UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
(Mark One)
| x |
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For
the fiscal year ended December 31, 2012
or
| ¨ |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For
the transition period from _______ to
Commission file number: 000-52192
ALPHAMETRIX MANAGED FUTURES LLC
(Exact name of registrant as specified in its
charter)
| Delaware |
03-0607985 |
|
(State or other jurisdiction
of incorporation or organization) |
(I.R.S. Employer
Identification No.) |
c/o ALPHAMETRIX, LLC
181 West Madison
34th Floor
Chicago, Illinois 60602
(Address of principal executive offices)
(312)267-8400
(Registrant’s telephone number, including
area code)
Securities registered pursuant to Section 12(b)
of the Act: None
Securities registered pursuant to Section 12(g)
of the Act: Units of Limited Liability Company Interest
Indicate by check mark if the registrant is
a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
Yes o No
ý
Indicate by check mark if the registrant is
not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
Yes o No
ý
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 ý
No o
Indicate by check mark whether the registrant has submitted electronically
and posted on its corporate Web site, 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 ý
No o
Indicate by check mark if the disclosure of
delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not
be contained, to the best of the registrant’s knowledge, in definitive proxy or information statements incorporated by reference
in Part III of this Form 10-K or any amendment to this Form 10-K.
Xo
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 o |
(Do not check if a smaller reporting company) |
Smaller reporting company ý |
Indicate by check mark whether the registrant is a shell company
(as defined in Rule 12b-2 of the Act).
Yes o No
ý
The units of limited liability company interest
of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding
equity that is readily determinable.
As of December 31, 2012 and 2011, units of
limited liability company interest of the registrant with an aggregate net asset value of $75,382,045 and $80,083,121, respectively
were outstanding and held by non-affiliates; units of limited liability company interest of the registrant with an aggregate net
asset value of $9,210 and $10,547, respectively, were outstanding and held by AlphaMetrix, LLC, the sponsor of the registrant.
DOCUMENTS INCORPORATED BY REFERENCE
The
Financial Statements and Report of Independent Registered Public Accounting
Firm for the registrant’s master fund (the “Master Fund”) for the years ended December 31,
2012 and December 31, 2011 are incorporated by reference and filed as Exhibit 13.02 herewith.
ALPHAMETRIX FUTURES LLC
ANNUAL REPORT FOR 2012 ON FORM 10-K
Table of Contents
PART I
| (a) | | General Development of Business |
As of November 1, 2008, AlphaMetrix, LLC (the
“Sponsor”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform”). The Sponsor is registered
with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor,
with the Securities and Exchange Commission (“SEC”) as a Registered Investment Advisor (“RIA”) and Registered
Transfer Agent (“RTA”), and is a member of the National Futures Association (“NFA”). The Platform was formed
on July 25, 2006 as a Delaware series limited liability company pursuant to the Delaware Limited Liability Company Act. AlphaMetrix
Managed Futures LLC (Aspect Series) (the “Aspect Series”) is a “segregated series” of the Platform. On
November 1, 2008, the Sponsor was assigned sponsorship in the Platform and managerial interest in the Aspect Series from the former
sponsor of the Platform, UBS Managed Fund Services, Inc. (“UBS MFS” or the “former sponsor”) and the name
of the Platform and Aspect Series were changed from UBS Managed Futures LLC and UBS Managed Futures LLC (Aspect Series) to AlphaMetrix
Managed Futures LLC and AlphaMetrix Managed Futures LLC (Aspect Series), respectively. The Platform and Aspect Series are governed
in accordance with the Confidential Offering Memorandum. All capitalized terms used herein are defined in the Confidential Offering
Memorandum.
The Aspect Series invests a portion of its
assets in AlphaMetrix Aspect Fund – MT0001 (the “Master Fund”) which is advised by Aspect Capital Limited (the
“Trading Advisor”). Prior to December 31, 2010 the Aspect Series and the Master Fund were consolidated in accordance
with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 810, Consolidation
(“ASC 810”). As of December 1, 2009, another fund operated by the Sponsor invested in the Master Fund. Subsequently,
beginning with the 2010 financial statements, the Aspect Series and Master Fund are no longer consolidated.
The Series, through its investment in the Master
Fund, engages in the speculative trading of certain forwards, futures and other derivatives contracts on various bonds, currencies,
interest rates, equities, equity indices, debt securities and selected physical commodities. Until October 1, 2009, UBS Securities
LLC was the Series’ futures clearing broker (the “Clearing Broker”) and until October 13, 2009, UBS AG was the
foreign exchange clearing broker of the Master Fund. On and after October 1, 2009 for general futures clearing brokerage, excluding
foreign currency, and on and after October 13, 2009 including foreign currency, Credit Suisse Securities (USA) LLC acts as the
Master Fund’s clearing broker (reference to the “Clearing Broker” shall be UBS Securities LLC if involving matters
prior to October 1, 2009 and to Credit Suisse Securities (USA) LLC for matters on or after October 1, 2009), although the Master
Fund may execute foreign exchange trades through another foreign exchange clearing broker at any time. The Sponsor, over time,
intends to offer investors a selection of different trading advisors, each managing a different segregated series of the Platform.
There can be no assurance, however, that any series other than the Series will be offered or that the Series will continue to be
offered. The Series was organized on October 26, 2006 and commenced trading on March 16, 2007. The Series filed a Form 10, under
the Securities Exchange Act of 1934, as amended, with the SEC to register the units of limited liability company interest (“Units”),
and such registration became effective October 17, 2006.
On March 16, 2007, the Series issued 5,000.00
Units to the Trading Advisor for $5,000,000 (the “Trading Advisor Investment”) and issued 2,760.62 Units for $2,760,620
to third parties. On April 1, 2007, the Series issued 9.94 Units to the former sponsor, UBS MFS, for $10,000. On December 31, 2007,
the Trading Advisor redeemed the full value of the Trading Advisor Investment. On October 31, 2008, UBS MFS redeemed the full value
of their Units in conjunction with the assignment of the Sponsor and on November 1, 2008, the Series issued 8.12 Units to the Sponsor
for $10,000.
At the sole discretion of the Sponsor, the Series may terminate
for any reason (for the avoidance of doubt, the Sponsor shall be entitled, without any violation of any contractual or fiduciary
obligation to any investor in the Series (a “Member”), to dissolve the Series at any time).
| (b) | | Financial Information about Segments |
The Series’ business constitutes only
one segment for financial reporting purposes, i.e. a speculative “commodity pool.” The Series does not engage in sales
of goods or services. Financial information regarding the Series’ business is set forth in Item 6 “Selected Financial
Data” and incorporated
into Part II, Item 8.
| (c) | | Narrative Description of Business |
General
The Series invests a portion
of its assets in the Master Fund. The Trading Advisor manages the assets of the Master Fund pursuant to its Aspect Diversified
Program (the “Program”). The Program is a broadly diversified global trading system that deploys multiple trading strategies
that seek to identify and exploit directional moves in market behavior of a broad range of global financial instruments including
but not limited to forwards, futures and other derivatives contracts on certain bonds, currencies, interest rates, equities, equity
indices, debt securities and selected physical commodities. By maintaining comparatively small exposure to any individual market,
the aim is to achieve real diversification. The Program seeks to maintain positions in a variety of markets. Market concentration
varies according to the strength of signals, volatility and liquidity, amongst other factors.
The Program employs a fully
automated system to collect, process and analyze market data (including current and historical price data) and identify and exploit
directional moves, or “trends”, in market behavior, trading across a variety of frequencies to exploit trends over
a range of timescales. Positions are taken according to the aggregate signal and are adjusted to control risk.
The investment objective
of the Program is to generate significant medium term capital growth independent of overall movements in traditional stock and
bond markets within a rigorous risk management framework. This investment objective is intended to be achieved via the investment
policy for the Program, which is to trade relevant asset classes applying the Program.
The core objectives of the
Program are:
| (i) | | to produce strong medium-term capital appreciation; (“medium-term” generally
referring to a three- to five-year time period); |
| (ii) | | to seek and exploit profit opportunities in both rising and falling markets using
a disciplined quantitative investment process; |
| (iii) | | to seek non-correlation with the broad bond and stock markets and thereby play a valuable
role in enhancing the risk/return profile of traditional investment portfolios; and |
| (iv) | | to minimize risk by operating in a diverse range of markets and sectors using a consistent
investment process that adheres to pre-defined and monitored risk limits and determines market exposure in accordance with factors
including (but not limited to) market correlation, volatility, liquidity and the cost of market access. |
The Master Fund’s account
traded pursuant to the Program may experience returns that differ from other Trading Advisor accounts traded pursuant to the same
Program due to, among other factors: (a) regulatory constraints on the ability of the Series to have exposure to certain contracts;
(b) the Sponsor’s selection of the Clearing Broker, which affects access to markets; (c) the effect of intra-month adjustments
to the trading level of the account; (d) the manner in which the account’s cash reserves are invested; (e) the size of the
Series’ account; (f) the Series’ functional currency, the U.S. dollar; (g) the particular futures contracts traded
by the Series’ account: (h) the leverage implemented; and (i) the interest rate earned on invested cash. Additionally, certain
markets may not be liquid enough to be traded for the Series’ account.
The investment
approach that underpins the Program is proprietary. The Trading Advisor’s investment philosophy has remained consistent and
involves a scientific approach to investment driven by the Trading Advisor’s belief that market behavior is not random but
rather contains statistically measurable and predictable price movements and
anomalies
which, through sophisticated quantitative research and a disciplined approach, can be successfully identified and exploited for
profit.
Allocation
Methodology
Allocations
to the strategy, markets and asset classes traded by the Program are reviewed on a regular basis using a robust and stable
quantitative methodology which takes into account a range of factors that may include liquidity, risk and expected returns.
The Program, subject to applicable investment policies, does not have any inherent preference for, or bias towards, any
market, asset class or instrument but rather aims to maximize returns within liquidity constraints, such as speculative
position limits or market disruptions.
Market Access and Trading
Costs
The Trading Advisor appreciates the importance
of executing trades in a cost efficient manner and the significance of market impact and trading costs on the Series’ performance.
The Trading Advisor takes into account the liquidity of the markets in which it executes trades so as to endeavor to provide optimal
market execution results (including executing electronically wherever beneficial).
Risk Management
A fundamental principle of
the Trading Advisor’s investment approach is the importance of a robust risk management framework. The Trading Advisor employs
a value-at-risk methodology and other risk management procedures to monitor the risk of the Program within pre-defined guidelines.
Additionally, the Trading Advisor has developed mechanisms to control risk at both an individual market and portfolio level. In
order to monitor and respond to changes in the trading conditions in a market at all times, the Trading Advisor believes a high
level of transparency is required. This transparency is achieved by generally investing in liquid instruments with real time pricing,
although this may not be possible in all markets or for all instruments.
The Master Fund engages in the speculative
trading of U.S. and foreign futures contracts and forward currency contracts (collectively “derivatives”). These derivatives
include both financial and non-financial contracts held as part of a diversified trading strategy. The Master Fund and the Series,
via its investment in the Master Fund, are exposed to both market risk, the risk arising from changes in the market value of the
contracts, and credit risk with the Clearing Broker, the risk of failure by another party to perform according to the terms of
a contract. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and
foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility
and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by
the Trading Advisor according to its trading program. Credit risk is the possibility that a loss may occur due to the failure of
a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded financial instruments is significantly
reduced by the regulatory requirements of the individual exchanges on which the instruments are traded.
The purchase and sale of futures contracts
are executed on an exchange and requires margin deposits with a Futures Commission Merchant (“FCM”). Additional deposits
may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires an FCM to segregate all customer transactions
and assets from the FCM’s proprietary activities. A customer’s cash and other property, such as U.S. Treasury Bills,
deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements.
In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible
that the recovered amount could be less than the total of cash and other property deposited. The Clearing Broker is an FCM.
Due to forward currency contracts being traded
in unregulated markets between principals, the Master Fund and the Series, via its investment in the Master Fund, also assume a
credit risk and the risk of loss from counterparty non-performance with respect to its currency trading. Funds and property deposited
as margin in connection with the transactions is not required to be, and typically is not, segregated. Accordingly, the Master
Fund and the Series is exposed to the creditworthiness of the Clearing Broker on these trades facilitated by the Clearing Broker.
In the event of the Clearing Broker’s bankruptcy, the Master Fund could lose all or substantially all assets not located
in
segregated funds. The Series exposure to credit
risk is limited to its investment in or receivable from the Master Fund.
To evaluate and monitor counterparty risk of
the Clearing Broker or any trading counterparty, the AlphaMetrix Risk Department initially evaluates their credit ratings from
the major agencies: Moody’s, Standard & Poor’s and Fitch Ratings. Credit ratings and outlooks are monitored daily
for downgrades and an investigation is initiated upon any adverse change. Further, any large decline in the daily stock price also
triggers an investigation. Lastly, quarterly reports on earnings and future outlooks from counterparties are reviewed and analyzed
by the AlphaMetrix Risk Department for unfavorable results.
For derivatives, risks arise from changes in
the fair value of the contracts. Theoretically, the Master Fund is exposed to market risk equal to the value of futures and forward
contracts purchased and unlimited liability on such contracts sold short. The Series exposure to market risk is limited to its
investment in or receivable from the Master Fund.
The Series, via its investment in the Master
Fund, is designed to take on market risk on a systematic basis across a broad portfolio of liquid markets and to monitor and minimize
exposure to all other risks, such as credit and liquidity risks. The trading systems used by the Master Fund’s Trading Advisor
include various proprietary systems that are designed to control the risk taken at the individual position level as well as at
the overall portfolio level. The Trading Advisor monitors and controls market risk within limits at both sector and portfolio levels.
Net trading results arising from the Master
Fund’s speculative trading of derivatives for the year ended December 31, 2012 and 2011 are reflected in the Master Fund’s
Statements of Operations and equals the Net realized and unrealized gain/(loss) on investments and foreign currency less trading
costs.
The Members bear the risk
of loss only to the extent of the fair value of their respective investment in the Series.
Research Commitment
and Program Development
The Trading Advisor retains
the right to develop and make changes to the Program at its sole discretion, including (without limitation) the incorporation of
new markets, instruments, strategies and asset classes into the Program. The Master Fund will be notified of such changes only
if they amount to material changes to the investment objective or investment policy of the Program.
The Program is proprietary
and highly confidential to the Trading Advisor. Accordingly, the description of the Program as contained herein is general only
and is not intended to be exhaustive or absolute.
Custody of Assets
The Series invests a portion
of its assets in the Master Fund. At December 31, 2012 and 2011, the Series’ investment in the Master Fund was 79.69% and
83.06%, respectively, of the Series’ total assets. A substantial amount of the Master Fund’s assets are held in customer accounts
at the Clearing Broker, an indirect, wholly-owned subsidiary of an affiliate of the former sponsor, although they may be held at
other affiliates of the Clearing Broker or other third-party clearing brokers selected by the Sponsor.
Only
assets held to margin CFTC-regulated
futures contracts may be held in CFTC-regulated “segregated funds” accounts. “Segregated
funds” accounts
are insulated from liability for any claims against a broker other than those
of other customers. As of December 31, 2012 and 2011, 89.90% and 90.99%, respectively,
of the net assets of the Master Fund was held in cash, of which 14.78% and 14.26%
of the cash is restricted cash for margin requirements. As of December
31, 2012 and 2011, 1.76% and 2.54% of net assets, representing the fair values
of futures, was held at the Clearing Broker. Some of the Series’ capital
is not held in segregation, but rather in custody or other client accounts maintained
by affiliates of the Clearing Broker. Subject to any applicable regulatory restrictions,
these affiliates may make use of such capital, which is treated as a liability
or deposit owed by such affiliates to the Series. However, if such an affiliate
were to incur financial difficulties, the Series’ assets
could be lost (the Series becoming only a general creditor of such affiliate)
and, even if not lost, could be unavailable to the Series for an extended period.
The Sponsor considers the
Clearing Broker’s policies regarding the safekeeping of the Series’ assets to be fully consistent with industry practices.
Interest Income/Expense
Interest income and expense is recognized on
an accrual basis. Interest income or expense may include (1) the allocation from the Master Fund of the Master Fund’s interest
income/expense from its broker, or (2) interest income from the Series’ bank account.
Interest
The Series
generally earns interest on its cash at bank and on its proportionate share of the cash actually held by the Master Fund, (the
“Cash Assets”). The Master Fund does not earn interest income on the Master Fund’s gains or losses on open forward,
commodity option and certain non-U.S. futures positions because such gains and losses are not collected or paid until such positions
are closed out. Interest is earned only on funds actually held in the Master Fund’s account.
The Clearing Broker pays
interest as of the end of each month on the Master Fund’s average daily Cash Assets at a rate corresponding to an annual
rate equal to the prevailing Federal Funds Rate. The Clearing Broker will retain any returns on the Master Fund’s Cash Assets
in excess of the Federal Funds Rate. The Clearing Broker retains the additional economic benefit (which may be significant) derived
from possession of the Master Fund’s Cash Assets.
The Clearing Broker, in the
course of acting as commodity broker for the Master Fund, lends certain currencies to, and holds certain non-U.S. currency balances.
If, for example, the Master Fund needed to make a margin deposit in Swiss Francs, the Clearing Broker would lend the Master Fund
the Swiss Francs, charging a local short-term rate plus a spread of up to 1.0% per annum (at current rates). Should the Master
Fund hold Swiss Franc balances in its account, the Clearing Broker will credit the Master Fund with interest at the same local
short-term rate less a spread of up to 2.0% per annum (at current rates).
The Clearing
Broker follows its standard procedures for crediting and charging interest to the Master Fund. The Clearing Broker is able to generate
significant economic benefit from doing so, especially as the Clearing Broker is able to meet the margin requirements imposed on
its customers as a group, whereas each customer must margin its account on a stand-alone basis with the Clearing Broker. Consequently,
the Clearing Broker may record a loan of Swiss Francs (in the above example) to the Master Fund’s account which the Clearing
Broker charges interest even though the Clearing Broker itself does not have to deposit any Swiss Francs at the applicable clearinghouse.
Description
of Current Expenses
The Trading Advisor receives a 2% per annum
management fee of the Series’ net asset value for all other purposes as defined below. Such fee is calculated and paid on
a monthly basis. The Trading Advisor has agreed to share 0.50% of such management fee with UBS Financial Services Inc., a selling
agent for the Series (“UBS FS”). The Trading Advisor also will receive a performance fee equal to 20% of the new net
trading profits of the Series for each quarter. New net trading profits during each quarter refers to the excess, if any, of the
cumulative level of net trading profits attributable to the Series at the end of such quarter over the highest level of cumulative
net trading profits as of the end of any preceding quarter (the “High Water Mark”). Performance fees do not, while
losses do, reduce cumulative net trading profits. New net trading profits do not include interest income. To the extent that any
redemptions are made from the Series, the High Water Mark is proportionately reduced and a proportionate performance fee paid (if
accrued). The management and performance fees due to the Trading Advisor are paid by the Master Fund via redemptions by the Series
from the Master Fund.
