463 | 368,627 | $ | 298,237 | $ | 281,114 | ||||||||||
Shareholders’ equity | ||||||||||||||||
General Units: | ||||||||||||||||
Paid in capital - 50 units issued | 1,500 | 1,500 | 1,500 | 1,500 | ||||||||||||
Accumulated deficit | (261 | ) | (215 | ) | (440 | ) | (360 | ) | ||||||||
Total General Units | 1,239 | 1,285 | 1,060 | 1,140 | ||||||||||||
Limited Units: | ||||||||||||||||
Paid in capital - 12,950,000 and 12,450,000 redeemable shares issued and outstanding as of September 30, 2014 and December 31, 2013, respectively | 380,703,638 | 364,838,413 | ||||||||||||||
Paid in capital - 11,500,000 and 11,700,000 redeemable shares issued and outstanding as of March 31, 2015 and December 31, 2014, respectively | 345,924,852 | 350,523,308 | ||||||||||||||
Accumulated deficit | (59,687,471 | ) | (44,847,114 | ) | (102,160,378 | ) | (83,626,314 | ) | ||||||||
Total Limited Units | 321,016,167 | 319,991,299 | 243,764,474 | 266,896,994 | ||||||||||||
Total shareholders’ equity | 321,017,406 | 319,992,584 | 243,765,534 | 266,898,134 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 321,330,869 | $ | 320,361,211 | $ | 244,063,771 | $ | 267,179,248 | ||||||||
Net asset value per share | ||||||||||||||||
General Units | $ | 24.78 | $ | 25.70 | $ | 21.20 | $ | 22.80 | ||||||||
Limited Units | $ | 24.79 | $ | 25.70 | $ | 21.20 | $ | 22.81 |
3 |
Percentage | Fair | Face | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.02% due April 23, 2015 | 41.02 | % | $ | 99,999,400 | $ | 100,000,000 | ||||||
U.S. Treasury Bills, 0.02% due June 11, 2015 | 20.51 | 49,998,750 | 50,000,000 | |||||||||
U.S. Treasury Bills, 0.02% due June 25, 2015 | 20.51 | 49,998,800 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $199,994,248) | 82.04 | % | $ | 199,996,950 | $ | 200,000,000 | ||||||
Percentage | Fair | Notional | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (178 contracts, settlement date September 15, 2015) | (0.12 | )% | $ | (294,420 | ) | $ | 4,795,320 | |||||
Cocoa (177 contracts, settlement date July 16, 2015) | (0.11 | ) | (279,580 | ) | 4,777,230 | |||||||
Cocoa (177 contracts, settlement date May 13, 2015) | (0.13 | ) | (314,520 | ) | 4,777,230 | |||||||
Coffee (94 contracts, settlement date September 18, 2015) | (0.31 | ) | (761,906 | ) | 4,905,037 | |||||||
Coffee (94 contracts, settlement date July 21, 2015) | (0.50 | ) | (1,207,163 | ) | 4,797,525 | |||||||
Coffee (93 contracts, settlement date May 18, 2015) | (0.46 | ) | (1,112,138 | ) | 4,634,888 | |||||||
Copper (69 contracts, settlement date September 28, 2015) | 0.12 | 283,913 | 4,730,812 | |||||||||
Copper (70 contracts, settlement date July 29, 2015) | (0.07 | ) | (164,275 | ) | 4,799,375 | |||||||
Copper (70 contracts, settlement date May 27, 2015) | (0.11 | ) | (277,213 | ) | 4,795,000 | |||||||
Corn (248 contracts, settlement date September 14, 2015) | (0.07 | ) | (175,687 | ) | 4,860,800 | |||||||
Corn (250 contracts, settlement date July 14, 2015) | (0.10 | ) | (233,650 | ) | 4,803,125 | |||||||
Corn (249 contracts, settlement date May 14, 2015) | (0.04 | ) | (91,862 | ) | 4,684,312 | |||||||
Cotton (226 contracts, settlement date July 09, 2015) | 0.06 | 149,365 | 7,170,980 | |||||||||
Cotton (227 contracts, settlement date May 06, 2015) | 0.00 | * | 4,305 | 7,161,850 | ||||||||
Gold (60 contracts, settlement date August 27, 2015) | (0.09 | ) | (225,450 | ) | 7,104,600 | |||||||
Gold (61 contracts, settlement date June 26, 2015) | (0.04 | ) | (88,880 | ) | 7,217,520 | |||||||
Lean Hogs (99 contracts, settlement date October 14, 2015) | (0.02 | ) | (61,430 | ) | 2,738,340 | |||||||
Lean Hogs (99 contracts, settlement date August 14, 2015) | (0.12 | ) | (284,240 | ) | 3,077,910 | |||||||
Lean Hogs (99 contracts, settlement date July 15, 2015) | (0.17 | ) | (420,610 | ) | 3,055,140 | |||||||
Lean Hogs (98 contracts, settlement date June 12, 2015) | (0.18 | ) | (447,660 | ) | 2,971,360 | |||||||
Lean Hogs (99 contracts, settlement date April 15, 2015) | (0.28 | ) | (682,310 | ) | 2,472,030 | |||||||
Light, Sweet Crude Oil (56 contracts, settlement date August 20, 2015) | (0.09 | ) | (231,110 | ) | 2,950,640 | |||||||
Light, Sweet Crude Oil (56 contracts, settlement date July 21, 2015) | (0.09 | ) | (221,710 | ) | 2,902,480 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date June 22, 2015) | (0.02 | ) | (60,110 | ) | 2,894,460 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015) | (0.12 | ) | (283,710 | ) | 2,812,380 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date April 21, 2015) | (0.19 | ) | (467,480 | ) | 2,713,200 | |||||||
Live Cattle (79 contracts, settlement date October 30, 2015) | 0.07 | 180,670 | 4,777,920 | |||||||||
Live Cattle (79 contracts, settlement date August 31, 2015) | 0.00 | * | 5,990 | 4,724,200 | ||||||||
Live Cattle (79 contracts, settlement date June 30, 2015) | (0.03 | ) | (75,940 | ) | 4,813,470 | |||||||
Natural Gas (104 contracts, settlement date August 27, 2015) | (0.05 | ) | (114,500 | ) | 2,897,440 | |||||||
Natural Gas (105 contracts, settlement date July 29, 2015) | (0.05 | ) | (127,120 | ) | 2,921,100 | |||||||
Natural Gas (105 contracts, settlement date June 26, 2015) | (0.08 | ) | (190,000 | ) | 2,888,550 | |||||||
Natural Gas (105 contracts, settlement date May 27, 2015) | (0.12 | ) | (283,460 | ) | 2,825,550 | |||||||
Natural Gas (105 contracts, settlement date April 28, 2015) | (0.12 | ) | (304,830 | ) | 2,772,000 | |||||||
NY Harbor ULSD (39 contracts, settlement date August 31, 2015) | (0.08 | ) | (185,350 | ) | 2,899,260 | |||||||
NY Harbor ULSD (39 contracts, settlement date July 31, 2015) | (0.08 | ) | (188,084 | ) | 2,864,371 | |||||||
NY Harbor ULSD (39 contracts, settlement date June 30, 2015) | 0.01 | 27,031 | 2,835,706 | |||||||||
NY Harbor ULSD (39 contracts, settlement date May 29, 2015) | (0.18 | ) | (428,547 | ) | 2,811,463 | |||||||
NY Harbor ULSD (40 contracts, settlement date April 30, 2015) | (0.16 | ) | (382,246 | ) | 2,869,440 | |||||||
Platinum (125 contracts, settlement date October 28, 2015) | (0.09 | ) | (213,660 | ) | 7,155,000 | |||||||
Platinum (125 contracts, settlement date July 29, 2015) | (0.13 | ) | (329,120 | ) | 7,146,250 | |||||||
Silver (57 contracts, settlement date September 28, 2015) | (0.04 | ) | (88,585 | ) | 4,752,375 | |||||||
Silver (58 contracts, settlement date July 29, 2015) | 0.06 | 136,475 | 4,825,600 | |||||||||
Silver (57 contracts, settlement date May 27, 2015) | (0.01 | ) | (36,995 | ) | 4,730,430 | |||||||
Soybean (98 contracts, settlement date August 14, 2015) | (0.11 | ) | (257,250 | ) | 4,788,525 | |||||||
Soybean (98 contracts, settlement date July 14, 2015) | (0.09 | ) | (230,363 | ) | 4,790,975 | |||||||
Soybean (98 contracts, settlement date May 14, 2015) | (0.09 | ) | (223,913 | ) | 4,768,925 | |||||||
Soybean Oil (156 contracts, settlement date October 14, 2015) | (0.05 | ) | (122,604 | ) | 2,874,456 | |||||||
Soybean Oil (156 contracts, settlement date September 14, 2015) | (0.06 | ) | (135,366 | ) | 2,879,136 | |||||||
Soybean Oil (156 contracts, settlement date August 14, 2015) | (0.10 | ) | (252,510 | ) | 2,873,520 | |||||||
Soybean Oil (156 contracts, settlement date July 14, 2015) | (0.07 | ) | (182,760 | ) | 2,866,032 | |||||||
Soybean Oil (157 contracts, settlement date May 14, 2015) | (0.09 | ) | (208,710 | ) | 2,862,738 | |||||||
Sugar (348 contracts, settlement date September 30, 2015) | (0.38 | ) | (918,187 | ) | 4,942,157 | |||||||
Sugar (350 contracts, settlement date June 30, 2015) | (0.57 | ) | (1,386,180 | ) | 4,727,520 | |||||||
Sugar (350 contracts, settlement date April 30, 2015) | (0.62 | ) | (1,522,741 | ) | 4,676,560 | |||||||
Wheat (185 contracts, settlement date September 14, 2015) | (0.03 | ) | (84,062 | ) | 4,833,125 | |||||||
Wheat (185 contracts, settlement date July 14, 2015) | (0.15 | ) | (360,350 | ) | 4,754,500 | |||||||
Wheat (186 contracts, settlement date May 14, 2015) | (0.11 | ) | (268,600 | ) | 4,759,275 | |||||||
Net Unrealized Depreciation on Futures Contracts | (6.85 | )% | $ | (16,701,398 | ) | $ | 243,511,113 |
Percentage | Fair | Face | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.01% due January 22, 2015 | 37.47 | % | $ | 99,998,600 | $ | 100,000,000 | ||||||
U.S. Treasury Bills, 0.03% due March 12, 2015 | 18.73 | 49,998,100 | 50,000,000 | |||||||||
U.S. Treasury Bills, 0.06% due March 26, 2015 | 18.73 | 49,998,550 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $199,994,069) | 74.93 | % | $ | 199,995,250 | $ | 200,000,000 |
Percentage | Fair | Notional | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (181 contracts, settlement date July 16, 2015) | 0.03 | % | $ | 83,950 | $ | 5,229,090 | ||||||
Cocoa (181 contracts, settlement date May 13, 2015) | (0.13 | ) | (334,480 | ) | 5,234,520 | |||||||
Cocoa (181 contracts, settlement date March 16, 2015) | (0.12 | ) | (316,920 | ) | 5,267,100 | |||||||
Coffee (82 contracts, settlement date July 21, 2015) | (0.25 | ) | (671,513 | ) | 5,285,925 | |||||||
Coffee (82 contracts, settlement date May 18, 2015) | (0.27 | ) | (719,438 | ) | 5,205,975 | |||||||
Coffee (83 contracts, settlement date March 19, 2015) | (0.28 | ) | (747,038 | ) | 5,185,425 | |||||||
Copper (74 contracts, settlement date July 29, 2015) | (0.12 | ) | (320,262 | ) | 5,227,175 | |||||||
Copper (74 contracts, settlement date May 27, 2015) | (0.22 | ) | (584,150 | ) | 5,223,475 | |||||||
Copper (74 contracts, settlement date March 27, 2015) | (0.21 | ) | (559,600 | ) | 5,227,175 | |||||||
Corn (258 contracts, settlement date July 14, 2015) | 0.04 | 101,863 | 5,321,250 | |||||||||
Corn (258 contracts, settlement date May 14, 2015) | 0.09 | 250,975 | 5,234,175 | |||||||||
Corn (259 contracts, settlement date March 13, 2015) | 0.09 | 242,600 | 5,141,150 | |||||||||
Cotton (171 contracts, settlement date July 09, 2015) | 0.00 | * | 5,610 | 5,301,000 | ||||||||
Cotton (171 contracts, settlement date May 06, 2015) | (0.12 | ) | (316,150 | ) | 5,221,485 | |||||||
Cotton (171 contracts, settlement date March 09, 2015) | (0.27 | ) | (716,905 | ) | 5,153,085 | |||||||
Gold (44 contracts, settlement date June 26, 2015) | 0.03 | 88,470 | 5,215,760 | |||||||||
Gold (44 contracts, settlement date April 28, 2015) | (0.17 | ) | (446,860 | ) | 5,213,560 | |||||||
Gold (44 contracts, settlement date February 25, 2015) | (0.13 | ) | (335,420 | ) | 5,210,040 | |||||||
Lean Hogs (113 contracts, settlement date July 15, 2015) | (0.07 | ) | (176,480 | ) | 4,098,510 | |||||||
Lean Hogs (113 contracts, settlement date June 12, 2015) | (0.07 | ) | (188,950 | ) | 4,138,060 | |||||||
Lean Hogs (113 contracts, settlement date April 15, 2015) | (0.07 | ) | (197,270 | ) | 3,764,030 | |||||||
Lean Hogs (113 contracts, settlement date February 13, 2015) | (0.12 | ) | (315,750 | ) | 3,670,240 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015) | (0.33 | ) | (893,390 | ) | 3,172,050 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date April 21, 2015) | (0.38 | ) | (1,019,440 | ) | 3,187,680 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date March 20, 2015) | (0.57 | ) | (1,532,690 | ) | 3,147,080 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date February 20, 2015) | (0.58 | ) | (1,560,200 | ) | 3,114,600 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date January 20, 2015) | (0.58 | ) | (1,550,530 | ) | 3,089,660 | |||||||
Live Cattle (82 contracts, settlement date June 30, 2015) | (0.04 | ) | (114,190 | ) | 5,080,720 | |||||||
Live Cattle (81 contracts, settlement date April 30, 2015) | 0.08 | 218,730 | 5,261,760 | |||||||||
Live Cattle (81 contracts, settlement date February 27, 2015) | 0.09 | 242,130 | 5,299,020 | |||||||||
Natural Gas (108 contracts, settlement date May 27, 2015) | (0.25 | ) | (668,300 | ) | 3,189,240 | |||||||
Natural Gas (108 contracts, settlement date April 28, 2015) | (0.26 | ) | (694,840 | ) | 3,136,320 | |||||||
Natural Gas (108 contracts, settlement date March 27, 2015) | (0.29 | ) | (786,680 | ) | 3,111,480 | |||||||
Natural Gas (108 contracts, settlement date February 25, 2015) | (0.37 | ) | (1,000,490 | ) | 3,127,680 | |||||||
Natural Gas (108 contracts, settlement date January 28, 2015) | (0.40 | ) | (1,071,100 | ) | 3,120,120 | |||||||
NY Harbor ULSD (42 contracts, settlement date May 29, 2015) | (0.33 | ) | (873,041 | ) | 3,200,602 | |||||||
