UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

xQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2018

OR

oTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                   to                   

Commission File Number 0-52505

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Exact name of registrant as specified in its charter)

Delaware	30-0408280
(State or other jurisdiction of	(I.R.S. Employer Identification No.)
incorporation or organization)

c/o FRM Investment Management (USA) LLC

452 Fifth Avenue, 26th Floor

New York, New York 10018

(Address of principal executive offices)

(Zip Code)

212-649-6600

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.   Yes x  No  o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).   Yes  x  No  o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o	Accelerated filer o
Non-accelerated filer x	Smaller reporting company o
(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).   Yes  o  No  x

As of March 31, 2018, 62,340,268 units of limited liability company interest were outstanding.

MAN FRM MANAGED FUTURES STRATEGIES LLC

QUARTERLY REPORT FOR March 31, 2018 ON FORM 10-Q

Table of Contents

		PAGE
PART I—FINANCIAL INFORMATION
Item 1.	Financial Statements	1
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	16
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	20
Item 4.	Controls and Procedures	25
PART II—OTHER INFORMATION
Item 1.	Legal Proceedings	26
Item 1A.	Risk Factors	26
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	26
Item 3.	Defaults Upon Senior Securities	26
Item 4.	Mine Safety Disclosures	26
Item 5.	Other Information	26
Item 6.	Exhibits	26

MAN FRM MANAGED FUTURES STRATEGIES LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2018 (unaudited)		December 31, 2017
ASSETS:
Cash	$	25,507,881	$	29,046,167
Investment in Affiliated Funds (Cost: $37,217,711 and $41,142,989 at March 31, 2018 and December 31, 2017, respectively)	37,833,731		43,966,696
Investment in Affiliated Funds paid in advance	—		640,000
TOTAL ASSETS	$	63,341,612	$	73,652,863
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Management fee payable	311,034		355,220
Redemptions payable	—		1,246,141
Professional fees payable	48,866		26,948
Administrative fee payable	118,633		166,814
Other liabilities	152,849		117,554
Total liabilities	631,382		1,912,677
MEMBERS’ CAPITAL:
Members’ Capital (62,340,268 Units and 68,166,663 Units outstanding at March 31, 2018 and December 31, 2017, respectively; unlimited Units authorized)	62,710,230		71,740,186
Total Members’ Capital	62,710,230		71,740,186
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	63,341,612	$	73,652,863
NET ASSET VALUE PER UNIT:
Class A	$	1.0406	$	1.0894
Class C	$	0.9749	$	1.0231
Class D	$	1.3703	$	1.4292
Class I	$	1.1347	$	1.1867
Class M	$	1.0122	$	1.0558
Class AA	$	0.9037	$	0.9483
Class II	$	0.9419	$	0.9856
Class MM	$	0.9228	$	0.9639

See notes to financial statements.

1

MAN FRM MANAGED FUTURES STRATEGIES LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three months ended March 31, 2018			For the three months ended March 31, 2017
TRADING PROFIT (LOSS), NET:
Realized from Affiliated Funds, net	$	(185,278	)	$	(1,111,219	)
Change in unrealized from Affiliated Funds, net	(2,207,687		)	2,144,938
Total trading profit (loss), net	(2,392,965		)	1,033,719
EXPENSES:
Management fee	311,034			519,777
Professional fees	(35,526		)	80,494
Administrative fee	33,760			58,746
Other expenses	68,083			63,459
Total expenses	377,351			722,476
NET INVESTMENT INCOME (LOSS)	(377,351		)	(722,476		)
NET INCOME (LOSS)	$	(2,770,316	)	$	311,243
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A	9,154,415			15,753,019
Class C	34,345,536			60,962,851
Class D	773,984			2,817,643
Class I	7,977,492			11,714,139
Class M	3,208,465			4,725,021
Class AA	763,226			5,231,545
Class II	8,453,620			6,187,523
Class MM	28,831			28,831
Net income (loss) per weighted average Unit
Class A	$	(0.0472	)	$	0.0036
Class C	$	(0.0391	)	$	0.0015
Class D	$	(0.0589	)	$	0.0141
Class I	$	(0.0497	)	$	0.0054
Class M	$	(0.0435	)	$	0.0072
Class AA	$	(0.0448	)	$	0.0105
Class II	$	(0.0447	)	$	(0.0047	)
Class MM	$	(0.0411	)	$	0.0050

See notes to financial statements.

2

MAN FRM MANAGED FUTURES STRATEGIES LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2017 AND 2018

(unaudited) (in Units)

	Members’ Units December 31, 2016	Subscriptions#	Redemptions#		Members’ Units March 31, 2017	Members’ Units December 31, 2017	Subscriptions	Redemptions		Members’ Units March 31, 2018
Class A	16,241,456	—	(950,153	)	15,291,303	9,506,382	—	(778,174	)	8,728,208
Class C	65,856,570	—	(11,546,157	)	54,310,413	37,186,248	—	(4,640,334	)	32,545,914
Class D	2,966,509	—	(893,199	)	2,073,310	773,984	—	—		773,984
Class I	12,172,207	—	(1,069,312	)	11,102,895	8,134,473	—	(198,991	)	7,935,482
Class M	4,766,784	—	(97,817	)	4,668,967	3,208,465	—	—		3,208,465
Class AA	6,086,052	12,108	(5,084,047	)	1,014,113	765,206	—	(11,880	)	753,326
Class II	5,532,507	4,912,626	—		10,445,133	8,563,074	—	(197,016	)	8,366,058
Class MM	28,831	—	—		28,831	28,831	—	—		28,831
Total Members’ Units	113,650,916	4,924,734	(19,640,685	)	98,934,965	68,166,663	—	(5,826,395	)	62,340,268

# Includes transfer of 5,058,851 units out of Class AA for 4,912,626 units of Class II, on March 20, 2017.

Amounts have been rounded to the nearest whole unit.