Members are subject to an ongoing sales commission
paid to UBS FS and Credit Suisse Securities LLC, equal to 2% per annum of the month-end net asset value for all other purposes
(see below). The Series incurred sales commissions of $1,701,154 and $1,471,300 for the years ended December 31, 2012 and 2011,
respectively, and accrued $131,554 and $134,044 owed to UBS FS and Credit Suisse Securities at December 31, 2012 and 2011, respectively.
UBS FS or Credit Suisse Securities LLC, in consultation with the Sponsor, may waive or reduce the sales commission for certain
Members without entitling any other Member to such waiver or reduction.
The Sponsor receives a monthly sponsor fee
of 0.04166 of 1% (a 0.50% annual rate) of the Series’ month-end net asset value for all other purposes which take into account
interest income, of each Member’s investment in the Series for such month. The Sponsor reserves the right to waive or reduce
the fee at its sole discretion.
AlphaMetrix360
LLC (the “Administrator”), a related party to the Sponsor,
receives a monthly fee as to be determined by the Sponsor and the Administrator
up to 0.0067 of 1% of the Series’ net asset
value for all other purposes as of the beginning of each month (a 0.10% annual
rate), subject to a monthly minimum of $3,300.
The Master Fund’s brokerage commissions
are paid upon completion or liquidation of one-half of a trade and are referred to as “per side” commissions, which
cover either the initial purchase (or sale) or the subsequent offsetting sale (or purchase) of a single commodity futures contract.
The principal operating costs of the Master Fund are the per side brokerage commissions paid to the Clearing Broker (a portion
of which is paid to the Master Fund’s executing brokers, which may or may not include the Clearing Broker, as commissions
for their execution services) and the currency forward contract (“F/X”) dealer spreads paid to the Clearing Broker
and others. The “per side” commissions for U.S. markets paid by the Master Fund are approximately $5.00 per side plus
fees (except in the case of certain non-U.S. contracts on which the rates may be as high as $50 per side plus fees due, in part,
to the large size of the contracts traded).
Many of the Master Fund’s currency trades
are executed in the spot and forward non-U.S. exchange markets (the “F/X Markets”) in which there are no direct execution
costs. Instead, the banks and dealers in the F/X Markets, including the Clearing Broker, take a “spread” between the
prices at which they are prepared to buy and sell a particular currency, and such spreads are built into the pricing of the spot
or forward contracts with the Master Fund. In general, the Sponsor estimates that aggregate brokerage commission charges (including
F/X spreads) will not exceed 3.5%, and should range between approximately 0.5% and 3% per annum of the Series’ average month-end
assets (meaning the average month-end net asset value for all other purposes for the then-current fiscal year).
The former sponsor advanced expenses incurred
in connection with the organization of the Platform and the organization and initial offering of the Units of the Series. The Series
reimbursed the former sponsor for these costs. For financial reporting purposes in conformity with U.S. generally accepted accounting
principles, the Series expensed the total organizational costs of $208,820 when incurred and deducted the initial offering costs
of $119,732 from Members’ capital as of March 16, 2007, the date of commencement of operations of the Series (“net
asset value for financial reporting” or the “net asset value per Unit for financial reporting” – see Item
6 “Selected Financial Data”. For all other purposes, the Series amortizes organizational and initial offering costs
over a 60 month period (“net asset value for all other purposes” or the “net asset value per Unit for all other
purposes”). The amortization of such costs reduce the net asset value for all other purposes of the Units for purposes of
determining subscriptions, redemptions and any fees based on the Units’ net asset value for all other purposes and for reporting
performance for all purposes other than as related to financial reporting. However, the amount of such costs attributable to the
Platform’s organization that are not already amortized may be allocated to and amortized by other series on the Platform
for net asset value for all other purposes when and if such other series are added to the Platform or in a manner as the Sponsor
may otherwise determine.
Each Member or Member-related account is subject
to an upfront, waivable placement fee of 0% to 2% of the subscription price of the Units, which will be paid once by the relevant
Member, not by the Platform, the Series or the Sponsor, on such Member’s initial subscription to the Series during any twelve
month period. No placement fee will be charged in connection with an exchange. The placement fee payable on such initial subscription
is deducted
from the subscription amount. The placement
fee to which Members are subject will vary among Members. Each Member also will pay an ongoing sales commission (the “Sales
Commission”) equal to 2% per annum of the month-end net asset value for all other purposes, including interest income, of
a Member’s investment in the Series. UBS FS, in consultation with the Sponsor, may waive or reduce such sales commission
for certain Members without entitling any other Member to any such waiver or reduction.
The Series will pay its own operating costs
plus its proportionate share of the Master Fund’s expenses, including, without limitation: ongoing offering expenses; trading
costs (including execution and clearing brokerage commissions); forward and other over the counter trading spreads; administrative,
transfer, exchange and redemption processing, legal, regulatory, reporting, filing, tax, audit, escrow, accounting and printing
fees and expenses, as well as extraordinary expenses. Such operating costs are allocated pro rata among the Units based on their
respective net asset values for all other purposes. These expenses are paid in addition to the other expenses described below.
The Sponsor has retained outside service
providers to supply certain services, including, without limitation, tax reporting, accounting and escrow services. Operating costs
include the Series’ allocable share of the fees and expenses of such outside service providers.
The following table summarizes the expenses incurred by the
Series for the years ended December 31, 2012 and December 31, 2011:
| | |
2012 | | |
2011 | |
| Expenses | |
Dollar Amount | | |
% of Average
Month-End Net
Asset Value for
Financial
Reporting | | |
Dollar Amount | | |
% of Average
Month-End Net
Asset Value for
Financial
Reporting | |
| | |
| | |
| | |
| | |
| |
| Performance fee | |
$ | 173,293 | | |
| 0.21 | % | |
$ | 1,151,168 | | |
| 1.60 | % |
| Management fee | |
| 1,704,284 | | |
| 2.04 | % | |
| 1,475,678 | | |
| 2.05 | % |
| Sales Commissions | |
| 1,701,154 | | |
| 2.03 | % | |
| 1,471,300 | | |
| 2.05 | % |
| Allocated trading costs | |
| 153,172 | | |
| 0.18 | % | |
| 102,436 | | |
| 0.14 | % |
| Sponsor fee | |
| 425,289 | | |
| 0.51 | % | |
| 367,825 | | |
| 0.51 | % |
| Other expenses | |
| 494,153 | | |
| 0.59 | % | |
| 469,855 | | |
| 0.65 | % |
| Total | |
$ | 4,651,345 | | |
| 5.56 | % | |
$ | 5,038,262 | | |
| 7.00 | % |
The Series’ average month-end net
asset value for financial reporting during 2012 and 2011 equaled $83,699,130 and $71,869,666, respectively.
During
2012 and 2011, interest expense allocated from the Master Fund (included in
Other expenses in the table above) to the Series was $47,800 and $45,617, respectively
or approximately (0.06) % and (0.06) %, respectively, of the Series’ average
month-end net asset value for financial reporting for 2012 and 2011.
Regulation
The Sponsor and the Trading Advisor are
registered with the CFTC as commodity pool operators and commodity trading advisors (“CTAs”) and are members of the
National Futures Association (“NFA”) in such capacities. The CFTC may suspend a commodity pool operator’s or
trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions or in certain
other situations. In the event that the registration of the
Sponsor or of the Trading Advisor as a commodity pool operator or a
commodity trading advisor were terminated or suspended, the Sponsor or Trading Advisor, as applicable, would be unable to continue
to manage the business of the Series or the trading of its assets. Should the Sponsor’s or Trading Advisor’s registration
be suspended, termination of the Series might result. In addition to such registration requirements, the CFTC and certain commodity
exchanges have established limits on the maximum net long or net short positions that any person may hold or control in particular
commodities. Most exchanges also limit the changes in futures contract prices that may occur during a single trading day. Forward
currency contracts are not subject to regulation by any U.S. government agency.
Other than in respect of the registration
requirements pertaining to the Series’ securities under Section 12(g) of the Securities Exchange Act of 1934, as amended,
the Platform and the Series are generally not subject to regulation by the Securities and Exchange Commission. The Trading Advisor
is also regulated by the Financial Service Authority of the United Kingdom.
(i) through (xii) – not applicable.
(xiii) the Series has no employees.
| (d) | Financial Information About Geographic Areas |
Neither the Master Fund nor the Series
engage in material operations in foreign countries, nor is a material portion of the Master Fund’s and the Series’
revenue derived from customers in foreign countries. The Master Fund will trade on a number of U.S. and non-U.S. commodities exchanges.
The Master Fund will not engage in the sales of goods or services.
Item 1A: Risk Factors
Not applicable
Item 1B: Unresolved Staff Comments
Not applicable
Item 2: Properties
The Master Fund and the Series do not own
or use any physical properties in the conduct of their businesses.
The Master Fund and the Series’ administrative
office is the administrative office of the Sponsor (181 West Madison, 34th Floor, Chicago, IL 60602). The Sponsor performs
administrative services for the Series from the Sponsor’s offices.
Item 3: Legal Proceedings
The Sponsor is not aware of any pending
legal proceedings to which either the Master Fund or the Series is a party or to which any of its assets are subject.
Item 4: Mine Safety Disclosures
Not applicable
PART II
Item
5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of
Equity Securities
There is no trading market for the Units,
and none is likely to develop. Units may be redeemed at the net asset value per Unit for all other purposes as of the end of any
calendar month. Redemption requests must be submitted on or prior to the 15th day of the calendar month (or the following business
day) in which such Units are to be redeemed.
As of December 31, 2012 and 2011, there were 893 and 801 holders
of Units, including the Sponsor.
No distributions or dividends have been made on the Units, and
the Sponsor has no present intentions to make any.
| (d) | Securities Authorized for Issuance Under Equity Compensation
Plans |
None.
| (e) | Recent Sales of Unregistered Securities; Use of Proceeds
from Registered Securities |
The Series did not sell any unregistered
securities since it commenced operations on March 16, 2007 that have not previously been included in the Series’ Quarterly
Reports on Form 10-Q or in a Current Report on Form 8-K.
| (f) | Issuer Purchases of Equity Securities |
Pursuant to the Platform’s Amended
and Restated Limited Liability Company Agreement and the Series’ Amended and Restated Separate Series Agreement, Members
may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit for all other purposes,
i.e. reflecting the amortization of organizational and initial offering costs. The redemption of Units has no impact on the value
of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the redemptions by Members
during the fourth quarter of 2012 and 2011:
| Month | |
Units
Redeemed | | |
Redemption
Date Net Asset Value
per Unit for All Other Purposes | |
| October 31, 2012 | |
| 486.899 | | |
$ | 1,144.905 | |
| November 30, 2012 | |
| 425.167 | | |
$ | 1,127.150 | |
| December 31, 2012 | |
| 2,976.809 | | |
$ | 1,134.271 | |
| Total | |
| 3,888.875 | | |
| | |
| Month | |
Units
Redeemed | | |
Redemption Date Net Asset Value
per Unit for All Other Purposes | |
| October 31, 2011 | |
| 294.663 | | |
$ | 1,256.124 | |
| November 30, 2011 | |
| 934.563 | | |
$ | 1,273.392 | |
| December 31, 2011 | |
| 116.498 | | |
$ | 1,299.122 | |
| Total | |
| 1,345.724 | | |
| | |
Item 6: Selected Financial Data
The following selected data has been derived
from the audited Financial Statements of the Series.
ALPHAMETRIX
MANAGED FUTURES LLC
Statements
of Financial Condition
| | |
AlphaMetrix Managed | | |
AlphaMetrix Managed | | |
AlphaMetrix Managed | | |
AlphaMetrix Managed | |
| | |
Futures LLC (Aspect Series) | | |
Futures LLC | | |
Futures LLC (Aspect Series) | | |
Futures LLC | |
| | |
December 31, 2012 | | |
December 31, 2012 | | |
December 31, 2011 | | |
December 31, 2011 | |
| ASSETS | |
| | | |
| | | |
| | | |
| | |
| Investment in AlphaMetrix Aspect Fund - MT0001, at fair value | |
$ |
63,194,749 | | |
$ |
63,194,749 | | |
$ | 69,103,283 | | |
$ | 69,103,283 | |
| Cash at bank | |
| 16,104,735 | | |
| 16,104,735 | | |
| 14,093,440 | | |
| 14,093,440 | |
| | |
| | | |
| | | |
| | | |
| | |
| Total Assets | |
$ |
79,299,484 | | |
$ |
79,299,484 | | |
$ | 83,196,723 | | |
$ | 83,196,723 | |
| | |
| | | |
| | | |
| | | |
| | |
| LIABILITIES | |
| | | |
| | | |
| | | |
| | |
| | |
| | | |
| | | |
| | | |
| | |
| REDEMPTIONS PAYABLE | |
$ | 3,376,506 | | |
$ | 3,376,506 | | |
$ | 151,345 | | |
$ | 151,345 | |
| | |
| | | |
| | | |
| | | |
| | |
| SUBSCRIPTIONS RECEIVED IN ADVANCE | |
| 259,715 | | |
| 259,715 | | |
| 2,558,453 | | |
| 2,558,453 | |
| | |
| | | |
| | | |
| | | |
| | |
| PAYABLES: | |
| | | |
| | | |
| | | |
| | |
| Accrued sales commission | |
| 131,554 | | |
| 131,554 | | |
| 134,044 | | |
| 134,044 | |
| Accrued sponsor fee | |
| 10,120 | | |
| 10,120 | | |
| 11,402 | | |
| 11,402 | |
| Accrued operating costs | |
|
130,334 | | |
|
130,334 | | |
| 247,811 | | |
| 247,811 | |
| | |
| | | |
| | | |
| | | |
| | |
| Total Liabilities | |
|
3,908,229 | | |
|
3,908,229 | | |
| 3,103,055 | | |
| 3,103,055 | |
| | |
| | | |
| | | |
| | | |
| | |
| MEMBERS’ CAPITAL | |
| | | |
| | | |
| | | |
| | |
| Members (66,458.60 and 61,654.52 units outstanding at December 31, 2012 and December 31, 2011, respectively, unlimited units authorized) | |
| 75,382,045 | | |
| 75,382,045 | | |
| 80,083,121 | | |
| 80,083,121 | |
| Sponsor (8.12 units outstanding at December 31, 2012 and December 31, 2011, respectively, unlimited units authorized) | |
| 9,210 | | |
| 9,210 | | |
| 10,547 | | |
| 10,547 | |
| Total Members’ Capital | |
| 75,391,255 | | |
| 75,391,255 | | |
| 80,093,668 | | |
| 80,093,668 | |
| | |
| | | |
| | | |
| | | |
| | |
| Total Liabilities and Members’ Capital | |
$ | 79,299,444 | | |
$ | 79,299,444 | | |
$ | 83,196,723 | | |
$ | 83,196,723 | |
See notes to financial statements.
ALPHAMETRIX MANAGED FUTURES LLC
Statements of Operations
For the years ended December 31, 2012 and
2011
| | |
AlphaMetrix Managed
Futures LLC (Aspect Series)
2012 | | |
AlphaMetrix Managed
Futures LLC
2012 | | |
AlphaMetrix Managed
Futures LLC (Aspect Series)
2011 | | |
AlphaMetrix Managed
Futures LLC
2011 | |
| NET INVESTMENT INCOME/(LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001: | |
| | | |
| | | |
| | | |
| | |
| Interest income | |
$ | 16,727 | | |
$ | 16,727 | | |
$ | 26,040 | | |
$ | 26,040 | |
| Trading costs | |
| (153,172 | ) | |
| (153,172 | ) | |
| (102,436 | ) | |
| (102,436 | ) |
| Interest expense | |
| (47,800 | ) | |
| (47,800 | ) | |
| (45,617 | ) | |
| (45,617 | ) |
| Bank fees | |
| — | | |
| — | | |
| (103 | ) | |
| (103 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Net investment income/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| (184,245 | ) | |
| (184,245 | ) | |
| (122,116 | ) | |
| (122,116 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| SERIES NET INVESTMENT INCOME/(LOSS): | |
| | | |
| | | |
| | | |
| | |
| Operating expenses | |
| (446,353 | ) | |
| (446,353 | ) | |
| (424,135 | ) | |
| (424,135 | ) |
| Management fee | |
| (1,704,284 | ) | |
| (1,704,284 | ) | |
| (1,475,678 | ) | |
| (1,475,678 | ) |
| Performance fee | |
| (173,293 | ) | |
| (173,293 | ) | |
| (1,151,168 | ) | |
| (1,151,168 | ) |
| Sales commissions | |
| (1,701,154 | ) | |
| (1,701,154 | ) | |
| (1,471,300 | ) | |
| (1,471,300 | ) |
| Sponsor fee | |
| (425,289 | ) | |
| (425,289 | ) | |
| (367,825 | ) | |
| (367,825 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Series
net investment income/(loss) | |
| (4,450,373 | ) | |
| (4,450,373 | ) | |
| (4,890,106 | ) | |
| (4,890,106 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Total net investment income/(loss) | |
| (4,634,618 | ) | |
| (4,634,618 | ) | |
| (5,012,222 | ) | |
| (5,012,222 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001 | |
| | | |
| | | |
| | | |
| | |
| Net realized gain/(loss) | |
| (6,377,197 | ) | |
| (6,377,197 | ) | |
| 8,257,867 | | |
| 8,257,867 | |
| Net increase/(decrease) in unrealized appreciation/(depreciation) | |
| (637,456 | ) | |
| (637,456 | ) | |
| (1,432,173 | ) | |
| (1,432,173 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Total
realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 |
|
|
(7,014,653 |
) |
|
|
(7,014,653 |
) |
|
|
6,825,694 |
|
|
|
6,825,694 |
|
| | |
| | | |
| | | |
| | | |
| | |
| Net increase/(decrease) in net assets resulting from operations | |
$ | (11,649,271 | ) | |
$ | (11,649,271 | ) | |
$ | 1,813,472 | | |
$ | 1,813,472 | |
| | |
| | | |
| | | |
| | | |
| | |
| Weighted average number of units outstanding | |
| 66,989 | | |
| 66,989 | | |
| 56,210 | | |
| 56,210 | |
| | |
| | | |
| | | |
| | | |
| | |
| Net income/(loss) per weighted average unit | |
$ | (173.90 | ) | |
$ | (173.90 | ) | |
$ | 32.26 | | |
$ | 32.26 | |
See notes to financial statements.