NY Harbor ULSD (41 contracts, settlement date April 30, 2015) | (0.32 | ) | (861,353 | ) | 3,105,627 | |||||||
NY Harbor ULSD (41 contracts, settlement date March 31, 2015) | (0.50 | ) | (1,337,461 | ) | 3,104,594 | |||||||
NY Harbor ULSD (41 contracts, settlement date February 27, 2015) | (0.53 | ) | (1,409,974 | ) | 3,129,218 | |||||||
NY Harbor ULSD (41 contracts, settlement date January 30, 2015) | (0.50 | ) | (1,333,559 | ) | 3,157,459 | |||||||
Platinum (130 contracts, settlement date July 29, 2015) | 0.01 | 33,995 | 7,871,500 | |||||||||
Platinum (129 contracts, settlement date April 28, 2015) | 0.01 | 20,485 | 7,801,275 | |||||||||
Silver (66 contracts, settlement date July 29, 2015) | (0.02 | ) | (47,050 | ) | 5,168,460 | |||||||
Silver (67 contracts, settlement date May 27, 2015) | (0.35 | ) | (940,295 | ) | 5,236,720 | |||||||
Silver (67 contracts, settlement date March 27, 2015) | (0.34 | ) | (913,105 | ) | 5,225,665 | |||||||
Soybean (101 contracts, settlement date July 14, 2015) | (0.03 | ) | (92,050 | ) | 5,236,850 | |||||||
Soybean (101 contracts, settlement date May 14, 2015) | (0.07 | ) | (199,812 | ) | 5,204,025 | |||||||
Soybean (102 contracts, settlement date March 13, 2015) | (0.06 | ) | (163,712 | ) | 5,219,850 | |||||||
Soybean Oil (269 contracts, settlement date July 14, 2015) | (0.04 | ) | (102,582 | ) | 5,253,570 | |||||||
Soybean Oil (269 contracts, settlement date May 14, 2015) | (0.13 | ) | (336,222 | ) | 5,221,290 | |||||||
Soybean Oil (270 contracts, settlement date March 13, 2015) | (0.13 | ) | (337,578 | ) | 5,206,680 | |||||||
Sugar (314 contracts, settlement date June 30, 2015) | (0.17 | ) | (441,795 | ) | 5,363,120 | |||||||
Sugar (315 contracts, settlement date April 30, 2015) | (0.31 | ) | (834,389 | ) | 5,263,776 | |||||||
Sugar (315 contracts, settlement date February 27, 2015) | (0.39 | ) | (1,039,808 | ) | 5,122,656 | |||||||
Wheat (176 contracts, settlement date July 14, 2015) | 0.12 | 314,688 | 5,258,000 | |||||||||
Wheat (176 contracts, settlement date May 14, 2015) | 0.04 | 106,325 | 5,231,600 | |||||||||
Wheat (176 contracts, settlement date March 13, 2015) | 0.05 | 143,925 | 5,189,800 | |||||||||
Net Unrealized Depreciation on Futures Contracts | (10.21 | )% | $ | (27,249,076 | ) | $ | 266,577,952 |
Description | Percentage of Net Assets | Fair Value | Face Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.03% due November 20, 2014 | 15.58 | % | $ | 49,999,300 | $ | 50,000,000 | ||||||
U.S. Treasury Bills, 0.03% due November 28, 2014 | 15.57 | 49,999,200 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $99,996,305) | 31.15 | % | $ | 99,998,500 | $ | 100,000,000 | ||||||
Description | Percentage of Net Assets | Fair Value | Notional Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (291 contracts, settlement date May 13, 2015) | 0.05 | % | $ | 170,360 | $ | 9,408,030 | ||||||
Cocoa (291 contracts, settlement date March 16, 2015) | 0.06 | 197,730 | 9,483,690 | |||||||||
Coffee (85 contracts, settlement date May 18, 2015) | 0.05 | 166,294 | 6,370,219 | |||||||||
Coffee (85 contracts, settlement date March 19, 2015) | 0.05 | 149,831 | 6,293,719 | |||||||||
Coffee (85 contracts, settlement date December 18, 2014) | 0.14 | 444,094 | 6,163,031 | |||||||||
Copper (83 contracts, settlement date May 27, 2015) | (0.12 | ) | (377,787 | ) | 6,258,200 | |||||||
Copper (83 contracts, settlement date March 27, 2015) | (0.12 | ) | (371,375 | ) | 6,250,938 | |||||||
Copper (84 contracts, settlement date December 29, 2014) | (0.04 | ) | (139,000 | ) | 6,315,750 | |||||||
Corn (379 contracts, settlement date May 14, 2015) | (0.27 | ) | (865,050 | ) | 6,480,900 | |||||||
Corn (379 contracts, settlement date March 13, 2015) | (0.27 | ) | (872,500 | ) | 6,319,825 | |||||||
Corn (380 contracts, settlement date December 12, 2014) | (0.54 | ) | (1,744,263 | ) | 6,094,250 | |||||||
Cotton (207 contracts, settlement date May 06, 2015) | (0.15 | ) | (470,165 | ) | 6,339,375 | |||||||
Cotton (206 contracts, settlement date March 09, 2015) | (0.43 | ) | (1,364,220 | ) | 6,226,350 | |||||||
Cotton (206 contracts, settlement date December 08, 2014) | (0.41 | ) | (1,330,530 | ) | 6,321,110 | |||||||
Gold (51 contracts, settlement date April 28, 2015) | (0.14 | ) | (443,990 | ) | 6,185,790 | |||||||
Gold (52 contracts, settlement date February 25, 2015) | (0.11 | ) | (341,910 | ) | 6,303,960 | |||||||
Gold (52 contracts, settlement date December 29, 2014) | (0.15 | ) | (478,080 | ) | 6,300,320 | |||||||
Lean Hogs (171 contracts, settlement date April 15, 2015) | 0.05 | 146,070 | 6,202,170 | |||||||||
Lean Hogs (172 contracts, settlement date February 13, 2015) | (0.01 | ) | (46,440 | ) | 6,221,240 | |||||||
Lean Hogs (171 contracts, settlement date December 12, 2014) | 0.02 | 52,680 | 6,465,510 | |||||||||
Light, Sweet Crude Oil (43 contracts, settlement date March 20, 2015) | (0.07 | ) | (230,420 | ) | 3,813,240 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date February 20, 2015) | (0.07 | ) | (229,520 | ) | 3,740,520 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date January 20, 2015) | (0.07 | ) | (217,780 | ) | 3,754,380 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date December 19, 2014) | (0.11 | ) | (360,950 | ) | 3,769,920 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date November 20, 2014) | (0.11 | ) | (363,960 | ) | 3,791,340 | |||||||
Live Cattle (97 contracts, settlement date April 30, 2015) | 0.10 | 333,660 | 6,296,270 | |||||||||
Live Cattle (96 contracts, settlement date February 27, 2015) | 0.14 | 448,770 | 6,296,640 | |||||||||
Live Cattle (96 contracts, settlement date December 31, 2014) | 0.25 | 788,960 | 6,277,440 | |||||||||
Natural Gas (91 contracts, settlement date March 27, 2015) | 0.01 | 38,370 | 3,524,430 | |||||||||
Natural Gas (92 contracts, settlement date February 25, 2015) | 0.03 | 81,300 | 3,822,600 | |||||||||
Natural Gas (91 contracts, settlement date January 28, 2015) | 0.03 | 87,930 | 3,854,760 | |||||||||
Natural Gas (91 contracts, settlement date December 29, 2014) | (0.08 | ) | (256,120 | ) | 3,869,320 | |||||||
Natural Gas (91 contracts, settlement date November 25, 2014) | (0.09 | ) | (282,670 | ) | 3,812,900 | |||||||
NY Harbor ULSD (34 contracts, settlement date March 31, 2015) | (0.10 | ) | (311,636 | ) | 3,796,338 | |||||||
NY Harbor ULSD (33 contracts, settlement date February 27, 2015) | (0.10 | ) | (311,090 | ) | 3,691,888 | |||||||
NY Harbor ULSD (34 contracts, settlement date January 30, 2015) | (0.10 | ) | (316,756 | ) | 3,806,477 | |||||||
NY Harbor ULSD (34 contracts, settlement date December 31, 2014) | (0.12 | ) | (383,221 | ) | 3,803,621 | |||||||
NY Harbor ULSD (34 contracts, settlement date November 28, 2014) | (0.13 | ) | (413,566 | ) | 3,793,625 | |||||||
Platinum (145 contracts, settlement date April 28, 2015) | (0.28 | ) | (885,345 | ) | 9,440,225 | |||||||
Platinum (145 contracts, settlement date January 28, 2015) | (0.38 | ) | (1,216,695 | ) | 9,428,625 | |||||||
Silver (73 contracts, settlement date May 27, 2015) | (0.32 | ) | (1,039,140 | ) | 6,248,435 | |||||||
Silver (73 contracts, settlement date March 27, 2015) | (0.32 | ) | (1,020,430 | ) | 6,240,405 | |||||||
Silver (74 contracts, settlement date December 29, 2014) | (0.28 | ) | (897,680 | ) | 6,311,090 | |||||||
Soybean (135 contracts, settlement date May 14, 2015) | (0.32 | ) | (1,018,387 | ) | 6,331,500 | |||||||
Soybean (135 contracts, settlement date March 13, 2015) | (0.31 | ) | (995,712 | ) | 6,275,812 | |||||||
Soybean (135 contracts, settlement date January 14, 2015) | (0.52 | ) | (1,679,900 | ) | 6,218,438 | |||||||
Soybean Oil (240 contracts, settlement date January 14, 2015) | (0.22 | ) | (711,912 | ) | 4,701,600 | |||||||
Soybean Oil (240 contracts, settlement date March 13, 2015) | (0.14 | ) | (441,366 | ) | 4,740,480 | |||||||
Soybean Oil (240 contracts, settlement date May 14, 2015) | (0.14 | ) | (450,642 | ) | 4,760,640 | |||||||
Soybean Oil (241 contracts, settlement date December 12, 2014) | (0.29 | ) | (916,836 | ) | 4,680,702 | |||||||
Sugar (509 contracts, settlement date April 30, 2015) | (0.24 | ) | (781,950 | ) | 9,514,635 | |||||||
Sugar (510 contracts, settlement date February 27, 2015) | (0.36 | ) | (1,152,435 | ) | 9,396,240 | |||||||
Wheat (257 contracts, settlement date May 14, 2015) | (0.38 | ) | (1,234,038 | ) | 6,408,937 | |||||||
Wheat (257 contracts, settlement date March 13, 2015) | (0.37 | ) | (1,190,887 | ) | 6,302,925 | |||||||
Wheat (258 contracts, settlement date December 12, 2014) | (0.45 | ) | (1,442,863 | ) | 6,162,975 | |||||||
Net Unrealized Depreciation on Futures Contracts | (8.25 | ) % | $ | (26,493,168 | ) | $ | 320,683,750 |
Percentage | Fair | Face | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.01% due January 16, 2014 | 15.62 | % | $ | 49,999,850 | $ | 50,000,000 | ||||||
U.S. Treasury Bills, 0.01% due January 23, 2014 | 46.88 | 149,998,950 | 150,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $199,996,365) | 62.50 | % | $ | 199,998,800 | $ | 200,000,000 | ||||||
Percentage | Fair | Notional | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (231 contracts, settlement date July 16, 2014) | 0.01 | % | $ | 35,760 | $ | 6,292,440 | ||||||
Cocoa (231 contracts, settlement date May 14, 2014) | 0.13 | 411,440 | 6,273,960 | |||||||||
Cocoa (231 contracts, settlement date March 14, 2014) | 0.12 | 381,180 | 6,257,790 | |||||||||
Coffee (148 contracts, settlement date July 21, 2014) | 0.07 | 216,881 | 6,388,050 | |||||||||
Coffee (148 contracts, settlement date May 19, 2014) | (0.17 | ) | (536,812 | ) | 6,268,725 | |||||||
Coffee (148 contracts, settlement date March 19, 2014) | (0.17 | ) | (545,550 | ) | 6,143,850 | |||||||
Copper (74 contracts, settlement date July 29, 2014) | 0.06 | 200,375 | 6,240,975 | |||||||||
Copper (74 contracts, settlement date May 28, 2014) | 0.07 | 207,963 | 6,262,250 | |||||||||
Copper (74 contracts, settlement date March 27, 2014) | 0.08 | 240,550 | 6,283,525 | |||||||||
Corn (292 contracts, settlement date July 14, 2014) | (0.05 | ) | (170,225 | ) | 6,380,200 | |||||||
Corn (292 contracts, settlement date May 14, 2014) | (0.19 | ) | (618,075 | ) | 6,281,650 | |||||||
Corn (292 contracts, settlement date March 14, 2014) | (0.20 | ) | (625,900 | ) | 6,161,200 | |||||||
Cotton (149 contracts, settlement date July 09, 2014) | 0.09 | 301,180 | 6,256,510 | |||||||||
Cotton (149 contracts, settlement date May 07, 2014) | 0.00 | * | (10,605 | ) | 6,287,800 | |||||||
Cotton (148 contracts, settlement date March 07, 2014) | (0.02 | ) | (59,930 | ) | 6,263,360 | |||||||
Gold (52 contracts, settlement date June 26, 2014) | (0.15 | ) | (487,650 | ) | 6,258,720 | |||||||
Gold (52 contracts, settlement date April 28, 2014) | (0.15 | ) | (482,440 | ) | 6,255,600 | |||||||
Gold (52 contracts, settlement date February 26, 2014) | (0.17 | ) | (529,510 | ) | 6,251,960 | |||||||
Lean Hogs (125 contracts, settlement date July 15, 2014) | 0.02 | 72,180 | 4,942,500 | |||||||||
Lean Hogs (125 contracts, settlement date June 13, 2014) | 0.01 | 46,480 | 5,007,500 | |||||||||
Lean Hogs (125 contracts, settlement date April 14, 2014) | 0.07 | 229,450 | 4,533,750 | |||||||||
Lean Hogs (126 contracts, settlement date February 14, 2014) | 0.00 | ** | 9,330 | 4,305,420 | ||||||||
Light, Sweet Crude Oil (39 contracts, settlement date May 20, 2014) | 0.04 | 136,060 | 3,793,920 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date April 22, 2014) | 0.05 | 144,650 | 3,723,620 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date March 20, 2014) | 0.02 | 55,240 | 3,740,720 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date February 20, 2014) | 0.01 | 31,670 | 3,744,900 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date January 21, 2014) | 0.00 | ** | 5,710 | 3,739,960 | ||||||||
Live Cattle (118 contracts, settlement date June 30, 2014) | 0.01 | 44,040 | 6,108,860 | |||||||||
Live Cattle (117 contracts, settlement date April 30, 2014) | 0.06 | 187,100 | 6,332,040 | |||||||||
Live Cattle (118 contracts, settlement date February 28, 2014) | 0.10 | 335,300 | 6,354,300 | |||||||||
Natural Gas (91 contracts, settlement date May 28, 2014) | 0.12 | 397,390 | 3,743,740 | |||||||||
Natural Gas (91 contracts, settlement date April 28, 2014) | 0.13 | 412,180 | 3,726,450 | |||||||||
