0000930413-13-002980.txt : 20130515 0000930413-13-002980.hdr.sgml : 20130515 20130515162844 ACCESSION NUMBER: 0000930413-13-002980 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 12 CONFORMED PERIOD OF REPORT: 20130331 FILED AS OF DATE: 20130515 DATE AS OF CHANGE: 20130515 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AlphaMetrix Managed Futures LLC CENTRAL INDEX KEY: 0001373179 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 030607985 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-52192 FILM NUMBER: 13847578 BUSINESS ADDRESS: STREET 1: C/O ALPHAMETRIX, LLC STREET 2: 181 WEST MADISON STREET, 34TH FLOOR CITY: CHICAGO STATE: IL ZIP: 60602 BUSINESS PHONE: 312 267-8400 MAIL ADDRESS: STREET 1: C/O ALPHAMETRIX, LLC STREET 2: 181 WEST MADISON STREET, 34TH FLOOR CITY: CHICAGO STATE: IL ZIP: 60602 FORMER COMPANY: FORMER CONFORMED NAME: AlphaMetrix Managed Futures LLC (Aspect Series) DATE OF NAME CHANGE: 20100305 FORMER COMPANY: FORMER CONFORMED NAME: AlphaMetrix Managed Futures LLC DATE OF NAME CHANGE: 20091210 FORMER COMPANY: FORMER CONFORMED NAME: Alphametrix Managed Futures LLC DATE OF NAME CHANGE: 20091210 10-Q 1 c73664_10q.htm

 

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

 

 

FORM 10-Q

 

 

 

(Mark One)

S QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
   
  For the quarterly period ended March 31, 2013
   
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 Number)

 

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)

 

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 S No £

 

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 S No £

 

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 £ Accelerated filer £    
Non-accelerated filer   £ (Do not check if a smaller reporting company) Smaller reporting company S

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes £ No S

 

 
ii

ALPHAMETRIX MANAGED FUTURES LLC

 

QUARTERLY REPORT FOR PERIOD ENDED MARCH 31, 2013 ON FORM 10-Q

 

Table of Contents

 

    Page
   
  PART I – FINANCIAL INFORMATION    
       
Item 1. Financial Statements   1
Condensed Statements of Financial Condition (unaudited)   1
Condensed Statements of Operations (unaudited)   2
Condensed Statements of Changes in Members’ Capital (unaudited)   3
Notes to Condensed Financial Statements (unaudited)   4
Item 2. Management’s discussion and analysis of FINANCIAL CONDITION AND RESULTS OF OPERATIONS   12
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK   17
Item 4. CONTROLS AND PROCEDURES   18
       
PART II – OTHER INFORMATION    
       
Item 1. LEGAL PROCEEDINGS   18
Item 1A. RISK FACTORS   18
Item 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS   18
Item 3. DEFAULTS uPON SENIOR SECURITIES   18
Item 4. (REMOVED AND RESERVED)   18
Item 5. OTHER INFORMATION   18
Item 6. EXHIBITS   19
       
SIGNATURES   20
iii

PART I – FINANCIAL INFORMATION

 

Item 1: Financial Statements

 

ALPHAMETRIX MANAGED FUTURES LLC
Condensed Statements of Financial Condition
As of March 31, 2013 (Unaudited) and December 31, 2012

 

   AlphaMetrix Managed   AlphaMetrix Managed   AlphaMetrix Managed   AlphaMetrix Managed 
   Futures LLC (Aspect Series)   Futures LLC   Futures LLC (Aspect Series)   Futures LLC 
   March 31, 2013   March 31, 2013   December 31, 2012   December 31, 2012 
ASSETS                    
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value  $64,515,302   $64,515,302   $63,194,749   $63,194,749 
Cash at bank   5,352,936    5,352,936    16,104,735    16,104,735 
Due from Sponsor   29,498    29,498         
                     
Total Assets  $69,897,736   $69,897,736   $79,299,484   $79,299,484 
                     
LIABILITIES                    
                     
REDEMPTIONS PAYABLE  $2,853,419   $2,853,418   $3,376,506   $3,376,506 
                     
SUBSCRIPTIONS RECEIVED IN ADVANCE   210,968    210,968    259,715    259,715 
                     
PAYABLES:                    
Accrued sales commission   115,836    115,836    131,554    131,554 
Accrued sponsor’s fee           10,120    10,120 
Accrued operating costs and administrative fee   214,077    214,077    130,334    130,334 
                     
Total Liabilities   3,394,300    3,394,299    3,908,229    3,908,229 
                     
MEMBERS’ CAPITAL                    
Members (58,077.72 and 66,458.60 units outstanding at March 31, 2013 and December 31, 2012, respectively, unlimited units authorized)   66,494,139    66,494,139    75,382,045    75,382,045 
Sponsor (8.12 units outstanding at March 31, 2013 and December 31, 2012, respectively, unlimited units authorized)   9,297    9,297    9,210    9,210 
Total Members’ Capital   66,503,436    66,503,436    75,391,255    75,391,255 
                     
Total Liabilities and Members’ Capital  $69,897,736   $69,897,735   $79,299,484   $79,299,484 
NET ASSET VALUE PER UNIT                    
Members  $1,144.916   $1,144.916   $1,134.271   $1,134.271 
Sponsor   1,144.916    1,144.916    1,134.271    1,134.271 

 

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

- 1 -

ALPHAMETRIX MANAGED FUTURES LLC
Condensed Statements of Operations
For the three months ended March 31, 2013 and 2012
(Unaudited)

 

   AlphaMetrix Managed   AlphaMetrix Managed   AlphaMetrix Managed   AlphaMetrix Managed 
   Futures LLC (Aspect Series)   Futures LLC   Futures LLC (Aspect Series)   Futures LLC 
   January 1, 2013   January 1, 2013   January 1, 2012   January 1, 2012 
   through   through   through   through 
   March 31, 2013   March 31, 2013   March 31, 2012   March 31, 2012 
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:                    
Interest income  $2,566   $2,566   $1,809   $1,809 
Trading costs   (34,201)   (34,201)   (34,048)   (34,048)
Interest expense   (10,869)   (10,869)   (13,744)   (13,744)
Bank fees                
                     
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001   (42,504)   (42,504)   (45,983)   (45,983)
                     
SERIES NET INVESTMENT INCOME/(LOSS):                    
Operating expenses   (110,913)   (110,913)   (111,092)   (111,092)
Management fee   (366,424)   (366,424)   (426,105)   (426,105)
Performance fee           (170,487)   (170,487)
Sales commissions   (365,813)   (365,813)   (425,110)   (425,110)
Sponsor fee   (91,453)   (91,453)   (106,278)   (106,278)
                     
Net investment income/(loss)   (934,603)   (934,603)   (1,239,072)   (1,239,072)
                     
Total net investment income/(loss)   (977,107)   (977,107)   (1,285,055)   (1,285,055)
                     
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001                    
Net realized gain/(loss)   1,873,709    1,873,709    2,975,617    2,975,617 
Net increase/(decrease) in unrealized appreciation/(depreciation)   (144,188)   (144,188)   (1,254,515)   (1,254,515)
                     
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001   1,729,521    1,729,521    1,721,102    1,721,102 
                     
Net increase/(decrease) in net assets resulting from operations  $752,414   $752,414   $436,047   $436,047 
                     
Weighted average number of units outstanding   62,016    62,016    63,506    63,506 
                     
Net income/(loss) per weighted average unit  $12.13   $12.13   $6.87   $6.87 

 

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

- 2 -

ALPHAMETRIX MANAGED FUTURES LLC
Condensed Statements of Changes in Members’ Capital
For the three months ended March 31, 2013 and 2012
(Unaudited)

 

For the three months ended March 31, 2013  AlphaMetrix Managed Futures LLC (Aspect Series)   AlphaMetrix Managed 
   Members   Sponsor   Total   Futures LLC 
   Amount   Units   Amount   Units   Amount   Units   Amount   Units 
Members’ capital at January 1, 2013  $75,382,045    66,458.60   $9,210    8.12   $75,391,255    66,466.72   $75,391,255    66,466.72 
Members’ subscriptions   771,201    677.19            771,201    677.19    771,201    677.19 
Members’ redemptions   (10,411,434)   (9,058.07)           (10,411,434)   (9,058.07)   (10,411,434)   (9,058.07)
Net investment income/(loss)   (976,982)       (125)       (977,107)       (977,107)    
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001   1,729,309        212        1,729,521        1,729,521     
Members’ capital at March 31, 2013  $66,494,139    58,077.72   $9,297    8.12   $66,503,436    58,085.84   $66,503,436    58,085.84 
                                         