ALPHAMETRIX MANAGED
FUTURES LLC
Statements of
Changes in Members’ Capital
For the years ended
December 31, 2012 and 2011
| For the year ended December 31, 2012 | |
AlphaMetrix Managed Futures LLC (Aspect Series) | | |
AlphaMetrix Managed | |
| | |
|
Members | | |
Sponsor | | |
Total | | |
Futures LLC Total | |
| | |
|
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | |
| Members’ capital at January 1, 2012 | |
$ | 80,083,121 | | |
| 61,654.52 | | |
$ | 10,547 | | |
| 8.12 | | |
$ | 80,093,668 | | |
| 61,662.64 | | |
$ | 80,093,668 | | |
| 61,662.64 | |
| Members’ subscriptions | |
| 17,342,258 | | |
| 13,421.99 | | |
| — | | |
| — | | |
| 17,342,258 | | |
| 13,421.99 | | |
| 17,342,258 | | |
| 13,421.99 | |
| Members’ redemptions | |
| (10,395,400 | ) | |
| (8,617.91 | ) | |
| — | | |
| — | | |
| (10,395,400 | ) | |
| (8,617.91 | ) | |
| (10,395,400 | ) | |
| (8,617.91 | ) |
| Net investment income/(loss) | |
| (4,634,062 | ) | |
| — | | |
| (556 | ) | |
| — | | |
| (4,634,618 | ) | |
| — | | |
| (4,634,618 | ) | |
| — | |
| Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| (7,013,872 | ) | |
| — | | |
| (781 | ) | |
| — | | |
| (7,014,653 | ) | |
| — | | |
| (7,014,653 | ) | |
| — | |
| Members’ capital at December 31, 2012 | |
$ | 75,382,045 | | |
| 66,458.60 | | |
$ | 9,210 | | |
| 8.12 | | |
$ | 75,391,255 | | |
| 66,466.72 | | |
$ | 75,391,255 | | |
| 66,466.72 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net asset value per unit at January 1, 2012 | |
$ | 1,298.901 | | |
| | | |
$ | 1,298.901 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Change in net asset value per unit | |
| (164.630 | ) | |
| | | |
| (164.630 | ) | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net asset value per unit at December 31, 2012 | |
$ | 1,134.271 | | |
| | | |
$ | 1,134.271 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| For
the year ended December 31, 2011 | |
AlphaMetrix
Managed Futures LLC (Aspect Series) | | |
AlphaMetrix
Managed | |
| | |
Members | | |
Sponsor | | |
Total | | |
Futures
LLC Total | |
| | |
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | |
| Members’
capital at January 1, 2011 | |
$ | 63,839,812 | | |
| 50,277.92 | | |
$ | 10,310 | | |
| 8.12 | | |
$ | 63,850,122 | | |
| 50,286.04 | | |
$ | 63,850,122 | | |
| 50,286.04 | |
| Members’
subscriptions | |
| 24,390,322 | | |
| 19,173.21 | | |
| — | | |
| — | | |
| 24,390,322 | | |
| 19,173.21 | | |
| 24,390,322 | | |
| 19,173.21 | |
| Members’
redemptions | |
| (9,960,248 | ) | |
| (7,796.61 | ) | |
| — | | |
| — | | |
| (9,960,248 | ) | |
| (7,796.61 | ) | |
| (9,960,248 | ) | |
| (7,796.61 | ) |
| Net
investment income/(loss) | |
| (5,011,512 | ) | |
| — | | |
| (710 | ) | |
| — | | |
| (5,012,222 | ) | |
| — | | |
| (5,012,222 | ) | |
| — | |
| Net
realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| 6,824,747 | | |
| — | | |
| 947 | | |
| — | | |
| 6,825,694 | | |
| — | | |
| 6,825,694 | | |
| — | |
| Members’
capital at December 31, 2011 | |
$ | 80,083,121 | | |
| 61,654.52 | | |
$ | 10,547 | | |
| 8.12 | | |
$ | 80,093,668 | | |
| 61,662.64 | | |
$ | 80,093,668 | | |
| 61,662.64 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net
asset value per unit at January 1, 2011 | |
$ | 1,269.739 | | |
| | | |
$ | 1,269.739 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Change
in net asset value per unit | |
| 29.162 | | |
| | | |
| 29.162 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net
asset value per unit at December 31, 2011 | |
$ | 1,298.901 | | |
| | | |
$ | 1,298.901 | | |
| | | |
| | | |
| | | |
| | | |
| | |
See notes to financial statements.
The former sponsor paid all expenses incurred
in connection with the organizational and initial offering of the Units of the Series. As described in the Series’ current
Confidential Disclosure Document, the Series reimbursed the former sponsor for these costs in 2008. For financial reporting purposes
in conformity with U.S. generally accepted accounting principles, the Series expensed the total organizational costs of $208,820
when incurred and deducted the initial offering costs of $119,732 from Members’ capital as of March 16, 2007 (the date of
commencement of operations of the Series) (“net asset value for financial reporting” or the “net asset value
per Unit for financial reporting”). For all other purposes, including determining the net asset value per Unit for subscription
and redemption purposes, the Series amortizes organizational and initial offering costs over a 60 month period (“net asset
value for all other purposes” or the “net asset value per Unit for all other purposes”). The net asset value
and net asset value per Unit are as follows:
| | |
Net Asset Value | | |
| | |
Net Asset Value per Unit | |
| | |
All Other Purposes | | |
Financial Reporting | | |
Number of Units | | |
All Other Purposes | | |
Financial Reporting | |
| Price at Commencement* | |
| | | |
| | | |
| | | |
$ | 1,000.000 | | |
$ | 1,000.000 | |
| March 31, 2007 | |
$ | 7,805,411 | | |
$ | 7,479,686 | | |
| 7,760.62 | | |
| 1,005.772 | | |
| 963.801 | |
| June 30, 2007 | |
| 13,409,546 | | |
| 13,100,248 | | |
| 11,988.08 | | |
| 1,118.573 | | |
| 1,092.773 | |
| September 30, 2007 | |
| 18,932,687 | | |
| 18,639,817 | | |
| 18,241.85 | | |
| 1,037.871 | | |
| 1,021.816 | |
| December 31, 2007 | |
| 16,034,264 | | |
| 15,757,821 | | |
| 14,700.02 | | |
| 1,090.765 | | |
| 1,071.959 | |
| March 31, 2008 | |
| 20,507,363 | | |
| 20,247,348 | | |
| 17,025.49 | | |
| 1,204.509 | | |
| 1,189.237 | |
| June 30, 2008 | |
| 50,168,558 | | |
| 49,924,971 | | |
| 40,063.82 | | |
| 1,252.216 | | |
| 1,246.136 | |
| September 30, 2008 | |
| 59,013,279 | | |
| 58,786,119 | | |
| 52,463.77 | | |
| 1,124.839 | | |
| 1,120.509 | |
| December 31, 2008 | |
| 71,216,262 | | |
| 71,005,529 | | |
| 53,002.45 | | |
| 1,343.641 | | |
| 1,339.665 | |
| March 31, 2009 | |
| 66,062,490 | | |
| 65,868,185 | | |
| 50,663.64 | | |
| 1,303.950 | | |
| 1,300.108 | |
| June 30, 2009 | |
| 48,597,098 | | |
| 48,419,221 | | |
| 43,344.52 | | |
| 1,121.182 | | |
| 1,117.074 | |
| September 30, 2009 | |
| 65,446,804 | | |
| 65,285,354 | | |
| 55,797.55 | | |
| 1,172.933 | | |
| 1,170.040 | |
| December 31, 2009 | |
| 59,653,082 | | |
| 59,508,061 | | |
| 52,355.78 | | |
| 1,139.379 | | |
| 1,136.609 | |
| March 31, 2010 | |
| 61,712,630 | | |
| 61,584,035 | | |
| 52,710.17 | | |
| 1,170.792 | | |
| 1,168.352 | |
| June 30, 2010 | |
| 58,685,934 | | |
| 58,573,769 | | |
| 50,598.99 | | |
| 1,159.824 | | |
| 1,157.607 | |
| September 30, 2010 | |
| 62,864,771 | | |
| 62,769,033 | | |
| 51,344.51 | | |
| 1,224.372 | | |
| 1,222.507 | |
| December 31, 2010 | |
| 63,929,433 | | |
| 63,850,122 | | |
| 50,286.04 | | |
| 1,271.316 | | |
| 1,269.739 | |
| March 31, 2011 | |
| 69,735,670 | | |
| 69,672,788 | | |
| 55,107.50 | | |
| 1,265.448 | | |
| 1,264.307 | |
| June 30, 2011 | |
| 70,137,681 | | |
| 70,091,226 | | |
| 57,603.59 | | |
| 1,217.592 | | |
| 1,216.786 | |
| September 30, 2011 | |
| 75,178,811 | | |
| 75,148,782 | | |
| 56,985.40 | | |
| 1,319.265 | | |
| 1,318.738 | |
| December 31, 2011 | |
| 80,107,270 | | |
| 80,093,668 | | |
| 61,662.64 | | |
| 1,299.122 | | |
| 1,298.901 | |
| March 31, 2012 | |
| 85,002,471 | | |
| 85,002,471 | | |
| 65,074.13 | | |
| 1,306.241 | | |
| 1,306.241 | |
| June 30, 2012 | |
| 85,311,103 | | |
| 85,311,103 | | |
| 68,261.85 | | |
| 1,249.763 | | |
| 1,249.763 | |
| September 30, 2012 | |
| 83,552,421 | | |
| 83,552,421 | | |
| 69,662.23 | | |
| 1,199.393 | | |
| 1,199.393 | |
| December 31, 2012 | |
| 75,391,255 | | |
| 75,391,255 | | |
| 66,466.72 | | |
| 1,134.271 | | |
| 1,134.271 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | |
| Total return after
performance fee, from the commencement of operations through the period
ended December 31, 2012. |
| 13.43 | % | |
| 13.43 | % |
* Commencement of operations of the Series was March 16, 2007.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS
Item 7: Management’s Discussion
and Analysis of Financial Condition and Results of Operations
Reference is made
to Item 6 “Selected Financial Data” and Item 8 “Financial Statements and Supplementary Data.”
The information contained therein is essential to, and should be read in conjunction with, the following analysis.
All figures and performance returns noted
in this Item 7 are based on the net asset value and/or the net asset value per Unit for all other purposes, which complies with
U.S. generally accepted accounting principles, except with respect to organizational and initial offering costs (which are being
amortized over 60 months) as described in Item 6 “Selected Financial Data.” All figures and performance returns
communicated to Members are based on the net asset value and/or the net asset value per Unit for all other purposes.
Operational Overview
This performance summary describes the
manner in which the Series has performed in the past and is not an indication of future performance. While certain market movements
are attributable to various market factors, such factors may or may not have caused such movements but they may have simply occurred
at or about the same time.
The Series is unlikely to be profitable
in markets in which trends do not occur. Static or erratic prices are likely to result in losses. Similarly, sharp trend reversals,
which can be caused by many unexpected events, can lead to major short-term losses, as well as gains.
While there is no assurance the Series
will profit in any market condition, markets having substantial and sustainable price movements offer the best profit potential
for the Series.
Liquidity
The Series invests a portion of its assets
in the Master Fund. Virtually all of the Master Fund’s capital is held in cash or cash equivalents at the Clearing Broker
and is used to margin the Master Fund’s futures and forward currency positions and is withdrawn, as necessary, to pay redemptions
and expenses. The Master Fund does not maintain any sources of financing other than that made available by the Clearing Broker
to fund foreign currency settlements for those instruments transacted and settled in foreign currencies. The Master Fund pays prevailing
market rates for such borrowings.
A portion of the assets maintained at the
Master Fund’s Clearing Broker is restricted cash required to meet maintenance margin requirements. Included in cash deposits
with the Clearing Broker as of December 31, 2012 and 2011 was restricted cash for margin requirements of $9,766,809 and $10,298,501,
respectively. This cash becomes unrestricted if the underlying positions it supports are liquidated.
Other than potential market-imposed limitations
on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which
are inherent in the Master Fund’s futures and forward currency trading, the Master Fund’s and the Series’ assets
are highly liquid and are expected to remain so. Because the Master Fund’s assets are held in cash, it expects to be able
to liquidate all of its open positions or holdings quickly and at prevailing market prices, except in unusual circumstances. This
generally permits the Trading Advisor to enter and exit markets, leverage and deleverage in accordance with its strategy. From
its commencement of operations on March 16, 2007 through December 31, 2012, the Master Fund experienced no meaningful periods of
illiquidity in any of the markets in which it traded.
The Series processes Member redemptions
on a monthly basis, with approximately corresponding redemptions out of the Master Fund. The Series incurred redemptions of $10,395,400
(8,617.91 Units) and $9,960,248 (7,796.61 Units) for the years ended December 31, 2012 and December 31, 2011 respectively, and
accrued $3,376,506 and $151,345 in redemptions payable to Members at December 31, 2012 and 2011, respectively.
Capital Resources
The Series’ Units may be offered
for sale as of the beginning, and may be redeemed as of the end, of each month.
The amount of capital raised for the Series
is not expected to have a significant impact on its operations, as the Series has no significant capital expenditures or working
capital requirements other than for investment in the Master Fund and Member redemptions. The amount of capital invested in the
Master Fund is not expected to have a significant impact on the Master Fund’s operations, as the Master Fund has no significant
capital expenditures or working capital requirements other than for monies to pay trading losses, trading costs and expenses. Within
broad ranges of capitalization, the Master Fund’s trading positions should increase or decrease in approximate proportion
to the size of the Series’ investment in the Master Fund.
The Series raises additional capital only
through the sale of Units and capital is increased through the Series’ pro rata share of the Master Fund’s trading
profits (if any). The Series does not maintain any sources of financing. The Master Fund does not maintain any sources of financing
other than that made available by the Clearing Broker to fund foreign currency settlements for those instruments transacted and
settled in foreign currencies.
The Master Fund may trade a variety of
futures-related instruments, including (but not limited to) instruments related to bonds, currencies, interest rates, equities,
equity indices, debt securities and selected physical commodities and derivatives. Risk arises from changes in the value of these
contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts
(credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility
of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized
gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with
exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions (“OTC”),
because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases
limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange.
In OTC transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins
that may be subject to loss in the event of a default are generally required in exchange trading, and counterparties may require
margin or collateral in the OTC markets.
The Trading Advisor attempts to control
risk in all aspects of the investment process, although there can be no assurance that it will, in fact, succeed in doing so. The
Master Fund is designed to take market risk on a systematic basis across a broad portfolio of liquid markets and to monitor and
minimize exposure to all other risks, such as credit and liquidity risks. The trading systems used include various proprietary
systems that are designed to control the risk taken at the individual position level as well as at the overall portfolio level.
The Trading Advisor monitors and controls market risk within limits at both sector and portfolio levels.
The financial instruments traded by the
Master Fund contain varying degrees of risk whereby changes in the fair values of the futures and forward contracts or the Master
Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master
Fund.
Due to the nature of the Master Fund’s
business, substantially all its assets are represented by cash and, at times, U.S. government obligations, while the Master Fund
maintains its market exposure through open futures and forward contract positions.
The Master Fund’s futures contracts
are settled by offset and are generally cleared by the exchange clearinghouse function. Open futures positions are marked to market
each trading day and the Master Fund’s trading accounts are debited or credited accordingly. The Master Fund’s spot
and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations
and by cash payments.
The value of the Master Fund’s cash
and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation,
could cause the value of certain of debt securities to decline, but only to a limited extent. More importantly, changes in interest
rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally
increases. However, inflation can also
give rise to markets which have numerous short price trends followed by rapid reversals,
in which the Master Fund is likely to suffer losses.
Results of Operations
General
The
Trading Advisor manages the assets of the Master Fund pursuant to the Program
(see Item 1(c) “Narrative Description of Business”). The Trading
Advisor was established in 1997 by Anthony Todd, Dr. Eugene Lambert, Martin
Lueck and Michael Adam, all of whom were involved in the development of AHL
(Adam, Harding and Lueck), now part of Man Group plc, where they advanced the
application of systematic quantitative techniques in managed futures investment.
The Trading Advisor has grown to a team of over 148 employees and manages approximately
$6 billion as of December 31, 2012. The Trading Advisor is a limited liability
company registered in England and Wales, which is regulated in the United Kingdom
by the Financial Services Authority. Since October 1999, the Trading Advisor
has been a member of NFA and has been registered with the CFTC as a commodity
trading advisor and commodity pool operator. The Trading advisor has also been
registered with NFA as a principal of its commodity trading advisor subsidiary
Aspect Capital Inc. since August 2004. The Trading Advisor has also been registered
with the Securities and Exchange Commission as an investment adviser since
October 2003.
The Series commenced trading activities
March 16, 2007 with an initial capitalization of $7,760,620, of which $5,000,000 was contributed by the Trading Advisor as seed
capital. On December 31, 2007 the Trading Advisor redeemed the full value of its seed capital. As of December 31, 2012 and 2011,
the Series had a capitalization of $75,391,255 and $80,107,270, respectively, based on the net asset value for all other purposes.
Performance Summary
Quarter ended December 31, 2012
This performance description is a brief
summary of how the Series performed during the quarter ended December 31, 2012, and not necessarily an indication of how it will
perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have
caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily
indicative of future results.
The Series ended December 31, 2012 with
a year-to-date loss of (12.67%), based on the net asset value for all other purposes.
The following discussion is based on the
underlying performance of the Master Fund in which the Series invests.
October 1, 2012 to December 31, 2012
The Series posted a 0.63% gain for the
month ended December 31, 2012, losses of (5.43%) and (12.67%) for the three and twelve months ended December 31, 2012 and
an overall gain of 13.43% for the Series from the inception of trading on March 16, 2007 through December 31, 2012 (not annualized
and based on net asset value per unit for all other purposes).
The
Series returned 0.63% in December. Negotiations concerning the fiscal cliff
of tax increases and spending cuts in the US rumbled on throughout the month.
Markets were initially confident that a deal would be struck before the end
of the year, but this confidence faltered somewhat when a ‘Plan B’ deal
fell apart and eleventh-hour negotiations continued. However, the Series’ performance was driven more by Japanese markets,
following the landslide election victory of a new Liberal Democratic Party-led government determined to introduce inflation targeting
and provide increased fiscal stimulus. The Series’ long positions in Japanese equity indices and short exposure to the Yen
profited from the resulting moves, although this was slightly reduced by the long exposure to Japanese Government Bonds which finished
as the worst performing market for the month. There were similar patterns in performance elsewhere in the portfolio. Long positions
in stock indices were nearly almost all profitable as markets ended the year positively, while global government bond markets (other
than Germany) sold off, making this the worst sector for the month. In commodity markets, the energies sector finished the month
close to flat as
gains from a growing short position in
natural gas were offset by small losses from the oils complex. The losses in the metals sector came from long positions across
the precious metals, with silver especially suffering as the price dropped 8% in the third week.