See notes to financial statements.

3

MAN FRM MANAGED FUTURES STRATEGIES LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2017 AND 2018

(unaudited) (in Dollars)

	Members’ Capital December 31, 2016		Subscriptions#		Redemptions#			Net Income (Loss)			Members’ Capital March 31, 2017		Members’ Capital December 31, 2017		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital March 31, 2018
Class A	$	16,866,886	$	—	$	(991,672	)	$	56,335		$	15,931,549	$	10,356,235	$	—	$	(841,109	)	$	(432,236	)	$	9,082,890
Class C	64,874,067		—		(11,425,372		)	92,435			53,541,130		38,043,797		—		(4,973,403		)	(1,342,700		)	31,727,694
Class D	3,981,497		—		(1,219,037		)	39,611			2,802,071		1,106,170		—		—			(45,599		)	1,060,571
Class I	13,714,872		—		(1,215,151		)	63,210			12,562,931		9,652,993		—		(252,081		)	(396,699		)	9,004,213
Class M	4,726,041		—		(98,819		)	34,036			4,661,258		3,387,349		—		—			(139,633		)	3,247,716
Class AA	5,558,184		11,000		(4,697,275		)	54,818			926,727		725,670		—		(10,767		)	(34,159		)	680,744
Class II	5,190,493		4,673,872		—			(29,346		)	9,835,019		8,440,182		—		(182,280		)	(378,105		)	7,879,797
Class MM	26,254		—		—			144			26,398		27,790		—		—			(1,185		)	26,605
Total Members’ Capital	$	114,938,294	$	4,684,872	$	(19,647,326	)	$	311,243		$	100,287,083	$	71,740,186	$	—	$	(6,259,640	)	$	(2,770,316	)	$	62,710,230

# Includes transfers in to Class II, from Class AA, of $4,673,872 on March 20, 2017.

Amounts have been rounded to the nearest dollar.

See notes to financial statements.

4

MAN FRM MANAGED FUTURES STRATEGIES LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2018 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class AA			Class II			Class MM
Per Unit Operating Performance
Net asset value, beginning of period	$	1.0894		$	1.0231		$	1.4292		$	1.1867		$	1.0558		$	0.9483		$	0.9856		$	0.9639
Net realized and net change in unrealized trading profit (loss)	(0.0437		)	(0.0409		)	(0.0575		)	(0.0476		)	(0.0426		)	(0.0379		)	(0.0395		)	(0.0387		)
Net investment loss (b)	(0.0051		)	(0.0073		)	(0.0014		)	(0.0044		)	(0.0010		)	(0.0067		)	(0.0042		)	(0.0024		)
Net asset value, end of period	$	1.0406		$	0.9749		$	1.3703		$	1.1347		$	1.0122		$	0.9037		$	0.9419		$	0.9228
Total Return: (a)(c)
Total return	(4.48		)%	(4.71		)%	(4.12		)%	(4.38		)%	(4.13		)%	(4.70		)%	(4.43		)%	(4.26		)%
Ratios to Average Members’ Capital: (b)(c)
Expenses	0.47		%	0.71		%	0.10		%	0.37		%	0.10		%	0.71		%	0.43		%	0.25		%
Net investment income (loss)	(0.47		)%	(0.71		)%	(0.10		)%	(0.37		)%	(0.10		)%	(0.71		)%	(0.43		)%	(0.25		)%

(a)The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b)The amounts do not reflect the proportionate share of expense from the Affiliated Funds.

(c)The ratios and total return are not annualized.

See notes to financial statements.

5

MAN FRM MANAGED FUTURES STRATEGIES LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2017 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class AA			Class II			Class MM
Per Unit Operating Performance
Net asset value, beginning of period	$	1.0385		$	0.9851		$	1.3421		$	1.1267		$	0.9915		$	0.9133		$	0.9382		$	0.9106
Net realized and net change in unrealized trading profit (loss)	0.0093			0.0087			0.0119			0.0100			0.0087			0.0079			0.0084			0.0081
Net investment loss (b)	(0.0059		)	(0.0080		)	(0.0025		)	(0.0052		)	(0.0019		)	(0.0074		)	(0.0050		)	(0.0031		)
Net asset value, end of period	$	1.0419		$	0.9858		$	1.3515		$	1.1315		$	0.9983		$	0.9138		$	0.9416		$	0.9156
Total Return: (a)(c)
Total return	0.33		%	0.07		%	0.70		%	0.43		%	0.69		%	0.05		%	0.35		%	0.55		%
Ratios to Average Members’ Capital: (b)(c)
Expenses	0.56		%	0.81		%	0.19		%	0.46		%	0.19		%	0.81		%	0.52		%	0.34		%
Net investment income (loss)	(0.56		)%	(0.81		)%	(0.19		)%	(0.46		)%	(0.19		)%	(0.81		)%	(0.52		)%	(0.34		)%

(a)The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b)The amounts do not reflect the proportionate share of expense from the Affiliated Funds.