Net asset value per unit at January 1, 2013  $1,134.271        $1,134.271                          
Change in net asset value per unit   10.645         10.645                          
Net asset value per unit at March 31, 2013  $1,144.916        $1,144.916                          

 

For the three months ended March 31, 2012  AlphaMetrix Managed Futures LLC (Aspect Series)   AlphaMetrix Managed 
   Members   Sponsor   Total   Futures LLC 
   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   5,761,420    4,385.37            5,761,420    4,385.37    5,761,420    4,385.37 
Members’ redemptions   (1,288,664)   (973.88)           (1,288,664)   (973.88)   (1,288,664)   (973.88)
Net investment income/(loss)   (1,284,892)       (163)       (1,285,055)       (1,285,055)    
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001   1,720,879        223        1,721,102        1,721,102     
Members’ capital at March 31, 2012  $84,991,864    65,066.01   $10,607    8.12   $85,002,471    65,074.13   $85,002,471    65,074.13 
                                         
Net asset value per unit at January 1, 2012  $1,298.901        $1,298.901                          
Change in net asset value per unit   7.340         7.340                          
Net asset value per unit at March 31, 2012  $1,306.241        $1,306.241                          

 

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

- 3 -

ALPHAMETRIX MANAGED FUTURES LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS

AS OF MARCH 31, 2013 AND DECEMBER 31, 2012 AND

FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012

 

(1)Organization

 

As of November 1, 2008, AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform” or the “Fund”). The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the U.S. 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 the 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 Disclosure Document dated October 31, 2011 (the “Confidential Disclosure Document”). All capitalized terms used but not defined herein are defined in the Confidential Disclosure Document.

 

The Aspect Series invests substantially all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the “Trading Fund”). The Trading Fund then invests 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. As of March 31, 2013 and December 31, 2012, the Aspect Series held an interest in the Master Fund of approximately 84% and 86%, respectively.

 

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. Credit Suisse Securities (USA) LLC acts as the Series futures clearing broker and Credit Suisse AG acts as the foreign exchange clearing broker of the Master Fund. The Master Fund may execute foreign exchange trades through other foreign exchange clearing brokers 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”), which registration became effective October 17, 2006.

 

The accompanying unaudited condensed financial statements, in the opinion of management, include all adjustments necessary for a fair presentation of the Series’ financial condition as of March 31, 2013 (unaudited) and December 31, 2012 and the results of its operations and its changes in members’ capital for the three months ended March 31, 2013 and 2012 (unaudited). These condensed financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these unaudited condensed financial statements be read in conjunction with the audited financial statements and notes included in the Series’ annual report on Form 10-K filed with the SEC for the year ended December 31, 2012. The December 31, 2012 information has been derived from the audited financial statements as of December 31, 2012.

- 4 -

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. 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 unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 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 March 31, 2013 and 2012, and December 31, 2012, the Aspect Series exists as the only segregated series on the Platform.

 

The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. In accordance with Financial Accounting Standards Board Accounting Standards Codification 946 Financial Services – Investment Companies, the Series and the Master Fund are not consolidated.

 

Due from Sponsor

 

Represents amounts due from the Sponsor for over payment of fees. As of March 31, 2013 and December 31, 2012, there was a receivable of $29,498 and $0, respectively, from the Sponsor.

 

Cash

 

Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance.

- 5 -

Subscriptions received in advance

 

Subscriptions received in advance are subscriptions for Units effective subsequent to period end.

 

Redemptions payable

 

Redemptions payable are Unit redemptions effective March 31, 2013 and December 31, 2012 but paid subsequent to that date.

 

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 period. As of March 31, 2013 and December 31, 2012, 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 its 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 Investor’s share of the Series’ income and expenses as reported for income tax purposes.

 

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.

 

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.

 

Fair Value Measurements and Disclosures

 

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 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.

- 6 -

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 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 its 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.

 

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. The Series expects the risk of any future obligation under these indemnifications to be remote.

- 7 -
(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 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 $9,899 and $33,331 for the three months ended March 31, 2013 and March 31, 2012, respectively, were deducted from proceeds received from the Members.

 

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 $365,813 and $425,110 for the three months ended March 31, 2013 and 2012, respectively, and accrued $98,453 and $113,574 owed to UBS FS and $17,383 and $17,980 owed to Credit Suisse Securities LLC at March 31, 2013 and December 31, 2012, 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).

 

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 $91,453 and $106,278 for the three months ended March 31, 2013 and 2012, respectively, and accrued $0 and $10,120 payable to the Sponsor at March 31, 2013 and December 31, 2012, 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 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.

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Aspect Series Net Asset Values

 

The quarterly net asset value and net asset value per Unit since commencement of operations 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*                 $1,000.00   $1,000.00 
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    68,261.84    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 
March 31, 2013   66,503,436    66,503,436    58,085.84    1,144.916    1,144.916 
                          
Total return after performance fee, from the commencement of operations through the period ended March 31, 2013    14.49%   14.49%

 

* Commencement of operations of the Series was March 16, 2007

 

(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.

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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, legal, 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 $366,424 and $426,105 for the three months ended March 31, 2013 and 2012, respectively, and no amounts were accrued and owed to the Trading Advisor at March 31, 2013 and December 31, 2012, respectively.

 

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 $0 and $170,487 during the three months ended March 31, 2013 and 2012, respectively, no amounts were accrued and owed to the Trading Advisor at March 31, 2013 and December 31, 2012, respectively.

 

As the management and performance fees are paid out of the Master Fund, via a redemption by the Series from the Master Fund, the amounts of management and performance fees owed to the Trading Advisor as of March 31, 2013 and December 31, 2012 are reflected on the Master Fund’s Statements of Financial Condition as payable to Trading Advisor.

 

(5)Financial Instruments with Off-balance sheet and Concentration of Credit Risk

 

At March 31, 2013 and December 31, 2012, 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 March 31, 2013 and December 31, 2012 is limited to the fair value of its investment in the Master Fund.

 

(6)Administration

 

AlphaMetrix360, LLC (“AlphaMetrix360”), a related party to the Sponsor, serves as the administrator (the “Administrator”) for the Platform and Series. 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).

 

(7)NAV Verification Agent

 

Custom House Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as the 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.

 

(8)Financial Highlights

 

The following financial highlights show the Series’ financial performance for the three months ended March 31, 2013 and 2012, respectively, in the table below. 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

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the commencement of the operations of the Series. Total return is calculated as the change in a theoretical Member’s investment over the entire period-a percentage change in the Member’s capital value for the period. The information has been derived from information presented in the condensed 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 periods ended March 31, 2013 and 2012. Total return is calculated as the change in the net asset value per Unit for the three months ended March 31, 2013 and 2012 and is not annualized.

 

  The net investment loss and total expense ratios are computed based upon the weighted average net assets for the three months ended March 31, 2013 and 2012. Weighted average net assets include the performance fee and are computed using month-end net assets. Net investment loss and expenses include the Series proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. Such ratios have been annualized, with the exception of the performance fee.

 

An individual Member’s total return and ratios may vary from those below based on the timing of capital transactions.

 

   Three Months Ended March 31, 2013   Three Months Ended March 31, 2012 
Members’ capital per Unit at beginning of period  $1,134.27   $1,298.90 
           
Per Unit data (for a unit outstanding throughout the period)         
Net investment loss   (15.20)   (20.16)
Net realized and unrealized gain on investments   25.85    27.50 
Total from investment operations   10.65    7.34 
           
Members’ capital per Unit at end of period  $1,144.92   $1,306.24 
           
Total return:          
Total return before performance fee   0.94%   0.77%
Performance fee   0.00%   (0.20%)
Total return after performance fee   0.94%   0.57%
           
Ratios to average Members’ capital          
Net investment loss   (5.31%)   (5.53%)
           
Expenses:          
Expenses   5.32%   5.34%
Performance fee   0.00%   0.20%
Total expenses   5.32%   5.54%
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(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 there are no material events that would require recognition of disclosure in or adjustment to the Series’ financial statements through this date.

 

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

 

Reference is made to Item 1 “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.

 

All figures and performance returns noted in this Item 2 are based on the net asset value and/or the net asset value per Unit for all other purposes, which complies with GAAP, except with respect to estimated organizational and initial offering costs (which were being amortized over 60 months) as described in the “Notes to Financial Statements – (3) Related Party Transactions.” All figures and performance returns communicated to investors are based on the net asset value and/or the net asset value per Unit for all other purposes.