In agricultural markets the short coffee
exposure continued to profit following news of favorable harvesting conditions in South America. The rest of the sector struggled
however, especially grains markets where prices fell following forecasts of higher supply levels.
The Series posted a (1.55%) loss for the
month ended November 30, 2012, a (13.22%) loss for the year to date as of November 30, 2012 and an overall gain of 12.72% for the
Series from the inception of trading on March 16, 2007 to November 30, 2012 (not annualized).
The
Series returned (1.55%) in November. Following Obama’s re-election as US President, market sentiment was dominated by concerns over the US fiscal cliff of tax
increases and spending cuts and the provision of aid to Greece. The safe haven of government bonds attracted demand amid the uncertainty,
leading to gains from most long positions held in the bonds sector. Stock markets fell during the first half of the month, but
later hopes that an agreement would be reached to provide aid to Greece led to a resurgence of risk appetite. Additionally, strong
global economic data boosted stock markets, leading to profits from the Series’ net long exposure to stock indices over the
month. The currencies sector also performed positively. In particular, the Series’ short exposure to the Yen against the
US Dollar made gains following the Japanese government’s decision to dissolve parliament and call an early election in December.
Additional gains came from the Series’ short Euro positions against other European currencies. However the commodities sectors
all proved more difficult in the month, most notably short positions in industrial metals saw losses as prices rose following strong
Chinese export data and as risk appetite started to return to markets in the second half of the month. Whilst gains came from some
long positions in precious metals, losses came from gold, which sold off amid the pessimism surrounding the US budget talks. Short
positions in oil markets made losses too as prices rose due to unrest in the Middle East, while in the agriculturals sector long
soy positions were negatively affected by expectations of high supplies. One highlight amongst commodities was the Series’
short position in coffee, which made gains on forecasts of high production in Brazil and Vietnam.
The Series posted a (4.54%) loss for the
month ended October 31, 2012, a (11.86%) loss for the year to date as of October 31, 2012 and an overall gain of 14.49% for the
Series from the inception of trading on March 16, 2007 to October 31, 2012 (not annualized).
The
Series returned (4.54%) in October. The month began with a strong US jobs report,
which led to equity markets making gains while bonds sold off. However, equity
markets later fell after the IMF cut its growth forecasts for most developed
countries and focus turned to a disappointing US earnings season. As a result
losses came from the Series’ net long exposure to stock indices, in particular from its long position
in the NASDAQ 100. Positive sentiment regarding the Eurozone also drove markets, causing bond markets to continue to fall and making
the bonds sector the worst performing sector for the Series. The US Dollar strengthened against commodity currencies, leading to
losses from the currencies sector. Additionally, the long position in the Swedish Krona against the Euro suffered from uncertainty
over the economic outlook for Sweden. Oil markets fell amid concerns over global demand and high WTI crude oil inventory levels,
causing losses from long positions in oil products but gains from the short position in crude oil itself. Short positions in some
industrial metals such as aluminum and nickel profited, while the Series’ long position in gold struggled as metals prices
fell on uncertainty about demand, in particular from China. Finally, in agriculturals long positions in grains saw losses, but
short positions in sugar and coffee gained from falling prices.
Quarter ended September 30, 2012
This performance description is a brief
summary of how the Series performed during the quarter ended September 30, 2012, and not necessarily an indication of how it will
perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have
caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily
indicative of future results.
The Series ended September 30, 2012 with
a year-to-date loss of (7.68%), based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements
– (3) Related Party Transactions”).
July 1, 2012 to September 30, 2012
The Series posted a (3.72%) loss for the
month ending September 30, 2012, a loss of (4.03%) and (7.68%) for the three and nine months ended September 30, 2012 and an overall
gain of 19.94% for the Series from the inception of trading on March 16, 2007 through September 30, 2012 (not annualized and based
on net asset value per unit for all other purposes).
The Series returned a loss of (3.72%) in
September. Central bank action in Europe, US and China provided the necessary liquidity to drive equities and industrial commodities
higher. In Europe, a ratification of the European Stability Mechanism by Germany and a strengthening of the pro-Euro political
landscape helped increase risk appetite. As a result, the Series generally incurred losses from long fixed income exposures, short
exposures to industrial metals and the remaining short stock indices exposures. The strong regional effect of the signaled increase
in Chinese infrastructure spending contributed to the price appreciation in both Chinese stock indices and industrial metals. Short
exposures to industrial metals were therefore the Series’ worst performers, but the long exposure in gold made strong gains.
The US dollar depreciated mid-month, as the Fed initiated an open-ended quantitative easing program, thus benefitting the Series’
short exposures especially against the New Zealand and Singapore Dollar. However, some of these currency gains were offset by losses
from a stronger Euro where the Series still holds a net short exposure. In North America, the Series’ long exposures to stock
indices proved profitable, but the short natural gas exposure incurred losses as the onset of colder weather drove prices higher.
In addition, the established trends in grains such as soy and corn reversed following improved conditions for the new planting
season.
The Series posted a (3.28%) loss for the
month ending August 31, 2012, a (4.11%) loss for the year to date as of August 31, 2012 and an overall gain of 24.57% for the Series
from the inception of trading on March 16, 2007 to August 31, 2012 (not annualized).
The Series returned a loss of (3.28%) in
August. Increased optimism surrounding Euro zone issues, the prospect of further quantitative easing by global central banks and
strong US economic data helped boost risk appetite during the month. As a result, losses arose from the Series’ long exposure
to fixed income and the remaining short positions within the stock indices sector. The Euro also had a strong month, advancing
against both the US Dollar and the Japanese Yen, causing further losses for the Series. The weakening Australian Dollar and strengthening
Swiss Franc also led to negative performance from the Series’ positioning in these currencies relative to the US Dollar.
On the commodities side, short positions in the energies sector mostly contributed negatively. Oil prices rose on the back of strong
US economic data as well as bullish inventory statistics. However some gains were made from the Series’ short natural gas
positions amid forecasts of milder weather in the US. Metals also proved difficult: worst performing were the Series’ short
positions in platinum, as prices rose following violent disturbances at South African mines. Finally, in agricultural, the impact
of the worst US drought in more than half a century pushed soy prices higher, to the benefit of the Series’ long positions.
Short positions in sugar also made gains as prices fell due to declining demand from India and an acceleration of harvesting in
Brazil.
The Series posted a 3.05% gain for the
month ending July 31, 2012, a (0.87%) loss for the year to date as of July 31, 2012 and an overall gain of 28.79% for the Series
from the inception of trading on March 16, 2007 to July 31, 2012 (not annualized).
The Series returned 3.05% in July. The
frailty of the world economic recovery was readily apparent in July. Spain’s worsening credit conditions tested the Eurozone’s
ability to contain the situation, while the UK economy contracted for a third consecutive quarter. Chinese economic growth continued
to slow and in the US, weaker labor and growth statistics completed the bearish picture. In keeping with this, the Bank of England
extended their Quantitative Easing program while central banks in the Eurozone, China, Korea and South Africa cut rates in July.
Accordingly, the Series made gains across its long fixed income positions, except in Australia where the Reserve Bank surprised
markets and kept rates on hold. The Series’ short Euro position, especially against the Swedish Krona, made the currencies
sector the top performer for the month. However, energies were the only negative sector. The Series also made gains from its short
positions in base metals, reflecting a weakened demand outlook. Natural gas appreciated in price as a result of hot weather in
the US and the Series’ short exposures in the oils complex caused losses as geopolitical tensions and potential supply
disruptions resulted in higher oil prices. Finally, the agricultural sector contributed positively, driven by long positions in
grains where prices rallied as a result of drought in the US.
Quarter ended June 30, 2012
This performance description is a brief
summary of how the Series performed during the quarter ended June 30, 2012, and not necessarily an indication of how it will perform
in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused
such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative
of future results.
The Series ended June 30, 2012 with a year-to-date
loss of (3.80%), based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements –
(3) Related Party Transactions”).
April 1, 2012 to June 30, 2012
The Series posted a (5.04%) loss for the
month ending June 30, 2012, losses of (4.32%) and (3.80%) for the three and six months ended June 30, 2012 and an overall gain
of 24.98% for the Series from the inception of trading on March 16, 2007 through June 30, 2012 (not annualized and based on net
asset value per unit for all other purposes).
The Series saw a (5.04%) loss in June.
The majority of the month’s losses occurred on the last trading day as European leaders agreed to ease repayment rules for
Spanish banks and help reduce Italy’s borrowing costs. Broadly, the month was characterised by a return of risk appetite
amid expectations that central banks would act to help spur growth. Most stock indices, metals and agriculturals prices rose over
the month, while fixed income and the US Dollar declined, resulting in losses for the Series. In currencies, losses came from the
Series’ short Euro position against the US Dollar. However gains were made from other Euro based cross pairs as currencies
such as the Swedish Krona, Polish Zloty and Hungarian Forint continued to be supported by Eurozone uncertainty. Fixed income sectors
contributed negatively with losses dominated by long positions in German government bonds. US Treasuries also declined following
the Federal Reserve’s decision to extend ‘Operation Twist’ rather than provide a more aggressive form of easing.
The Series’ long position in Short Sterling performed well following the Bank of England’s plans to ease credit conditions.
In energies, natural gas prices surged following reports of smaller than expected inventories and above average temperatures in
the US. The Series’ losses from natural gas were slightly offset by gains from short positions in crude oil as prices declined
following weak US and European employment data. Finally, in agriculturals, losses sustained from the net short position in the
sector were lessened by long positions held in the soy complex which gained as news of low soil-moisture levels in the US drove
grain prices higher.
The Series posted a 0.36% return for the
month ending May 31, 2012, a 1.31% gain for the year to date as of May 31, 2012 and an overall gain of 31.61% for the Series from
the inception of trading on March 16, 2007 to May 31, 2012 (not annualized).
The Series returned 0.36% in May. Risk
aversion dominated markets following poor US labor market data at the start of the month, increasing concerns about Greece exiting
the Euro and the health of banks in Spain. Against this backdrop, equity and energy markets sold off and the US Dollar strengthened.
The Series responded to these sharp reversals and switched to a net short position in stock indices and energies by the middle
of the month. In currencies, the short US Dollar exposure was significantly reduced and switched to long towards the end of the
month. Notably, reduced expectations of an interest rate hike in Canada and a reduction of growth forecast by the Bank of England
placed further downward pressure on their currencies, resulting in losses for the Series. However, the Series’ short positioning
in the Euro helped offset this somewhat. Safe haven appeal pushed fixed income yields to new lows. In addition, central bank action
also drove the Series’ positive performance in fixed income. The Reserve Bank of Australia signaled the possibility of further
rate cuts, thus driving the prices of Australian fixed income higher and benefiting the Series’ long positioning. In energies,
oil prices were further pushed downwards by increasing inventories in the US and a potential increase in supply by Saudi Arabia.
Natural gas experienced a strong rally following short covering to the detriment of the Series’ short positioning. Lastly,
metals contributed positively to performance, with gains being derived from short positions across both industrial and precious
metals as prices declined with the general selloff in risky assets.
The Series posted a 0.40% return for the
month ending April 30, 2012, a 0.95% gain for the year to date as of April 30, 2012 and an overall gain of 31.14% for the Series
from the inception of trading on March 16, 2007 to April 30, 2012 (not annualized).
The Series returned 0.40% in April. Economic
and political uncertainty in Europe, concerns about slowing growth in China and some disappointing US data releases combined to
create risk aversion in markets. Fixed income advanced, leading to gains from the Series’ long bond and interest rate positions,
while losses came from the Series’ mainly long positions in stock indices. Nevertheless, one of the top performers was the
Series’ short position in the IBEX, which fell to a three-year low amid concerns about the Spanish economy. The Japanese
markets were also of particular note. Japanese stock indices fell sharply, and in an effort to boost the country’s economy
the Bank of Japan expanded its asset purchase program. Meanwhile the Series’ long position in USD/JPY made losses as the
US Dollar fell following a weaker-than-expected US GDP growth figure towards the end of the month. Oil markets fell as the International
Energy Agency gave signs that the oil supply and demand imbalance has started to ease, while talks between Iran and the West progressed,
resulting in losses from the energies sector. However, agricultural sector was positive, with gains coming in particular from long
positions in the soy complex as news of strong demand, combined with poor weather in South America, pushed prices higher.
Quarter ended March 31, 2012
This performance description is a brief
summary of how the Series performed during the quarter ended March 31, 2012, and not necessarily an indication of how it will perform
in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused
such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative
of future results.
The Series ended March 31, 2012 with a
year-to-date gain of 0.55%, based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements
– (3) Related Party Transactions”).
January 1, 2012 to March 31, 2012
The Series posted a (1.95%) loss for the
month ending March 31, 2012, a gain of 0.55% for the three months ended March 31, 2012 and an overall gain of 30.62% for the Series
from the inception of trading on March 16, 2007 through March 31, 2012 (not annualized and based on net asset value per unit for
all other purposes).
The Series returned (1.95%) in March. As
US labor data continued to surprise on the upside the US dollar strengthened, in particular against commodity currencies, leading
to losses for the Series. Mid-month, the Fed upwardly revised the economic outlook for the US leading to a global sell-off in bonds
which amounted to losses from the Series’ fixed income exposures. However, against this optimistic economic background, the
Series made gains from its long stock index exposures. In Australia, as interest rates were left unchanged with rhetoric suggesting
potential monetary easing in the near future, the Australian Dollar fell making it the Series’ worst performer. In commodities,
the Series’ short position in natural gas made gains as continued warm weather and reports of high supplies pushed prices
lower. This made energies the top sector for the month despite WTI crude falling following weak Chinese data and expectations of
a coordinated release of strategic reserves. In agriculturals, the Series’ short position in coffee made gains as prices
fell on signs that output from Brazil and Vietnam will increase.
The Series posted a 1.60% return for the
month ending February 29, 2012, a 2.55% gain for the year to date as of February 29, 2012 and an overall gain of 33.22% for the
Series from the inception of trading on March 16, 2007 to February 29, 2012 (not annualized).
The Series returned positive 1.60% gain
in February. The energies sector was the outstanding performer this month as increased global demand and Iranian-induced supply-stresses
meant the oil complex rallied strongly. In financial markets, better than expected US labour data, lessening fears of European
systemic risk and further liquidity provision by central banks created a bullish sentiment amongst market participants. In Europe,
the Bank of England provided yet more quantitative easing with rhetoric suggesting the potential for further rounds. Meanwhile,
the European Central Bank’s long-term refinancing operation was much anticipated and over-subscribed when it finally occurred.
As a result, world equity markets rallied to the Series’ benefit. However, bonds traded lower incurring
losses from the Series’ reducing
long exposures. The Reserve Bank of Australia surprised markets by not cutting rates, leading to the Series making losses from
its Australian bond exposures. However, gains were made from the Series’ short exposure to the Australian Bank Bills. Elsewhere
in Asia, the Bank of Japan also began a liquidity operation, focusing on purchasing longer maturity Japanese government bonds in
an effort to bring about some much needed inflation. This led the Yen to weaken sharply against its longer term trend making it
the Series’ worst performer. However, higher yielding currencies contributed to making the currencies sector a positive performer
overall despite reversals in the Yen and Euro.
The Series posted a 0.93% gain for the
month of January 2012 and an overall gain of 31.13% for the Series from the inception of trading on March 16, 2007 to January 31,
2012 (not annualized).
The Series returned a positive 0.93% in
January. Attempts to resolve the Eurozone sovereign debt situation drove market sentiment for most of the month. Uncertainty stemming
from the struggle by European leaders to reach agreement was punctuated by successful debt auctions, better than expected earnings
from US banks and encouraging global economic data. Towards the end of the month the Federal Reserve forecast that US interest
rates would remain low until the end of 2014, boosting US Treasuries, stock indices and gold. The US Dollar fell in response, to
the benefit of the Series’ positions. Gains were also made on long fixed income positions. In particular, Euribor futures
rose amid the prospect of further liquidity injections by the ECB. The rise in global stock markets resulted in losses from short
positions, especially in Asian indices. Notably, Chinese indices were also driven upwards by speculation of further monetary easing
by The People’s Bank of China. In commodities, losses were made from short positions in agriculturals and metals. Cocoa and
wheat prices rose amid forecasts of unfavorable weather, while zinc and aluminium prices rallied following encouraging Chinese
trade data and the prospect of output reductions. Natural gas meanwhile continued to trend lower, making the Series’ short
position the top performer. Additional gains in energies came from the Series’ long position in Reformulated Gasoline, the
price of which rallied on reports of US refinery shutdowns.
Quarter ended December 31, 2011
This performance description is a brief
summary of how the Series performed during the quarter ended December 31, 2011, and not necessarily an indication of how it will
perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have
caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily
indicative of future results.
The Series ended December 31, 2011 with
a year-to-date gain of 2.19%, based on the net asset value for all other purposes.
October 1, 2011 to December 30, 2011
The Series posted a 2.02% gain for the
month ended December 31, 2011, a gain/(loss) of (1.53%) and 2.19% for the three and twelve months ended December 31, 2011 and an
overall gain of 29.91% for the Series from the inception of trading on March 16, 2007 through December 31, 2011 (not annualized
and based on net asset value per unit for all other purposes).
The Series returned 2.02% in December.
The Eurozone crisis dominated newsflow throughout the month and spurred a broad flight to safety, resulting in notable gains from
the Series’ long bond positions. In addition the Series benefited from the Euro falling against both the US Dollar and the
Swedish Krona. The ECB followed up a rate cut early in the month by allocating a record amount in a single liquidity operation.
Euribor prices rallied ahead of the fresh liquidity and this helped offset losses from Australian interest rate positions. Having
cut rates twice in the quarter, the Reserve Bank of Australia commented on the strong domestic growth, decreasing expectations
of further interest rate cuts. Precious metals meanwhile lost some of their lustre as safe-haven assets and sold off sharply,
making the Series’ long positions in gold and silver the worst performers for the month. In agriculturals, losses came from
short positions in wheat and the soy complex amid expectations of dry weather, however cocoa contracts continued to generate positive
performance as prices fell further in December. Lastly, the Series’ short position in natural gas was the best performer
for the month as mild weather and high supplies pushed prices lower.