Natural Gas (91 contracts, settlement date March 27, 2014) | 0.11 | 362,890 | 3,735,550 | |||||||||
Natural Gas (90 contracts, settlement date February 26, 2014) | 0.12 | 383,380 | 3,773,700 | |||||||||
Natural Gas (90 contracts, settlement date January 29, 2014) | 0.12 | 395,000 | 3,807,000 | |||||||||
NY Harbor ULSD (30 contracts, settlement date May 30, 2014) *** | 0.06 | 205,317 | 3,810,996 | |||||||||
NY Harbor ULSD (30 contracts, settlement date April 30, 2014) *** | 0.07 | 207,673 | 3,822,714 | |||||||||
NY Harbor ULSD (29 contracts, settlement date March 31, 2014) *** | 0.04 | 116,840 | 3,706,983 | |||||||||
NY Harbor ULSD (29 contracts, settlement date February 28, 2014) *** | 0.03 | 102,001 | 3,719,528 | |||||||||
NY Harbor ULSD (29 contracts, settlement date January 31, 2014) *** | 0.04 | 113,904 | 3,733,414 | |||||||||
Platinum (137 contracts, settlement date July 29, 2014) | (0.15 | ) | (490,930 | ) | 9,430,395 | |||||||
Platinum (137 contracts, settlement date April 28, 2014) | (0.18 | ) | (574,305 | ) | 9,410,530 | |||||||
Silver (64 contracts, settlement date July 29, 2014) | (0.18 | ) | (567,615 | ) | 6,220,160 | |||||||
Silver (65 contracts, settlement date May 28, 2014) | (0.15 | ) | (490,235 | ) | 6,306,625 | |||||||
Silver (65 contracts, settlement date March 27, 2014) | (0.15 | ) | (479,325 | ) | 6,295,250 | |||||||
Soybean (98 contracts, settlement date July 14, 2014) | 0.06 | 182,763 | 6,196,050 | |||||||||
Soybean (98 contracts, settlement date May 14, 2014) | 0.11 | 344,875 | 6,257,300 | |||||||||
Soybean (98 contracts, settlement date March 14, 2014) | 0.13 | 401,825 | 6,333,250 | |||||||||
Soybean Oil (266 contracts, settlement date July 14, 2014) | (0.12 | ) | (397,332 | ) | 6,361,656 | |||||||
Soybean Oil (264 contracts, settlement date May 14, 2014) | (0.15 | ) | (466,266 | ) | 6,255,216 | |||||||
Soybean Oil (264 contracts, settlement date March 14, 2014) | (0.14 | ) | (450,534 | ) | 6,198,192 | |||||||
Sugar (338 contracts, settlement date June 30, 2014) | (0.12 | ) | (385,806 | ) | 6,333,309 | |||||||
Sugar (338 contracts, settlement date April 30, 2014) | (0.11 | ) | (337,557 | ) | 6,268,954 | |||||||
Sugar (339 contracts, settlement date February 28, 2014) | (0.14 | ) | (462,112 | ) | 6,230,549 | |||||||
Wheat (205 contracts, settlement date July 14, 2014) | (0.17 | ) | (549,650 | ) | 6,321,687 | |||||||
Wheat (205 contracts, settlement date May 14, 2014) | (0.20 | ) | (627,613 | ) | 6,273,000 | |||||||
Wheat (205 contracts, settlement date March 14, 2014) | (0.20 | ) | (627,788 | ) | 6,203,812 | |||||||
Net Unrealized Depreciation on Futures Contracts | (1.27 | )% | $ | (4,055,188 | ) | $ | 319,612,065 | |||||
2015 | 2014 | |||||||
Income | ||||||||
Interest Income | $ | 10,326 | $ | 10,011 | ||||
Expenses | ||||||||
Management fee to related party | 534,030 | 690,079 | ||||||
Brokerage fees and expenses | 125,654 | 162,372 | ||||||
Total expenses | 659,684 | 852,451 | ||||||
Net Investment Loss | (649,358 | ) | (842,440 | ) | ||||
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | ||||||||
Realized Gain (Loss) on | ||||||||
Futures Contracts | (28,433,985 | ) | 8,746,949 | |||||
Net Realized Gain (Loss) | (28,433,985 | ) | 8,746,949 | |||||
Net Change in Unrealized Gain on | ||||||||
Investments | 1,521 | 1,693 | ||||||
Futures Contracts | 10,547,678 | 21,964,056 | ||||||
Net Change in Unrealized Gain | 10,549,199 | 21,965,749 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (17,884,786 | ) | 30,712,698 | |||||
Net Gain (Loss) | $ | (18,534,144 | ) | $ | 29,870,258 |
Three Months | Three Months | Nine Months | Nine Months | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Income | ||||||||||||||||
Interest Income | $ | 8,256 | $ | 30,080 | $ | 33,686 | $ | 175,532 | ||||||||
Expenses | ||||||||||||||||
Management fee to related party | 739,176 | 815,413 | 2,184,858 | 2,763,342 | ||||||||||||
Brokerage fees and expenses | 173,923 | 191,861 | 514,084 | 650,198 | ||||||||||||
Total expenses | 913,099 | 1,007,274 | 2,698,942 | 3,413,540 | ||||||||||||
Net Investment Loss | (904,843 | ) | (977,194 | ) | (2,665,256 | ) | (3,238,008 | ) | ||||||||
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | ||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||
Investments | — | 533 | — | 1,923 | ||||||||||||
Futures Contracts | (13,600,852 | ) | (18,349,415 | ) | 10,263,073 | (49,851,835 | ) | |||||||||
Net Realized Gain (Loss) | (13,600,852 | ) | (18,348,882 | ) | 10,263,073 | (49,849,912 | ) | |||||||||
Net Change in Unrealized Gain (Loss) on | ||||||||||||||||
Investments | (847 | ) | (3,787 | ) | (240 | ) | (14,816 | ) | ||||||||
Futures Contracts | (26,394,106 | ) | 30,625,671 | (22,437,980 | ) | 14,084,283 | ||||||||||
Net Change in Unrealized Gain (Loss) | (26,394,953 | ) | 30,621,884 | (22,438,220 | ) | 14,069,467 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (39,995,805 | ) | 12,273,002 | (12,175,147 | ) | (35,780,445 | ) | |||||||||
Net Gain (Loss) | $ | (40,900,648 | ) | $ | 11,295,808 | $ | (14,840,403 | ) | $ | (39,018,453 | ) |
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Shareholders’ | Limited Units | Accumulated | Shareholders’ | Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at Dec. 31, 2014 | 50 | $ | 1,500 | $ | (360 | ) | $ | 1,140 | 11,700,000 | $ | 350,523,308 | $ | (83,626,314 | ) | $ | 266,896,994 | $ | 266,898,134 | ||||||||||||||||||
Creation of Limited Units | — | — | — | — | 250,000 | 5,487,716 | — | 5,487,716 | 5,487,716 | |||||||||||||||||||||||||||
Redemption of Limited Units | — | — | — | — | (450,000 | ) | (10,086,172 | ) | — | (10,086,172 | ) | (10,086,172 | ) | |||||||||||||||||||||||
Net Loss: | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (3 | ) | (3 | ) | — | — | (649,355 | ) | (649,355 | ) | (649,358 | ) | ||||||||||||||||||||||
Net Realized Loss on Investments and Futures Contracts | — | — | (122 | ) | (122 | ) | — | — | (28,433,863 | ) | (28,433,863 | ) | (28,433,985 | ) | ||||||||||||||||||||||
Net Change in Unrealized Gain on Investments and Futures Contracts | — | — | 45 | 45 | — | — | 10,549,154 | 10,549,154 | 10,549,199 | |||||||||||||||||||||||||||
Net Loss | — | — | (80 | ) | (80 | ) | — | — | (18,534,064 | ) | (18,534,064 | ) | (18,534,144 | ) | ||||||||||||||||||||||
Balance at March 31, 2015 | 50 | $ | 1,500 | $ | (440 | ) | $ | 1,060 | 11,500,000 | $ | 345,924,852 | $ | (102,160,378 | ) | $ | 243,764,474 | $ | 243,765,534 |
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Shareholders’ | Limited Units | Accumulated | Shareholders’ | Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at January 01, 2014 | 50 | $ | 1,500 | $ | (215 | ) | $ | 1,285 | 12,450,000 | $ | 364,838,413 | $ | (44,847,114 | ) | $ | 319,991,299 | $ | 319,992,584 | ||||||||||||||||||
Creation of Limited Units | — | — | — | — | 1,550,000 | 43,387,949 | — | 43,387,949 | 43,387,949 | |||||||||||||||||||||||||||
Redemption of Limited Units | — | — | — | — | (1,050,000 | ) | (27,522,724 | ) | — | (27,522,724 | ) | (27,522,724 | ) | |||||||||||||||||||||||
Net Loss: | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (11 | ) | (11 | ) | — | — | (2,665,245 | ) | (2,665,245 | ) | (2,665,256 | ) | ||||||||||||||||||||||
Net Realized Gain on Investments and Futures Contracts | — | — | 45 | 45 | — | — | 10,263,028 | 10,263,028 | 10,263,073 | |||||||||||||||||||||||||||
Net Change in Unrealized Loss on Investments and Futures Contracts | — | — | (80 | ) | (80 | ) | — | — | (22,438,140 | ) | (22,438,140 | ) | (22,438,220 | ) | ||||||||||||||||||||||
Net Activity | — | — | (46 | ) | (46 | ) | 500,000 | 15,865,225 | (14,840,357 | ) | (14,840,357 | ) | (14,840,403 | ) | ||||||||||||||||||||||
Balance at September 30, 2014 | 50 | $ | 1,500 | $ | (261 | ) | $ | 1,239 | 12,950,000 | $ | 380,703,638 | $ | (59,687,471 | ) | $ | 321,016,167 | $ | 321,017,406 |
2015 | 2014 | |||||||
Cash flow from operating activities: | ||||||||
Net Gain (Loss) | $ | (18,534,144 | ) | $ | 29,870,258 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchase of investment securities | (199,989,853 | ) | (199,987,096 | ) | ||||
Proceeds from sales of investment securities | 200,000,000 | 200,000,000 | ||||||
Net accretion of discount | (10,326 | ) | (10,011 | ) | ||||
Unrealized appreciation on investments and futures contracts | (10,549,199 | ) | (21,965,749 | ) | ||||
Increase in accrued expenses | 17,123 | 98,574 | ||||||
Net cash provided by (used for) operating activities | (29,066,399 | ) | 8,005,976 | |||||
Cash flows from financing activities: | ||||||||
Proceeds from creation of Limited Units | 5,487,716 | 16,702,869 | ||||||
Redemption of Limited Units | (10,086,172 | ) | (18,382,307 | ) | ||||
Increase in capital shares payable | — | 4,228,931 | ||||||
Net cash provided by (used for) financing activities | (4,598,456 | ) | 2,549,493 | |||||
Net change in cash | (33,664,855 | ) | 10,555,469 | |||||
Cash held by broker at beginning of period | 94,433,074 | 124,417,599 | ||||||
Cash held by broker at end of period | $ | 60,768,219 | $ | 134,973,068 |
2014 | 2013 | |||||||
Cash flow from operating activities: | ||||||||
Net Loss | $ | (14,840,403 | ) | $ | (39,018,453 | ) | ||
Adjustments to reconcile net loss to net cash provided by operating activities: | ||||||||
Purchase of investment securities | (528,461,254 | ) | (1,284,836,043 | ) | ||||
Proceeds from sales of investment securities | 628,495,000 | 1,409,997,852 | ||||||
Net accretion of discount | (33,686 | ) | (175,532 | ) | ||||
Net realized gain (loss) on investments | — | (1,923 | ) | |||||
Unrealized depreciation (appreciation) on investments | 22,438,220 | (14,069,467 | ) | |||||
Decrease in accrued expenses | (55,164 | ) | (362,095 | ) | ||||
Net cash provided by operating activities | 107,542,713 | 71,534,339 | ||||||
Cash flows from financing activities: | ||||||||
Proceeds from creation of Limited Units | 43,387,949 | 25,704,700 | ||||||
Redemption of Limited Units | (27,522,724 | ) | (106,455,350 | ) | ||||
Decrease in capital shares payable | — | (4,327,722 | ) | |||||
Net cash provided by (used for) financing activities | 15,865,225 | (85,078,372 | ) | |||||
Net change in cash | 123,407,938 | (13,544,033 | ) | |||||
Cash held by broker at beginning of period | 124,417,599 | 22,210,626 | ||||||
Cash held by broker at end of period | $ | 247,825,537 | $ | 8,666,593 | ||||
See accompanying notes to unaudited consolidated financial statements |
September 30, 2014 | December 31, | March 31, 2015 | December 31, | |||||||||||||
(unaudited) | 2013 | (unaudited) | 2014 | |||||||||||||
Assets | ||||||||||||||||
Equity in broker trading accounts: | ||||||||||||||||
Short-term investments (cost $99,996,305 and $199,996,365 as of September 30, 2014 and December 31, 2013, respectively) | $ | 99,998,500 | $ | 199,998,800 | ||||||||||||
Short-term investments (cost $199,994,248 and $199,994,069 as of March 31, 2015 and December 31, 2014, respectively) | $ | 199,996,950 | $ | 199,995,250 | ||||||||||||
Cash held by broker | 247,825,537 | 124,417,599 | 60,768,219 | 94,433,074 | ||||||||||||
Net unrealized depreciation on futures contracts | (26,493,168 | ) | (4,055,188 | ) | (16,701,398 | ) | (27,249,076 | ) | ||||||||
Total assets | $ | 321,330,869 | $ | 320,361,211 | $ | 244,063,771 | $ | 267,179,248 | ||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Management fee payable to related party | $ | 232,843 | $ | 241,143 | 177,535 | 205,492 | ||||||||||
Accrued brokerage fees and expenses payable | 80,620 | 127,484 | 120,702 | 75,622 | ||||||||||||
Total liabilities | 313,463 | 368,627 | $ | 298,237 | $ | 281,114 | ||||||||||
Shareholders’ equity | ||||||||||||||||
General Units: | ||||||||||||||||
Paid in capital - 50 units issued | 1,500 | 1,500 | 1,500 | 1,500 | ||||||||||||
Accumulated deficit | (261 | ) | (215 | ) | (440 | ) | (360 | ) | ||||||||
Total General Units | 1,239 | 1,285 | 1,060 | 1,140 | ||||||||||||
Limited Units: | ||||||||||||||||
Paid in capital - 12,950,000 and 12,450,000 redeemable shares issued and outstanding as of September 30, 2014 and December 31, 2013, respectively | 380,703,638 | 364,838,413 | ||||||||||||||
Paid in capital - 11,500,000 and 11,700,000 redeemable shares issued and outstanding as of March 31, 2015 and December 31, 2014, respectively | 345,924,852 | 350,523,308 | ||||||||||||||
Accumulated deficit | (59,687,471 | ) | (44,847,114 | ) | (102,160,378 | ) | (83,626,314 | ) | ||||||||