 

In order to satisfy the Sponsor’s obligations under applicable anti-money laundering laws and regulations, investors will be required to make certain representations, warranties and covenants in the AlphaMetrix Managed Futures LLC Subscription Agreement concerning the nature of the investor, its investment in the Series and certain other related matters. In addition, the Sponsor reserves the right to request such additional information from investors as the Sponsor, in its sole discretion, requires in order to satisfy its anti-money laundering obligations. By subscribing for Units, each Member agrees to provide such information to the Sponsor upon its request.

 

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

 

Virtually all of the Series’ capital is held in cash at a bank or invested in the Master Fund. The Series’ investment in the Master Fund is held as cash or investment at the Master Fund’s Clearing Broker and used to margin the futures and forward currency positions and is withdrawn, as necessary, to pay redemptions and expenses. The Series does not maintain any sources of financing other than that made available by the Master Fund’s 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 Brokers as of March 31, 2013 and December 31, 2012 was restricted cash for margin requirements of $12,157,679 and $9,766,809, 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, futures, and forward currency contracts, it expects to be able to liquidate

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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 March 31, 2012, the Master Fund experienced no meaningful periods of illiquidity in any of the markets in which it traded.

 

The Series processed redemptions on a monthly basis. The Series incurred redemptions of $10,411,434 (9,058.07 units) and $1,288,664 (973.88 units) for the three months ended March 31, 2013 and 2012, respectively, of which $2,853,419 remained unpaid and is included in redemptions payable to investors in the Series at March 31, 2013.

 

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 Brokers 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 over-the-counter 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 Master Fund’s 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 seeks to control market risk within limits at both sector and portfolio levels.

 

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the fair values of the futures and forward contracts or the satisfaction of the obligations may exceed the amount recognized in the Master Fund’s Condensed Statement of Financial Condition, however, the Series exposure to such risk is limited to its investment in the Master Fund.

 

Due to the nature of the Series’ business, a substantial portion of the Series’ assets are represented by cash except for that portion of the Series’ assets invested in the Master Fund, while the Series maintains its market exposure, via its investment in the Master Fund, through open futures and forward contract positions.

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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. 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 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 Series’ 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 Series is likely to suffer losses.

 

Results of Operations

 

General

 

The Trading Advisor manages the assets of the Series pursuant to its Aspect Diversified Program (the “Program”). The Program applies a fully systematic and broadly diversified global trading system, which deploys multiple trading strategies that seeks to identify and exploit directional moves in market behavior of a broad range of global financial futures, commodity futures and over – the – counter derivative contracts including but not limited to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. 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, among 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 Series’ 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. Dollars (“USD”); and (g) the particular futures contracts traded by the Series’ account. Additionally, certain markets may not be liquid enough to be traded for the Series’ account.

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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.

 

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.

 

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 Adam, Harding and Lueck Limited (“AHL”), 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 March, 2013. 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 SEC 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 March 31, 2013, the Series had a capitalization of $75,391,255 based on the net asset value for all other purposes, as defined.

 

Performance Summary

 

Quarter ended March 31, 2013

 

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2013, 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, 2013 with a year-to-date gain of 0.94%, based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).

 

January 1, 2013 to March 31, 2013

 

The Series posted a 1.38% gain for the month ending March 31, 2013, a gain of 0.94% for the three months ended March 31, 2013 and an overall gain of 14.49% for the Series from the inception of trading on March 16, 2007 through March 31, 2013 (not annualized and based on net asset value per unit for all other purposes).

 

The Series returned 1.38% in March. At the start of the month, hopes of US economic growth together with continued support from global central banks boosted stock markets. The dominant news item during the second half of March was the banking crisis in Cyprus, causing the Series to give back some of its earlier gains from stock indices. By the end of the month, the reopening of banks in Cyprus reassured markets and stock indices ended the month as the top sector. Following the Japanese government’s upgrade to its economic assessment, and the confirmation of Haruhiko Kuroda as the new governor of the Bank of Japan, Japanese stock indices in particular made strong gains. Meanwhile, long positions in bonds were profitable as Eurozone uncertainty boosted safe haven demand. In currencies, the Series’ long exposure to the Mexican Peso made gains amid a strong outlook for the Mexican economy, and the Series also profited from continued Japanese Yen weakness in the first half of the month. However, losses came from the Series’ long EUR/GBP position as concerns over the contagion effects from Cyprus pushed the Euro lower. The energy sector performed negatively as prices of oil products fell following a combination of weak Chinese industrial production data and strong inventories. Short positions in other commodity markets including agricultural and industrial metals were profitable.

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The Series posted a (3.56%) loss for the month ending February 28, 2013, a (0.44%) loss for the year to date as of February 28, 2013 and an overall gain of 12.93% for the Series from the inception of trading on March 16, 2007 to February 28, 2013 (not annualized).

 

The Series returned (3.56%) in February. Italy’s inconclusive elections coupled with a contraction of the euro area economy rekindled concerns about the region. The euro weakened, major bond yields decreased and southern European equities traded lower. In the United States, despite spending reductions coming into effect, the economy showed resilience. As a result the US Dollar strengthened along with North American equity markets. The Series’ net short exposure to the US dollar, in particular against the euro, dominated the losses in the currencies sector. In fixed income, gains predominantly came from the Series’ long exposures in Japanese and German bonds. However, short exposures to UK, Australian and longer maturity North American bonds incurred losses. The Series’ uniformly long exposures to stock indices made gains on North American and Japanese indices, but these were not enough to offset losses from Southern European and Chinese indices. The threat of a Chinese property slowdown coupled with weak European demand led to commodities generally selling off. The Series’ net long exposures to industrial metals dominated the losses in that sector. However, gains were made from the short gold exposure. Sluggish global demand, a stronger dollar and production of crude oil in the United States reaching a twenty year high ensured that the Series’ long exposures to the complex incurred the worst losses in February. However, snowstorms provided relief to drought stricken US wheat and bumper crops caused coffee and sugar to also trade lower making, the predominantly short agricultural sector the top performer last month.

 

The Series posted a 3.24% gain for the month of January 2013 and an overall gain of 17.10% for the Series from the inception of trading on March 16, 2007 to January 31, 2013 (not annualized).

 

The Series returned 3.24% in January. The year started with a healthy dose of risk appetite. This was caused by the end of political gridlock over spending cuts and tax increases in the United States, accelerating growth in China, better than expected global corporate profits and signs of a recovery in Europe. As a result investors moved away from the safety of bonds and into stocks and growth-sensitive commodities. The Series’ long exposures in stock indices, the oils complex and certain base metals, all contributed to gains. In particular, reformulated gasoline rallied strongly as the risk appetite was partnered with reducing inventories. However, as capital moved away from safe haven assets, the Series incurred losses from its net long bond exposures. German bonds dominated the losses as European sentiment continued to strengthen. However, exposure in this sector continued to reduce throughout the month. In currencies, a clear theme developed: a weakening Japanese Yen and a stronger Euro. The newly elected Japanese government recently pledged to aggressively tackle deflation while the Euro rally versus the USD has now extended to six months. On the back of this, the Series made gains from its short exposure to the Yen and long exposure to the Euro. Offsetting this, some losses came from the Series’ long Sterling exposure as the UK economy showed signs of stagnation.

 

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

- 16 -

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 agricultural, 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 agricultural 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.

 

Off-balance Sheet Arrangements

 

The Series has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

 

Item 3: Quantitative and Qualitative Disclosures About Market Risk

 

Not applicable; the Series is a smaller reporting company.

- 17 -

Item 4: 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 (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Platform and the Series as of the end of the fiscal quarter for which this Quarterly Report on Form 10-Q is being filed, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended March 31, 2013 that has materially affected, or is reasonably likely to materially affect, the Platform’s and the Series’ internal control over financial reporting.

 

PART II – OTHER INFORMATION

 

Item 1: Legal Proceedings

 

The Sponsor is not aware of any pending legal proceedings to which the Series is a party or to which any of its assets are subject.

 

Item 1A: Risk Factors

 

Not required.

 

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

 

(a)Not applicable; previously filed on Forms 8-K

 

(b)Not applicable.

 

(c)Pursuant to the Platform’s Limited Liability Company Agreement and the Series’ 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. including 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 first quarter of 2013:

 

       Redemption Date Net Asset Value per Unit for 
Month  Units Redeemed   All Other Purposes 
          
January 31, 2013   3,440.89   $      1,170.966 
February 28, 2013   3,124.93   $      1,129.259 
March 31, 2013   2,492.25   $      1,144.916 
          
Total   9,058.07      

 

Item 3: Defaults Upon Senior Securities

 

(a)None.
(b)None.