The Series posted a 1.37% gain for the
month ended November 30, 2011, a 0.16% gain for the year to date as of November 30, 2011 and an overall gain of 27.34% for the
Series from the inception of trading on March 16, 2007 to November 30, 2011 (not annualized).
The Series returned 1.37% in November.
Heightened Eurozone concerns, prompted by the announcement of a possible Greek referendum on the proposed EU bail-out package,
resulted in broad risk aversion early in the month. Stock markets traded lower resulting in gains from the Series’ short
positions in Asian and European indices, but the Series saw small losses from long positions in US indices. Positive performance
came from the Series’ long positions in bonds, in particular from Australian bonds, which were boosted by the Reserve Bank
of Australia’s decision to cut interest rates. The US Dollar performed strongly over the month, in particular against the
Australian Dollar resulting in losses from the Series’ initially long AUD/USD position. Towards the end of the month the
Series’ long position in Japanese government bonds made losses as yields rose due to concern about Japan’s finances
and the possibility of a credit rating downgrade. Some encouraging housing and inflation data from the UK pushed Short Sterling
lower, making it the Series’ worst performer for the month. However, short positions in cocoa, wheat and the soy complex
made gains as agricultural commodity prices fell, and mild weather in the US and reports of increased supplies of natural gas made
the Series’ short position here the best performing contract overall.
The Series posted a (4.79%) loss for the
month ended October 31, 2011, a (1.19%) loss for the year to date as of October 31, 2011 and an overall gain of 25.61% for the
Series from the inception of trading on March 16, 2007 to October 31, 2011 (not annualized).
The European debt crisis drove market sentiment
throughout October and the Series had a difficult month with (4.79%) loss. Early on, strong US economic data and the announcement
of further quantitative easing by the Bank of England boosted risk appetite. This was compounded as Eurozone governments reached
an agreement to help resolve the sovereign debt crisis and its impact on European banks. Elsewhere, encouraging data from Asia
boosted Chinese and Hong Kong stock markets. These drivers saw equity markets rally while fixed income markets sold off, rewarding
the Series’ long US stock indices exposure but resulting in losses from the Series’ long fixed income and net short
stock indices exposure. Improving sentiment also caused the US Dollar to sell off and the Series reduced its net long exposure,
ending the month with a net short position. The Euro in particular responded strongly to the European rescue plans, causing losses
for the Series. Meanwhile commodity markets recovered somewhat from last month’s falls. Notably, WTI crude oil was driven
higher by supply concerns, making this short position the Series’ worst performing instrument.
Quarter ended September 30, 2011
This performance description is a brief
summary of how the Series performed during the quarter ended September 30, 2011, and not necessarily an indication of how it will
perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have
caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily
indicative of future results.
The Series ended September 30, 2011 with
a year-to-date gain of 3.77%, based on the net asset value for all other purposes.
July 1, 2011 to September 30, 2011
The Series posted a (0.09%) loss for the
month ended September 30, 2011, a gain of 8.35% and 3.77% for the three and nine months ended September 30, 2011 and an overall
gain of 31.93% for the Series from the inception of trading on March 16, 2007 through September 30, 2011 (not annualized and based
on net asset value per unit for all other purposes).
The Series posted a (0.09%) loss in September.
Gains were made from the Series’ long positions in fixed income and from its net short exposure to energies and stock indices.
The price action in these broad asset classes reflected ongoing widespread concern over both weakening global growth and the European
sovereign debt crisis. Following a downbeat assessment of the risks to the US economy, the Federal Reserve launched ‘Operation
Twist’. Subsequently, equity and commodity markets sold off while fixed income prices rallied. By contrast, the Series suffered
losses in the currencies sector, driven by a strengthening US Dollar. However the positioning responded
and switched to a net long towards the
end of the month. In commodities, both oils and natural gas prices fell, making the energies sector a positive contributor. However,
gold and silver prices reversed sharply to the detriment of the Series’ positions, making them the worst contributors for
the month. Finally, the poor return from the agricultural sector was driven by falls in coffee and grains prices following particularly
strong harvest yields.
The Series posted a 1.43% gain for the
month ended August 31, 2011, a 3.86% gain for the year to date as of August 31, 2011 and an overall gain of 32.04% for the Series
from the inception of trading on March 16, 2007 to August 31, 2011 (not annualized).
The Series returned 1.43% in August. Bearish
sentiment gripped markets for most of the month driven by a succession of bad news reports. Following S&P’s downgrade
of the United States’ sovereign credit rating from AAA to AA+, data pointed to poor growth, employment and confidence in
the US and markets remained concerned about the European sovereign crisis. Despite the downgrade, investors sought the safety of
US Treasuries, which rallied, benefiting the Series’ long positions in fixed income. Following central bank interventions
in the Yen and Swiss Franc, safe haven demand saw the US Dollar strengthen and commodity currencies sell off against the Series’
positions. Gold reached new records, making it the Series’ second best performer. Lastly, stock indices, oils and industrial
metals sold off for most of the month. Following the downgrade, the Fed announced that it would keep interest rates at their current
low levels for another two years. However, Bernanke’s Jackson Hole speech late in the month did boost stock markets and commodities
as he reiterated the Fed’s focus on maintaining the economy on a growth trajectory. This resulted in some performance give-back
on the Series’ growing short stock index positions.
The Series posted a 6.92% gain for the
month ended July 31, 2011, a 2.40% gain for the year to date as of July 31, 2011 and an overall gain of 30.19% for the Series from
the inception of trading on March 16, 2007 to July 31, 2011 (not annualized).
The Series returned 6.92% in July. Investor
sentiment in the month was dominated by sovereign debt concerns, both in the Eurozone and the US. A poor US non-farm payrolls number
at the beginning of July and a surprisingly weak US GDP report at the end of the month added to the deteriorating outlook. Even
as the market weighed up the possibility of a US debt downgrade, fixed income markets rose around the globe in a flight to safety.
The Series made strong gains from its long positions in both short term interest rates and bonds, with UK fixed income and German
10-year government bonds being the strongest markets overall. Returns from commodities were also positive with profits from long
positions in oils and metals offsetting small losses in the agriculturals markets. Notably, the Series profited from its long position
in gold, which reached an all-time high at the end of the month. Lastly, gains were made in the currencies sector. The Series benefited
from its net short exposure to the US Dollar despite losses from a long Euro position as the Japanese Yen and New Zealand Dollar
strengthened against the US Dollar and the Swiss Franc rose to record levels.
Quarter ended June 30, 2011
This performance description is a brief
summary of how the Series performed during the quarter ended June 30, 2011, and not necessarily an indication of how it will perform
in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused
such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative
of future results.
The Series ended June 30, 2011 with a year-to-date
loss of (4.23%), based on the net asset value for all other purposes.
April 1, 2011 to June 30, 2011
The Series posted a (3.12%) loss for the
month ended June 30, 2011, a loss of (3.78%) and (4.23%) for the three and six months ended June 30, 2011 and an overall gain of
21.76% for the Series from the inception of trading on March 16, 2007 through June 30, 2011 (not annualized and based on net asset
value per unit for all other purposes).
The Series lost 3.12% in June. Greek sovereign
debt concerns combined with the US Federal Reserve’s downward revision of growth forecasts led to broad risk aversion towards
the middle of the month. Disappointing European and Chinese data further added to bearish market sentiment. Against this backdrop
the Series made losses as stock
markets and commodities declined and the
US Dollar strengthened. The losses were partly offset by gains from the Series’ long positions in fixed income markets, particularly
German, US and Japanese government bonds, as prices rallied. In the UK, the most recent minutes of the Monetary Policy Committee
reinforced the Bank of England’s commitment to a low interest rate environment. Consequently, Sterling fell against the US
Dollar while Short Sterling rallied. The International Energy Agency’s decision to release strategic oil reserves added to
the downward pressure on oil prices. In agricultural, the worst performer was corn as prices fell following reports of an unexpectedly
large planting season in the US. Towards the end of the month, the Series gave back some of its gains from its long fixed income
positions as optimism returned to the markets following the avoidance of default by Greece and the release of strong economic data
from the US and Asia.
The Series posted a (4.52%) loss for the
month ended May 31, 2011, a (1.14%) loss for the year to date as of May 31, 2011 and an overall gain of 25.68% for the Series from
the inception of trading on March 16, 2007 to May 31, 2011 (not annualized).
The Series lost 4.52% in May. Key themes
for the month were sell-offs in the commodity markets and continued concerns surrounding Eurozone sovereign debt and global growth.
The Series made losses from its long positions in risk-seeking assets with gains coming from the fixed income sectors. Oil prices
fell from their recent highs following the release of bearish inventory statistics at the start of the month and moves by investors
to take profits in the commodity sector. Agricultural and metals markets also retraced from their previous highs. Global equities
meanwhile declined amid poor global growth data, to the detriment of the Series’ long positions. Risk aversion boosted demand
for the US Dollar, to the detriment of the Series’ net short exposure. The Euro fell due to the Eurozone worries, resulting
in losses from the Series’ long EUR/USD position. In fixed income, global bond and interest rate futures rose due to safe-haven
appeal, to the benefit of the Series’ growing long bond positions. Positive performance from the interest rates sector was
driven by profits from the Series’ long Eurodollar position.
The Series posted a 4.02% return for the
month ended April 30, 2011, a 3.54% gain for the year to date as of April 30, 2011 and an overall gain of 31.63% for the Series
from the inception of trading on March 16, 2007 to April 30, 2011 (not annualized).
The Series returned 4.02% in April, driven
by a combination of US Dollar weakness and robust performance from energies and precious metals. The US Dollar fell against major
currencies, benefiting the Series’ net short positioning, amid continued expectations that the US Federal Reserve will keep
interest rates low. Long positions in oil and its products made gains at the start of the month as military action in Libya and
the civil unrest in the wider region continued. Events on both sides of the Atlantic prompted investors to switch to safe haven
assets. Standard & Poor’s cut its outlook on US sovereign debt from stable to negative, driving investors to precious
metals, which rallied as a result. Concerns about peripheral European debt boosted the prices of core European fixed income, resulting
in losses from the Series’ short positions in Euro Bund and Euribor. Towards the end of the month a series of positive US
earnings announcements and successful European government bond auctions helped increase risk appetite. As a result the Series made
strong gains from risky assets despite a temporary mid-month energy price correction. Performance from agricultural was mixed.
Cotton futures fell amid uncertainty over demand, while the Series made gains from its long position in coffee as the cost of Arabica
rose to a 34-year high following increased demand from developing countries.
Quarter ended March 31, 2011
This performance description is a brief
summary of how the Series performed during the quarter ended March 31, 2011, and not necessarily an indication of how it will perform
in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused
such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative
of future results.
The Series ended March 31, 2011 with a
year-to-date loss of (0.46%), based on the net asset value for all other purposes.
January 1, 2011 to March 31, 2011
The Series posted a (1.15%) loss for the
month ending March 31, 2011, a loss of (0.46%) for the three months ended March 31, 2011 and an overall gain of 26.54% for the
Series from the inception of trading on March 16, 2007 through March 31, 2011 (not annualized and based on net asset value per
unit for all other purposes).
The Series returned (1.15%) in March. The
month began positively with long positions in oil and the products making gains as the Libyan turmoil continued. However, sentiment
turned bearish following European sovereign downgrades and weak Chinese trade and inflation data. On March 11, 2011, the worst
earthquake and tsunami in Japanese history devastated the country. Japanese equities sold off sharply, resulting in the Series’
long positions in the Nikkei and Topix being the month’s worst performers. The sell-off in equities spread across the globe
on worries about the implications for global growth. In response to these events, positions in the portfolio were systematically
reduced. Agricultural markets also sold off to the detriment of the Series’ long positions. Signs that the political turmoil
in Ivory Coast may be easing caused the cocoa price to tumble from near 33-year highs. Strong US economic data released later in
the month enabled the Series to recoup some of its earlier losses from stock indices and commodities. Expectations of an interest
rate increase by the European Central Bank resulted in the Euro strengthening against the USD, to the benefit of the Series. These
expectations also resulted in gains from the Series’ short position in Euribor, which were partly offset by losses from long
exposure to Eurodollar after the US Federal Reserve announced that they would begin unwinding some stimulus measures.
The Series posted a 2.28% return for the
month ending February 28, 2011, a 0.70% gain for the year to date as of February 28, 2011 and an overall gain of 28.02% for the
Series from the inception of trading on March 16, 2007 to February 28, 2011 (not annualized).
The Series returned 2.28% in February.
Following robust economic and earnings data, global stock markets rose at the start of the month with the S&P 500 pushing above
the 1,300 level and doubling the low achieved in March 2009. However, tension in North Africa and the Middle East increased towards
the end of the month, causing the oil price to soar. The Series made gains from its long positions in oil and its products, making
energies the top sector for the month. In response to the geopolitical concerns, stock markets sold off and the Series gave back
some of its earlier profits from stock indices. Metals prices generally increased during the month. Some industrial metals rose
due to supply concerns and rising global demand, while precious metals rose as safe-haven appeal returned to the market, with silver
hitting a 30-year high. Gains were partly offset by losses from the fixed income sectors. Bonds rallied amid the flight to safety,
to the detriment of the Series’ short positions in the sector. Commodity-linked currencies found support as the political
turmoil boosted raw materials prices. Profits were also seen from the Series’ net short exposure to the USD as it lost ground
against several currencies including Sterling, which was supported by speculation that the Bank of England may raise interest rates
earlier than the US Federal Reserve.
The Series posted a (1.55%) loss for the
month of January 2011 and an overall gain of 25.16% for the Series from the inception of trading on March 16, 2007 to January 31,
2011 (not annualized).
The Series returned (1.55%) in January.
There were two main themes that drove markets during the month: civil unrest in North Africa and increased concerns about inflation.
The People’s Bank of China raised its reserve ratio requirement for the fourth time in two months in an effort to prevent
its economy from overheating. Meanwhile, in Europe, ECB President Jean-Claude Trichet signaled a potential for interest rate increases
in the Eurozone after inflation data exceeded forecasts. The Series incurred losses from its long Euribor and Schatz holdings
but benefited from a weaker Euro. In addition, the bonds sector saw losses from the short positions in Australian instruments
as the severe flooding saw prices rally on safe haven demand. In commodities, the main losses came from silver and gold which
were both affected by profit-taking after silver hit multi-decade highs and gold reached all-time highs, reinforced by some stronger
economic news during the month. By contrast, the energies sector was the month’s best performer. Concerns about the Egyptian
crisis drove Brent crude, gas oil and heating oil higher, to the benefit of the Series’ long positions across the oils complex.
In agricultural, the Series’ long positions continued to generate positive performance as prices in grains and softs moved
upwards, further fuelling the inflation debate.
Variables Affecting Performance
The principal variables that determine
the net performance of the Series are gross profitability from the Master Fund’s trading activity and interest income.
The Series’ assets invested in the
Master Fund are maintained at the Clearing Broker. On assets held in U.S. dollars, the Clearing Broker credits the Master Fund
with interest at the prevailing Federal Funds Rate. In the case of non-U.S. dollar instruments, the Clearing Broker lends to the
Master Fund all required non-U.S. currencies at a local short-term interest rate plus a spread of up to 100 basis points per annum
(at current rates). For deposits held in non-U.S. currencies, the Clearing Broker credits the local short-term interest rate less
a spread of up to 200 basis points per annum (at current rates).
The Series’ management, Sponsor
and operating expenses and the sales commissions are a constant percentage of the Series’ net asset value for all other purposes.
Trading costs allocated from the Master Fund (based on the Series pro rata investment in the Master Fund), which are not based
on a percentage of the Series’ net assets, are based on the volume of trades executed and cleared on behalf of the Master
Fund. Trading costs are based on the actual number of contracts traded. The performance fees payable to the Trading Advisor are
based on the new net trading profits, if any, generated from the Series’ investment in the Master Fund, excluding interest
income and after reduction for trading costs and certain other fees and expenses.
For the Master Fund, there is generally
no meaningful distinction between realized and unrealized profits. Most of the instruments traded by the Master Fund are highly
liquid and can be closed out immediately.
Off-balance Sheet Arrangements
The Series has no applicable off-balance
sheet arrangements of the type described in Items 3.03(a)(4) of Regulation S-K.
Contractual Obligations
The Series does not enter into any contractual
obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that
would affect its liquidity or capital resources. Via its investment in the Master Fund, the Series’ sole business is trading
futures and forward currency contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled
by the Master Fund by offset, not delivery. The Master Fund’s Financial Statements filed as Exhibit 13.02 herewith present
a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Series’ open future and
forward currency contracts, both long and short, at December 31, 2012 and 2011.
Item 7A: Quantitative and Qualitative Disclosures About
Market Risk
Not applicable; the Series is a smaller
reporting company
Item 8: Financial Statements and Supplementary Data
Supplementary
Data
Net Income
by Quarter (unaudited)
Four Quarters
through December 31, 2012
| |
|
First |
|
|
Second |
|
|
Third |
|
|
Fourth |
|
|
|
|
| |
|
Quarter |
|
|
Quarter |
|
|
Quarter |
|
|
Quarter |
|
|
|
|
| |
|
2012 |
|
|
2012 |
|
|
2012 |
|
|
2012 |
|
|
Total |
|
| Total Income (Loss) |
|
$ |
1,722,911 |
|
|
$ |
(2,777,928 |
) |
|
$ |
(2,433,858 |
) |
|
$ |
(3,509,051 |
) |
|
$ |
(6,997,926 |
) |
| Total Expenses |
|
|
(1,286,864 |
) |
|
|
(1,162,198 |
) |
|
|
(1,151,467 |
) |
|
|
(1,050,816 |
) |
|
|
(4,651,345 |
) |
| Net Income (Loss) |
|
$ |
436,047 |
|
|
$ |
(3,940,126 |
) |
|
$ |
(3,585,325 |
) |
|
$ |
(4,559,867 |
) |
|
$ |
(11,649,271 |
) |
| Net Income (Loss) per Unit1 |
|
$ |
6.87 |
|
|
$ |
(58.20 |
) |
|
$ |
(51.34 |
) |
|
$ |
(66.33 |
) |
|
$ |
(173.90 |
) |
1 Based
on average number of Units for the year.