Total Limited Units | 321,016,167 | 319,991,299 | 243,764,474 | 266,896,994 | ||||||||||||
Total shareholders’ equity | 321,017,406 | 319,992,584 | 243,765,534 | 266,898,134 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 321,330,869 | $ | 320,361,211 | $ | 244,063,771 | $ | 267,179,248 | ||||||||
Net asset value per share | ||||||||||||||||
General Units | $ | 24.78 | $ | 25.70 | $ | 21.20 | $ | 22.80 | ||||||||
Limited Units | $ | 24.79 | $ | 25.70 | $ | 21.20 | $ | 22.81 | ||||||||
See accompanying notes to unaudited consolidated financial statements |
Percentage | Fair | Face | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.02% due April 23, 2015 | 41.02 | % | $ | 99,999,400 | $ | 100,000,000 | ||||||
U.S. Treasury Bills, 0.02% due June 11, 2015 | 20.51 | 49,998,750 | 50,000,000 | |||||||||
U.S. Treasury Bills, 0.02% due June 25, 2015 | 20.51 | 49,998,800 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $199,994,248) | 82.04 | % | $ | 199,996,950 | $ | 200,000,000 | ||||||
Percentage | Fair | Notional | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (178 contracts, settlement date September 15, 2015) | (0.12 | )% | $ | (294,420 | ) | $ | 4,795,320 | |||||
Cocoa (177 contracts, settlement date July 16, 2015) | (0.11 | ) | (279,580 | ) | 4,777,230 | |||||||
Cocoa (177 contracts, settlement date May 13, 2015) | (0.13 | ) | (314,520 | ) | 4,777,230 | |||||||
Coffee (94 contracts, settlement date September 18, 2015) | (0.31 | ) | (761,906 | ) | 4,905,037 | |||||||
Coffee (94 contracts, settlement date July 21, 2015) | (0.50 | ) | (1,207,163 | ) | 4,797,525 | |||||||
Coffee (93 contracts, settlement date May 18, 2015) | (0.46 | ) | (1,112,138 | ) | 4,634,888 | |||||||
Copper (69 contracts, settlement date September 28, 2015) | 0.12 | 283,913 | 4,730,812 | |||||||||
Copper (70 contracts, settlement date July 29, 2015) | (0.07 | ) | (164,275 | ) | 4,799,375 | |||||||
Copper (70 contracts, settlement date May 27, 2015) | (0.11 | ) | (277,213 | ) | 4,795,000 | |||||||
Corn (248 contracts, settlement date September 14, 2015) | (0.07 | ) | (175,687 | ) | 4,860,800 | |||||||
Corn (250 contracts, settlement date July 14, 2015) | (0.10 | ) | (233,650 | ) | 4,803,125 | |||||||
Corn (249 contracts, settlement date May 14, 2015) | (0.04 | ) | (91,862 | ) | 4,684,312 | |||||||
Cotton (226 contracts, settlement date July 09, 2015) | 0.06 | 149,365 | 7,170,980 | |||||||||
Cotton (227 contracts, settlement date May 06, 2015) | 0.00 | * | 4,305 | 7,161,850 | ||||||||
Gold (60 contracts, settlement date August 27, 2015) | (0.09 | ) | (225,450 | ) | 7,104,600 | |||||||
Gold (61 contracts, settlement date June 26, 2015) | (0.04 | ) | (88,880 | ) | 7,217,520 | |||||||
Lean Hogs (99 contracts, settlement date October 14, 2015) | (0.02 | ) | (61,430 | ) | 2,738,340 | |||||||
Lean Hogs (99 contracts, settlement date August 14, 2015) | (0.12 | ) | (284,240 | ) | 3,077,910 | |||||||
Lean Hogs (99 contracts, settlement date July 15, 2015) | (0.17 | ) | (420,610 | ) | 3,055,140 | |||||||
Lean Hogs (98 contracts, settlement date June 12, 2015) | (0.18 | ) | (447,660 | ) | 2,971,360 | |||||||
Lean Hogs (99 contracts, settlement date April 15, 2015) | (0.28 | ) | (682,310 | ) | 2,472,030 | |||||||
Light, Sweet Crude Oil (56 contracts, settlement date August 20, 2015) | (0.09 | ) | (231,110 | ) | 2,950,640 | |||||||
Light, Sweet Crude Oil (56 contracts, settlement date July 21, 2015) | (0.09 | ) | (221,710 | ) | 2,902,480 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date June 22, 2015) | (0.02 | ) | (60,110 | ) | 2,894,460 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015) | (0.12 | ) | (283,710 | ) | 2,812,380 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date April 21, 2015) | (0.19 | ) | (467,480 | ) | 2,713,200 | |||||||
Live Cattle (79 contracts, settlement date October 30, 2015) | 0.07 | 180,670 | 4,777,920 | |||||||||
Live Cattle (79 contracts, settlement date August 31, 2015) | 0.00 | * | 5,990 | 4,724,200 | ||||||||
Live Cattle (79 contracts, settlement date June 30, 2015) | (0.03 | ) | (75,940 | ) | 4,813,470 | |||||||
Natural Gas (104 contracts, settlement date August 27, 2015) | (0.05 | ) | (114,500 | ) | 2,897,440 | |||||||
Natural Gas (105 contracts, settlement date July 29, 2015) | (0.05 | ) | (127,120 | ) | 2,921,100 | |||||||
Natural Gas (105 contracts, settlement date June 26, 2015) | (0.08 | ) | (190,000 | ) | 2,888,550 | |||||||
Natural Gas (105 contracts, settlement date May 27, 2015) | (0.12 | ) | (283,460 | ) | 2,825,550 | |||||||
Natural Gas (105 contracts, settlement date April 28, 2015) | (0.12 | ) | (304,830 | ) | 2,772,000 | |||||||
NY Harbor ULSD (39 contracts, settlement date August 31, 2015) | (0.08 | ) | (185,350 | ) | 2,899,260 | |||||||
NY Harbor ULSD (39 contracts, settlement date July 31, 2015) | (0.08 | ) | (188,084 | ) | 2,864,371 | |||||||
NY Harbor ULSD (39 contracts, settlement date June 30, 2015) | 0.01 | 27,031 | 2,835,706 | |||||||||
NY Harbor ULSD (39 contracts, settlement date May 29, 2015) | (0.18 | ) | (428,547 | ) | 2,811,463 | |||||||
NY Harbor ULSD (40 contracts, settlement date April 30, 2015) | (0.16 | ) | (382,246 | ) | 2,869,440 | |||||||
Platinum (125 contracts, settlement date October 28, 2015) | (0.09 | ) | (213,660 | ) | 7,155,000 | |||||||
Platinum (125 contracts, settlement date July 29, 2015) | (0.13 | ) | (329,120 | ) | 7,146,250 | |||||||
Silver (57 contracts, settlement date September 28, 2015) | (0.04 | ) | (88,585 | ) | 4,752,375 | |||||||
Silver (58 contracts, settlement date July 29, 2015) | 0.06 | 136,475 | 4,825,600 | |||||||||
Silver (57 contracts, settlement date May 27, 2015) | (0.01 | ) | (36,995 | ) | 4,730,430 | |||||||
Soybean (98 contracts, settlement date August 14, 2015) | (0.11 | ) | (257,250 | ) | 4,788,525 | |||||||
Soybean (98 contracts, settlement date July 14, 2015) | (0.09 | ) | (230,363 | ) | 4,790,975 | |||||||
Soybean (98 contracts, settlement date May 14, 2015) | (0.09 | ) | (223,913 | ) | 4,768,925 | |||||||
Soybean Oil (156 contracts, settlement date October 14, 2015) | (0.05 | ) | (122,604 | ) | 2,874,456 | |||||||
Soybean Oil (156 contracts, settlement date September 14, 2015) | (0.06 | ) | (135,366 | ) | 2,879,136 | |||||||
Soybean Oil (156 contracts, settlement date August 14, 2015) | (0.10 | ) | (252,510 | ) | 2,873,520 | |||||||
Soybean Oil (156 contracts, settlement date July 14, 2015) | (0.07 | ) | (182,760 | ) | 2,866,032 | |||||||
Soybean Oil (157 contracts, settlement date May 14, 2015) | (0.09 | ) | (208,710 | ) | 2,862,738 | |||||||
Sugar (348 contracts, settlement date September 30, 2015) | (0.38 | ) | (918,187 | ) | 4,942,157 | |||||||
Sugar (350 contracts, settlement date June 30, 2015) | (0.57 | ) | (1,386,180 | ) | 4,727,520 | |||||||
Sugar (350 contracts, settlement date April 30, 2015) | (0.62 | ) | (1,522,741 | ) | 4,676,560 | |||||||
Wheat (185 contracts, settlement date September 14, 2015) | (0.03 | ) | (84,062 | ) | 4,833,125 | |||||||
Wheat (185 contracts, settlement date July 14, 2015) | (0.15 | ) | (360,350 | ) | 4,754,500 | |||||||
Wheat (186 contracts, settlement date May 14, 2015) | (0.11 | ) | (268,600 | ) | 4,759,275 | |||||||
Net Unrealized Depreciation on Futures Contracts | (6.85 | )% | $ | (16,701,398 | ) | $ | 243,511,113 |
Percentage | Fair | Face | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.03% due November 20, 2014 | 15.58 | % | $ | 49,999,300 | $ | 50,000,000 | ||||||
U.S. Treasury Bills, 0.03% due November 28, 2014 | 15.57 | 49,999,200 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $99,996,305) | 31.15 | % | $ | 99,998,500 | $ | 100,000,000 | ||||||
Percentage | Fair | Notional | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (291 contracts, settlement date May 13, 2015) | 0.05 | % | $ | 170,360 | $ | 9,408,030 | ||||||
Cocoa (291 contracts, settlement date March 16, 2015) | 0.06 | 197,730 | 9,483,690 | |||||||||
Coffee (85 contracts, settlement date May 18, 2015) | 0.05 | 166,294 | 6,370,219 | |||||||||
Coffee (85 contracts, settlement date March 19, 2015) | 0.05 | 149,831 | 6,293,719 | |||||||||
Coffee (85 contracts, settlement date December 18, 2014) | 0.14 | 444,094 | 6,163,031 | |||||||||
Copper (83 contracts, settlement date May 27, 2015) | (0.12 | ) | (377,787 | ) | 6,258,200 | |||||||
Copper (83 contracts, settlement date March 27, 2015) | (0.12 | ) | (371,375 | ) | 6,250,938 | |||||||
Copper (84 contracts, settlement date December 29, 2014) | (0.04 | ) | (139,000 | ) | 6,315,750 | |||||||
Corn (379 contracts, settlement date May 14, 2015) | (0.27 | ) | (865,050 | ) | 6,480,900 | |||||||
Corn (379 contracts, settlement date March 13, 2015) | (0.27 | ) | (872,500 | ) | 6,319,825 | |||||||
Corn (380 contracts, settlement date December 12, 2014) | (0.54 | ) | (1,744,263 | ) | 6,094,250 | |||||||
Cotton (207 contracts, settlement date May 06, 2015) | (0.15 | ) | (470,165 | ) | 6,339,375 | |||||||
Cotton (206 contracts, settlement date March 09, 2015) | (0.43 | ) | (1,364,220 | ) | 6,226,350 | |||||||
Cotton (206 contracts, settlement date December 08, 2014) | (0.41 | ) | (1,330,530 | ) | 6,321,110 | |||||||
Gold (51 contracts, settlement date April 28, 2015) | (0.14 | ) | (443,990 | ) | 6,185,790 | |||||||
Gold (52 contracts, settlement date February 25, 2015) | (0.11 | ) | (341,910 | ) | 6,303,960 | |||||||
Gold (52 contracts, settlement date December 29, 2014) | (0.15 | ) | (478,080 | ) | 6,300,320 | |||||||
Lean Hogs (171 contracts, settlement date April 15, 2015) | 0.05 | 146,070 | 6,202,170 | |||||||||
Lean Hogs (172 contracts, settlement date February 13, 2015) | (0.01 | ) | (46,440 | ) | 6,221,240 | |||||||
Lean Hogs (171 contracts, settlement date December 12, 2014) | 0.02 | 52,680 | 6,465,510 | |||||||||
Light, Sweet Crude Oil (43 contracts, settlement date March 20, 2015) | (0.07 | ) | (230,420 | ) | 3,813,240 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date February 20, 2015) | (0.07 | ) | (229,520 | ) | 3,740,520 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date January 20, 2015) | (0.07 | ) | (217,780 | ) | 3,754,380 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date December 19, 2014) | (0.11 | ) | (360,950 | ) | 3,769,920 | |||||||
Light, Sweet Crude Oil (42 contracts, settlement date November 20, 2014) | (0.11 | ) | (363,960 | ) | 3,791,340 | |||||||
Live Cattle (97 contracts, settlement date April 30, 2015) | 0.10 | 333,660 | 6,296,270 | |||||||||
Live Cattle (96 contracts, settlement date February 27, 2015) | 0.14 | 448,770 | 6,296,640 | |||||||||
Live Cattle (96 contracts, settlement date December 31, 2014) | 0.25 | 788,960 | 6,277,440 | |||||||||
Natural Gas (91 contracts, settlement date March 27, 2015) | 0.01 | 38,370 | 3,524,430 | |||||||||
Natural Gas (92 contracts, settlement date February 25, 2015) | 0.03 | 81,300 | 3,822,600 | |||||||||
Natural Gas (91 contracts, settlement date January 28, 2015) | 0.03 | 87,930 | 3,854,760 | |||||||||
Natural Gas (91 contracts, settlement date December 29, 2014) | (0.08 | ) | (256,120 | ) | 3,869,320 | |||||||
Natural Gas (91 contracts, settlement date November 25, 2014) | (0.09 | ) | (282,670 | ) | 3,812,900 | |||||||
NY Harbor ULSD (34 contracts, settlement date March 31, 2015) | (0.10 | ) | (311,636 | ) | 3,796,338 | |||||||
NY Harbor ULSD (33 contracts, settlement date February 27, 2015) | (0.10 | ) | (311,090 | ) | 3,691,888 | |||||||
NY Harbor ULSD (34 contracts, settlement date January 30, 2015) | (0.10 | ) | (316,756 | ) | 3,806,477 | |||||||
NY Harbor ULSD (34 contracts, settlement date December 31, 2014) | (0.12 | ) | (383,221 | ) | 3,803,621 | |||||||
NY Harbor ULSD (34 contracts, settlement date November 28, 2014) | (0.13 | ) | (413,566 | ) | 3,793,625 | |||||||
Platinum (145 contracts, settlement date April 28, 2015) | (0.28 | ) | (885,345 | ) | 9,440,225 | |||||||
Platinum (145 contracts, settlement date January 28, 2015) | (0.38 | ) | (1,216,695 | ) | 9,428,625 | |||||||
Silver (73 contracts, settlement date May 27, 2015) | (0.32 | ) | (1,039,140 | ) | 6,248,435 | |||||||
Silver (73 contracts, settlement date March 27, 2015) | (0.32 | ) | (1,020,430 | ) | 6,240,405 | |||||||
Silver (74 contracts, settlement date December 29, 2014) | (0.28 | ) | (897,680 | ) | 6,311,090 | |||||||
Soybean (135 contracts, settlement date May 14, 2015) | (0.32 | ) | (1,018,387 | ) | 6,331,500 | |||||||