(c)The ratios and total return are not annualized.

See notes to financial statements.

6

MAN FRM MANAGED FUTURES STRATEGIES LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1.             ORGANIZATION

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect wholly-owned subsidiary of Man Group plc (“Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance.

Under the direction of the Manager, the Fund allocates its capital among a group of underlying related party funds (each an “Affiliated Fund”, and collectively the “Affiliated Funds”) which, in turn, allocate capital to related party master funds (each a “Master Fund” and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of related party commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).

The Manager invests the Fund’s assets in Affiliated Funds that are on the FRM platform. The Affiliated Funds invested in by the Fund are established as Delaware limited liability companies, each of which engages the Manager as the risk manager and each of which further invests in a Master Fund, established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 3). As of March 31, 2018 and December 31, 2017, there are five Affiliated Funds (see Note 3), held by the Fund. The Manager serves as CPO of the Affiliated Funds and Master Funds.

Unless the context requires otherwise, references to the Fund in these financial statements notes, also refer to the Affiliated Funds and the Master Funds in which the Affiliated Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Affiliated Funds refer to the investment activities of the Master Funds through which the Affiliated Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

In the opinion of management, these unaudited interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial condition of the Fund as of March 31, 2018 and December 31, 2017 and the results of its operations for the three month periods ended March 31, 2018 and 2017. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial

7

statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2017.

2.SIGNIFICANT ACCOUNTING POLICIES

The Fund prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). These financial statements have applied the guidance as set forth in the Financial Accounting Standards Board (“FASB”) ASC 946, Financial Services - Investment Companies. The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

Cash and Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of March 31, 2018 and December 31, 2017, the Fund does not hold any cash equivalents. Cash is held at a nationally recognized financial institution.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

Statement of Cash Flows

In accordance with FASB ASC 230, Statement of Cash Flows, the Fund is exempt from the requirement to provide a statement of cash flows as all required conditions have been met.

Revenue Recognition

The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Affiliated Funds) is reflected in the Statements of Operations as change in unrealized from the investments in the Affiliated Funds. In addition, when the Fund redeems or partially redeems its interest in the Affiliated Funds, it records realized (net profit or loss) under Trading profit (loss), net for such interests in the Statements of Operations of the Fund.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar. The Master Funds may invest in financial instruments denominated in currencies other than U.S. dollar. However, the Master Funds value their financial instruments in U.S. dollars. The Master Funds may or may not seek to hedge their foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, future contracts and cross-currency swaps. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition of the Fund and each of the Affiliated Funds and Master Funds. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statement of Operations of the Master Funds.

8

Operating Expenses and Selling Commissions

The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees and expenses; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values.

During the periods ended March 31, 2018 and 2017, the Fund incurred $62,147 and $22,438, respectively, of costs for reports to shareholders, which is currently included in other expenses on the Statement of Operations.

Class A Units are subject to upfront sales commissions paid to Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class AA, Class II and Class MM Units are subject to upfront sales commissions of up to 3.0% of an investor’s net subscription amount, payable to MLPF&S. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value (“NAV”) of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund or the Affiliated Funds. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The Manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2015.

Distributions

Each investor is entitled to receive, equally per unit, any distributions which may be made by the Fund. No such distributions have been declared for the periods ended March 31, 2018 and 2017.

Subscriptions

The Fund generally offers units (“Units”) for investment each Monday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (each a “Subscription Day”). Investors must submit their executed

9

subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested.

Each member shares in the profits and losses of the Fund in proportion to the number of Units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as noted above in respect to sales commissions and in Notes 6 below in respect of fees, the classes of units are identical.

Redemptions

Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date.

3.INVESTMENTS IN AFFILIATED FUNDS

As of March 31, 2018, the five Underlying Funds in which the Fund is invested in, and the respective Master Funds in which the Underlying Funds are invested in are: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited, (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) Century CAT MAC Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited, (iv) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, and (v) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited. As used herein, Trading Advisor in respect of an Affiliated Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Affiliated Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Affiliated Funds. In the process of rebalancing, the Fund’s allocation to any individual Affiliated Fund may range between 3% - 25% of the Fund’s NAV.

During the period, the Fund had purchases of $3,710,000 and sales of $7,450,000 of investments in Affiliated Funds. The investment transactions were accounted for on trade date. The investments in the Affiliated Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, FRM utilized the NAV of the Affiliated Funds which approximates fair value. The fair value was net of all fees relating to the Affiliated Funds, paid or accrued. Additionally, FRM monitored the performance of the Affiliated Funds. The fair value of the Fund’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented on the Statements of Financial Condition.