 

Item 4: (Removed and Reserved)

 

Item 5: Other Information

- 18 -
(a)None.
(b)Not applicable.

 

Item 6: Exhibits

 

The following exhibits are included herewith.

 

Exhibit Number   Description of Document
     
**1.1   Selling Agreement.
     
***2.1   Assignment Agreement
     
*3.1   Certificate of Formation of AlphaMetrix Managed Futures LLC.
     
****3.2   Amended and Restated Limited Liability Company Operating Agreement
     
****3.3   Amended and Restated Separate Series Agreement for the Series.
     
****10.13   Advisory Agreement.
     
*10.5   Form of Customer Agreement.
     
**10.6   Form of Subscription Agreement.
     
****10.12   General Assignment and Assumption Agreement
     
****10.15   Representation Letter.
     
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.
     
99.1   Financial Statements of AlphaMetrix Aspect Fund – MT0001 (Master Fund) (unaudited) for the three months ended March 31, 2013 and 2012.
     
*****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.

- 19 -

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on behalf of AlphaMetrix Managed Futures LLC on behalf of itself and its series, Aspect Series, by the undersigned thereunto duly authorized.

 

Dated: May 15, 2013

 

ALPHAMETRIX MANAGED FUTURES LLC

 

By: AlphaMetrix, LLC

Sponsor

 

By: /s/ Aleks Kins  
Name: Aleks Kins  
Title: President and Chief Executive Officer  
- 20 -
EX-31.1 2 c73664_ex31-1.htm

 

Exhibit 31.1

CERTIFICATION

I, Aleks Kins, President and Chief Executive Officer of AlphaMetrix, LLC, the sponsor of AlphaMetrix Managed Futures LLC (Aspect Series), certify that:

1. I have reviewed this quarterly report on Form 10-Q of AlphaMetrix Managed Futures LLC (Aspect Series) for the period ending March 31, 2013;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and


b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 15, 2013

 

By:   /s/ Aleks Kins                          

Aleks Kins

President and Chief Executive Officer

AlphaMetrix, LLC

 


EX-31.2 3 c73664_ex31-2.htm

 

Exhibit 31.2

CERTIFICATION

I, George Brown, Chief Financial Officer of AlphaMetrix, LLC, the sponsor of AlphaMetrix Managed Futures LLC (Aspect Series), certify that:

1. I have reviewed this quarterly report on Form 10-Q of AlphaMetrix Managed Futures LLC (Aspect Series) for the period ending March 31, 2013;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and


b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 15, 2013

By:   /s/ George Brown                  

George Brown

Chief Financial Officer

AlphaMetrix, LLC

 


EX-32.1 4 c73664_ex32-1.htm

EXHIBIT 32.1

CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE

I, Aleks Kins, the President and Chief Executive Officer of AlphaMetrix, LLC, the Sponsor of AlphaMetrix Managed Futures LLC on behalf of itself and its Series, Aspect Series (the “Series”), certify that (i) the Quarterly Report of the Series on Form 10-Q for the quarter ended March 31, 2013 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Series.

Date: May 15, 2013

 

 

 

By:

     /s/ Aleks Kins

 

 


 

Aleks Kins

 

President and Chief Executive Officer

 

AlphaMetrix, LLC

 



EX-32.2 5 c73664_ex32-2.htm

EXHIBIT 32.2

CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE

I, George Brown, the Chief Financial Officer of AlphaMetrix, LLC, the Sponsor of AlphaMetrix Managed Futures LLC on behalf of itself and its Series, Aspect Series (the “Series”), certify that (i) the Quarterly Report of the Series on Form 10-Q for the quarter ended March 31, 2013 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Series.

Date: May 15, 2013

 

 

 

By:

   /s/ George Brown

 

 


 

George Brown

 

Chief Financial Officer

 

AlphaMetrix, LLC

 



EX-99.1 6 c73664_ex99-1.htm

 

Exhibit 99.1

 

AlphaMetrix Aspect
Fund — MT0001

(A Cayman Islands Exempted Limited
Liability Company)

 

Financial Statements as of March 31, 2013
(unaudited) and December 31, 2012 and for the Three
Months Ended March 31, 2013 and 2012 (unaudited)

 

ALPHAMETRIX ASPECT FUND — MT0001

(A Cayman Islands Exempted Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2013 and DECEMBER 31, 2012

(Expressed in U.S. dollars)

 

   March 31, 2013   December 31, 
  (Unaudited)   2012 
ASSETS          
Equity in commodity trading account at clearing broker:          
Cash  $68,232,114   $66,079,534 
Investments in futures, at fair value (representing unrealized appeciation on open contracts, net)   1,699,388    1,034,618 
Investments in forward currency contracts, at fair value (representing unrealized appreciation on open contracts, net)       259,946 
Cash at bank   7,526,941    6,283,994 
Total Assets  $77,458,443   $73,658,092 
           
LIABILITIES AND SHAREHOLDERS’ EQUITY (NET ASSETS)          
LIABILITIES:          
Equity in commodity trading account at clearing broker:          
Investments in forward currency contracts, at fair value (representing unrealized depreciation on open contracts, net)  $578,249   $ 
Accrued expenses   3,579    2,898 
Payable to trading advisor   138,021    153,233 
           
Total Liabilities   719,849    156,131 
           
SHAREHOLDERS’ EQUITY (NET ASSETS):   76,738,594    73,501,961 
           
Total Liabilities and Shareholders’ Equity (Net Assets)  $77,458,443   $73,658,092 
           
Net asset value per share (69,210 and 68,062 shares issued and outstanding at March 31, 2013 and December 31, 2012, respectively; 4,999,802 shares authorized)  $1,108.78   $1,079.92 

 

See notes to financial statements.

- 2 -

ALPHAMETRIX ASPECT FUND — MT0001

(A Cayman Islands Exempted Limited Liability Company)

 

CONDENSED SCHEDULE OF INVESTMENTS (UNAUDITED)

MARCH 31, 2013

(Expressed in U.S. dollars)

 

   Number
of
Contracts
   Fair Value   Percentage of
Shareholders’
Equity (Net Assets)
 
Long contracts:               
Domestic               
Futures contracts               
Agriculture   46   $45,106    0.06%
Currency   21    17,763    0.02 
Energy   318    274,112    0.36 
Indices   348    374,937    0.49 
Interest   687    34,494    0.04 
Metals   8    16,675    0.02 
Foreign               
Futures contracts               
Agriculture   26    (1,345)    
Energy   24    (32,123)   (0.04)
Indices   523    (181,359)   (0.24)
Interest   1,896    692,120    0.90 
Metals   61    (128,526)   (0.17)
                
Total long contracts        1,111,854    1.44 
                
Short contracts:               
Domestic               
Futures contracts               
Agriculture   (647)   463,223    0.61 
Currency   (15)   (19,264)   (0.03)
Energy   (10)   (21,084)   (0.03)
Indices   (31)   (2,697)    
Interest   (33)   (60,719)   (0.08)
Metals   (172)   245,040    0.32 
Foreign               
Futures contracts               
Agriculture   (40)   (14,818)   (0.02)
Interest   (559)   (322,822)   (0.42)
Metals   (207)   320,675    0.42 
                
Total short contracts        587,534    0.77 
Total futures contracts        1,699,388    2.21 
                
FORWARD CURRENCY CONTRACTS:               
Total forward currency contracts - long        (417,376)   (0.54)
Total forward currency contracts - short        (160,873)   (0.21)
                
Total forward currency contracts        (578,249)   (0.75)
                
Investments - at fair value       $1,121,139    1.46%

 

See notes to financial statements.

- 3 -

ALPHAMETRIX ASPECT FUND — MT0001

(A Cayman Islands Exempted Limited Liability Company)

 

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2012

(Expressed in U.S. dollars)

 

   Number
of
Contracts
   Fair Value   Percentage of
Shareholders’
Equity (Net Assets)
 
Long contracts:               
Domestic               
Futures contracts               
Agriculture   82   $(46,035)   (0.06)%
Currency   36    (6,155)   (0.01)
Indices   617    286,378    0.39 
Interest   646    (68,966)   (0.09)
Metals   53    (259,675)   (0.36)
Energy   82    85,827    0.12 
Foreign               
Futures contracts               
Agriculture   25    (12,237)   (0.02)
Indices   701    703,491    0.96 
Interest   1,665    131,701    0.18 
Metals   283    (14,573)   (0.02)
                
Total long contracts        799,756    1.09 
                
Short contracts:               
Domestic               
Futures contracts               
Agriculture   (428)   421,797    0.58 
Currency   (4)   30,325    0.04 
Energy   (228)   46,839    0.06 
Indices   (5)   (8,066)   (0.01)
Metals   (12)   (23,100)   (0.03)
Foreign               
Futures contracts               
Agriculture   (24)   9,505    0.01 
Interest   (205)   (9,772)   (0.01)
Metals   (227)   (232,666)   (0.32)
                
Total short contracts        234,862    0.32 
Total futures contracts        1,034,618    1.41 
                
FORWARD CURRENCY CONTRACTS:               
Total forward currency contracts - long        337,659    0.46 
Total forward currency contracts - short        (77,713)   (0.11)
                
Total forward currency contracts        259,946    0.35 
                
Investments - at fair value       $1,294,564    1.76%

 

See notes to financial statements.