Soybean (135 contracts, settlement date March 13, 2015) | (0.31 | ) | (995,712 | ) | 6,275,812 | |||||||
Soybean (135 contracts, settlement date January 14, 2015) | (0.52 | ) | (1,679,900 | ) | 6,218,438 | |||||||
Soybean Oil (240 contracts, settlement date January 14, 2015) | (0.22 | ) | (711,912 | ) | 4,701,600 | |||||||
Soybean Oil (240 contracts, settlement date March 13, 2015) | (0.14 | ) | (441,366 | ) | 4,740,480 | |||||||
Soybean Oil (240 contracts, settlement date May 14, 2015) | (0.14 | ) | (450,642 | ) | 4,760,640 | |||||||
Soybean Oil (241 contracts, settlement date December 12, 2014) | (0.29 | ) | (916,836 | ) | 4,680,702 | |||||||
Sugar (509 contracts, settlement date April 30, 2015) | (0.24 | ) | (781,950 | ) | 9,514,635 | |||||||
Sugar (510 contracts, settlement date February 27, 2015) | (0.36 | ) | (1,152,435 | ) | 9,396,240 | |||||||
Wheat (257 contracts, settlement date May 14, 2015) | (0.38 | ) | (1,234,038 | ) | 6,408,937 | |||||||
Wheat (257 contracts, settlement date March 13, 2015) | (0.37 | ) | (1,190,887 | ) | 6,302,925 | |||||||
Wheat (258 contracts, settlement date December 12, 2014) | (0.45 | ) | (1,442,863 | ) | 6,162,975 | |||||||
Net Unrealized Depreciation on Futures Contracts | (8.25 | )% | $ | (26,493,168 | ) | $ | 320,683,750 |
Percentage | Fair | Face | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.01% due January 22, 2015 | 37.47 | % | $ | 99,998,600 | $ | 100,000,000 | ||||||
U.S. Treasury Bills, 0.03% due March 12, 2015 | 18.73 | 49,998,100 | 50,000,000 | |||||||||
U.S. Treasury Bills, 0.06% due March 26, 2015 | 18.73 | 49,998,550 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $199,994,069) | 74.93 | % | $ | 199,995,250 | $ | 200,000,000 |
Percentage | Fair | Notional | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (181 contracts, settlement date July 16, 2015) | 0.03 | % | $ | 83,950 | $ | 5,229,090 | ||||||
Cocoa (181 contracts, settlement date May 13, 2015) | (0.13 | ) | (334,480 | ) | 5,234,520 | |||||||
Cocoa (181 contracts, settlement date March 16, 2015) | (0.12 | ) | (316,920 | ) | 5,267,100 | |||||||
Coffee (82 contracts, settlement date July 21, 2015) | (0.25 | ) | (671,513 | ) | 5,285,925 | |||||||
Coffee (82 contracts, settlement date May 18, 2015) | (0.27 | ) | (719,438 | ) | 5,205,975 | |||||||
Coffee (83 contracts, settlement date March 19, 2015) | (0.28 | ) | (747,038 | ) | 5,185,425 | |||||||
Copper (74 contracts, settlement date July 29, 2015) | (0.12 | ) | (320,262 | ) | 5,227,175 | |||||||
Copper (74 contracts, settlement date May 27, 2015) | (0.22 | ) | (584,150 | ) | 5,223,475 | |||||||
Copper (74 contracts, settlement date March 27, 2015) | (0.21 | ) | (559,600 | ) | 5,227,175 | |||||||
Corn (258 contracts, settlement date July 14, 2015) | 0.04 | 101,863 | 5,321,250 | |||||||||
Corn (258 contracts, settlement date May 14, 2015) | 0.09 | 250,975 | 5,234,175 | |||||||||
Corn (259 contracts, settlement date March 13, 2015) | 0.09 | 242,600 | 5,141,150 | |||||||||
Cotton (171 contracts, settlement date July 09, 2015) | 0.00 | * | 5,610 | 5,301,000 | ||||||||
Cotton (171 contracts, settlement date May 06, 2015) | (0.12 | ) | (316,150 | ) | 5,221,485 | |||||||
Cotton (171 contracts, settlement date March 09, 2015) | (0.27 | ) | (716,905 | ) | 5,153,085 | |||||||
Gold (44 contracts, settlement date June 26, 2015) | 0.03 | 88,470 | 5,215,760 | |||||||||
Gold (44 contracts, settlement date April 28, 2015) | (0.17 | ) | (446,860 | ) | 5,213,560 | |||||||
Gold (44 contracts, settlement date February 25, 2015) | (0.13 | ) | (335,420 | ) | 5,210,040 | |||||||
Lean Hogs (113 contracts, settlement date July 15, 2015) | (0.07 | ) | (176,480 | ) | 4,098,510 | |||||||
Lean Hogs (113 contracts, settlement date June 12, 2015) | (0.07 | ) | (188,950 | ) | 4,138,060 | |||||||
Lean Hogs (113 contracts, settlement date April 15, 2015) | (0.07 | ) | (197,270 | ) | 3,764,030 | |||||||
Lean Hogs (113 contracts, settlement date February 13, 2015) | (0.12 | ) | (315,750 | ) | 3,670,240 | |||||||
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015) | (0.33 | ) | (893,390 | ) | 3,172,050 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date April 21, 2015) | (0.38 | ) | (1,019,440 | ) | 3,187,680 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date March 20, 2015) | (0.57 | ) | (1,532,690 | ) | 3,147,080 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date February 20, 2015) | (0.58 | ) | (1,560,200 | ) | 3,114,600 | |||||||
Light, Sweet Crude Oil (58 contracts, settlement date January 20, 2015) | (0.58 | ) | (1,550,530 | ) | 3,089,660 | |||||||
Live Cattle (82 contracts, settlement date June 30, 2015) | (0.04 | ) | (114,190 | ) | 5,080,720 | |||||||
Live Cattle (81 contracts, settlement date April 30, 2015) | 0.08 | 218,730 | 5,261,760 | |||||||||
Live Cattle (81 contracts, settlement date February 27, 2015) | 0.09 | 242,130 | 5,299,020 | |||||||||
Natural Gas (108 contracts, settlement date May 27, 2015) | (0.25 | ) | (668,300 | ) | 3,189,240 | |||||||
Natural Gas (108 contracts, settlement date April 28, 2015) | (0.26 | ) | (694,840 | ) | 3,136,320 | |||||||
Natural Gas (108 contracts, settlement date March 27, 2015) | (0.29 | ) | (786,680 | ) | 3,111,480 | |||||||
Natural Gas (108 contracts, settlement date February 25, 2015) | (0.37 | ) | (1,000,490 | ) | 3,127,680 | |||||||
Natural Gas (108 contracts, settlement date January 28, 2015) | (0.40 | ) | (1,071,100 | ) | 3,120,120 | |||||||
NY Harbor ULSD (42 contracts, settlement date May 29, 2015) | (0.33 | ) | (873,041 | ) | 3,200,602 | |||||||
NY Harbor ULSD (41 contracts, settlement date April 30, 2015) | (0.32 | ) | (861,353 | ) | 3,105,627 | |||||||
NY Harbor ULSD (41 contracts, settlement date March 31, 2015) | (0.50 | ) | (1,337,461 | ) | 3,104,594 | |||||||
NY Harbor ULSD (41 contracts, settlement date February 27, 2015) | (0.53 | ) | (1,409,974 | ) | 3,129,218 | |||||||
NY Harbor ULSD (41 contracts, settlement date January 30, 2015) | (0.50 | ) | (1,333,559 | ) | 3,157,459 | |||||||
Platinum (130 contracts, settlement date July 29, 2015) | 0.01 | 33,995 | 7,871,500 | |||||||||
Platinum (129 contracts, settlement date April 28, 2015) | 0.01 | 20,485 | 7,801,275 | |||||||||
Silver (66 contracts, settlement date July 29, 2015) | (0.02 | ) | (47,050 | ) | 5,168,460 | |||||||
Silver (67 contracts, settlement date May 27, 2015) | (0.35 | ) | (940,295 | ) | 5,236,720 | |||||||
Silver (67 contracts, settlement date March 27, 2015) | (0.34 | ) | (913,105 | ) | 5,225,665 | |||||||
Soybean (101 contracts, settlement date July 14, 2015) | (0.03 | ) | (92,050 | ) | 5,236,850 | |||||||
Soybean (101 contracts, settlement date May 14, 2015) | (0.07 | ) | (199,812 | ) | 5,204,025 | |||||||
Soybean (102 contracts, settlement date March 13, 2015) | (0.06 | ) | (163,712 | ) | 5,219,850 | |||||||
Soybean Oil (269 contracts, settlement date July 14, 2015) | (0.04 | ) | (102,582 | ) | 5,253,570 | |||||||
Soybean Oil (269 contracts, settlement date May 14, 2015) | (0.13 | ) | (336,222 | ) | 5,221,290 | |||||||
Soybean Oil (270 contracts, settlement date March 13, 2015) | (0.13 | ) | (337,578 | ) | 5,206,680 | |||||||
Sugar (314 contracts, settlement date June 30, 2015) | (0.17 | ) | (441,795 | ) | 5,363,120 | |||||||
Sugar (315 contracts, settlement date April 30, 2015) | (0.31 | ) | (834,389 | ) | 5,263,776 | |||||||
Sugar (315 contracts, settlement date February 27, 2015) | (0.39 | ) | (1,039,808 | ) | 5,122,656 | |||||||
Wheat (176 contracts, settlement date July 14, 2015) | 0.12 | 314,688 | 5,258,000 | |||||||||
Wheat (176 contracts, settlement date May 14, 2015) | 0.04 | 106,325 | 5,231,600 | |||||||||
Wheat (176 contracts, settlement date March 13, 2015) | 0.05 | 143,925 | 5,189,800 | |||||||||
Net Unrealized Depreciation on Futures Contracts | (10.21 | )% | $ | (27,249,076 | ) | $ | 266,577,952 |
Percentage | Fair | Face | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bills, 0.01% due January 16, 2014 | 15.62 | % | $ | 49,999,850 | $ | 50,000,000 | ||||||
U.S. Treasury Bills, 0.01% due January 23, 2014 | 46.88 | 149,998,950 | 150,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $199,996,365) | 62.50 | % | $ | 199,998,800 | $ | 200,000,000 | ||||||
Percentage | Fair | Notional | ||||||||||
Description | of Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts | ||||||||||||
Cocoa (231 contracts, settlement date July 16, 2014) | 0.01 | % | $ | 35,760 | $ | 6,292,440 | ||||||
Cocoa (231 contracts, settlement date May 14, 2014) | 0.13 | 411,440 | 6,273,960 | |||||||||
Cocoa (231 contracts, settlement date March 14, 2014) | 0.12 | 381,180 | 6,257,790 | |||||||||
Coffee (148 contracts, settlement date July 21, 2014) | 0.07 | 216,881 | 6,388,050 | |||||||||
Coffee (148 contracts, settlement date May 19, 2014) | (0.17 | ) | (536,812 | ) | 6,268,725 | |||||||
Coffee (148 contracts, settlement date March 19, 2014) | (0.17 | ) | (545,550 | ) | 6,143,850 | |||||||
Copper (74 contracts, settlement date July 29, 2014) | 0.06 | 200,375 | 6,240,975 | |||||||||
Copper (74 contracts, settlement date May 28, 2014) | 0.07 | 207,963 | 6,262,250 | |||||||||
Copper (74 contracts, settlement date March 27, 2014) | 0.08 | 240,550 | 6,283,525 | |||||||||
Corn (292 contracts, settlement date July 14, 2014) | (0.05 | ) | (170,225 | ) | 6,380,200 | |||||||
Corn (292 contracts, settlement date May 14, 2014) | (0.19 | ) | (618,075 | ) | 6,281,650 | |||||||
Corn (292 contracts, settlement date March 14, 2014) | (0.20 | ) | (625,900 | ) | 6,161,200 | |||||||
Cotton (149 contracts, settlement date July 09, 2014) | 0.09 | 301,180 | 6,256,510 | |||||||||
Cotton (149 contracts, settlement date May 07, 2014) | 0.00 | * | (10,605 | ) | 6,287,800 | |||||||
Cotton (148 contracts, settlement date March 07, 2014) | (0.02 | ) | (59,930 | ) | 6,263,360 | |||||||
Gold (52 contracts, settlement date June 26, 2014) | (0.15 | ) | (487,650 | ) | 6,258,720 | |||||||
Gold (52 contracts, settlement date April 28, 2014) | (0.15 | ) | (482,440 | ) | 6,255,600 | |||||||
Gold (52 contracts, settlement date February 26, 2014) | (0.17 | ) | (529,510 | ) | 6,251,960 | |||||||
Lean Hogs (125 contracts, settlement date July 15, 2014) | 0.02 | 72,180 | 4,942,500 | |||||||||
Lean Hogs (125 contracts, settlement date June 13, 2014) | 0.01 | 46,480 | 5,007,500 | |||||||||
Lean Hogs (125 contracts, settlement date April 14, 2014) | 0.07 | 229,450 | 4,533,750 | |||||||||
Lean Hogs (126 contracts, settlement date February 14, 2014) | 0.00 | ** | 9,330 | 4,305,420 | ||||||||
Light, Sweet Crude Oil (39 contracts, settlement date May 20, 2014) | 0.04 | 136,060 | 3,793,920 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date April 22, 2014) | 0.05 | 144,650 | 3,723,620 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date March 20, 2014) | 0.02 | 55,240 | 3,740,720 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date February 20, 2014) | 0.01 | 31,670 | 3,744,900 | |||||||||
Light, Sweet Crude Oil (38 contracts, settlement date January 21, 2014) | 0.00 | ** | 5,710 | 3,739,960 | ||||||||
Live Cattle (118 contracts, settlement date June 30, 2014) | 0.01 | 44,040 | 6,108,860 | |||||||||
Live Cattle (117 contracts, settlement date April 30, 2014) | 0.06 | 187,100 | 6,332,040 | |||||||||
Live Cattle (118 contracts, settlement date February 28, 2014) | 0.10 | 335,300 | 6,354,300 | |||||||||
Natural Gas (91 contracts, settlement date May 28, 2014) | 0.12 | 397,390 | 3,743,740 | |||||||||
Natural Gas (91 contracts, settlement date April 28, 2014) | 0.13 | 412,180 | 3,726,450 | |||||||||
Natural Gas (91 contracts, settlement date March 27, 2014) | 0.11 | 362,890 | 3,735,550 | |||||||||
Natural Gas (90 contracts, settlement date February 26, 2014) | 0.12 | 383,380 | 3,773,700 | |||||||||
Natural Gas (90 contracts, settlement date January 29, 2014) | 0.12 | 395,000 | 3,807,000 | |||||||||
NY Harbor ULSD (30 contracts, settlement date May 30, 2014) *** | 0.06 | 205,317 | 3,810,996 | |||||||||
NY Harbor ULSD (30 contracts, settlement date April 30, 2014) *** | 0.07 | 207,673 | 3,822,714 | |||||||||
NY Harbor ULSD (29 contracts, settlement date March 31, 2014) *** | 0.04 | 116,840 | 3,706,983 | |||||||||
NY Harbor ULSD (29 contracts, settlement date February 28, 2014) *** | 0.03 | 102,001 | 3,719,528 | |||||||||