10

The details of investments in Affiliated Funds at and for the period ended March 31, 2018 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost		Redemptions Permitted
Blakeney	16.15	%	$	10,127,797	$	(760,996	)	$	9,805,531	Weekly
Campbell	10.43	%	6,537,973		(454,391		)	6,647,939		Weekly
Century CAT	12.41	%	7,785,397		(359,148		)	7,178,429		Weekly
Quantica MF	13.07	%	8,195,792		(74,323		)	7,349,098		Weekly
Silver	8.27	%	5,186,772		(744,107		)	6,236,714		Weekly
	60.33	%	$	37,833,731	$	(2,392,965	)	$	37,217,711

The details of investments in Affiliated Funds at and for the year ended December 31, 2017 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost		Management Fees		Performance Fees		Redemptions Permitted
Blakeney	17.67	%	$	12,668,793	$	1,809,898		$	11,426,766	$	241,153	$	138,258	Weekly
Campbell	10.11	%	7,252,364		1,101,081			6,970,719		155,918		26,590		Weekly
CCP Core Macro *	—		—		388,541			—		92,403		—		Weekly
Century CAT	12.06	%	8,654,545		1,000,853			7,604,846		76,655		—		Weekly
Quantica MF	12.35	%	8,860,115		1,960,321			7,735,745		102,447		91,355		Weekly
Silver	9.10	%	6,530,879		(906,878		)	7,404,913		83,277		—		Weekly
	61.29	%	$	43,966,696	$	5,353,816		$	41,142,989	$	751,853	$	256,203

* Affiliated Fund was redeemed in July 2017 and the Fund received proceeds of $10,741,987.

The details of investments in Affiliated Funds at and for the period ended March 31, 2017 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost		Redemptions Permitted
Blakeney	10.51	%	$	10,543,313	$	254,418		$	10,875,100	Weekly
Campbell	9.18	%	9,210,126		(81,157		)	11,164,418		Weekly
CCP Core Macro	11.20	%	11,230,317		276,871			11,932,997		Weekly
Century CAT	11.89	%	11,925,544		86,852			13,983,364		Weekly
Quantica MF	8.84	%	8,861,055		766,261			8,307,664		Weekly
Silver	8.99	%	9,018,231		(269,526		)	10,657,504		Weekly
	60.61	%	$	60,788,586	$	1,033,719		$	66,921,047

As of March 31, 2018, December 31, 2017 and March 31, 2017, there are no investments held by the Affiliated Funds and the Affiliated Funds’ Master Funds that in the aggregate exceed 5% of the Fund’s members’ capital.

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The following is summarized financial information as required by Regulation S-X, for each of the FuturesAccess Portfolio Funds and the Affiliated Funds:

	As of March 31, 2018
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	10,212,853	$	75,064	$	10,137,789
Campbell	6,606,514		60,513		6,546,001
Century CAT	8,119,211		325,142		7,794,069
Quantica MF	8,269,375		65,002		8,204,373
Silver	5,250,602		58,563		5,192,039
Total	$	38,458,555	$	584,284	$	37,874,271
	As of December 31, 2017
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	12,752,469	$	72,892	$	12,679,577
Campbell	7,316,145		55,004		7,261,141
Century CAT	8,916,033		250,122		8,665,911
Quantica MF	8,928,604		59,738		8,868,866
Silver	6,591,357		54,210		6,537,147
Total	$	44,504,608	$	491,966	$	44,012,642

	For the three months ended March 31, 2018
	Income (Loss)			Commissions		Expenses			Net Income (Loss)
Blakeney	$	(714,993	)	$	—	$	(46,796	)	$	(761,789	)
Campbell	(422,304		)	—		(32,836		)	(455,140		)
Century CAT	(326,496		)	—		(35,343		)	(361,839		)
Quantica MF	(37,426		)	—		(37,067		)	(74,493		)
Silver	(714,554		)	—		(30,555		)	(745,109		)
Total	$	(2,215,773	)	$	—	$	(182,597	)	$	(2,398,370	)

	For the three months ended March 31, 2017
	Income (Loss)			Commissions		Expenses			Net Income (Loss)
Blakeney	$	311,240		$	—	$	(56,633	)	$	254,607
Campbell	(32,761		)	—		(48,467		)	(81,228		)
CCP Core Macro	389,693			—		(112,610		)	277,083
Century CAT##	138,220			—		(51,308		)	86,912
Quantica MF	813,552			—		(46,722		)	766,830
Silver	(222,015		)	—		(47,720		)	(269,735		)
Total	$	1,397,929		$	—	$	(363,460	)	$	1,034,469

4.FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price).

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The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. FRM’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

FASB ASC 820 - Fair Value Measurement and Disclosures no longer requires investments for which fair value is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. As of March 31, 2018 and December 31, 2017, all of the investments were fair valued using the NAV as practical expedient of the Affiliated Funds.

5.MARKET, CREDIT AND CONCENTRATION RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes certain of those risks.

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or

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commodities underlying such derivative instruments frequently result in changes in the Master Funds’ financial assets (liabilities) at fair value through profit or loss on such derivative instruments as reflected in the Statements of Financial Condition of the Master Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Master Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

The credit risk associated with these instruments from counterparty nonperformance is the derivatives, at fair value, if any, included in the Master Funds’ Statements of Financial Condition.

As of March 31, 2018 and December 31, 2017, the Affiliated Funds held by the Fund do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Affiliated Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk.

Credit risk is the possibility that a loss may occur from the failure of a counterparty to make payments according to the terms of a contract. The Fund’s exposure to credit risk is contingent upon the Affiliated Funds and the brokers and counterparties which the Affiliated Funds transact business with as well as amounts recorded as assets in the Statements of Financial Condition.

Cash held as deposits may exceed the amount of federal insurance provided on such deposits and are therefore subject to credit risk.