Net Income
by Quarter (unaudited)
Four Quarters
through December 31, 2011
| |
|
First
Quarter
2011 |
|
|
Second
Quarter
2011 |
|
|
Third
Quarter
2011 |
|
|
Fourth
Quarter
2011 |
|
|
Total |
|
| Total Income (Loss) |
|
$ |
687,622 |
|
|
$ |
(1,845,662 |
) |
|
$ |
8,045,785 |
|
|
$ |
(36,011 |
) |
|
$ |
6,851,734 |
|
| Total Expenses |
|
|
(978,294 |
) |
|
|
(966,597 |
) |
|
|
(2,068,669 |
) |
|
|
(1,024,702 |
) |
|
|
(5,038,262 |
) |
| Net Income (Loss) |
|
$ |
(290,672 |
) |
|
$ |
(2,812,259 |
) |
|
$ |
5,977,116 |
|
|
$ |
(1,060,713 |
) |
|
$ |
1,813,472 |
|
| Net Income (Loss) per Unit1 |
|
$ |
(5.50 |
) |
|
$ |
(49.65 |
) |
|
$ |
105.17 |
|
|
$ |
(18.03 |
) |
|
$ |
32.26 |
|
1 Based
on average number of Units for the year.
As
the Platform is classified as a Smaller Reporting Company, as defined by Rule
229.10(f)(1) of Regulation S-K, the supplementary financial information required
by Item 302 of Regulation S-K is not applicable.
ALPHAMETRIX MANAGED FUTURES LLC
(A Limited Liability Company)
Financial Statements as of December 31,
2012 and 2011
and for Each of the Two Years Ended December
31, 2012 and 2011,
and Report of Independent Registered Public
Accounting Firm
AFFIRMATION OF ALPHAMETRIX, LLC.
In compliance with the Commodity Futures
Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained
in the statements of financial condition of AlphaMetrix Managed Futures LLC as of December 31, 2012 and 2011, and the related statements
of operations and changes in members’ capital for each of the two years ended December 31, 2012, are accurate and complete.
| /s/ Aleks Kins |
|
| Aleks Kins |
|
| President and Chief Executive Officer |
|
| AlphaMetrix, LLC. |
|
| Manager of AlphaMetrix Managed Futures LLC |
|
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Members of AlphaMetrix Managed Futures
LLC:
We have audited the accompanying statements
of financial condition of AlphaMetrix Managed Futures LLC, comprising of AlphaMetrix Managed Futures LLC (Aspect Series), (a series
of a Delaware Series Limited Liability Company) (collectively the “Platform”), as of December 31, 2012 and 2011, and
the related statements of operations and changes in members’ capital for the years then ended. These financial statements
are the responsibility of the Platform’s management. Our responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with
the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform
the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Platform
is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate
in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Platform’s internal control
over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable
basis for our opinion.
In our opinion, such financial statements
referred to above present fairly, in all material respects, the financial position of the Platform at December 31, 2012 and 2011,
and the results of its operations and the changes in its members’ capital for the years then ended, in conformity with accounting
principles generally accepted in the United States of America.
| /s/ DELOITTE & TOUCHE LLP |
|
| |
|
| Chicago, Illinois |
|
| April 11, 2013 |
|
ALPHAMETRIX MANAGED FUTURES LLC
Statements of Financial Condition
| | |
AlphaMetrix Managed
Futures LLC (Aspect Series)
December 31,
2012 | | |
AlphaMetrix Managed
Futures LLC
December 31, 2012 | | |
AlphaMetrix Managed
Futures LLC (Aspect Series)
December 31,
2011 | | |
AlphaMetrix Managed
Futures LLC
December 31, 2011 | |
| ASSETS | |
| | | |
| | | |
| | | |
| | |
| Investment in AlphaMetrix Aspect Fund - MT0001, at fair value | |
$ | 63,194,749 | | |
$ | 63,194,749 | | |
$ | 69,103,283 | | |
$ | 69,103,283 | |
| Cash at bank | |
| 16,104,735 | | |
| 16,104,735 | | |
| 14,093,440 | | |
| 14,093,440 | |
| | |
| | | |
| | | |
| | | |
| | |
| Total Assets | |
$ | 79,299,484 | | |
$ | 79,299,484 | | |
$ | 83,196,723 | | |
$ | 83,196,723 | |
| | |
| | | |
| | | |
| | | |
| | |
| LIABILITIES | |
| | | |
| | | |
| | | |
| | |
| | |
| | | |
| | | |
| | | |
| | |
| REDEMPTIONS PAYABLE | |
$ | 3,376,506 | | |
$ | 3,376,506 | | |
$ | 151,345 | | |
$ | 151,345 | |
| | |
| | | |
| | | |
| | | |
| | |
| SUBSCRIPTIONS RECEIVED IN ADVANCE | |
| 259,715 | | |
| 259,715 | | |
| 2,558,453 | | |
| 2,558,453 | |
| | |
| | | |
| | | |
| | | |
| | |
| PAYABLES: | |
| | | |
| | | |
| | | |
| | |
| Accrued sales commission | |
| 131,554 | | |
| 131,554 | | |
| 134,044 | | |
| 134,044 | |
| Accrued sponsor’s fee | |
| 10,120 | | |
| 10,120 | | |
| 11,402 | | |
| 11,402 | |
| Accrued operating costs | |
| 130,334 | | |
| 130,334 | | |
| 247,811 | | |
| 247,811 | |
| | |
| | | |
| | | |
| | | |
| | |
| Total Liabilities | |
| 3,908,229 | | |
| 3,908,229 | | |
| 3,103,055 | | |
| 3,103,055 | |
| | |
| | | |
| | | |
| | | |
| | |
| MEMBERS’ CAPITAL | |
| | | |
| | | |
| | | |
| | |
| Members (66,458.60 and 61,654.52 units outstanding at December 31, 2012 and December 31, 2011, respectively, unlimited units authorized) | |
| 75,382,045 | | |
| 75,382,045 | | |
| 80,083,121 | | |
| 80,083,121 | |
| Sponsor (8.12 units outstanding at December 31, 2012 and December 31, 2011, respectively, unlimited units authorized) | |
| 9,210 | | |
| 9,210 | | |
| 10,547 | | |
| 10,547 | |
| Total Members’ Capital | |
| 75,391,255 | | |
| 75,391,255 | | |
| 80,093,668 | | |
| 80,093,668 | |
| | |
| | | |
| | | |
| | | |
| | |
| Total Liabilities and Members’ Capital | |
$ | 79,299,484 | | |
$ | 79,299,484 | | |
$ | 83,196,723 | | |
$ | 83,196,723 | |
See notes to financial statements.
ALPHAMETRIX MANAGED FUTURES LLC
Statements of Operations
For the years ended December 31, 2012 and
2011
| | |
AlphaMetrix Managed
Futures LLC (Aspect Series)
2012 | | |
AlphaMetrix Managed
Futures LLC
2012 | | |
AlphaMetrix Managed
Futures LLC (Aspect Series)
2011 | | |
AlphaMetrix Managed
Futures LLC
2011 | |
| NET INVESTMENT INCOME/(LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001: | |
| | | |
| | | |
| | | |
| | |
| Interest income | |
$ | 16,727 | | |
$ | 16,727 | | |
$ | 26,040 | | |
$ | 26,040 | |
| Trading costs | |
| (153,172 | ) | |
| (153,172 | ) | |
| (102,436 | ) | |
| (102,436 | ) |
| Interest expense | |
| (47,800 | ) | |
| (47,800 | ) | |
| (45,617 | ) | |
| (45,617 | ) |
| Bank fees | |
| — | | |
| — | | |
| (103 | ) | |
| (103 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Net investment income/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| (184,245 | ) | |
| (184,245 | ) | |
| (122,116 | ) | |
| (122,116 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| SERIES NET INVESTMENT INCOME/(LOSS): | |
| | | |
| | | |
| | | |
| | |
| Operating expenses | |
| (446,353 | ) | |
| (446,353 | ) | |
| (424,135 | ) | |
| (424,135 | ) |
| Management fee | |
| (1,704,284 | ) | |
| (1,704,284 | ) | |
| (1,475,678 | ) | |
| (1,475,678 | ) |
| Performance fee | |
| (173,293 | ) | |
| (173,293 | ) | |
| (1,151,168 | ) | |
| (1,151,168 | ) |
| Sales commissions | |
| (1,701,154 | ) | |
| (1,701,154 | ) | |
| (1,471,300 | ) | |
| (1,471,300 | ) |
| Sponsor fee | |
| (425,289 | ) | |
| (425,289 | ) | |
| (367,825 | ) | |
| (367,825 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Series net investment income/(loss) | |
| (4,450,373 | ) | |
| (4,450,373 | ) | |
| (4,890,106 | ) | |
| (4,890,106 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Total net investment income/(loss) | |
| (4,634,618 | ) | |
| (4,634,618 | ) | |
| (5,012,222 | ) | |
| (5,012,222 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001 | |
| | | |
| | | |
| | | |
| | |
| Net realized gain/(loss) | |
| (6,377,197 | ) | |
| (6,377,197 | ) | |
| 8,257,867 | | |
| 8,257,867 | |
| Net increase/(decrease) in unrealized appreciation/(depreciation) | |
| (637,456 | ) | |
| (637,456 | ) | |
| (1,432,173 | ) | |
| (1,432,173 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| (7,014,653 | ) | |
| (7,014,653 | ) | |
| 6,825,694 | | |
| 6,825,694 | |
| | |
| | | |
| | | |
| | | |
| | |
| Net increase/(decrease) in net assets resulting from operations | |
$ | (11,649,271 | ) | |
$ | (11,649,271 | ) | |
$ | 1,813,472 | | |
$ | 1,813,472 | |
| | |
| | | |
| | | |
| | | |
| | |
| Weighted average number of units outstanding | |
| 66,989 | | |
| 66,989 | | |
| 56,210 | | |
| 56,210 | |
| | |
| | | |
| | | |
| | | |
| | |
| Net income/(loss) per weighted average unit | |
$ | (173.90 | ) | |
$ | (173.90 | ) | |
$ | 32.26 | | |
$ | 32.26 | |
See notes to financial statements.
ALPHAMETRIX MANAGED FUTURES LLC
Statements of Changes in Members’
Capital
For the years ended December 31, 2012 and
2011
| For the year ended December 31, 2012 | |
AlphaMetrix Managed Futures LLC (Aspect Series) | | |
AlphaMetrix Managed | |
| | |
Members | | |
Sponsor | | |
Total | | |
Futures LLC Total | |
| | |
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | |
| Members’ capital at January 1, 2012 | |
$ | 80,083,121 | | |
| 61,654.52 | | |
$ | 10,547 | | |
| 8.12 | | |
$ | 80,093,668 | | |
| 61,662.64 | | |
$ | 80,093,668 | | |
| 61,662.64 | |
| Members’ subscriptions | |
| 17,342,258 | | |
| 13,421.99 | | |
| — | | |
| — | | |
| 17,342,258 | | |
| 13,421.99 | | |
| 17,342,258 | | |
| 13,421.99 | |
| Members’ redemptions | |
| (10,395,400 | ) | |
| (8,617.91 | ) | |
| — | | |
| — | | |
| (10,395,400 | ) | |
| (8,617.91 | ) | |
| (10,395,400 | ) | |
| (8,617.91 | ) |
| Net investment income/(loss) | |
| (4,634,062 | ) | |
| — | | |
| (556 | ) | |
| — | | |
| (4,634,618 | ) | |
| — | | |
| (4,634,618 | ) | |
| — | |
| Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| (7,013,872 | ) | |
| — | | |
| (781 | ) | |
| — | | |
| (7,014,653 | ) | |
| — | | |
| (7,014,653 | ) | |
| — | |
| Members’ capital at December 31, 2012 | |
$ | 75,382,045 | | |
| 66,458.60 | | |
$ | 9,210 | | |
| 8.12 | | |
$ | 75,391,255 | | |
| 66,466.72 | | |
$ | 75,391,255 | | |
| 66,466.72 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net asset value per unit at January 1, 2012 | |
$ | 1,298.901 | | |
| | | |
$ | 1,298.901 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Change in net asset value per unit | |
| (164.630 | ) | |
| | | |
| (164.630 | ) | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net asset value per unit at December 31, 2012 | |
$ | 1,134.271 | | |
| | | |
$ | 1,134.271 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| For the year ended December 31, 2011 | |
AlphaMetrix Managed Futures LLC (Aspect Series) | | |
AlphaMetrix Managed | |
| | |
Members | | |
Sponsor | | |
Total | | |
Futures LLC Total | |
| | |
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | | |
Amount | | |
Units | |
| Members’ capital at January 1, 2011 | |
$ | 63,839,812 | | |
| 50,277.92 | | |
$ | 10,310 | | |
| 8.12 | | |
$ | 63,850,122 | | |
| 50,286.04 | | |
$ | 63,850,122 | | |
| 50,286.04 | |
| Members’ subscriptions | |
| 24,390,322 | | |
| 19,173.21 | | |
| — | | |
| — | | |
| 24,390,322 | | |
| 19,173.21 | | |
| 24,390,322 | | |
| 19,173.21 | |
| Members’ redemptions | |
| (9,960,248 | ) | |
| (7,796.61 | ) | |
| — | | |
| — | | |
| (9,960,248 | ) | |
| (7,796.61 | ) | |
| (9,960,248 | ) | |
| (7,796.61 | ) |
| Net investment income/(loss) | |
| (5,011,512 | ) | |
| — | | |
| (710 | ) | |
| — | | |
| (5,012,222 | ) | |
| — | | |
| (5,012,222 | ) | |
| — | |
| Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| 6,824,747 | | |
| — | | |
| 947 | | |
| — | | |
| 6,825,694 | | |
| — | | |
| 6,825,694 | | |
| — | |
| Members’ capital at December 31, 2011 | |
$ | 80,083,121 | | |
| 61,654.52 | | |
$ | 10,547 | | |
| 8.12 | | |
$ | 80,093,668 | | |
| 61,662.64 | | |
$ | 80,093,668 | | |
| 61,662.64 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net asset value per unit at January 1, 2011 | |
$ | 1,269.739 | | |
| | | |
$ | 1,269.739 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Change in net asset value per unit | |
| 29.162 | | |
| | | |
| 29.162 | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net asset value per unit at December 31, 2011 | |
$ | 1,298.901 | | |
| | | |
$ | 1,298.901 | | |
| | | |
| | | |
| | | |
| | | |
| | |
See notes to financial statements.
ALPHAMETRIX
MANAGED FUTURES LLC
NOTES
TO FINANCIAL STATEMENTS
AS
OF AND FOR THE YEARS ENDED DECEMBER 31, 2012 AND 2011
(1) Organization
As of November 1, 2008, AlphaMetrix, LLC
(the “Sponsor”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform”). The Sponsor is registered
with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor,
with the Securities and Exchange Commission (“SEC”) as a Registered Investment Advisor (“RIA”) and Registered
Transfer Agent (“RTA”), and is a member of the National Futures Association (“NFA”). The Platform was formed
on July 25, 2006 as a Delaware series limited liability company pursuant to the Delaware Limited Liability Company Act. AlphaMetrix
Managed Futures LLC (Aspect Series) (the “Aspect Series” or “Series”) is the only “segregated series”
of the Platform. Since the Aspect Series is the Platform’s only segregated series, references to Aspect Series also include
the Platform unless otherwise noted. On November 1, 2008, the Sponsor was assigned sponsorship in the Platform and managerial interest
in the Aspect Series from the former sponsor of the Platform, UBS Managed Fund Services, Inc. (“UBS MFS” or the “former
sponsor”) and the name of the Platform and Aspect Series were changed from UBS Managed Futures LLC and UBS Managed Futures
LLC (Aspect Series) to AlphaMetrix Managed Futures LLC and AlphaMetrix Managed Futures LLC (Aspect Series), respectively. The Platform
and Aspect Series are governed in accordance with the Confidential Offering Memorandum dated October 31, 2011 (the “Confidential
Disclosure Memorandum”). All capitalized terms used herein are defined in the Confidential Offering Memorandum.
The Aspect Series invested substantially
all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the “Trading
Fund”). The Trading Fund then invested a substantial portion of its assets in AlphaMetrix Aspect Fund – MT0001 (the
“Master Fund”) which is advised by Aspect Capital Limited (the “Trading Advisor”). On August 30, 2009,
the Trading Fund ceased operations and as of September 1, 2009, the Aspect Series invested directly into the Master Fund. As of
December 1, 2009, another fund operated by the Sponsor invested in the Master Fund. Prior to December 31, 2010 the Aspect Series
and the Master Fund were consolidated in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards
Codification (“ASC”) 810, Consolidation (“ASC 810”). Subsequent to December 31, 2010, the Aspect
Series and Master Fund are no longer consolidated.
The Master Fund engages in the speculative
trading of U.S. and foreign futures and forward currency contracts (collectively, “derivatives”) whose values are based
upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to
purchase or sell other financial instruments at specified future dates. Until October 1, 2009, UBS Securities LLC was the Series’
futures clearing broker (the “Clearing Broker”) and until October 13, 2009, UBS AG was the foreign exchange clearing
broker of the Master Fund. On and after October 1, 2009 for general futures clearing brokerage, excluding foreign currency, and
on and after October 13, 2009 including foreign currency, Credit Suisse Securities (USA) LLC acts as the Master Fund’s clearing
broker (reference to the “Clearing Broker” shall be UBS Securities LLC if involving matters prior to October 1, 2009
and to Credit Suisse Securities (USA) LLC for matters on or after October 1, 2009). The Sponsor, over time, intends to offer investors
a selection of different trading advisors, each managing a different segregated series of the Platform. There can be no assurance,
however, that any series other than the Series will be offered or that the Series will continue to be offered. The Series was organized
on October 26, 2006 and commenced trading on March 16, 2007. The Series filed a Form 10, under the Securities Exchange Act of 1934,
as amended, with the SEC to register the units of limited liability company interest (“Units”), which registration
became effective October 17, 2006.
On March 16, 2007, the Series issued 5,000.00
Units to the Trading Advisor for $5,000,000 (the “Trading Advisor Investment”) and issued 2,760.62 Units for $2,760,620
to third parties. On April 1, 2007, the Series issued 9.94 Units to the former sponsor, UBS MFS, for $10,000. On December 31, 2007,
the Trading Advisor redeemed the full value of the Trading Advisor Investment. On October 31, 2008, UBS MFS redeemed the full value
of their Units in conjunction with the assignment of the Sponsor and on November 1, 2008, the Series issued 8.12 Units to the Sponsor
for $10,000.
At the sole discretion of the Sponsor,
the Series may terminate for any reason (for the avoidance of doubt, the Sponsor shall be entitled, without any violation of any
contractual or fiduciary obligation to any investor in the Series (a “Member”), to dissolve the Series at any time).
(2) Summary
of Significant Accounting Policies
The accounting records for the Platform
and Series are maintained in accordance with accounting principles generally accepted in the United States of America (“GAAP”).
Following is a summary of significant accounting policies consistently followed in the preparation of the financial statements.
The Platform includes the accounts of the Aspect Series.