NY Harbor ULSD (29 contracts, settlement date January 31, 2014) *** | 0.04 | 113,904 | 3,733,414 | |||||||||
Platinum (137 contracts, settlement date July 29, 2014) | (0.15 | ) | (490,930 | ) | 9,430,395 | |||||||
Platinum (137 contracts, settlement date April 28, 2014) | (0.18 | ) | (574,305 | ) | 9,410,530 | |||||||
Silver (64 contracts, settlement date July 29, 2014) | (0.18 | ) | (567,615 | ) | 6,220,160 | |||||||
Silver (65 contracts, settlement date May 28, 2014) | (0.15 | ) | (490,235 | ) | 6,306,625 | |||||||
Silver (65 contracts, settlement date March 27, 2014) | (0.15 | ) | (479,325 | ) | 6,295,250 | |||||||
Soybean (98 contracts, settlement date July 14, 2014) | 0.06 | 182,763 | 6,196,050 | |||||||||
Soybean (98 contracts, settlement date May 14, 2014) | 0.11 | 344,875 | 6,257,300 | |||||||||
Soybean (98 contracts, settlement date March 14, 2014) | 0.13 | 401,825 | 6,333,250 | |||||||||
Soybean Oil (266 contracts, settlement date July 14, 2014) | (0.12 | ) | (397,332 | ) | 6,361,656 | |||||||
Soybean Oil (264 contracts, settlement date May 14, 2014) | (0.15 | ) | (466,266 | ) | 6,255,216 | |||||||
Soybean Oil (264 contracts, settlement date March 14, 2014) | (0.14 | ) | (450,534 | ) | 6,198,192 | |||||||
Sugar (338 contracts, settlement date June 30, 2014) | (0.12 | ) | (385,806 | ) | 6,333,309 | |||||||
Sugar (338 contracts, settlement date April 30, 2014) | (0.11 | ) | (337,557 | ) | 6,268,954 | |||||||
Sugar (339 contracts, settlement date February 28, 2014) | (0.14 | ) | (462,112 | ) | 6,230,549 | |||||||
Wheat (205 contracts, settlement date July 14, 2014) | (0.17 | ) | (549,650 | ) | 6,321,687 | |||||||
Wheat (205 contracts, settlement date May 14, 2014) | (0.20 | ) | (627,613 | ) | 6,273,000 | |||||||
Wheat (205 contracts, settlement date March 14, 2014) | (0.20 | ) | (627,788 | ) | 6,203,812 | |||||||
Net Unrealized Depreciation on Futures Contracts | (1.27 | )% | $ | (4,055,188 | ) | $ | 319,612,065 | |||||
* Denotes less than 0.000% yet greater than (0.005)% | ||||||||||||
** Denotes greater than 0.000% yet less than 0.005% | ||||||||||||
*** The CME Group changed specifications and the name of Heating Oil futures to ‘NY Harbor ULSD’ in May 2013 |
2015 | 2014 | |||||||
Income | ||||||||
Interest Income | $ | 10,326 | $ | 10,011 | ||||
Expenses | ||||||||
Management fee to related party | 534,030 | 690,079 | ||||||
Brokerage fees and expenses | 125,654 | 162,372 | ||||||
Total expenses | 659,684 | 852,451 | ||||||
Net Investment Loss | (649,358 | ) | (842,440 | ) | ||||
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | ||||||||
Realized Gain (Loss) on | ||||||||
Futures Contracts | (28,433,985 | ) | 8,746,949 | |||||
Net Realized Gain (Loss) | (28,433,985 | ) | 8,746,949 | |||||
Net Change in Unrealized Gain on | ||||||||
Investments | 1,521 | 1,693 | ||||||
Futures Contracts | 10,547,678 | 21,964,056 | ||||||
Net Change in Unrealized Gain | 10,549,199 | 21,965,749 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (17,884,786 | ) | 30,712,698 | |||||
Net Gain (Loss) | $ | (18,534,144 | ) | $ | 29,870,258 |
12 |
Three Months | Three Months | Nine Months | Nine Months | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | |||||||||||||
Income | ||||||||||||||||
Interest Income | $ | 8,256 | $ | 30,080 | $ | 33,686 | $ | 175,532 | ||||||||
Expenses | ||||||||||||||||
Management fee to related party | 739,176 | 815,413 | 2,184,858 | 2,763,342 | ||||||||||||
Brokerage fees and expenses | 173,923 | 191,861 | 514,084 | 650,198 | ||||||||||||
Total expenses | 913,099 | 1,007,274 | 2,698,942 | 3,413,540 | ||||||||||||
Net Investment Loss | (904,843 | ) | (977,194 | ) | (2,665,256 | ) | (3,238,008 | ) | ||||||||
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts Realized Gain (Loss) on | ||||||||||||||||
Investments | — | 533 | — | 1,923 | ||||||||||||
Futures Contracts | (13,600,852 | ) | (18,349,415 | ) | 10,263,073 | (49,851,835 | ) | |||||||||
Net Realized Gain (Loss) | (13,600,852 | ) | (18,348,882 | ) | 10,263,073 | (49,849,912 | ) | |||||||||
Net Change in Unrealized Gain (Loss) on | ||||||||||||||||
Investments | (847 | ) | (3,787 | ) | (240 | ) | (14,816 | ) | ||||||||
Futures Contracts | (26,394,106 | ) | 30,625,671 | (22,437,980 | ) | 14,084,283 | ||||||||||
Net Change in Unrealized Gain (Loss) | (26,394,953 | ) | 30,621,884 | (22,438,220 | ) | 14,069,467 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (39,995,805 | ) | 12,273,002 | (12,175,147 | ) | (35,780,445 | ) | |||||||||
Net Gain (Loss) | $ | (40,900,648 | ) | $ | 11,295,808 | $ | (14,840,403 | ) | $ | (39,018,453 | ) | |||||
See accompanying notes to unaudited consolidated financial statements |
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Shareholders’ | Limited Units | Accumulated | Shareholders’ | Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2014 | 50 | $ | 1,500 | $ | (360 | ) | $ | 1,140 | 11,700,000 | $ | 350,523,308 | $ | (83,626,314 | ) | $ | 266,896,994 | $ | 266,898,134 | ||||||||||||||||||
Creation of Limited Units | — | — | — | — | 250,000 | 5,487,716 | — | 5,487,716 | 5,487,716 | |||||||||||||||||||||||||||
Redemption of Limited Units | — | — | — | — | (450,000 | ) | (10,086,172 | ) | — | (10,086,172 | ) | (10,086,172 | ) | |||||||||||||||||||||||
Net Loss: | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (3 | ) | (3 | ) | — | — | (649,355 | ) | (649,355 | ) | (649,358 | ) | ||||||||||||||||||||||
Net Realized Loss on Investments and Futures Contracts | — | — | (122 | ) | (122 | ) | — | — | (28,433,863 | ) | (28,433,863 | ) | (28,433,985 | ) | ||||||||||||||||||||||
Net Change in Unrealized Gain on Investments and Futures Contracts | — | — | 45 | 45 | — | — | 10,549,154 | 10,549,154 | 10,549,199 | |||||||||||||||||||||||||||
Net Loss | — | — | (80 | ) | (80 | ) | — | — | (18,534,064 | ) | (18,534,064 | ) | (18,534,144 | ) | ||||||||||||||||||||||
Balance at March 31, 2015 | 50 | $ | 1,500 | $ | (440 | ) | $ | 1,060 | 11,500,000 | $ | 345,924,852 | $ | (102,160,378 | ) | $ | 243,764,474 | $ | 243,765,534 |
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
Total General | Total Limited | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Shareholders’ | Limited Units | Accumulated | Shareholders’ | Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at January 01, 2014 | 50 | $ | 1,500 | $ | (215 | ) | $ | 1,285 | 12,450,000 | $ | 364,838,413 | $ | (44,847,114 | ) | $ | 319,991,299 | $ | 319,992,584 | ||||||||||||||||||
Creation of Limited Units | — | — | — | — | 1,550,000 | 43,387,949 | — | 43,387,949 | 43,387,949 | |||||||||||||||||||||||||||
Redemption of Limited Units | — | — | — | — | (1,050,000 | ) | (27,522,724 | ) | — | (27,522,724 | ) | (27,522,724 | ) | |||||||||||||||||||||||
Net Loss: | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (11 | ) | (11 | ) | — | — | (2,665,245 | ) | (2,665,245 | ) | (2,665,256 | ) | ||||||||||||||||||||||
Net Realized Gain on Investments and Futures Contracts | — | — | 45 | 45 | — | — | 10,263,028 | 10,263,028 | 10,263,073 | |||||||||||||||||||||||||||
Net Change in Unrealized Loss on Investments and Futures Contracts | — | — | (80 | ) | (80 | ) | — | — | (22,438,140 | ) | (22,438,140 | ) | (22,438,220 | ) | ||||||||||||||||||||||
Net Activity | — | — | (46 | ) | (46 | ) | 500,000 | 15,865,225 | (14,840,357 | ) | (14,840,357 | ) | (14,840,403 | ) | ||||||||||||||||||||||
Balance at September 30, 2014 | 50 | $ | 1,500 | $ | (261 | ) | $ | 1,239 | 12,950,000 | $ | 380,703,638 | $ | (59,687,471 | ) | $ | 321,016,167 | $ | 321,017,406 | ||||||||||||||||||
See accompanying notes to unaudited consolidated financial statements |
2014 | 2013 | |||||||
Cash flow from operating activities: | ||||||||
Net Loss | $ | (14,840,403 | ) | $ | (39,018,453 | ) | ||
Adjustments to reconcile net loss to net cash provided by operating activities: | ||||||||
Purchase of investment securities | (528,461,254 | ) | (1,284,836,043 | ) | ||||
Proceeds from sales of investment securities | 628,495,000 | 1,409,997,852 | ||||||
Net accretion of discount | (33,686 | ) | (175,532 | ) | ||||
Net realized gain (loss) on investments | — | (1,923 | ) | |||||
Unrealized depreciation (appreciation) on investments | 22,438,220 | (14,069,467 | ) | |||||
Decrease in accrued expenses | (55,164 | ) | (362,095 | ) | ||||
Net cash provided by operating activities | 107,542,713 | 71,534,339 | ||||||
Cash flows from financing activities: | ||||||||
Proceeds from creation of Limited Units | 43,387,949 | 25,704,700 | ||||||
Redemption of Limited Units | (27,522,724 | ) | (106,455,350 | ) | ||||
Decrease in capital shares payable | — | (4,327,722 | ) | |||||
Net cash provided by (used for) financing activities | 15,865,225 | (85,078,372 | ) | |||||
Net change in cash | 123,407,938 | (13,544,033 | ) | |||||
Cash held by broker at beginning of period | 124,417,599 | 22,210,626 | ||||||
Cash held by broker at end of period | $ | 247,825,537 | $ | 8,666,593 | ||||
See accompanying notes to unaudited consolidated financial statements |
2015 | 2014 | |||||||
Cash flow from operating activities: | ||||||||
Net Gain (Loss) | $ | (18,534,144 | ) | $ | 29,870,258 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchase of investment securities | (199,989,853 | ) | (199,987,096 | ) | ||||
Proceeds from sales of investment securities | 200,000,000 | 200,000,000 | ||||||
Net accretion of discount | (10,326 | ) | (10,011 | ) | ||||
Unrealized appreciation on investments and futures contracts | (10,549,199 | ) | (21,965,749 | ) | ||||
Increase in accrued expenses | 17,123 | 98,574 | ||||||
Net cash provided by (used for) operating activities | (29,066,399 | ) | 8,005,976 | |||||
Cash flows from financing activities: | ||||||||
Proceeds from creation of Limited Units | 5,487,716 | 16,702,869 | ||||||
Redemption of Limited Units | (10,086,172 | ) | (18,382,307 | ) | ||||
Increase in capital shares payable | — | 4,228,931 | ||||||
Net cash provided by (used for) financing activities | (4,598,456 | ) | 2,549,493 | |||||
Net change in cash | (33,664,855 | ) | 10,555,469 | |||||
Cash held by broker at beginning of period | 94,433,074 | 124,417,599 | ||||||
Cash held by broker at end of period | $ | 60,768,219 | $ | 134,973,068 |
14 |
Level 1 | — | quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. | |
Level 2 | — | inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. | |
Level 3 | — | unobservable inputs for the asset or liability. |
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasuries | $ | - | $ | 99,998,500 | $ | - | $ | 99,998,500 | ||||||||
Futures Contracts | (26,493,168 | ) | - | - | (26,493,168 | ) | ||||||||||
Total | $ | (26,493,168 | ) | $ | 99,998,500 | $ | - | $ | 73,505,332 |
Other | ||||||||||||||||
Quoted Prices in | Significant | Significant | ||||||||||||||
Active Market | Observable | Unobservable | ||||||||||||||
Assets | (Level 1) | Inputs (Level 2) | Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasuries | $ | - | $ | 199,996,950 | $ | - | $ | 199,996,950 | ||||||||
Futures Contracts | (16,701,398 | ) | - | - | (16,701,398 | ) | ||||||||||
Total | $ | (16,701,398 | ) | $ | 199,996,950 | $ | - | $ | 183,295,552 |
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasuries | $ | - | $ | 199,998,800 | $ | - | $ | 199,998,800 | ||||||||
Futures Contracts | (4,055,188 | ) | - | - | (4,055,188 | ) | ||||||||||
Total | $ | (4,055,188 | ) | $ | 199,998,800 | $ | - | $ | 195,943,612 |
Other | ||||||||||||||||
Quoted Prices in | Significant | Significant | ||||||||||||||
Active Market | Observable | Unobservable | ||||||||||||||
Assets | (Level 1) | Inputs (Level 2) | Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasuries | $ | - | $ | 199,995,250 | $ | - | $ | 199,995,250 | ||||||||
Futures Contracts | (27,249,076 | ) | - | - | (27,249,076 | ) | ||||||||||
Total | $ | (27,249,076 | ) | $ | 199,995,250 | $ | - | $ | 172,746,174 |
Derivative Instruments | Asset Derivatives | Liability Derivatives | Net Derivatives | Asset Derivatives | Liability Derivatives | Net Derivatives | ||||||||||||||||||
Futures Contracts | $ | (26,493,168 | ) | $ | - | $ | (26,493,168 | ) | $ | (16,701,398) | $ | - | $ | (16,701,398) |
Derivative Instruments | Realized Gain on Derivative Instruments | Net Change in Unrealized Loss on Derivative Instruments | Realized Loss on Derivative Instruments | Net Change in Unrealized Gain on Derivative Instruments | ||||||||||||