Concentration Risk

The Fund’s investments in the Affiliated Funds are subject to the market and credit risk of the Affiliated Funds. Because the majority of the Fund’s capital is invested in the Affiliated Funds, any changes in the market conditions that would adversely affect the Affiliated Funds could significantly impact the solvency of the Fund.

Currency Risk

The Fund’s investments in the Affiliated Funds are subject to currency risk to the extent that the fair value or future cash flow of a financial instrument held by any Affiliated Fund will fluctuate because of changes in foreign exchange rates.

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Liquidity Risk

Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Units are the main liquidity risk for the Fund. The Units are redeemable as outlined in Note 2. The exposure to liquidity risk through redemption requests for Units is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the Affiliated Funds as agreed by the Investment Manager.

Indemnifications

The Fund enters into administrative and other professional service contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is not known; however, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

6.RELATED PARTY TRANSACTIONS

Effective as of May 1, 2015, The Bank of New York Mellon, a corporation organized under the laws of the State of New York, through its Alternative Investment Services division (“AIS”), serves as the administrator, registrar and transfer agent (“Transfer Agent”) for the Fund pursuant to an Administrative Services Agreement. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of units. The Transfer Agent is not a related party of the Fund.

The Manager receives monthly management fees (“Management Fees”) based on the aggregate NAV of the Class of Units. The respective Management Fee rates are: Class A Units 1.5% per annum; Class C Units 2.5% per annum, Class I Units 1.1% per annum, Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum. Class D Units and Class M Units are not charged Management Fees.

7.WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the periods ended March 31, 2018 and 2017 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year.

8.SUBSEQUENT EVENTS

For the period April 1, 2018 to May 14, 2018, the Fund has recorded redemptions of approximately $1,850,422.

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no additional subsequent events that require adjustment to, or disclosure in, the financial statements.

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Item 2:  Management’s Discussion and Analysis and Results of Operations

Unless the context requires otherwise, references in this Form 10-Q to the Fund also refer to the Affiliated Funds and the Master Funds in which the Affiliated Funds invest.  Reference to the investment process, strategies, objectives and activities of the Fund and the Affiliated Funds refer to the investment activities of the Master Funds through which the Affiliated Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities.

NET ASSET VALUE PER UNIT

The NAV of the Fund is equivalent to its total assets less its total liabilities as of any valuation day.  Appreciation or depreciation in the NAV of the Fund is based upon appreciation or depreciation in the value of investments in Affiliated Funds that are held by the Fund, with appropriate adjustments for assets and liabilities of the Fund. The different Classes of Units will have a different NAV due to the different Management Fees charged to these Classes.  The NAV is calculated on the last calendar day of each month and/or last business day of each week as the Manager may determine in its sole discretion.

FRM believes that the NAV used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund.

Liquidity and Capital Resources

The Fund and the Affiliated Funds through their related Master Funds borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s and Affiliated Funds’ U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

An Affiliated Fund through its Master Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Affiliated Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

As a commodity pool, the Fund maintains a large percentage of its assets in cash directly and indirectly through the Affiliated Master Funds, which they must have available to post initial and variation margin on futures contracts.  This cash is also used to fund redemptions.  While the Affiliated Funds have the ability to fund redemption proceeds from liquidating the Master Funds’ positions, as a practical matter positions are not liquidated to fund redemptions.  In the event that positions were liquidated to fund redemptions, FRM has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine, in its discretion which investments should be liquidated.

For the three months ended March 31, 2018 the Fund’s capital decreased 12.59% from $71,740,186 to $62,710,230.  This decrease was attributable to the net loss from operations of $2,770,316 coupled with the redemption of 5,826,395 Units resulting in an outflow of $6,259,640. Future redemptions could impact the amount of funds available for investment in the Affiliated Funds in subsequent months.

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Critical Accounting Policies

Statement of Cash Flows

The Fund is not required to provide a Statement of Cash Flows.

Investments

Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding period is reported in the respective Statements of Operations.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  For more information on the Fund’s treatment of fair value, see Financial Statements Note 4, Fair Value of Investments.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant” and each Master Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million.  If the Master Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Master Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.  “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market.  Moreover, the creditworthiness of the counterparties with whom the Master Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of the currency forward counterparties with which the Master Fund would otherwise engage for its currency forward transactions.

Results of Operations

January 1, 2018 to March 31, 2018

January 1, 2018 to March 31, 2018

The following table is an allocation by sector as a percentage of net unrealized profit and loss on open positions for the Fund as a whole taking into account the positions at the Affiliated Master Fund level and the allocation to each Master Fund as of March 31, 2018:

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March 31, 2018

Commodity Industry Sector	Net Unrealized Profit (Loss) on Open Positions			Percent of Net Unrealized Profit (Loss) on Open Positions
Agricultural Commodities	$	266,353		86.32	%
Energy	517,385			167.68	%
Interest Rates	80,076			25.95	%
Metals	(11,754		)	(3.81	)%
Stock Indices	(434,559		)	(140.84	)%
Currencies - Future	(39,879		)	(12.92	)%
Currencies - Forward	(69,069		)	(22.38	)%
Total	$	308,553		100	%

The Fund experienced a net trading loss for the first quarter ended March 31, 2018 of $2,392,965.

References herein to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Funds generally.