- 4 -

ALPHAMETRIX ASPECT FUND — MT0001

(A Cayman Islands Exempted Limited Liability Company)

 

STATEMENTS OF OPERATIONS (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2013 and 2012

(Expressed in U.S. dollars)

 

   Three Months   Three Months 
   Ended   Ended 
   March 31, 2013   March 31, 2012 
INVESTMENT INCOME:          
Interest income  $3,027   $2,076 
EXPENSES:          
Trading costs   40,412    39,075 
Interest expense   12,845    15,765 
Total expenses   53,257    54,840 
NET INVESTMENT LOSS   (50,230)   (52,764)
           
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:          
Net realized gain/(loss) from:          
Investments   2,184,462    3,417,444 
Foreign currency transactions   20,302    (5,008)
    2,204,764    3,412,436 
Net increase/(decrease) in unrealized appreciation/(depreciation) on:          
Investments   (173,425)   (1,444,719)
Translation of assets and liabilities denominated in foreign currencies   (2,634)   (24)
    (176,059)   (1,444,743)
Net realized and unrealized gain/(loss) on investments and foreign currency   2,028,705    1,967,693 
Net increase/(decrease) in net assets resulting from operations  $1,978,475   $1,914,929 

 

See notes to financial statements.

- 5 -

ALPHAMETRIX ASPECT FUND — MT0001

(A Cayman Islands Exempted Limited Liability Company)

 

STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2013 and 2012

(Expressed in U.S. dollars)

 

   Three Months   Three Months 
   Ended   Ended 
   March 31, 2013   March 31, 2012 
Changes in net assets from operations:          
Net investment loss  $(50,230)  $(52,764)
Net realized gain/(loss) from investments and foreign currency transactions   2,204,764    3,412,436 
Net increase/(decrease) in unrealized appreciation/(depreciation) on investments and translation of assets and liabilities denominated in foreign currencies   (176,059)   (1,444,743)
           
Net increase/(decrease) in net assets resulting from operations   1,978,475    1,914,929 
           
Changes in net assets from capital transactions:          
Proceeds from issuance of shares to investors   1,690,550    2,485,100 
Redemptions of shares by investors   (432,392)   (684,159)
           
Net increase/(decrease) in net assets resulting from capital transactions   1,258,158    1,800,941 
           
Increase/(decrease) in net assets   3,236,633    3,715,870 
           
NET ASSETS — Beginning of Period   73,501,961    79,367,773 
           
NET ASSETS — End of Period  $76,738,594   $83,083,643 

 

See notes to financial statements.

- 6 -

AlphaMetrix ASPECT Fund — MT0001

(A Cayman Islands Exempted Limited Liability Company)

 

Notes to the Financial Statements (unaudited)
AS OF march 31, 2013 and DECEMBER 31, 2012 AND for the THREE MONTHS ended MARCH 31, 2013 and 2012

 

1.Organization and Structure

 

AlphaMetrix Aspect Fund — MT0001 (the “Master Fund”) was incorporated on November 1, 2008 in the Cayman Islands as an exempted company with limited liability. The Master Fund was created to serve as the trading entity managed by Aspect Capital Limited (the “Trading Advisor”) pursuant to its Aspect Diversified Program (the “Program”). The Program applies a fully systematic and broadly diversified global trading system, which deploys multiple trading strategies that seek to identify and exploit directional moves in market behavior of a broad range of global financial futures, commodity futures and over-the-counter (“OTC”) derivative contracts including (but not limited to) bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities. The Master Fund began trading November 3, 2008.

 

The Master Fund and other separately incorporated offshore investment vehicles (“Other Master Funds”), are investment vehicles available under the AlphaMetrix Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) as a means of making available to qualified high net-worth individuals and institutional investors (including funds of hedge funds) (“Investors”) a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

 

AlphaMetrix Managed Futures LLC is a Delaware series limited liability company (“LLC”) that currently has one series, the Aspect Series (“Public Feeder”) which is a public commodity pool. The Public Feeder was organized in October 2006, commenced operations in March 2007, and invests substantially all of its assets in the Master Fund. Neither the Master Fund nor the Public Feeder is registered under the Investment Company Act of 1940. In December 2009, the series of another newly organized Delaware series LLC, AlphaMetrix Managed Futures II LLC (the “Private Feeder”), began investing in the Master Fund. At March 31, 2013 and December 31, 2012, approximately 84% and 86%, respectively, of the Master Fund is owned by the Public Feeder and approximately 16% and 14%, respectively, is owned by the Private Feeder.

 

The Public Feeder and Private Feeder are collectively hereafter referred to as the “Feeder Funds.” Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by each Feeder Fund’s respective Confidential Offering Memorandum.

 

The Master Fund is managed by its Board of Directors (“Directors”). The Directors have delegated the day-to-day operations of the Master Fund to service providers, including the Sponsor and the Master Fund’s administrator. There are no service contracts, existing or proposed, between the Master Fund and any Director, aside from the fiduciary responsibility that each Director serves in fulfillment of his or her respective role as Director of the Master Fund.

 

The Sponsor was formed in May 2005 and its principal office is located in Chicago, Illinois. 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

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Commission (“SEC”) as a Registered Investment Advisor (“RIA”), and registered transfer agent (“RTA”), and is a member of the National Futures Association (“NFA”).

 

The Master Fund has appointed the Sponsor, under the terms of a trading management agreement (the “Trading Management Agreement”), to manage, with wide discretionary powers, the portfolio of the Master Fund. Under the Trading Management Agreement, the Directors have delegated to the Sponsor full authority in respect of all matters relating to the investment and portfolio management of the Master Fund.

 

Pursuant to the Trading Management Agreement, the Directors have also delegated to the Sponsor authority to select the administrator for the Master Fund. The Trading Management Agreement will continue and remain in force until terminated by either the Sponsor or the Master Fund upon not less than thirty (30) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Master Fund by the Trading Advisor is suspended), the Trading Management Agreement may be terminated immediately by either party.

 

The Master Fund and the Sponsor have entered into a contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with its Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provides prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisor (or its affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Platform’s Trading Advisors (or their affiliates) are aggregated for the purposes of applying speculative position limits. The management and incentive fees due to the Trading Advisor, in accordance with the Trading Agreement, are calculated, recorded and allocated to the Investors by the Feeder Funds in accordance with the each Feeder Fund’s Confidential Offering Memorandum. These fees are paid by the Master Fund via redemptions by the Feeder Funds from the Master Fund.

 

2.Summary of Significant Accounting Policies

 

The accounting records of the Master Fund 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 Master Fund’s financial statements.

 

Cash — Cash held in the commodity trading account at the clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund also holds cash in a non-interest bearing United States dollar (“USD”) commercial bank account. The Master Fund holds various currencies at the clearing broker, of which approximately $68,437,989 and $66,536,805 is held in USD and ($205,875) and ($457,271) in foreign currencies as of March 31, 2013 and December 31, 2012. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of March 31, 2013 and December 31, 2012 included restricted cash for margin requirements of $12,157,679 and $9,766,809. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated.

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Depending on the Program and investments traded, the Master Fund follows the following valuation and revenue recognition policies:

 

Valuation and Revenue Recognition

 

Futures and Options on Futures Contracts — The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price.  An option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. An option contract requires the option writer to buy or sell that security or financial instrument at the same predetermined exercise price during the defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the first-in-first-out (“FIFO”) method.

 

Forward Currency Contracts — Forward currency contracts, agreements to exchange one currency for another at a future date and at a specified price, are recorded on the trade date. The difference between the original contract amount and fair value of the open forward currency contract is reflected as unrealized appreciation/(depreciation) on open contracts. Realized gain or loss is recognized when the open contract is closed on its settlement date. Fair value of forward currency contracts is determined daily at closing and based on broker quotes received from interbank foreign currency markets.