Investment
The Series invests substantially all of
its assets in the Master Fund. The Series’ investment in the Master Fund is carried at fair value and represents the Series’
pro rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. At December
31, 2012 and 2011, the Series’ investment in the Master Fund was $63,194,749 and $69,103,283, approximately 85.98% and 87.07%
of the Master Fund’s net assets. In accordance with Financial Accounting Standards Board (“FASB”) Accounting
Standards Codification (“ASC”) 946 Financial Services – Investment Companies, the Series and the Master
Fund are not consolidated. The Master Fund’s assets are carried at fair value. At each valuation date, the Master Fund’s
income, expenses, net realized gain/(loss) and net increase /(decrease) in unrealized appreciation/(depreciation) are allocated
to the Series based on the Series’ pro rata interest in the net assets of the Master Fund, and recorded in the Series’
Statements of Operations. The Master Fund provides the Series with daily estimated net asset valuations. The financial statements
of the Master Fund are attached to this report and should be read in conjunction with the Series’ financial statements.
Basis of Presentation
Pursuant to rules and regulations of the
SEC, financial statements are presented for the Platform as a whole and for the Aspect Series. The accompanying financial statements
and notes thereto include financial statements and footnote totals for the Platform as a whole. For the avoidance of doubt, the
debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular segregated
series shall be enforceable only against the assets of such series and not against the assets of the Platform generally or any
other segregated series. Accordingly, the assets of one segregated series of the Platform include only those funds and other assets
that are paid to, held by or distributed to the Platform on account of and for the benefit of that segregated series, including,
without limitation, funds delivered to the Platform for the purchase of Units in that segregated series. As of December 31, 2012
and 2011, the Aspect Series exists as the only segregated series on the Platform.
Use of Estimates
The preparation of financial statements
in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities
and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ from those estimates.
Cash
Cash is maintained in the custody of commercial
banks and includes cash received related to subscriptions received in advance.
Subscriptions received in advance
Subscriptions received in advance are subscriptions
received for the purchase of units effective subsequent to year end.
Redemptions payable
Redemptions payable are share redemptions
effective December 31, 2012 and 2011 but paid subsequent to year end.
Income Taxes
The Platform follows the provisions of
FASB ASC Topic 740, Income Taxes (“ASC 740”), related to accounting for uncertainty in income taxes. ASC 740
prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income
tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. ASC
740 requires the evaluation of tax positions taken in the course of preparing the tax returns to determine whether the tax positions
are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed
to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. As of December 31, 2012 and
2011, no liability was recognized in connection with ASC 740. The Platform is subject to income tax examinations by tax authorities
for all tax years since their respective inception date.
As the Series is a partnership for tax
purposes, the Series’ Members are individually responsible for reporting income or loss based on such Member’s share
of the Series’ income and expenses as reported for income tax purposes.
Interest Income/Expense
Interest income and expense is recognized
on an accrual basis. Interest income or expense may include (1) the allocation from the Master Fund of the Master Fund’s
interest income/expense from its broker, or (2) interest income from the Series’ bank account.
Allocation of Operating Costs
The Series bears its own operating and
investment costs and expenses.
Fair Value Measurement and
Disclosure
FASB ASC 820, Fair Value Measurement
(“ASC 820”) defines fair value, establishes a framework for measuring fair value and expands disclosures about fair
value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement,
and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements
are disclosed by level within that hierarchy, as follows:
Level 1 — Values for investments
classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are
based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant
degree of judgment.
Level 2 — Values for investments
classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant
inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.
Level 3 — Values for investments
categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value
and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.
The Series invests its assets in the Master
Fund. The classification of the Master Fund’s investments in accordance with ASC 820 is discussed in the notes to the attached
financial statements of the Master Fund.
Derivative Instruments
FASB ASC 815, Derivatives and Hedging
(“ASC 815”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures
about fair value amounts of and gains and losses on derivative instruments and disclosures about credit-risk-related contingent
features in derivative agreements. The Series invests substantially all of its assets in the Master Fund which engages in the speculative
trading of U.S. and foreign futures contracts and forward currency contracts (collectively “derivatives”). The disclosures
required by ASC 815 for the Master Fund are discussed in the notes to the financial statements of the Master Fund. The Series does
not directly trade derivatives.
In December 2011, the FASB issued Accounting
Standards Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates
new disclosure requirements requiring entities to disclose both gross and net information for recognized derivative instruments
and financial instruments that are either offset in the Statement of Financial Condition or subject to an enforceable master netting
arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after
January 1, 2013, and interim periods within those annual periods. The Sponsor is currently evaluating the impact of the ASU’s
adoption on the Master Fund’s financial statement disclosures.
Distributions
The Sponsor does not intend to make any
distributions. Consequently, in order to pay the taxes attributable to their investment in the Series, Members must either redeem
Units or pay such taxes from other sources.
Subscriptions
Units are purchased generally at the beginning
of each calendar month based on the net asset value per Unit for all other purposes (see Note 3) calculated for the prior month-end.
Completed Subscription Agreements relative
to each Series must be received by the appropriate Selling Agent no later than seven calendar days prior to the first day of any
month in which a Member intends to invest. Members are initially issued units at $1,000 per unit as of the date of the commencement
of operations and at the current Net Asset Value (“NAV”) for all dates thereafter.
Existing Members may make an additional
investment by completing, and submitting to the Selling Agents, a short-form Subscription Agreement, as provided by the Sponsor.
The Sponsor, in its sole discretion and
for any reason, may decline to accept the subscription of any prospective Member.
Redemptions
Units may be redeemed as of the end of
any calendar month (each, a “Redemption Date”) at the Net Asset Value per Unit at such Redemption Date. Redemption
requests must be received by the 15th day of the calendar month of such Redemption Date or the following business day if the 15th
is not a business day. The Sponsor may permit redemptions at other times and on shorter notice.
The Net Asset Value of redeemed Units is
determined as of the Redemption Date for purposes of determining the redemption proceeds due to Members. Members will remain subject
to fluctuations in such Net Asset Value during the period between submission of their redemption requests and the applicable Redemption
Date. The Net Asset Value of Units on the designated Redemption Date may differ materially from the Net Asset Value of such Units
as of the date on which an irrevocable redemption request must be submitted.
When Units are redeemed (or exchanged),
any accrued fees (including performance fees) and expenses reduce the redemption proceeds paid to members.
Indemnifications
In the normal course of business, the Series
enters into contracts and agreements that contain a variety of representations and warranties and which would provide general indemnifications.
The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series
that have not yet occurred. However, the Series expects the risk of any future obligation under these indemnifications to be remote.
(3) Related Party Transactions
Each Member or Member-related account is
subject to an upfront, waivable placement fee of 0%-2% of the subscription price of the Units, which will be paid once by the relevant
Member (not by the Platform or by the Aspect Series) on each of such Member’s subscriptions to the Series to UBS Financial
Services Inc. (“UBS FS”), an affiliate of the former sponsor (see Note 1). The placement fee payable on such initial
subscription is deducted from the subscription amount by UBS FS. Upfront placement fees of $174,311 and $178,638 for the years
ended December 31, 2012 and 2011, respectively, were deducted from proceeds received from the Members.
Members are subject to an ongoing sales
commission paid to UBS FS or Credit Suisse Securities LLC equal to 2% per annum of the month-end net asset value for all other
purposes (see below). The Series incurred sales commissions of $1,701,154 and $1,471,300 for the years ended December 31, 2012
and 2011, respectively, and accrued $131,554 and $134,044 to Credit Suisse Securities at December 31, 2012 and 2011, respectively.
UBS FS or Credit Suisse Securities LLC, in consultation with the Sponsor, may waive or reduce the sales commission for certain
Members without entitling any other Member to such waiver or reduction.
Additionally, effective January 1, 2008,
0.50% of the 2.0% management fee is shared by the Trading Advisor with UBS FS (refer to Note (4) for further details on the management
fee).
Service provider fees are part of operating
cost. Unlike other retails, operating cost are a fixed number and not regarded on a basis point.
The Sponsor receives a monthly sponsor
fee of 0.04167 of 1% (a 0.50% annual rate) of the Series’ month-end net asset value for all other purposes, including interest
income after deducting the management fee and accrued performance fee, if any, of a Member’s investment in the Series for
such month. The Sponsor reserves the right to waive or reduce the fee at its sole discretion. The Series incurred Sponsor’s
fees of $425,289 and $367,825 for the years ended December 31, 2012 and 2011, respectively, and accrued $10,120 and $11,402 to
the Sponsor at December 31, 2012 and 2011, respectively.
The former sponsor paid all expenses incurred
in connection with the organizational and initial offering of the Units at the Series level. As described in the Series’
current Confidential Disclosure Memorandum (including Parts One and Two, the “Disclosure Document”), the Series reimbursed
the former sponsor for these costs. For financial reporting purposes in conformity with GAAP, the Series expensed the total organizational
costs of $208,820 when incurred and deducted the initial offering costs of $119,732 from Members’ capital as of March 16,
2007 (the date of commencement of operations of the Series) (“net asset value for financial reporting” or the “net
asset value per Unit for financial reporting”). For all other purposes, including determining the net asset value per Unit
for subscription and redemption purposes, the Series amortizes organizational and initial offering costs over a 60 month period
(“net asset value for all other purposes” or the “net asset value per Unit for all other purposes”). Beginning
March 31, 2012, all organizational costs have been amortized and as such the net asset value for financial reporting mirrors the
net asset value for all other purposes.
The net asset value and net asset value per Unit are as follows:
| | |
Net Asset Value | |
| | |
Net Asset Value per Unit |
| | |
All Other
Purposes | |
Financial
Reporting | |
Number of
Units | |
All Other
Purposes | |
Financial
Reporting |
| Price at Commencement* | |
| | | |
| | | |
| | | |
| 1,000.000 | | |
| 1,000.000 | |
| March 31, 2007 | |
| 7,805,411 | | |
| 7,479,686 | | |
| 7,760.62 | | |
| 1,005.772 | | |
| 963.801 | |
| June 30, 2007 | |
| 13,409,546 | | |
| 13,100,248 | | |
| 11,988.08 | | |
| 1,118.573 | | |
| 1,092.773 | |
| September 30, 2007 | |
| 18,932,687 | | |
| 18,639,817 | | |
| 18,241.85 | | |
| 1,037.871 | | |
| 1,021.816 | |
| December 31, 2007 | |
| 16,034,264 | | |
| 15,757,821 | | |
| 14,700.02 | | |
| 1,090.765 | | |
| 1,071.959 | |
| March 31, 2008 | |
| 20,507,363 | | |
| 20,247,348 | | |
| 17,025.49 | | |
| 1,204.509 | | |
| 1,189.237 | |
| June 30, 2008 | |
| 50,168,558 | | |
| 49,924,971 | | |
| 40,063.82 | | |
| 1,252.216 | | |
| 1,246.136 | |
| September 30, 2008 | |
| 59,013,279 | | |
| 58,786,119 | | |
| 52,463.77 | | |
| 1,124.839 | | |
| 1,120.509 | |
| December 31, 2008 | |
| 71,216,262 | | |
| 71,005,529 | | |
| 53,002.45 | | |
| 1,343.641 | | |
| 1,339.665 | |
| March 31, 2009 | |
| 66,062,490 | | |
| 65,868,185 | | |
| 50,663.64 | | |
| 1,303.950 | | |
| 1,300.108 | |
| June 30, 2009 | |
| 48,597,098 | | |
| 48,419,221 | | |
| 43,344.52 | | |
| 1,121.182 | | |
| 1,117.074 | |
| September 30, 2009 | |
| 65,446,804 | | |
| 65,285,354 | | |
| 55,797.55 | | |
| 1,172.933 | | |
| 1,170.040 | |
| December 31, 2009 | |
| 59,653,082 | | |
| 59,508,061 | | |
| 52,355.78 | | |
| 1,139.379 | | |
| 1,136.609 | |
| March 31, 2010 | |
| 61,712,630 | | |
| 61,584,036 | | |
| 52,710.17 | | |
| 1,170.792 | | |
| 1,168.352 | |
| June 30, 2010 | |
| 58,685,934 | | |
| 58,573,769 | | |
| 50,598.99 | | |
| 1,159.824 | | |
| 1,157.607 | |
| September 30, 2010 | |
| 62,864,771 | | |
| 62,769,032 | | |
| 51,344.51 | | |
| 1,224.372 | | |
| 1,222.507 | |
| December 31, 2010 | |
| 63,929,433 | | |
| 63,850,122 | | |
| 50,286.04 | | |
| 1,271.316 | | |
| 1,269.739 | |
| March 31, 2011 | |
| 69,735,670 | | |
| 69,672,788 | | |
| 55,107.50 | | |
| 1,265.448 | | |
| 1,264.307 | |
| June 30, 2011 | |
| 70,137,681 | | |
| 70,091,226 | | |
| 57,603.59 | | |
| 1,217.592 | | |
| 1,216.786 | |
| September 30, 2011 | |
| 75,178,811 | | |
| 75,148,782 | | |
| 56,985.40 | | |
| 1,319.265 | | |
| 1,318.738 | |
| December 31, 2011 | |
| 80,107,270 | | |
| 80,093,668 | | |
| 61,662.64 | | |
| 1,299.122 | | |
| 1,298.901 | |
| March 31, 2012 | |
| 85,002,471 | | |
| 85,002,471 | | |
| 65,074.13 | | |
| 1,306.241 | | |
| 1,306.241 | |
| June 30, 2012 | |
| 85,311,103 | | |
| 85,311,103 | | |
| 68,261.84 | | |
| 1,249.763 | | |
| 1,249.763 | |
| September 30, 2012 | |
| 83,552,421 | | |
| 83,552,421 | | |
| 69,662.22 | | |
| 1,199.393 | | |
| 1,199.393 | |
| December 31, 2012 | |
| 75,391,255 | | |
| 75,391,255 | | |
| 66,466.72 | | |
| 1,134.271 | | |
| 1,134.271 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | |
| Total return after performance fee, from the commencement of operations through the period ended December 31, 2012. | | |
| 13.43 | % | |
| 13.43 | % |
* Commencement of operations of the Series was March 16, 2007.
AlphaMetrix360,
LLC (“AlphaMetrix360”), an affiliate of the Sponsor, acquired the assets of Spectrum Global Fund Services, LLC (“Spectrum
US”) as of December 9, 2010. The Sponsor has hired AlphaMetrix360 to provide administration services for the Platform and
Series.
(4) Advisory Agreement
The Series will pay its own operating costs
plus its proportionate share of the Master Fund’s expenses, including, without limitation: ongoing offering expenses; trading
costs (including execution and clearing brokerage commissions); forward and other over the counter trading spreads; administrative,
transfer, exchange and redemption processing, legal, regulatory, reporting, filing, tax, audit, escrow, accounting and printing
fees and expenses, as well as extraordinary expenses. Such operating costs are allocated pro rata among the Units based on their
respective net asset values for all other purposes. These expenses are paid in addition to the other expenses described below.
The Sponsor has retained outside service
providers to supply certain services, including, without limitation, tax reporting, accounting and escrow services. Operating costs
include the Series’ allocable share of the fees and expenses of such outside service providers.
Under signed agreement, the Trading Advisor
for the Series receives a monthly management fee at the rate of 0.167% (a 2% annual rate) of the Series’ month-end net asset
value for all other purposes (see Note 3) calculated before reduction for any management fees, performance fees, Sponsor’s
fees, sales commission or extraordinary fees accrued (including performance fees accrued in a prior month) as of such month-end
and before giving effect to any capital contributions made as of the beginning of the month immediately following such month-end
and before any distributions or redemptions accrued during or as of such month-end, but after all expenses as of such month-end.
The Series incurred management fees of $1,704,284 and $1,475,678 for the years ended December 31, 2012 and 2011, respectively,
and accrued $0 to the Trading Advisor at December 31, 2012 and 2011.
Also, under signed agreement the Series
pays to the Trading Advisor a quarterly performance fee equal to 20% of the new net trading profits, if any, of the Series calculated
before deducting the administrative fee, the Sponsor’s fee and sales commission but after deducting the management fee. The
Series incurred performance fees of $173,293 and $1,151,168 during the years ended December 31, 2012 and 2011, respectively, and
accrued $0 to the Trading Advisor at December 31, 2012 and 2011.
As the management and performance fees
are paid out of the Master Fund, via a redemption by the Series from the Master, the amounts of management and performance Fees
owed to the Trading Advisor as of December 31, 2012 and 2011 are reflected on the Master Fund’s Statement of Financial Condition
as payable to trading advisor.
(5) Administration
AlphaMetrix360, LLC (“AlphaMetrix360”),
a related party to the Sponsor, serves as the administrator. The Administrator is responsible for certain clerical and administrative
functions of the Platform and Series, including acting as registrar and transfer agent, calculation of the NAV based on valuations
provided by the Trading Advisor and the Sponsor (although the Sponsor is ultimately responsible for determining the NAV).
(6) NAV Verification Agent
Beginning in November 2011, Custom House
Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as a NAV Verification Agent and
perform certain net asset value verification procedures for the Master Fund and the Series pursuant to a NAV Verification Agreement
(the “Custom House Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator.
(7) Financial Instruments with Off-balance
sheet and Concentration of Credit Risk
At December 31, 2012 and 2011, the Series
did not have direct commitments to buy or sell financial instruments, including derivative instruments. The Series has indirect
commitments that arise through the positions held by the Master Fund in which the Series invests. However, as an investor in a
Master Fund, the Series’ risk at December 31, 2012 and 2011 is limited to the fair value of its investment in the Master
Fund.
(8) Financial Highlights
The following financial highlights show
the Series’ financial performance for the years ended December 31, 2012 and 2011. All performance returns noted are calculated
based on the net asset value per Unit for financial reporting, with organizational costs incurred prior to issuance of Units being
expensed at the commencement of the operations of the Series. Total return is calculated as the change in a theoretical Member’s
investment over the entire year - a percentage change in the Member’s capital value for the year. The information has been
derived from information presented in the financial statements.