Equity was the main contributor in January and did well with long positions in the US and Asia ex Japan, while short positions in the UK detracted. Moving into February, equities were the largest source of losses within the portfolio, representing approximately half of the month’s return, and also across all managers. This continued through the quarter end when equities were the predominant source of losses in the portfolio for a second consecutive month. However, the approximately 75% lower net positioning managers carried through March, compared to early February, helped reduce losses as equity markets continued to head lower.

After positively contributing to the portfolio at the beginning of the quarter, commodities were a notable source of losses for the portfolio by mid-quarter with declines in both crude oil and fuels during the first half of the month hurting managers’ long positions, which had been increasing throughout January. The partial recovery in these markets during the second half of February allowed managers to recoup some of the losses that continued in March, becoming the largest source of gains for the month. Energy markets and the rally in both crude oil and crude products was positive, while natural gas was a detractor.

Foreign exchange started the quarter on a positive note, dipping into negative territory in February. It was the portfolio’s aggregate short US dollar positioning that detracted mid-quarter as the greenback strengthened against most counterparts, reversing a recent trend, but then posted positive performance at quarter-end. In addition, long Mexican peso, sterling, euro and Singapore dollar were also notable contributors in March, while long Australian dollar and the euro, specifically against sterling, were the larger sources of losses.

Fixed income was a contributing asset class in the beginning of the quarter.  The aggregate short rate exposure, dominated by short positioning in US Treasuries, benefited the portfolio during January and February. However in March, the sharp rally in sovereign bonds on both sides of the Atlantic meant the short US rate position was the top detractor.

Overall portfolio risk was lower over the course of March, continuing to fall from early February highs. The portfolio’s more neutral positioning in fixed income subtracting from total risk while increased directional positioning within commodities was additive. Commodities remain the largest source of risk at the end of Q1 while the remaining three asset classes are approximately equal.

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January 1, 2017 to March 31, 2017

January 1, 2017 to March 31, 2017

The following table is an allocation by sector as a percentage of net unrealized profit and loss on open positions for the Fund as a whole taking into account the positions at the Affiliated Master Fund level and the allocation to each Master Fund as of March 31, 2017:

March 31, 2017

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions
Agricultural Commodities	$	376,765		327.23	%
Energy	(379,974		)	(330.01	)%
Interest Rates	85,172			73.97	%
Metals	95,261			82.74	%
Stock Indices	692,426			601.38	%
Currencies - Future	(313,168		)	(271.99	)%
Currencies - Forward	(441,343		)	(383.31	)%
Total	$	115,140		100	%

The Fund experienced a net trading profit for the first quarter ended March 31, 2017 of $1,033,719.

Returns were varied with yields negative at start and end of the quarter, while mid-quarter was brighter. Positive returns were generated with gains from equity positions, and smaller gains from FX and fixed income offsetting losses from commodities.

References herein to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Funds generally.

The beginning of the quarter was positive for risk assets overall amid rising bond yields, a continued pickup in inflation expectations and resilient fundamental macro data. A notable driver was a retracement in the dollar, which sold off against most other currencies as the Federal Open Market Committee minutes and members of the incoming Administration highlighted concerns about the implications of a stronger dollar for the U.S. economy. Mid-quarter saw a continuation of risk seeking behavior across U.S., European and Asian markets. The U.S. Dollar rallied against the Euro as investors focused on yield differentials and the divergence in growth prospects.  Quarter-end provided a well signaled rate increase from the Federal Reserve (Fed) mid-March.  In addition, the U.S. Dollar weakened against most major currencies which led to a rally in emerging market debt, equities and FX.

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Equities contributed positively through the quarter. Returns generated in North America and Asia ex Japan more than offset losses in Europe amid a fair amount of choppiness at the start of Q1. Equities were the main source of gains mid-quarter, with long positions across regions contributing, and positive performance at quarter-end came from long positions in Europe responsible for the majority of gains.

Performance for the quarter was mixed in FX.  Trading Advisors entered the quarter net long USD and exhibited losses as the  dollar sold off meaningfully against most other currencies. By mid-quarter Trading Advisors had reduced exposure and were modestly net long USD. Contributions came from long positions in CAD and AUD and shorts in Euro and GBP. Overall though, contributions were minor. FX was the biggest detractor at quarter-end with a net long USD position and shorts in CAD, GBP and EUR detracting from performance

In fixed income, losses were driven by a selloff in fixed income in Europe, a meaningful snap back in U.S. rates in the earlier part of the quarter and broad-based market choppiness. The sector was a smaller contributor mid-quarter as gains from long positions in Europe, were offset by losses in the back end of the U.S. However, the portfolio held a long bias to fixed income in the first half of March which then moved towards a short position in the latter half of the month before turning long again at the end of the month ultimately detracting from performance.

Commodities detracted throughout the quarter. Losses in energy, precious metals and grains more than offset gains in industrial metals at the start of the quarter, while long positions to sectors across the board detracted mid-quarter. Only positions in metals contributed positively. Short positions in energies saw the largest losses followed by long metals positions at quarter-end, despite short positions in softs contributing positively to performance.