 

Foreign Currency Transactions — The Master Fund’s financial statements are denominated in USD. However, forward currency contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect at either the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included within the unrealized appreciation on open contracts, net. The Master Fund does not separate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in the fair value of investments held on the Statements of Operations. Net realized foreign exchange gains or losses arise from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

 

Trading Costs — Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, and transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward currency contracts. Commissions are paid on each individual investment transaction.

 

Interest Income/Expense — Interest income and expense is recognized on an accrual basis.

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Operating Costs Operating costs consist of legal, compliance, regulatory, audit, tax, administration, and other costs. In accordance with each Feeder Fund’s respective Confidential Offering Memorandum, each Feeder Fund is responsible for and will bear its pro rata share of the Master Fund’s operating costs.

 

Income Taxes — The Master Fund follows the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“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 March 31, 2013 and December 31, 2012, the Master Fund recognized no liability in connection with ASC 740. The Master Fund is subject to U.S. Federal, state and local or non-US income tax examinations by tax authorities for all tax years since inception.

 

As the Master Fund is a partnership for tax purposes, the Master Fund’s investors are individually responsible for reporting income or loss based on such investor’s share of the Master Fund’s income and expenses as reported for income tax purposes.

 

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 income and expenses during the reporting period. Actual results could differ from those estimates.

 

Reclassifications — Certain amounts in the 2012 financial statements have been reclassified to conform to the 2013 presentation. Specifically, investment’s in forward currency contracts in the amount of $259,949 have been separately stated from Investments in futures on the Statement of Financial Condition as of December 31, 2012.  These accounts were previously combined.  This reclassification had no effect on Shareholders’ equity (net assets) of the Master Fund.

 

Indemnifications — The Sponsor and Directors are indemnified against certain liabilities arising out of the performance of their duties for the Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

 

3.FAIR VALUE MEASUREMENTS

 

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurement (“ASC 820”). 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 an active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

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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 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.

 

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund are observable. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the market place.

 

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and OTC derivative contracts can include futures contracts and forward currency contracts. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying reference obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

 

There were no transfers between levels for the three months ended March 31, 2013 and the year ended December 31, 2012.

 

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

 

The following tables present the classification of derivatives, by type, into the above hierarchy levels as of March 31, 2013 and December 31, 2012. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

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       Fair Value Measurements at Reporting Date Using 
         
Description  Fair Value at
March 31, 2013
   Quoted Prices in
Active Markets for
Identical Investments
(Level 1)
   Significant Other
Observable Inputs
(Level 2)
   Significant
Unobservable Inputs
(Level 3)
 
Assets                    
Futures contracts                    
Agriculture  $638,430   $638,430   $   $ 
Currency   20,404    20,404         
Energy   326,651    326,651         
Indices   616,682    616,682         
Interest   791,834    791,834         
Metals   596,438    596,438         
                     
Forward currency contracts     397,465             397,465        
                     
Total investment assets at fair value       3,387,904       2,990,439       397,465        
                     
Liabilities                    
Futures contracts                    
Agriculture   (146,264)   (146,264)        
Currency   (21,905)   (21,905)        
Energy   (105,746)   (105,746)        
Indices   (425,801)   (425,801)        
Interest   (448,761)   (448,761)        
Metals   (142,574)   (142,574)        
                     
Forward currency contracts     (975,714 )           (975,714 )      
                     
Total investment liabilities at fair value     (2,266,765 )     (1,291,051 )     (975,714 )      
                     
Total investments at fair value - net*   $ 1,121,139     $ 1,699,388     $ (578,249 )   $  

 

* Located on the Statement of Financial Condition as Investments, at fair value.

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       Fair Value Measurements at Reporting Date Using 
         
Description  Fair Value at
December 31, 2012
   Quoted Prices in
Active Markets for
Identical Investments
(Level 1)
   Significant Other
Observable Inputs
(Level 2)
   Significant
Unobservable Inputs
(Level 3)
 
Assets                    
Futures contracts                    
Agriculture  $519,195   $519,195   $   $ 
Currency   40,238    40,238         
Energy   322,239    322,239         
Indices   1,073,620    1,073,620         
Interest   603,726    603,726         
Metals   304,096    304,096         
                     
Forward currency contracts     1,047,235             1,047,235        
                     
Total investment assets at fair value     3,910,349       2,863,114       1,047,235        
                     
Liabilities                    
Futures contracts                    
Agriculture   (146,165)   (146,165)        
Currency   (16,068)   (16,068)        
Energy   (189,573)   (189,573)        
Indices   (91,817)   (91,817)        
Interest   (550,763)   (550,763)        
Metals   (834,110)   (834,110)        
                     
Forward currency contracts     (787,289 )           (787,289 )      
                     
Total investment liabilities at fair value     (2,615,785 )     (1,828,496 )     (787,289 )      
                     
Total investments at fair value - net*   $ 1,294,564     $ 1,034,618     $ 259,946     $  

 

* Located on the Statement of Financial Condition as Investments, at fair value.

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4.DERIVATIVE FINANCIAL INSTRUMENTS

 

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures and options on futures contracts 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. Derivatives may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures contracts. OTC derivatives are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

 

Market risk is the potential for changes in the fair 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 underlying Trading Advisor according to its Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

 

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. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. As of March 31, 2013 and December 31, 2012, the credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 and $259,946.

 

Purchase and sale of futures contracts requires margin deposits with a broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.

 

The Master Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.

 

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

 

To evaluate and monitor counterparty risk for each counterparty, the AlphaMetrix Risk Department initially evaluates the credit ratings from the major agencies: Moody’s, Standard & Poor’s and Fitch Ratings. Credit ratings and outlooks are monitored daily for downgrades whereby an investigation is initiated upon an adverse occurrence. Further, any large decline in the daily stock price also triggers an

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investigation. Lastly, quarterly reports on earnings and future outlooks from counterparties are reviewed and analyzed for unfavorable results by the AlphaMetrix Risk Department.

 

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.

 

Pursuant to the Program, the Master Fund engages in the speculative trading of derivatives. These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Master Fund is exposed to both market risk, the risk arising from changes in the fair 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.

 

At March 31, 2013 and December 31, 2012, the Master Fund had open futures positions with the following notional values by sector:

 

March 31, 2013

 

Description  Quantity   Notional Value 
Long          
Futures contracts          
Agriculture   72   $2,144,655 
Currency   21    1,305,998 
Energy   342    25,580,307 
Indices   871    53,259,375 
Interest   2,583    539,946,999 
Metals   69    5,075,355 
           
Short          
Futures contracts          
Agriculture   (687)   (22,439,725)
Currency   (15)   (1,555,598)
Energy   (10)   (1,279,740)
Indices   (31)   (515,293)
Interest   (592)   (106,328,513)
Metals   (379)   (34,687,884)
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December 31, 2012

 

Description  Quantity   Notional Value 
Long          
Futures contracts          
Agriculture   107   $3,791,519 
Currency   36    3,132,170 
Energy   82    9,271,696 
Indices   1,318    68,837,656 
Interest   2,311    795,308,130 
Metals   336    24,370,369 
           
Short          
Futures contracts          
Agriculture   (452)   (13,947,483)
Currency   (4)   (577,500)
Energy   (228)   (10,520,759)
Indices   (5)   (232,863)
Interest   (205)   (47,365,357)
Metals   (239)   (17,149,404)

 

During the three months ended March 31, 2013, the Master Fund participated in 3,800 forward currency and 15,016 futures contract transactions.

 

During 2012, the Master Fund participated in 13,550 forward currency and 60,713 futures contract transactions.

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The effect of trading derivative contracts on the Statements of Operations for the three months ended March 31, 2013 and 2012 is detailed below:

 

   Net Trading
Gain/(Loss)*
three months ended
March 31, 2013
   Net Trading
Gain/(Loss)*
three months ended
March 31, 2012
 
Futures contracts:           
Agriculture  $693,573   $(137,366)
Currencies    (8,025)   (76,790)
Energy    (1,069,014)   4,110,166 
Indices    3,784,110    538,067 
Interest    (1,383,022)   (1,591,476)
Metals    (233,031)   (745,309)
Total Futures contracts   1,784,591    2,097,292 
           
Forward currency contracts   226,446    (124,567)
           
Total net trading gain/(loss)  $2,011,037   $1,972,725 

 

* Includes both realized gains/(losses) of $2,184,462 and $3,417,444 and net change in unrealized appreciation (depreciation) of ($173,425) and ($1,444,719) for the three months ended March 31, 2013 and 2012, respectively, and is located in Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency in the Statements of Operations. Amounts exclude foreign currency transactions and translation.