Futures Contracts | $ | 10,263,073 | �� | $ | (22,437,980) | $ | (28,433,985 | ) | $ | 10,547,678 |
Derivative Instruments | Asset Derivatives | Liability Derivatives | Net Derivatives | Asset Derivatives | Liability Derivatives | Net Derivatives | ||||||||||||||||||
Futures Contracts | $ | (4,055,188 | ) | $ | - | $ | (4,055,188 | ) | $ | (27,249,076 | ) | $ | - | $ | (27,249,076 | ) |
Derivative Instruments | Realized Loss on Derivative Instruments | Net Change in Unrealized Gain on Derivative Instruments | Realized Gain on Derivative Instruments | Net Change in Unrealized Gain on Derivative Instruments | |||||||||||
Futures Contracts | $ | (49,851,835 | ) | $ | 14,084,283 | $ | 8,746,949 | $ | 21,964,056 |
(a) | Creation of Shares |
(i) | it determines that the creation order is not in proper form; |
(ii) | the Managing Owner believes that the creation order would have adverse tax consequences to the Fund or its Shareholders; or |
(iii) | circumstances outside the control of the Managing Owner or the Distributor make it, for all practical purposes, not feasible to process creations of Baskets. |
Three Months | Three Months | |||||||
Ended | Ended | |||||||
March 31, 2015 | March 31, 2014 | |||||||
Net Asset Value | ||||||||
Net asset value per Limited Share, beginning of period | $ | 22.81 | $ | 25.70 | ||||
Net realized and change in unrealized gain (loss) from investments | (1.55 | ) | 2.56 | |||||
Net investment loss on U.S. Treasury Obligations | (0.06 | ) | (0.07 | ) | ||||
Net increase (decrease) in net assets from operations | (1.61 | ) | 2.49 | |||||
Net asset value per Limited Share, end of period | $ | 21.20 | $ | 28.19 | ||||
Market value per Limited Share, beginning of period | $ | 22.86 | $ | 25.74 | ||||
Market value per Limited Share, end of period | $ | 21.19 | $ | 28.18 | ||||
Ratio to average net assets (i) | ||||||||
Net investment loss* | (1.03 | ) % | (1.04 | )% | ||||
Total expenses | 1.05 | % | 1.05 | % | ||||
Total Return, at net asset value (ii) | (7.06 | ) % | 9.69 | % | ||||
Total Return, at market value (ii) | (7.31 | ) % | 9.48 | % | ||||
Three Months | Three Months | |||||||||||||||
Ended | Ended | Nine Months Ended | Nine Months Ended | |||||||||||||
September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | |||||||||||||
Net Asset Value | ||||||||||||||||
Net asset value per Limited Share, beginning of period | $ | 27.91 | $ | 25.76 | $ | 25.70 | $ | 28.85 | ||||||||
Net realized and change in unrealized gain (loss) from investments | (3.05 | ) | 0.79 | (0.70 | ) | (2.16 | ) | |||||||||
Net investment loss | (0.07 | ) | (0.07 | ) | (0.21 | ) | (0.21 | ) | ||||||||
Net increase (decrease) in net assets from operations | (3.12 | ) | 0.72 | (0.91 | ) | (2.37 | ) | |||||||||
Net asset value per Limited Share, end of period | $ | 24.79 | $ | 26.48 | $ | 24.79 | $ | 26.48 | ||||||||
Market value per Limited Share, beginning of period | $ | 27.93 | 25.79 | $ | 25.74 | 28.83 | ||||||||||
Market value per Limited Share, end of period | $ | 24.75 | $ | 26.39 | $ | 24.75 | $ | 26.39 | ||||||||
Ratio to average net assets (i) | ||||||||||||||||
Net investment loss | (1.04 | )% | (1.02 | )% | (1.04 | )% | (1.00 | )% | ||||||||
Total expenses | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | ||||||||
Total Return, at net asset value (ii) | (11.18 | )% | 2.80 | % | (3.54 | )% | (8.21 | )% | ||||||||
Total Return, at market value (ii) | (11.39 | )% | (2.33 | )% | (3.85 | )% | (8.46 | )% | ||||||||
(i) Percentages are annualized. | ||||||||||||||||
(ii) Percentages are not annualized. |
(i) | Percentages are annualized. |
(ii) | Percentages are not annualized. |
* | Net investment loss is calculated by subtracting the Fund expenses from U.S. Treasury Obligations income |
ITEM 2. | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS. |
5 Year Performance Summary | ||||||||||||||||||||||||||||
Date | NAV | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Since Inception | |||||||||||||||||||||
9/30/2009 | $ | 23.89 | 8,350,050 | $ | 199,482,695 | 3.02 | % | 5.10 | % | 9.59 | % | -20.37 | % | |||||||||||||||
10/31/2009 | $ | 24.94 | 8,850,050 | $ | 220,720,247 | 4.40 | % | 6.40 | % | 14.40 | % | -16.87 | % | |||||||||||||||
11/30/2009 | $ | 26.09 | 7,550,050 | $ | 196,980,805 | 4.61 | % | 12.51 | % | 19.68 | % | -13.03 | % | |||||||||||||||
12/31/2009 | $ | 26.22 | 8,750,050 | $ | 229,426,311 | 0.50 | % | 9.75 | % | 20.28 | % | -12.60 | % | |||||||||||||||
1/31/2010 | $ | 25.09 | 9,850,050 | $ | 247,137,755 | -4.31 | % | 0.60 | % | -4.31 | % | -16.37 | % | |||||||||||||||
2/28/2010 | $ | 25.67 | 9,400,050 | $ | 241,299,284 | 2.31 | % | -1.61 | % | -2.10 | % | -14.43 | % | |||||||||||||||
3/31/2010 | $ | 25.07 | 9,550,050 | $ | 239,419,754 | -2.34 | % | -4.39 | % | -4.39 | % | -16.43 | % | |||||||||||||||
4/30/2010 | $ | 25.76 | 9,650,050 | $ | 248,585,288 | 2.75 | % | 2.67 | % | -1.75 | % | -14.13 | % | |||||||||||||||
5/31/2010 | $ | 24.50 | 9,650,050 | $ | 236,426,225 | -4.89 | % | -4.56 | % | -6.56 | % | -18.33 | % | |||||||||||||||
6/30/2010 | $ | 24.92 | 9,750,050 | $ | 242,971,246 | 1.71 | % | -0.60 | % | -4.96 | % | -16.93 | % | |||||||||||||||
7/31/2010 | $ | 26.42 | 10,200,050 | $ | 269,485,321 | 6.02 | % | 2.56 | % | 0.76 | % | -11.93 | % | |||||||||||||||
8/31/2010 | $ | 26.21 | 11,250,050 | $ | 294,863,811 | -0.79 | % | 6.98 | % | -0.04 | % | -12.63 | % | |||||||||||||||
9/30/2010 | $ | 28.14 | 11,100,050 | $ | 312,355,407 | 7.36 | % | 12.92 | % | 7.32 | % | -6.20 | % | |||||||||||||||
10/31/2010 | $ | 29.76 | 13,000,050 | $ | 386,881,488 | 5.76 | % | 12.64 | % | 13.50 | % | -0.80 | % | |||||||||||||||
11/30/2010 | $ | 29.67 | 14,900,050 | $ | 442,084,484 | -0.30 | % | 13.20 | % | 13.16 | % | -1.10 | % | |||||||||||||||
12/31/2010 | $ | 32.88 | 16,250,050 | $ | 534,301,644 | 10.82 | % | 16.84 | % | 25.40 | % | 9.60 | % | |||||||||||||||
1/31/2011 | $ | 34.01 | 17,650,050 | $ | 600,278,201 | 3.44 | % | 14.28 | % | 3.44 | % | 13.37 | % | |||||||||||||||
2/28/2011 | $ | 35.16 | 19,600,050 | $ | 689,137,758 | 3.38 | % | 18.50 | % | 6.93 | % | 17.20 | % | |||||||||||||||
3/31/2011 | $ | 35.20 | 23,250,050 | $ | 818,401,760 | 0.11 | % | 7.06 | % | 7.06 | % | 17.33 | % | |||||||||||||||
4/30/2011 | $ | 36.34 | 23,800,050 | $ | 864,893,817 | 3.24 | % | 6.85 | % | 10.52 | % | 21.13 | % | |||||||||||||||
5/31/2011 | $ | 34.87 | 22,000,050 | $ | 767,141,744 | -4.05 | % | -0.82 | % | 6.05 | % | 16.23 | % | |||||||||||||||
6/30/2011 | $ | 33.59 | 21,850,050 | $ | 733,943,180 | -3.67 | % | -4.57 | % | 2.16 | % | 11.97 | % | |||||||||||||||
7/31/2011 | $ | 34.48 | 21,000,050 | $ | 724,081,724 | 2.65 | % | -5.12 | % | 4.87 | % | 14.93 | % | |||||||||||||||
8/31/2011 | $ | 35.23 | 20,700,050 | $ | 729,262,762 | 2.18 | % | 1.03 | % | 7.15 | % | 17.43 | % | |||||||||||||||
9/30/2011 | $ | 30.46 | 20,600,050 | $ | 627,498,123 | -13.54 | % | -9.32 | % | -7.36 | % | 1.54 | % | |||||||||||||||
10/31/2011 | $ | 32.21 | 19,200,050 | $ | 618,433,611 | 5.74 | % | -6.58 | % | -2.04 | % | 7.37 | % | |||||||||||||||
11/30/2011 | $ | 31.12 | 20,300,050 | $ | 631,737,556 | -3.38 | % | -11.67 | % | -5.35 | % | 3.73 | % | |||||||||||||||
12/31/2011 | $ | 29.96 | 19,400,050 | $ | 581,225,498 | -3.73 | % | -1.64 | % | -8.88 | % | -0.13 | % | |||||||||||||||
1/31/2012 | $ | 31.29 | 19,550,050 | $ | 611,721,065 | 4.44 | % | -2.86 | % | 4.44 | % | 4.30 | % | |||||||||||||||
2/29/2012 | $ | 31.70 | 21,350,050 | $ | 676,796,585 | 1.31 | % | 1.86 | % | 5.81 | % | 5.67 | % | |||||||||||||||
3/31/2012 | $ | 30.35 | 21,250,050 | $ | 644,939,018 | -4.26 | % | 1.30 | % | 1.30 | % | 1.17 | % | |||||||||||||||
4/30/2012 | $ | 29.51 | 20,550,050 | $ | 606,431,976 | -2.77 | % | -5.69 | % | -1.50 | % | -1.63 | % | |||||||||||||||
5/31/2012 | $ | 26.95 | 18,300,050 | $ | 493,186,348 | -8.68 | % | -14.98 | % | -10.05 | % | -10.17 | % | |||||||||||||||
6/30/2012 | $ | 28.43 | 18,000,050 | $ | 511,741,422 | 5.49 | % | -6.33 | % | -5.11 | % | -5.23 | % | |||||||||||||||
7/31/2012 | $ | 29.65 | 17,100,050 | $ | 507,016,483 | 4.29 | % | 0.47 | % | -1.03 | % | -1.17 | % | |||||||||||||||
8/31/2012 | $ | 30.35 | 16,650,050 | $ | 505,329,018 | 2.36 | % | 12.62 | % | 1.30 | % | 1.17 | % | |||||||||||||||
9/30/2012 | $ | 30.57 | 16,900,050 | $ | 516,634,529 | 0.72 | % | 7.53 | % | 2.04 | % | 1.90 | % | |||||||||||||||
10/31/2012 | $ | 29.56 | 16,600,050 | $ | 490,697,478 | -3.30 | % | -0.30 | % | -1.34 | % | -1.47 | % | |||||||||||||||
11/30/2012 | $ | 29.83 | 16,750,050 | $ | 499,653,992 | 0.91 | % | -1.71 | % | -0.43 | % | -0.57 | % | |||||||||||||||
12/31/2012 | $ | 28.85 | 16,450,050 | $ | 474,583,943 | -3.29 | % | -5.63 | % | -3.70 | % | -3.83 | % | |||||||||||||||
1/31/2013 | $ | 29.50 | 16,450,050 | $ | 485,276,475 | 2.25 | % | -0.20 | % | 2.25 | % | -1.67 | % | |||||||||||||||
2/28/2013 | $ | 28.21 | 16,500,050 | $ | 465,466,411 | -4.37 | % | -5.43 | % | -2.22 | % | -5.97 | % | |||||||||||||||
3/31/2013 | $ | 28.26 | 17,000,050 | $ | 480,421,413 | 0.18 | % | -2.05 | % | -2.05 | % | -5.80 | % | |||||||||||||||
4/30/2013 | $ | 27.65 | 16,800,050 | $ | 464,521,383 | -2.16 | % | -6.27 | % | -4.16 | % | -7.83 | % | |||||||||||||||
5/31/2013 | $ | 26.89 | 16,200,050 | $ | 435,619,345 | -2.75 | % | -4.68 | % | -6.79 | % | -10.37 | % | |||||||||||||||
6/30/2013 | $ | 25.76 | 15,700,050 | $ | 404,433,288 | -4.20 | % | -8.85 | % | -10.71 | % | -14.13 | % | |||||||||||||||
7/31/2013 | $ | 26.01 | 14,900,050 | $ | 387,550,301 | 0.97 | % | -5.93 | % | -9.84 | % | -13.30 | % | |||||||||||||||
8/31/2013 | $ | 26.84 | 13,550,050 | $ | 363,683,342 | 3.19 | % | -0.19 | % | -6.97 | % | -10.53 | % | |||||||||||||||
9/30/2013 | $ | 26.48 | 13,400,050 | $ | 354,833,324 | -1.34 | % | 2.80 | % | -8.21 | % | -11.73 | % | |||||||||||||||
10/31/2013 | $ | 26.15 | 13,300,050 | $ | 347,796,308 | -1.25 | % | 0.54 | % | -9.36 | % | -12.83 | % | |||||||||||||||
11/30/2013 | $ | 25.84 | 13,300,050 | $ | 343,673,292 | -1.19 | % | -3.73 | % | -10.43 | % | -13.87 | % | |||||||||||||||
12/31/2013 | $ | 25.70 | 12,450,050 | $ | 319,966,285 | -0.54 | % | -2.95 | % | -10.92 | % | -14.33 | % | |||||||||||||||
1/31/2014 | $ | 25.87 | 11,900,050 | $ | 307,854,294 | 0.66 | % | -1.07 | % | -10.33 | % | -13.77 | % | |||||||||||||||
2/28/2014 | $ | 27.80 | 12,350,050 | $ | 343,331,390 | 7.46 | % | 7.59 | % | -3.64 | % | -7.33 | % | |||||||||||||||
3/31/2014 | $ | 28.19 | 12,350,050 | $ | 348,147,910 | 1.40 | % | 9.69 | % | 9.69 | % | -6.03 | % | |||||||||||||||
4/30/2014 | $ | 28.74 | 12,500,050 | $ | 359,251,437 | 1.95 | % | 11.09 | % | 11.83 | % | -4.20 | % | |||||||||||||||
5/31/2014 | $ | 27.78 | 12,800,050 | $ | 355,585,389 | -3.34 | % | -0.07 | % | 8.09 | % | -7.40 | % | |||||||||||||||
6/30/2014 | $ | 27.91 | 12,900,050 | $ | 360,040,396 | 0.47 | % | -0.99 | % | 8.60 | % | -6.97 | % | |||||||||||||||
7/31/2014 | $ | 26.62 | 13,150,050 | $ | 350,054,331 | -4.62 | % | -7.38 | % | 3.58 | % | -11.27 | % | |||||||||||||||
8/31/2014 | $ | 26.25 | 13,150,050 | $ | 345,188,813 | -1.39 | % | -5.51 | % | 2.14 | % | -12.50 | % | |||||||||||||||
9/30/2014 | $ | 24.79 | 12,950,050 | $ | 321,031,740 | -5.56 | % | -11.18 | % | -3.54 | % | -17.37 | % |
5 Year Performance Summary | |||||||||||||||||||||||||||||
Date | NAV | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Since Inception | ||||||||||||||||||||||
4/30/2010 | $ | 25.76 | 9,650,050 | $ | 248,585,288 | 2.75 | % | 2.67 | % | -1.75 | % | -14.13 | % | ||||||||||||||||
5/31/2010 | $ | 24.50 | 9,650,050 | $ | 236,426,225 | -4.89 | % | -4.56 | % | -6.56 | % | -18.33 | % | ||||||||||||||||
6/30/2010 | $ | 24.92 | 9,750,050 | $ | 242,971,246 | 1.71 | % | -0.60 | % | -4.96 | % | -16.93 | % | ||||||||||||||||
7/31/2010 | $ | 26.42 | 10,200,050 | $ | 269,485,321 | 6.02 | % | 2.56 | % | 0.76 | % | -11.93 | % | ||||||||||||||||
8/31/2010 | $ | 26.21 | 11,250,050 | $ | 294,863,811 | -0.79 | % | 6.98 | % | -0.04 | % | -12.63 | % | ||||||||||||||||
9/30/2010 | $ | 28.14 | 11,100,050 | $ | 312,355,407 | 7.36 | % | 12.92 | % | 7.32 | % | -6.20 | % | ||||||||||||||||
10/31/2010 | $ | 29.76 | 13,000,050 | $ | 386,881,488 | 5.76 | % | 12.64 | % | 13.50 | % | -0.80 | % | ||||||||||||||||
11/30/2010 | $ | 29.67 | 14,900,050 | $ | 442,084,484 | -0.30 | % | 13.20 | % | 13.16 | % | -1.10 | % | ||||||||||||||||