Regarding the information shown in the
table below:
| |
· |
Per unit operating performance is computed based upon the weighted-average net Units for the years ended December 31, 2012 and 2011. Total return is calculated as the change in the net asset value per Unit for the years ended December 31, 2012 and 2011. |
| |
· |
The net investment loss and total expense ratios are computed based upon the weighted average net assets for the years ended December 31, 2012 and 2011. Net investment loss and expenses include the Series’ proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. |
An individual Member’s total return
and ratios may vary from those below based on the timing of capital transactions.
| | |
Year Ended | | |
Year Ended | |
| | |
December 31, 2012 | | |
December 31, 2011 | |
| Members’ capital per Unit at beginning of the year | |
$ | 1,298.90 | | |
$ | 1,269.74 | |
| | |
| | | |
| | |
| Per unit data (for a Unit outstanding throughout the year): | |
| | | |
| | |
| Net investment loss | |
| (68.51 | ) | |
| (88.23 | ) |
| Net realized and unrealized
gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 | |
| (96.12 | ) | |
| 117.39 | |
| Total from investment operations | |
| (164.63 | ) | |
| 29.16 | |
| | |
| | | |
| | |
| Members’ capital per Unit at end of the year | |
$ | 1,134.27 | | |
$ | 1,298.90 | |
| | |
| | | |
| | |
| Total return: | |
| | | |
| | |
| Total return before performance fee | |
| (12.47 | )% | |
| 3.89 | % |
| Performance fee | |
| (0.20 | )% | |
| (1.59 | )% |
| Total return after performance fee | |
| (12.67 | )% | |
| 2.30 | % |
| | |
| | | |
| | |
| Ratios to average Members’ capital | |
| | | |
| | |
| Net investment loss | |
| (5.48 | )% | |
| (6.90 | )% |
| | |
| | | |
| | |
| Expenses: | |
| | | |
| | |
| Expenses | |
| 5.30 | % | |
| 5.35 | % |
| Performance fee | |
| 0.21 | % | |
| 1.58 | % |
| Total expenses | |
| 5.51 | % | |
| 6.93 | % |
(9) Subsequent Events
In accordance with FASB
ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the
financial statements through the date the financial statements were issued. The Sponsor has determined that there are no material
events that would require recognition or disclosure in the financial statements.
Item 9: Changes in and Disagreements With Accountants
on Accounting and Financial Disclosure
None.
Item 9A: Controls and Procedures
The Sponsor, with the participation of
the Sponsor’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design
and operation of its disclosure controls and procedures with respect to the Platform and Series as of the end of the fiscal year
for which this Annual Report on Form 10-K is being filed, and, based on their evaluation, have concluded that these disclosure
controls and procedures are effective. There were no significant changes in the Sponsor’s internal controls with respect
to the Platform or Series or in other factors applicable to the Platform or Series that could materially affect these controls
subsequent to the date of their evaluation.
Management’s Annual Report on Internal Control over
Financial Reporting
The Sponsor is responsible for establishing
and maintaining adequate internal control over the financial reporting of the Master Fund and the Series. Internal control over
financial reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act of 1934, as amended, as a process
designed by, or under the supervision of, a
company’s principal executive
and principal financial officers and effected by a company’s board of directors, management and other personnel, to
provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for
external purposes in accordance with U.S. generally accepted accounting principles. The Sponsor’s internal control over
financial reporting includes those policies and procedures that:
| · | pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect
the transactions and dispositions of the assets of the Master Fund and the Series; |
| · | provide reasonable assurance that transactions are recorded as necessary to permit preparation
of financial statements of the Master Fund and the Series in accordance with U.S. generally accepted accounting principles, and
that receipts and expenditures of the Master Fund and the Series are being made only in accordance with authorizations of management
and directors of the Sponsor; and |
| · | provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition,
use or disposition of the Master Fund’s and the Series’ assets that could have a material effect on their respective
financial statements. |
Because of its inherent limitations, internal
control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future
periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance
with the policies or procedures may deteriorate.
The principal executive and financial officers
of the Sponsor assessed the effectiveness of its internal control over financial reporting with respect to the Master Fund and
the Series as of December 31, 2012. In making this assessment, the principal executive and financial officers used the criteria
set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control — Integrated
Framework. Based on its assessment, they have concluded that, as of December 31, 2012, the Sponsor’s internal control over
financial reporting with respect to the Series is effective based on those criteria.
This annual report does not include an
attestation report of the Series’ registered public accounting firm regarding internal control over financial reporting.
Management’s report was not subject to attestation by the Series’ registered public accounting firm pursuant to rules
of the Securities and Exchange Commission that permit the Sponsor to provide only management’s report in this annual report.
Item 9B: Other Information
None.
PART III
Item 10: Directors, Executive Officers and Corporate Governance
(a) and (b) Identification of Directors and Executive Officers
The Series, as a segregated series of a
limited liability company, and the Master Fund themselves have no officers or directors and are managed by the Sponsor.
The following are the principal officers
and managers of the Sponsor.
Aleks Kins. Mr.
Kins founded AlphaMetrix in May 2005, became listed as a principal and licensed as an associated person on July 6, 2005, and is
currently its President and Chief Executive Officer. In such capacity, Mr. Kins has overseen the development of AlphaMetrix’s
proprietary software and electronic managed account platforms that provide transparency, advanced risk monitoring and efficient
access to professional futures and derivatives traders. On July 21, 2008, Mr. Kins founded AlphaMetrix360, LLC, which registered
with the CFTC as a CTA and became a member of NFA in August 2008. AlphaMetrix360, LLC did not conduct any business as a CTA and
subsequently terminated its registration and membership on December 18, 2008. AlphaMetrix360, LLC subsequently changed its name
to AlphaMetrix Financial Investigations, LLC and currently conducts business as a
licensed
private detective agency. On September 30, 2010, Mr. Kins founded a new limited liability company named AM 360°, LLC, of which
he is its Chief Executive Officer. In October 2010, AM 360°, LLC changed its name to AlphaMetrix 360°, LLC. AlphaMetrix
360°, LLC acquired the assets of Spectrum Global Fund Administration in December 9, 2010. In February 2011, AlphaMetrix 360°,
LLC changed its name to AlphaMetrix360, LLC. AlphaMetrix360, LLC has been retained by the Platform to perform administrative services
for the Platform, the Series, the Underlying Funds and the Master Funds, among other funds sponsored by the Sponsor. Mr. Kins
is also the founder of AlphaMetrix Alternative Investment Advisors, LLC (“AlphaMetrix AIA”), an independent research
affiliate of AlphaMetrix. Mr. Kins was approved as a principal and associated person of AlphaMetrix AIA in November 2007. AlphaMetrix
AIA is a registered CTA that performs research, trading advisor due diligence and certain investment management and portfolio
services. Mr. Kins was a principal and an associated person of Dekla Financial, LLC (“Dekla”), an affiliate of AlphaMetrix
AIA from September 2005 and December 2005, respectively, until October 2010. Dekla was registered with the NFA as an Introducing
Broker on December 7, 2005, and as a Notice Broker-Dealer on January 17, 2007. Dekla recently de-registered as an Introducing
Broker and Notice Broker-Dealer, which became effective as of October 16, 2010. Dekla served as the introducing broker for various
commodity pools sponsored by AlphaMetrix AIA and other futures trading accounts until its de-registration as an Introducing Broker
and Notice Broker-Dealer. Dekla is not currently serving as an Introducing Broker or a Notice Broker-Dealer since it withdrew
its registration with CFTC.
David Young.
Mr. Young joined AlphaMetrix in March 2010 as its Chief Operations Officer. Mr. Young’s registration as a principal of AlphaMetrix
was approved on March 19, 2010. Mr. Young previously held the position of President at Spectrum Global Fund Administration from
March 2002 through March 2010. Spectrum Global Fund Administration provides middle and back office outsourcing and administration
services to hedge funds and funds of funds through its proprietary technology platform. He was also the President and COO of Midland
Trading, LLC, an options specialist firm trading at the Chicago Board of Options Exchange, from March 2000 until March 2002. Midland
Trading, LLC was formed in March of 2000 through a restructuring of The Arbitrage Group, LLC, an options specialist firm trading
at the Chicago Board of Options Exchange. Mr. Young was the Chief Financial Officer of The Arbitrage Group, LLC from August 1998
until March 2000. Prior to working at Midland Trading, LLC, Mr. Young was the Chief Financial Officer of Fenchurch Capital Management,
LLC, a hedge fund in Chicago trading in fixed income arbitrage, from August of 1989 until August of 1998. From August of 1987 until
August of 1989, Mr. Young was a Senior Accountant with First Options of Chicago, an options trading firm. Mr. Young received a
Bachelor of Science degree in Accounting from North Central College, Naperville, Illinois, in 1987.
George Brown. Mr.
Brown, age 54, joined AlphaMetrix in March 2008 and is its Chief Financial Officer. Mr. Brown served as a consultant for Nature’s
Best, a sports nutrition and protein beverages producer, from December 2007 to February 2008, as Chief Financial Officer of Ultraguard
Corporation, a manufacturer of dual smoke/carbon monoxide detectors and wireless monitor systems, from September 2005 to August
2007 and as Chief Financial Officer for Old London Foods, Inc., a producer of branded crackers and co-packed private label bread
crumbs, from July 1997 until August 2005. From September 2007 to December 2007, Mr. Brown was self-employed as a financial consultant.
Mr. Brown received an M.B.A. in Finance from the University of Chicago in 1979 and a B.A. in Economics (Morehead Scholarship)
from the University of North Carolina in 1977.
Franz
Gildemeister. Mr.
Gildemeister joined AlphaMetrix in July 2010, was approved as a Principal on June 22, 2011, and is currently its Chief Fund Accountant
and Controller. In such capacity, Mr. Gildemeister oversees the accounting for AlphaMetrix’s fund structures, including
the semimonthly net asset values for the funds, audited annual financial statements, any required financial filings with the SEC,
and K-1s for all U.S. clients. From July 2010 to June 24, 2011 Mr. Gildemeister held the position of Director of Fund Accounting
and, in such capacity he acted as liaison between AlphaMetrix and their fund administrator to ensure the timely and accurate calculation
of the semi-monthly nets asset values for the funds. Prior to joining AlphaMetrix, Mr. Gildemeister was the Controller for Sky
Road LLC, a front-office solutions provider for hedge funds from November 2008 through June 2010. His primary responsibilities
were maintaining the books and records for the company and assisting in the preparation of the company’s foreign and domestic
tax filings. From August 2006 through October 2008, Mr. Gildemeister was the Director of Accounting for VARA Capital Management,
LLC, a hedge fund manager, employing a global macro strategy. His primary responsibilities were to prepare the monthly and year-end
financial statements under U.S. GAAP for the hedge funds managed by the company. Prior to joining VARA Capital Management, LLC,
Mr. Gildemeister was a Senior Client Relationship Manager at Spectrum Global Fund Administration from July 2003 through August
2006. He managed the day to day back office operations for hedge
fund
clients employing a variety of strategies including, fixed income arbitrage, distressed debt, global macro and emerging markets.
Mr. Gildemeister received a B.S. degree in Accounting from Hartwick College, Oneonta, New York in 1997 and is a registered CPA
in the state of Vermont.
| (c) | | Identification of Certain Significant Employees |
None.
Mr. Kins and Mr. Brown are brothers-in-law.
See Item 10(a) and (b) above.
| (f) | | Involvement in Certain Legal Proceedings |
None.
| (g) | | Section 16(a) Beneficial Ownership Reporting Compliance |
None
The Master Fund and the Series have no
employees, officers or directors and are managed by the Sponsor. The Sponsor has adopted an Executive Code of Ethics that applies
to its principal executive officers, principal financial officer and principal accounting officer. A copy of this Executive Code
of Ethics may be obtained at no charge by written request to AlphaMetrix, LLC, 181 West Madison, 34th floor, Chicago,
Illinois 60602.
| (i) | | Audit Committee Financial Expert |
Because the Master Fund and the Series
have no employees or officers, the Master Fund and the Series have no audit committee. The Master Fund and the Series is managed
by the Sponsor. George Brown serves as the Sponsor’s “audit committee financial expert.” George Brown is not
independent of the management of the Sponsor. The Sponsor is a privately owned limited liability company. It has no independent
directors.
Item 11: Executive Compensation
The
Series has no directors, officers or employees. None of the directors, officers or employees of the Sponsor receives compensation
from the Series. The Sponsor receives a monthly sponsor fee of 0.04166 of 1% (a 0.50% annual rate) of the Series’
month-end net asset value for all other purposes, taking into account interest income, of each Member’s investment in the
Series for such month. The officers of the Sponsor receive no “other
compensation” from the Series. There are no compensation plans or arrangements relating to a change in control of any of
the Series, the Platform or the Sponsor.
Item 12: Security Ownership
of Certain Beneficial Owners and Management and Related Stockholder Matters
| (a) | | Security Ownership of Certain Beneficial Owners |
Not applicable. All of the Platform’s
manager interest is held by the Sponsor.
| (b) | | Security Ownership of Management |
As of December 31, 2012 and 2011, the Trading
Advisor and the executive officers and the principals of the Sponsor did not own directly or indirectly any Units. As of December
31, 2012 and 2011, the Sponsor owned directly 8.120 Units, which constituted 0.01% of the total Units outstanding, and did not
own any Units indirectly.
None.
| (d) | | Securities Authorized for Issuance Under Equity Compensation Plans |
None.
Item 13: Certain Relationships and Related Transactions,
and Director Independence
| (a) | | Transactions With Related Persons |
See Item 11 “Executive
Compensation,” Item 12 “Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters,”
and “Item 1(c) “Narrative Description of Business.” As of December 31, 2012 and 2011, the Series had paid the
following: (a) Sponsor fees of $425,289 and $367,825 to the Sponsor;
The Sponsor controls
the management of the Master Fund and the Series and serves as its sponsor. Although the Sponsor will not sell any assets, directly
or indirectly, to the Master Fund or the Series, affiliates of the Sponsor will make substantial profits from the Master Fund and
the Series due to the foregoing arrangements. No loans have been, are or will be, outstanding between the Sponsor or any of its
principals and the Master Fund and the Series.
| (b) | | Review, Approval or Ratification of Transactions with Related Persons |
None.
The Master Fund has two directors who are
independent. The Series does not have directors. None of the directors of the Sponsor are independent. See Item 10(a) and (b) “Identification
of Directors and Executive Officers.”
Item 14: Principal Accounting Fees and Services
Aggregate fees billed for professional
services rendered by Deloitte & Touche, LLP (“D&T”) in connection with the audit of the Series’ financial
statements and reviews of financial statements included in the Series’ Form 10-Q or for services that are normally provided
by the accountant in connection with statutory and regulatory filings or engagements as of and for the years ended December 31,
2012 and 2011 were $166,200 and $161,100, respectively.
There were no fees for audit related services
rendered by D&T for the years ended December 31, 2012 and 2011 related to the Series.
Aggregate fees billed for professional services rendered by
Arthur F. Bell, Jr & Associates, L.L.C. in connection with tax compliance, tax advice and tax planning for the years ended
December 31, 2012 and 2011, were approximately $13,522 and $7,310, respectively.
No fees were incurred by D&T, or any
member firms of D&T and their respective affiliates, during the years ended December 31, 2012 and 2011 for any other professional
services in relation to the Series.
The Sponsor’s principal executive
and financial officers review the estimated audit and tax fees prior to engaging an auditor or tax services for the Series.
PART IV
Item 15: Exhibits, Financial Statement Schedules
| (a)(1) | | Financial Statements |
See Financial Statements for the Master Fund filed herewith as Exhibit 13.02
and Financial Statements for the series incorporated into Part II, Item 8.
Affirmation of AlphaMetrix, LLC
Report of Independent Registered Public Accounting
Firm
Statements of Financial Condition
Statements of Operations
Statements of Changes in Members’ Capital
Notes to Financial Statements
| (a)(2) | | Financial Statement Schedules |
Financial statement schedules not included
in this Form 10-K have been omitted because they are not required or are not applicable or because equivalent information has been
included in the Financial Statements incorporated into Part II, Item 8.
| (a)(3) | | Exhibits Required by Item 601 of Regulation S-K |
The following exhibits are included herewith.
Exhibit
Number |
|
Description of Document |
| **1.1 |
|
Selling Agreement. |
| *3.1 |
|
Certificate of Formation of AlphaMetrix Managed Futures LLC. |
| ****4.1 |
|
Amended and Restated Limited Liability Company Operating Agreement |
| ****4.2 |
|
Amended and Restated Separate Series Agreement for the Series. |
| ****10.1 |
|
Advisory Agreement. |
| ****10.2 |
|
Representation Letter. |
| **10.3 |
|
Administration Agreement. |
| *10.4 |
|
Form of Customer Agreement. |
| **10.5 |
|
Form of Subscription Agreement. |
| ***10.6 |
|
Assignment Agreement |
| ****10.7 |
|
General Assignment and Assumption Agreement |
Exhibit
Number |
|
Description of Document |
| ****10.8 |
|
Administration Agreement Assignment |
| 13.02 |
|
2012 and 2011 AlphaMetrix Aspect Fund – MT0001 Financial Statements and Report of Independent Registered Public Accounting Firm. |
| *21.1 |
|
List of Subsidiaries. |
| 31.1 |
|
Certification of Principal Executive Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934. |
| 31.2 |
|
Certification of Principal Financial Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934. |
| 32.1 |
|
Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
| 32.2 |
|
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. |
| *****101.INS |
|
XBRL Instance Document |
| *****101.SCH |
|
XBRL Taxonomy Extension Schema |
| *****101.CAL |
|
XBRL Taxonomy Extension Calculation Linkbase |
| *****101.DEF |
|
XBRL Taxonomy Extension Definition Linkbase |
| *****101.LAB |
|
XBRL Taxonomy Extension Label Linkbase |
| *****101.PRE |
|
XBRL Taxonomy Extension Presentation Linkbase |
* Incorporated by reference to the Series’ Form 10/A previously
filed on November 2, 2006.
** Incorporated by reference to the Series’ Form 10/A
previously filed on January 30, 2007.
*** Incorporated by reference to the Series’ Form 8-K
previously filed on October 1, 2008.
**** Incorporated by reference to the Series’ Form 8-K
previously filed on November 6, 2008.
***** Pursuant to Rule 406T of Regulation S-T, the Interactive
Data Files on Exhibit 101 hereto are deemed not filed or part of a registration statement or prospectus for purposes of Sections
11 or 12 of the Securities Act of 1933, as amended, are deemed not filed for purposes of Section 18 of the Securities and Exchange
Act of 1934, as amended, and otherwise are not subject to liability under those sections.
SIGNATURES
Pursuant
to the requirements of Section 13 or 15(d) 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 on the 11th day of April, 2013.
Dated: April 11, 2013
ALPHAMETRIX MANAGED FUTURES LLC (ASPECT SERIES)
By: AlphaMetrix, LLC
Sponsor
| By: /s/ Aleks Kins |
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| Name: Aleks Kins |
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| Title: President and Chief Executive Officer |
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Pursuant to the requirements of the Securities
Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Sponsor of the registrant in
the capacities and on the date indicated.
| Signature |
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Title with Managing Owner |
Date |
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| /s/ George Brown |
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Chief Financial Officer |
April 11, 2013 |
| George Brown |
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| /s/ David Young |
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Chief Operations Officer |
April 11, 2013 |
| David Young |
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AlphaMetrix, LLC
Sponsor of Registrant
April 11,
2013