In terms of positioning, the biggest area of risk is in FX with net long positions in ZAR, JPY and AUD and net short positions in EUR and GBP among the top risk-weighted positions in the portfolio. Equities is the second largest area of risk where Trading Advisors are net long in North America and Europe.  The portfolio is close to flat in both interest rates and commodities where the net long exposure in commodities at the beginning of March has gradually tapered off at quarter-end.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Affiliated Funds are speculative commodity pools. The market sensitive instruments held by the Affiliated Funds are acquired for speculative trading purposes and all or substantially all of the Affiliated Funds’ assets are subject to the risk of trading loss.  Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Affiliated Funds’ main line of business.

Market movements result in frequent changes in the fair market value of the Affiliated Funds’ open positions and, consequently, in their earnings and cash flows. The Affiliated Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Affiliated Funds’ open positions and the liquidity of the markets in which they trade.

The Affiliated Funds, under the direction of their respective Trading Advisors rapidly acquire and liquidate both long and short positions in a wide range of different markets.  Consequently, it is not

20

possible to predict how a possible future market scenario will affect performance and the Fund’s and the Affiliated Funds’ past performance is not necessarily indicative of future results.

Value at Risk (“VaR”) is a measure of the maximum amount which the Fund the Affiliated Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s and the Affiliated Funds’ speculative trading and the recurrence in the markets traded by the Fund, and the Affiliated Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Fund’s and the Affiliated Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Fund’s and the Affiliated Funds’ losses in any market sector will be limited to VaR or by the Fund’s and the Affiliated Funds’ attempts to manage market risk.

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by the Affiliated Funds is quantified below in terms of VaR. Due to the Affiliated Funds’ fair value accounting, any loss in the fair value of the Affiliated Funds’ open positions is directly reflected in the Affiliated Funds’ earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

VaR was calculated for each Affiliated Fund by first calculating VaR with respect to each Master Fund and adjusting based on the Affiliated Fund’s pro-rata ownership of the Master Fund.  VaR of the Master Funds is based on a one day 99% Monte Carlo model VaR utilizing 1,000 simulations.  The sector breakdown of VaR for each Master Fund is based on an incremental VaR calculated for each position that is aggregated across each of the sectors presented below.

There are various ways of calculating VaR, and each methodology will not yield the same result.  Differences between VaR methodologies could be material as the underlying assumptions will vary.

The Affiliated Funds’ Trading Value at Risk in Different Market Sectors

The following information with respect to VaR is set forth in respect of the Affiliated Funds separately, rather than for the Fund.

The following tables indicate the average, highest, and lowest trading VaR associated with the Affiliated Funds’ open positions by market category for the three month periods ended March 31, 2018 and March 31, 2017. (For initial Affiliated Fund investments made during the period, VaR is calculated starting from the commencement of the holding.)

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Blakeney (1)

	March 31, 2018
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	17,926	0.16	%	$	18,801	$	17,185
Energy	91,691		0.80	%	96,699		88,906
Interest Rates	24,267		0.21	%	35,276		13,105
Metals	36,000		0.32	%	66,684		4,565
Stock Indices	80,262		0.70	%	155,366		26,503
Currencies	52,415		0.46	%	73,677		21,853
TOTAL	$	302,561	2.65	%	$	446,503	$	172,117

(1) Average capitalization of Blakeney is $11,426,654.

Campbell (2)

	March 31, 2018
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	34,370	0.50	%	$	44,909	$	27,260
Energy	37,738		0.55	%	48,456		25,688
Interest Rates	43,176		0.63	%	76,413		11,731
Metals	18,705		0.27	%	43,045		4,179
Stock Indices	43,079		0.63	%	95,468		11,109
Currencies	35,341		0.51	%	53,209		22,918
TOTAL	$	212,409	3.09	%	$	361,500	$	102,885

(2) Average capitalization of Campbell is $6,863,041.

Century CAT (3)

	March 31, 2018
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	4,431	0.05	%	$	6,386	$	2,953
Energy	26,812		0.33	%	36,629		9,911
Interest Rates	28,891		0.36	%	46,630		335
Metals	9,161		0.11	%	13,497		3,773
Stock Indices	77,378		0.95	%	133,487		29,315
Currencies	93,966		1.16	%	104,156		80,411
TOTAL	$	240,639	2.96	%	$	340,784	$	126,697

(3) Average capitalization of Century CAT is $8,120,900.

Quantica MF (4)

	March 31, 2018
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	3,133	0.04	%	$	4,158	$	1,902
Energy	51,452		0.59	%	56,273		47,424
Interest Rates	67,124		0.77	%	89,764		23,057
Metals	30,137		0.35	%	33,848		24,550
Stock Indices	79,130		0.91	%	141,590		30,061
Currencies	25,351		0.29	%	41,625		15,304
TOTAL	$	256,325	2.94	%	$	367,258	$	142,298

(4) Average capitalization of Quantica MF is $8,712,879.

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Silver (5)

	March 31, 2018
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	6,877	0.11	%	$	12,377	$	3,842
Energy	92,255		1.51	%	126,121		64,412
Interest Rates	21,722		0.35	%	44,396		6,599
Metals	21,096		0.34	%	41,714		6,153
Stock Indices	126,619		2.07	%	187,233		90,188
Currencies	32,342		0.53	%	63,013		11,235
TOTAL	$	300,911	4.91	%	$	474,854	$	182,429

(5) Average capitalization of Silver is $6,124,807.