12/31/2010 | $ | 32.88 | 16,250,050 | $ | 534,301,644 | 10.82 | % | 16.84 | % | 25.40 | % | 9.60 | % | ||||||||||||||||
1/31/2011 | $ | 34.01 | 17,650,050 | $ | 600,278,201 | 3.44 | % | 14.28 | % | 3.44 | % | 13.37 | % | ||||||||||||||||
2/28/2011 | $ | 35.16 | 19,600,050 | $ | 689,137,758 | 3.38 | % | 18.50 | % | 6.93 | % | 17.20 | % | ||||||||||||||||
3/31/2011 | $ | 35.20 | 23,250,050 | $ | 818,401,760 | 0.11 | % | 7.06 | % | 7.06 | % | 17.33 | % | ||||||||||||||||
4/30/2011 | $ | 36.34 | 23,800,050 | $ | 864,893,817 | 3.24 | % | 6.85 | % | 10.52 | % | 21.13 | % | ||||||||||||||||
5/31/2011 | $ | 34.87 | 22,000,050 | $ | 767,141,744 | -4.05 | % | -0.82 | % | 6.05 | % | 16.23 | % | ||||||||||||||||
6/30/2011 | $ | 33.59 | 21,850,050 | $ | 733,943,180 | -3.67 | % | -4.57 | % | 2.16 | % | 11.97 | % | ||||||||||||||||
7/31/2011 | $ | 34.48 | 21,000,050 | $ | 724,081,724 | 2.65 | % | -5.12 | % | 4.87 | % | 14.93 | % | ||||||||||||||||
8/31/2011 | $ | 35.23 | 20,700,050 | $ | 729,262,762 | 2.18 | % | 1.03 | % | 7.15 | % | 17.43 | % | ||||||||||||||||
9/30/2011 | $ | 30.46 | 20,600,050 | $ | 627,498,123 | -13.54 | % | -9.32 | % | -7.36 | % | 1.54 | % | ||||||||||||||||
10/31/2011 | $ | 32.21 | 19,200,050 | $ | 618,433,611 | 5.74 | % | -6.58 | % | -2.04 | % | 7.37 | % | ||||||||||||||||
11/30/2011 | $ | 31.12 | 20,300,050 | $ | 631,737,556 | -3.38 | % | -11.67 | % | -5.35 | % | 3.73 | % | ||||||||||||||||
12/31/2011 | $ | 29.96 | 19,400,050 | $ | 581,225,498 | -3.73 | % | -1.64 | % | -8.88 | % | -0.13 | % | ||||||||||||||||
1/31/2012 | $ | 31.29 | 19,550,050 | $ | 611,721,065 | 4.44 | % | -2.86 | % | 4.44 | % | 4.30 | % | ||||||||||||||||
2/29/2012 | $ | 31.70 | 21,350,050 | $ | 676,796,585 | 1.31 | % | 1.86 | % | 5.81 | % | 5.67 | % | ||||||||||||||||
3/31/2012 | $ | 30.35 | 21,250,050 | $ | 644,939,018 | -4.26 | % | 1.30 | % | 1.30 | % | 1.17 | % | ||||||||||||||||
4/30/2012 | $ | 29.51 | 20,550,050 | $ | 606,431,976 | -2.77 | % | -5.69 | % | -1.50 | % | -1.63 | % | ||||||||||||||||
5/31/2012 | $ | 26.95 | 18,300,050 | $ | 493,186,348 | -8.68 | % | -14.98 | % | -10.05 | % | -10.17 | % | ||||||||||||||||
6/30/2012 | $ | 28.43 | 18,000,050 | $ | 511,741,422 | 5.49 | % | -6.33 | % | -5.11 | % | -5.23 | % | ||||||||||||||||
7/31/2012 | $ | 29.65 | 17,100,050 | $ | 507,016,483 | 4.29 | % | 0.47 | % | -1.03 | % | -1.17 | % | ||||||||||||||||
8/31/2012 | $ | 30.35 | 16,650,050 | $ | 505,329,018 | 2.36 | % | 12.62 | % | 1.30 | % | 1.17 | % | ||||||||||||||||
9/30/2012 | $ | 30.57 | 16,900,050 | $ | 516,634,529 | 0.72 | % | 7.53 | % | 2.04 | % | 1.90 | % | ||||||||||||||||
10/31/2012 | $ | 29.56 | 16,600,050 | $ | 490,697,478 | -3.30 | % | -0.30 | % | -1.34 | % | -1.47 | % | ||||||||||||||||
11/30/2012 | $ | 29.83 | 16,750,050 | $ | 499,653,992 | 0.91 | % | -1.71 | % | -0.43 | % | -0.57 | % | ||||||||||||||||
12/31/2012 | $ | 28.85 | 16,450,050 | $ | 474,583,943 | -3.29 | % | -5.63 | % | -3.70 | % | -3.83 | % | ||||||||||||||||
1/31/2013 | $ | 29.50 | 16,450,050 | $ | 485,276,475 | 2.25 | % | -0.20 | % | 2.25 | % | -1.67 | % | ||||||||||||||||
2/28/2013 | $ | 28.21 | 16,500,050 | $ | 465,466,411 | -4.37 | % | -5.43 | % | -2.22 | % | -5.97 | % | ||||||||||||||||
3/31/2013 | $ | 28.26 | 17,000,050 | $ | 480,421,413 | 0.18 | % | -2.05 | % | -2.05 | % | -5.80 | % | ||||||||||||||||
4/30/2013 | $ | 27.65 | 16,800,050 | $ | 464,521,383 | -2.16 | % | -6.27 | % | -4.16 | % | -7.83 | % | ||||||||||||||||
5/31/2013 | $ | 26.89 | 16,200,050 | $ | 435,619,345 | -2.75 | % | -4.68 | % | -6.79 | % | -10.37 | % | ||||||||||||||||
6/30/2013 | $ | 25.76 | 15,700,050 | $ | 404,433,288 | -4.20 | % | -8.85 | % | -10.71 | % | -14.13 | % | ||||||||||||||||
7/31/2013 | $ | 26.01 | 14,900,050 | $ | 387,550,301 | 0.97 | % | -5.93 | % | -9.84 | % | -13.30 | % | ||||||||||||||||
8/31/2013 | $ | 26.84 | 13,550,050 | $ | 363,683,342 | 3.19 | % | -0.19 | % | -6.97 | % | -10.53 | % | ||||||||||||||||
9/30/2013 | $ | 26.48 | 13,400,050 | $ | 354,833,324 | -1.34 | % | 2.80 | % | -8.21 | % | -11.73 | % | ||||||||||||||||
10/31/2013 | $ | 26.15 | 13,300,050 | $ | 347,796,308 | -1.25 | % | 0.54 | % | -9.36 | % | -12.83 | % | ||||||||||||||||
11/30/2013 | $ | 25.84 | 13,300,050 | $ | 343,673,292 | -1.19 | % | -3.73 | % | -10.43 | % | -13.87 | % | ||||||||||||||||
12/31/2013 | $ | 25.70 | 12,450,050 | $ | 319,966,285 | -0.54 | % | -2.95 | % | -10.92 | % | -14.33 | % | ||||||||||||||||
1/31/2014 | $ | 25.87 | 11,900,050 | $ | 307,854,294 | 0.66 | % | -1.07 | % | -10.33 | % | -13.77 | % | ||||||||||||||||
2/28/2014 | $ | 27.80 | 12,350,050 | $ | 343,331,390 | 7.46 | % | 7.59 | % | -3.64 | % | -7.33 | % | ||||||||||||||||
3/31/2014 | $ | 28.19 | 12,350,050 | $ | 348,147,910 | 1.40 | % | 9.69 | % | 9.69 | % | -6.03 | % | ||||||||||||||||
4/30/2014 | $ | 28.74 | 12,500,050 | $ | 359,251,437 | 1.95 | % | 11.09 | % | 11.83 | % | -4.20 | % | ||||||||||||||||
5/31/2014 | $ | 27.78 | 12,800,050 | $ | 355,585,389 | -3.34 | % | -0.07 | % | 8.09 | % | -7.40 | % | ||||||||||||||||
6/30/2014 | $ | 27.91 | 12,900,050 | $ | 360,040,396 | 0.47 | % | -0.99 | % | 8.60 | % | -6.97 | % | ||||||||||||||||
7/31/2014 | $ | 26.62 | 13,150,050 | $ | 350,054,331 | -4.62 | % | -7.38 | % | 3.58 | % | -11.27 | % | ||||||||||||||||
8/31/2014 | $ | 26.25 | 13,150,050 | $ | 345,188,813 | -1.39 | % | -5.51 | % | 2.14 | % | -12.50 | % | ||||||||||||||||
9/30/2014 | $ | 24.79 | 12,950,050 | $ | 321,031,740 | -5.56 | % | -11.18 | % | -3.54 | % | -17.37 | % | ||||||||||||||||
10/31/2014 | $ | 24.73 | 12,750,050 | $ | 315,308,737 | -0.24 | % | -7.10 | % | -3.77 | % | -17.57 | % | ||||||||||||||||
11/30/2014 | $ | 23.97 | 12,250,050 | $ | 293,633,699 | -3.07 | % | -8.69 | % | -6.73 | % | -20.10 | % | ||||||||||||||||
12/31/2014 | $ | 22.81 | 11,700,050 | $ | 266,878,141 | -4.84 | % | -7.99 | % | -11.25 | % | -23.97 | % | ||||||||||||||||
1/31/2015 | $ | 21.83 | 11,600,050 | $ | 253,229,092 | -4.30 | % | -11.73 | % | -15.06 | % | -27.23 | % | ||||||||||||||||
2/28/2015 | $ | 22.21 | 11,400,050 | $ | 253,195,111 | 1.74 | % | -7.34 | % | -13.58 | % | -25.97 | % | ||||||||||||||||
3/31/2015 | $ | 21.20 | 11,500,050 | $ | 243,801,060 | -4.55 | % | -7.06 | % | -17.51 | % | -29.33 | % |
● | Changing supply and demand relationships; | ||
● | General economic activities and conditions; | ||
● | Weather and other environmental conditions; | ||
● | Acts of God; | ||
● | Agricultural, fiscal, monetary and exchange control programs and policies of governments; | ||
● | National and international political and economic events and policies; | ||
● | Changes in rates of inflation; or | ||
● | The general emotions and psychology of the marketplace, which at times can be volatile and unrelated to other more tangible factors. | ||
● | Acts of international or domestic terrorism. |
● | A change in economic conditions, such as a recession, can adversely affect the price of both industrial and precious metals. An economic downturn may have a negative impact on the usage and demand of metals which may result in a loss for the Master Fund. | ||
● | A sudden shift in political conditions of the world’s leading metal producers may have a negative effect on the global pricing of metals. | ||
● | An increase in the hedging of precious metals may result in the price of precious metals to decline. | ||
● | Changes in global supply and demand for industrial and precious metals. | ||
● | The price and quantity of imports and exports of industrial and precious metals. | ||
● | Technological advances in the processing and mining of industrial and precious | ||
● | Possible adverse effects on commodity markets from new regulations and required disclosures of public companies regarding “Conflict Minerals”. |
● | Farmer planting decisions, general economic, market and regulatory factors. | ||
● | Weather conditions, including hurricanes, tornadoes, storms and droughts, may have a material adverse effect on crops, live cattle, live hogs and lumber, which may result in significant fluctuations in prices in such commodities. | ||
● | Changes in global supply and demand for agricultural products. | ||
● | The price and quantity of imports and exports of agricultural commodities. | ||
● | Political conditions, including embargoes and war, in or affecting agricultural production, imports and exports. | ||
● | Technological advances in agricultural production. | ||
● | The price and availability of alternative agricultural commodities. |
● | Changes in global supply and demand for oil and natural gas. | ||
● | The price and quantity of imports and exports of oil and natural gas. | ||
● | Political conditions, including embargoes and war, in or affecting other oil producing activities. | ||
● | The level of global oil and natural gas exploration and production. | ||
● | The level of global oil and natural gas inventories, production or pricing. | ||
● | Weather conditions. | ||
● | Technological advances affecting energy consumption. | ||
● | The price and availability of alternative fuels. |
Grains | 23.53% | Corn, Soybeans, Wheat, Soy Oil |
Livestock | 11.76% | Hogs, Cattle |
Metals | 23.53% | Gold, Silver, Platinum, Copper |
Energy | 17.65% | Crude Oil, Natural Gas, NY Harbor ULSD (formerly called Heating Oil) |
Softs | 23.53% | Coffee, Cocoa, Sugar, Cotton |
Issuer Purchases of Equity Securities | ||||||||||||||||
Maximum Number (or | ||||||||||||||||
Total Number of | Approximate Dollar | |||||||||||||||
Shares Purchased as | Value) of Shares That | |||||||||||||||
Part of Publicly | May Yet Be Purchased | |||||||||||||||
Total Number of | Average Price | Announced Plans or | Under the Plans or | |||||||||||||
Period | Shares Redeemed | Paid per Share | Programs | Programs | ||||||||||||
July 1, 2014 to July 31, 2014 | - | $ | - | N/A | N/A | |||||||||||
August 1, 2014 to August 31, 2014 | - | $ | - | N/A | N/A | |||||||||||
September 1, 2014 to September 30, 2014 | 200,000 | $ | 24.93 | N/A | N/A | |||||||||||
Total | 200,000 | $ | 24.93 |
Maximum Number (or | ||||||||||||||||
Total Number of | Approximate Dollar | |||||||||||||||
Shares Purchased as | Value) of Shares That | |||||||||||||||
Part of Publicly | May Yet Be Purchased | |||||||||||||||
Total Number of | Average Price | Announced Plans or | Under the Plans or | |||||||||||||
Period | Shares Redeemed | Paid per Share | Programs | Programs | ||||||||||||
January 1, 2015 to January 31, 2015 | 100,000 | $ | 22.27 | N/A | N/A | |||||||||||
February 1, 2015 to February 28, 2015 | 350,000 | $ | 22.46 | N/A | N/A | |||||||||||
March 1, 2015 to March 31, 2015 | - | $ | - | N/A | N/A | |||||||||||
Total | 450,000 | $ | - |
Exhibit | |||
Number | Description of Document | ||
31.1 | Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | ||
31.2 | Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | ||
31.3 | Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | ||
31.4 | Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | ||
32.1 | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | ||
32.2 | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | ||
32.3 | Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | ||
32.4 | Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
GreenHaven Continuous Commodity Index Fund | ||||
By: | GreenHaven Commodity Services LLC, its Managing Owner | |||
By: | /s/ Ashmead Pringle Name: Ashmead Pringle | |||
Title: Chief Executive Officer | ||||
By: | /s/ Cooper Anderson Name: Cooper Anderson | |||
Title: Principal Financial Officer |
GreenHaven Continuous Commodity Index Master Fund | ||||
By: | ||||
GreenHaven Commodity Services LLC, its Managing Owner | ||||
By: | /s/ Ashmead Pringle Name: Ashmead Pringle | |||
Title: Chief Executive Officer | ||||
By: | /s/ Cooper Anderson Name: Cooper Anderson | |||
Title: Principal Financial Officer |
Exhibit | Page | ||||
Number | Description of Document | Number | |||
31.1 | Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-1 | |||
31.2 | Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-2 | |||
31.3 | Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-3 | |||
31.4 | Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-4 | |||
32.1 | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-5 | |||
32.2 | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-6 | |||
32.3 | Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-7 | |||
32.4 | Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-8 |
36 |