 

5.Balance Sheet Offsetting

 

In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities and ASU No. 2013-01, Clarifying the Scope of 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 Statements of Financial Condition or subject to an enforceable master netting arrangement or similar agreement.

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The following tables summarize the Master Fund’s netting arrangements:

 

March 31, 2013:

 

Description  Gross Amounts of
Recognized Assets
   Gross Amounts Offset in
the Statement of Financial
Position
   Net amount of Assets in the
Statement of Financial
Condition
 
                
Futures  $2,990,439   $(1,291,051)  $1,699,388 
Forward Currency Contracts   397,465    (397,465)    
                
Total  $3,387,904   $(1,688,516)  $1,699,388 

 

   Net amount of Assets in the
Statement of Financial
Condition
   Cash Collateral Received
by Counterparty
   Net Amount 
                
Counterparty A  $1,699,388   $(9,817,920)  $ 
Counterparty B            
                
Total  $1,699,388   $(9,817,920)  $ 

 

Description  Gross Amounts of
Recognized Liabilities
   Gross Amounts Offset in
the Statement of Financial
Position
   Net amount of Liabilities in
the Statement of Financial
Condition
 
                
Futures  $(1,291,051)  $1,291,051   $ 
Forward Currency Contracts   (975,714)   397,465    (578,249)
                
Total  $(2,266,765)  $1,688,516   $(578,249)

 

   Net amount of Liabilities in
the Statement of Financial
Condition
   Cash Collateral Pledged
by Counterparty
   Net Amount 
                
Counterparty A  $   $   $ 
Counterparty B   (578,249)   (2,339,759)    
                
Total  $(578,249)  $(2,339,759)  $ 
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December 31, 2012:

 

Description  Gross Amounts of
Recognized Assets
   Gross Amounts Offset in
the Statement of Financial
Position
   Net amount of Assets in the
Statement of Financial
Condition
 
                
Futures  $2,863,114   $(1,828,496)  $1,034,618 
Forward Currency Contracts   1,047,235    (787,289)   259,946 
                
Total  $3,910,349   $(2,615,785)  $1,294,564 

 

   Net amount of Assets in the
Statement of Financial
Condition
   Cash Collateral Received
by Counterparty
   Net Amount 
                
Counterparty A  $1,034,618   $(8,486,306)  $ 
Counterparty B   259,946    (1,280,503)    
                
Total  $1,294,564   $(9,766,809)  $ 

 

Description  Gross Amounts of
Recognized Liabilities
   Gross Amounts Offset in
the Statement of Financial
Position
   Net amount of Liabilities in
the Statement of Financial
Condition
 
                
Futures  $(1,828,496)  $1,828,496   $ 
Forward Currency Contracts   (787,289)   787,289     
                
Total  $(2,615,785)  $2,615,785   $ 

 

    Net amount of Liabilities in
the Statement of Financial
Condition
    Cash Collateral Pledged
by Counterparty
    Net Amount 
                
Counterparty A  $   $   $ 
Counterparty B            
                
Total  $   $   $ 

 

6.Allocation of Master Fund’S Income and Gains and Losses

 

Profits and losses of the Master Fund are allocated pro-rata among the participating shareholders (Feeder Funds) holding interests in the Master Fund.

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7.Related Parties

 

AlphaMetrix Alternative Investment Advisors, LLC (“AlphaMetrix AIA”), an independent research affiliate of the Sponsor, was formed in August 2007. AlphaMetrix AIA is a registered CFTC commodity trading advisor and member of the NFA. AlphaMetrix AIA is responsible for the initial due diligence of the Trading Advisors that are being considered for the Platform. While AlphaMetrix AIA conducts due diligence and recommends Trading Advisors for the Platform, the Sponsor is ultimately responsible for the selection of all Trading Advisors to be added to the Platform. Currently, AlphaMetrix AIA receives no direct compensation for the services provided.

 

AlphaMetrix360 Cayman, Ltd. (“AlphaMetrix360 Cayman”), an affiliate of the Sponsor, serves as administrator (“Administrator”) for the Master Fund.

 

8.NAV Verification agent

 

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 Public and Private Feeders pursuant to a NAV Verification Agreement (the “Custom House Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator.

 

9.Capital Structure

 

The share capital of the Master Fund is US$50,000 divided into (i) 2 voting, non-participating management shares of a nominal or par value of US$1.00 each and (ii) 4,999,800 non-voting, participating portfolio shares each being a non-voting share each of a nominal or par value of US$0.01 each. Subscriptions and redemptions into the Master Fund are transacted at the current net asset value at the time of the subscription or redemption.

 

The analysis of changes in shares (rounded to the nearest whole share) for the three months ended March 31, 2013 and 2012 are as follows:

 

   2013   2012 
         
Shares outstanding — Beginning of Period   68,062    66,028 
           
Shares subscribed   1,538    2,058 
Shares redeemed   (390)   (554)
           
Shares outstanding — End of Period   69,210    67,532 
- 20 -
10.Financial Highlights

 

Financial highlights of the Master Fund for the three months ended March 31, 2013 and 2012 are presented in the table below. The information has been derived from information presented in the financial statements.

 

Regarding the information shown in the table below:

 

Per share operating performance is computed based upon either actual number of shares outstanding at the beginning and end of the period or the weighted-average net shares for the three months ended March 31, 2013 and 2012. Weighted average shares are computed using the month-end shares outstanding.
   
Total return is calculated as the change in the net asset value per share for the three months ended March 31, 2013 and 2012, and is not annualized.
   
The net investment loss and total expense ratios are computed based upon the weighted average net assets for the three months ended March 31, 2013 and 2012, and are annualized. Weighted average net assets are computed using the average of month-end net assets.

 

An individual shareholder’s total return and ratios may vary from those below based on the timing of capital transactions.

 

   Three Months Ended   Three Months Ended 
   March 31, 2013   March 31, 2012 
Net asset value — Beginning of Period  $1,079.92   $1,202.03 
           
Per share data (for a share outstanding throughout the Period):          
Net investment loss   (0.73)   (0.78)
Total net realized and unrealized gain/(loss) on investments and foreign currency   29.59    29.03 
           
Total from investment operations   28.86    28.25 
           
Net asset value — End of Period  $1,108.78   $1,230.28 
           
Total return   2.67%   2.35%
           
Ratio to average net assets:          
Net investment loss   (0.26)%   (0.25)%
Total expenses   0.28%   0.26%
- 21 -
11.SUBSEQUENT EVENTs

 

In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through May 15, 2013, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

 

* * * * * *

- 22 -

ALPHAMETRIX ASPECT FUND — MT0001

(A Cayman Islands Exempted Limited Liability Company)

 

OATH OF AFFIRMATION OF THE COMMODITY POOL OPERATOR

 

To the best of the knowledge and belief of the undersigned, the information contained in the report as of March 31, 2013 (unaudited) and December 31, 2012 and for the three months ended March 31, 2013 and 2012 (unaudited), is accurate and complete.

 