Blakeney (1)

	March 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	6,223	0.05	%	$	11,667	$	3,354
Energy	965		0.01	%	1,755		90
Interest Rates	42,112		0.34	%	66,604		29,468
Metals	22,072		0.18	%	39,142		11,765
Stock Indices	166,407		1.35	%	206,630		134,286
Currencies	81,990		0.67	%	118,516		57,732
TOTAL	$	319,769	2.60	%	$	444,314	$	236,695

(1) Average capitalization of Blakeney is $12,290,187.

Campbell (2)

	March 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	15,045	0.15	%	$	31,737	$	2,351
Energy	8,846		0.09	%	11,589		5,255
Interest Rates	21,551		0.21	%	23,151		20,325
Metals	51,991		0.51	%	75,736		21,755
Stock Indices	193,422		1.89	%	243,353		154,793
Currencies	75,816		0.74	%	115,623		44,172
TOTAL	$	366,671	3.59	%	$	501,189	$	248,651

(2) Average capitalization of Campbell is $10,226,610.

Century CAT (3)

	March 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	3,651	0.03	%	$	7,700	$	123
Energy	2,345		0.02	%	6,024		333
Interest Rates	58,992		0.44	%	68,699		48,688
Metals	4,190		0.03	%	9,321		740
Stock Indices	182,518		1.36	%	245,707		149,000
Currencies	131,861		0.98	%	175,364		99,268
TOTAL	$	383,557	2.86	%	$	512,815	$	298,152

(3) Average capitalization of Century CAT is $13,412,891.

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CCP Core Macro (4)

	March 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	2,504	0.02	%	$	6,051	$	333
Energy	4,940		0.04	%	7,971		1,010
Interest Rates	45,675		0.41	%	63,644		12,625
Metals	34,766		0.31	%	40,992		30,327
Stock Indices	121,620		1.09	%	164,941		86,553
Currencies	7,735		0.07	%	10,487		5,145
TOTAL	$	217,240	1.94	%	$	294,086	$	135,993

(4) Average capitalization of CCP Core Macro is $11,190,306.

Quantica MF (5)

	March 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	4,419	0.05	%	$	8,336	$	252
Energy	3,413		0.04	%	6,427		1,691
Interest Rates	23,619		0.24	%	28,857		15,146
Metals	5,981		0.06	%	7,262		3,678
Stock Indices	201,940		2.09	%	213,884		182,067
Currencies	70,920		0.73	%	92,093		50,098
TOTAL	$	310,292	3.21	%	$	356,859	$	252,932

(5) Average capitalization of Quantica MF is $9,657,465.

Silver (6)

	March 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	10,036	0.10	%	$	12,482	$	5,818
Energy	7,059		0.07	%	15,657		478
Interest Rates	10,138		0.11	%	13,809		5,995
Metals	27,437		0.29	%	42,797		8,866
Stock Indices	193,607		2.01	%	216,021		180,604
Currencies	97,171		1.01	%	127,579		61,594
TOTAL	$	345,448	3.59	%	$	428,345	$	263,355

(6) Average capitalization of Silver is $9,611,796.

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

The face value of the market sector instruments held by the Fund and the Affiliated Funds are typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund and the Affiliated Funds.  The magnitude of the Fund’s and the Affiliated Funds’ open positions creates a “risk of ruin” not typically found in most other investment vehicles.  Because of the size of their positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund and the Affiliated Funds to incur severe losses over a short period of time.  The foregoing VaR table — as well as the past performance of the Fund and the Affiliated Funds — gives no indication of this “risk of ruin.”

Non-Trading Risk

The Affiliated Funds have non-trading market risk on foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are generally immaterial.

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These Affiliated Funds also have non-trading market risk on their assets which are held in cash at the clearing broker. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Each Affiliated Fund (inclusive of its related Master Fund) and its Trading Advisor are monitored by FRM’s investment team.  This coverage is intended to ensure that each Affiliated Fund and its Trading Advisor are monitored by individuals who have an in-depth understanding of the Affiliated Fund and its Trading Advisor, as well as knowledge of the market environment affecting that particular strategy.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

FRM’s President and Principal Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of the end of the quarter which ended March 31, 2018, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended March 31, 2018 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

25

PART II — OTHER INFORMATION

Item 1.Legal Proceedings

None.

Item 1A.Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2017, filed with the Securities and Exchange Commission on March 29, 2018.

Item 2.Unregistered Sales of Equity Securities and Use of Proceeds

(a)Not applicable.

(b)Not applicable

(c)Not applicable.

Item 3.Defaults Upon Senior Securities

None.

Item 4.Mine Safety Disclosures

Not applicable.

Item 5.Other Information

(a)None.

(b)Not applicable

None.

Item 6.Exhibits

31.01 and

31.02Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02:Are filed herewith.

32.01 and

32.02Section 1350 Certifications

Exhibit 32.01

and 32.02Are filed herewith.

Exhibit 101   Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three month period ended March 31, 2018 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of  Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

26

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	MAN FRM MANAGED FUTURES STRATEGIES LLC
		By:	FRM INVESTMENT
			MANAGEMENT (USA) LLC
			(Manager)
Date: May 14, 2018		By:	/s/ Michelle McCloskey
			Michelle McCloskey
			President
			(Principal Executive Officer)
Date: May 14, 2018		By:	/s/ Colin Bettison
			Colin Bettison
			Principal Financial Officer

27