/s/ Aleks Kins  
Aleks Kins, President and Chief Executive Officer  
AlphaMetrix, LLC — Sponsor  
- 23 -
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&#8220;AlphaMetrix&#8221;) is the sponsor of AlphaMetrix Managed Futures LLC (the &#8220;Platform&#8221; or the &#8220;Fund&#8221;). The Sponsor is registered with the U.S. Commodity Futures Trading Commission (&#8220;CFTC&#8221;) as a commodity pool operator and commodity trading advisor, with the U.S. Securities and Exchange Commission (&#8220;SEC&#8221;) as a Registered Investment Advisor (&#8220;RIA&#8221;) and Registered Transfer Agent (&#8220;RTA&#8221;), and is a member of the National Futures Association (&#8220;NFA&#8221;). 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 &#8220;Aspect Series&#8221; or &#8220;Series&#8221;) is the only &#8220;segregated series&#8221; of the Platform. Since the Aspect Series is the Platform&#8217;s only segregated series, references to the 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. (&#8220;UBS MFS&#8221; or the &#8220;former sponsor&#8221;) 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 Disclosure Document dated October 31, 2011 (the &#8220;Confidential Disclosure Document&#8221;). All capitalized terms used but not defined herein are defined in the Confidential Disclosure Document. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Aspect Series invests substantially all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the &#8220;Trading Fund&#8221;). The Trading Fund then invests a substantial portion of its assets in AlphaMetrix Aspect Fund &#8211; MT0001 (the &#8220;Master Fund&#8221;) which is advised by Aspect Capital Limited (the &#8220;Trading Advisor&#8221;). 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 (&#8220;FASB&#8221;) Accounting Standards Codification (&#8220;ASC&#8221;) 810, <i>Consolidation</i> (&#8220;ASC 810&#8221;). Subsequent to December 31, 2010, the Aspect Series and Master Fund are no longer consolidated. As of March 31, 2013 and December 31, 2012, the Aspect Series held an interest in the Master Fund of approximately 84% and 86%, respectively. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Master Fund engages in the speculative trading of U.S. and foreign futures and forward currency contracts (collectively, &#8220;derivatives&#8221;) 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. Credit Suisse Securities (USA) LLC acts as the Series futures clearing broker and Credit Suisse AG acts as the foreign exchange clearing broker of the Master Fund. The Master Fund may execute foreign exchange trades through other foreign exchange clearing brokers 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 (&#8220;Units&#8221;), which registration became effective October 17, 2006. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The accompanying unaudited condensed financial statements, in the opinion of management, include all adjustments necessary for a fair presentation of the Series&#8217; financial condition as of March 31, 2013 (unaudited) and December 31, 2012 and the results of its operations and its changes in members&#8217; capital for the three months ended March 31, 2013 and 2012 (unaudited). These condensed financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these unaudited condensed financial statements be read in conjunction with the audited financial statements and notes included in the Series&#8217; annual report on Form 10-K filed with the SEC for the year ended December 31, 2012. The December 31, 2012 information has been derived from the audited financial statements as of December 31, 2012. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> On March 16, 2007, the Series issued 5,000.00 Units to the Trading Advisor for $5,000,000 (the &#8220;Trading Advisor Investment&#8221;) 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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 &#8220;Member&#8221;), to dissolve the Series at any time). </p><br/> 0.84 0.86 5000.00 5000000 2760.62 2760620 9.94 10000 8.12 10000 <table cellpadding="0" cellspacing="0" width="100%" style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> <tr style="vertical-align: top"> <td style="width: 0"> </td> <td style="width: 36pt"> <b>(2)</b> </td> <td style="text-align: justify"> <b>Summary of Significant Accounting Policies</b> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The accounting records for the Platform and Series are maintained in accordance with accounting principles generally accepted in the United States of America (&#8220;GAAP&#8221;). 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Investment</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Series invests substantially all of its assets in the Master Fund. The Series&#8217; investment in the Master Fund is carried at fair value and represents the Series&#8217; pro rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. The Master Fund&#8217;s assets are carried at fair value. At each valuation date, the Master Fund&#8217;s income, expenses, net realized gain/(loss) and net increase/(decrease) in unrealized appreciation/(depreciation) are allocated to the Series based on the Series&#8217; pro rata interest in the net assets of the Master Fund, and recorded in the Series&#8217; Statements of Operations. The Master Fund provides the Series with daily estimated net asset valuations. The unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 and should be read in conjunction with the Series&#8217; financial statements. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Basis of Presentation</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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 March 31, 2013 and 2012, and December 31, 2012, the Aspect Series exists as the only segregated series on the Platform. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. In accordance with Financial Accounting Standards Board Accounting Standards Codification 946 <i>Financial Services &#8211; Investment Companies</i>, the Series and the Master Fund are not consolidated. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Due from Sponsor</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Represents amounts due from the Sponsor for over payment of fees. As of March 31, 2013 and December 31, 2012, there was a receivable of $29,498 and $0, respectively, from the Sponsor. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Cash</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Subscriptions received in advance</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Subscriptions received in advance are subscriptions for Units effective subsequent to period end. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Redemptions payable</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Redemptions payable are Unit redemptions effective March 31, 2013 and December 31, 2012 but paid subsequent to that date. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Income Taxes</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Platform follows the provisions of FASB ASC Topic 740, <i>Income Taxes</i> (&#8220;ASC 740&#8221;), 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 &#8220;more-likely-than-not&#8221; 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 period. As of March 31, 2013 and December 31, 2012, 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 its inception date. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> As the Series is a partnership for tax purposes, the Series&#8217; Members are individually responsible for reporting income or loss based on such Investor&#8217;s share of the Series&#8217; income and expenses as reported for income tax purposes. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Use of Estimates</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Interest Income/Expense</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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&#8217;s interest income/expense from its broker, or (2) interest income from the Series&#8217; bank account. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Fair Value Measurements and Disclosures</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> FASB ASC 820, <i>Fair Value Measurement</i> (&#8220;ASC 820&#8221;) 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: </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt; text-align: justify"> Level 1 &#8212; 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt; text-align: justify"> Level 2 &#8212; Values for investments classified as Level 2 are based on quoted prices for similar investments in 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt; text-align: justify"> Level 3 &#8212; 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Series invests its assets in the Master Fund. The classification of the Master Fund&#8217;s investments in accordance with ASC 820 is discussed in the notes to the financial statements of the Master Fund. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Derivative Instruments</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> FASB ASC 815, <i>Derivatives and Hedging</i> (&#8220;ASC 815&#8221;) 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 its Master Fund which engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively &#8220;derivatives&#8221;). 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Distributions</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Subscriptions</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> 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 (&#8220;NAV&#8221;) for all dates thereafter. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> The Sponsor, in its sole discretion and for any reason, may decline to accept the subscription of any prospective Member. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Redemptions</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> Units may be redeemed as of the end of any calendar month (each, a &#8220;Redemption Date&#8221;) 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> When Units are redeemed (or exchanged), any accrued fees (including performance fees) and expenses reduce the redemption proceeds paid to members. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Indemnifications</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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. The Series expects the risk of any future obligation under these indemnifications to be remote. </p><br/> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Investment</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Series invests substantially all of its assets in the Master Fund. The Series&#8217; investment in the Master Fund is carried at fair value and represents the Series&#8217; pro rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. The Master Fund&#8217;s assets are carried at fair value. At each valuation date, the Master Fund&#8217;s income, expenses, net realized gain/(loss) and net increase/(decrease) in unrealized appreciation/(depreciation) are allocated to the Series based on the Series&#8217; pro rata interest in the net assets of the Master Fund, and recorded in the Series&#8217; Statements of Operations. The Master Fund provides the Series with daily estimated net asset valuations. The unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 and should be read in conjunction with the Series&#8217; financial statements.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Basis of Presentation</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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 March 31, 2013 and 2012, and December 31, 2012, the Aspect Series exists as the only segregated series on the Platform. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. In accordance with Financial Accounting Standards Board Accounting Standards Codification 946 <i>Financial Services &#8211; Investment Companies</i>, the Series and the Master Fund are not consolidated.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Due from Sponsor</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Represents amounts due from the Sponsor for over payment of fees. As of March 31, 2013 and December 31, 2012, there was a receivable of $29,498 and $0, respectively, from the Sponsor.</p> 29498 0 <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Cash</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Subscriptions received in advance</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Subscriptions received in advance are subscriptions for Units effective subsequent to period end.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Redemptions payable</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Redemptions payable are Unit redemptions effective March 31, 2013 and December 31, 2012 but paid subsequent to that date.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Income Taxes</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Platform follows the provisions of FASB ASC Topic 740, <i>Income Taxes</i> (&#8220;ASC 740&#8221;), 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 &#8220;more-likely-than-not&#8221; 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 period. As of March 31, 2013 and December 31, 2012, 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 its inception date. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> As the Series is a partnership for tax purposes, the Series&#8217; Members are individually responsible for reporting income or loss based on such Investor&#8217;s share of the Series&#8217; income and expenses as reported for income tax purposes.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Use of Estimates</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Interest Income/Expense</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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&#8217;s interest income/expense from its broker, or (2) interest income from the Series&#8217; bank account.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Fair Value Measurements and Disclosures</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> FASB ASC 820, <i>Fair Value Measurement</i> (&#8220;ASC 820&#8221;) 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: </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt; text-align: justify"> Level 1 &#8212; 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt; text-align: justify"> Level 2 &#8212; Values for investments classified as Level 2 are based on quoted prices for similar investments in 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt; text-align: justify"> Level 3 &#8212; 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Series invests its assets in the Master Fund. The classification of the Master Fund&#8217;s investments in accordance with ASC 820 is discussed in the notes to the financial statements of the Master Fund.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Derivative Instruments</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> FASB ASC 815, <i>Derivatives and Hedging</i> (&#8220;ASC 815&#8221;) 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 its Master Fund which engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively &#8220;derivatives&#8221;). 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.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Distributions</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Subscriptions</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> 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 (&#8220;NAV&#8221;) for all dates thereafter. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> The Sponsor, in its sole discretion and for any reason, may decline to accept the subscription of any prospective Member.</p> 1000 <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Redemptions</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> Units may be redeemed as of the end of any calendar month (each, a &#8220;Redemption Date&#8221;) 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> When Units are redeemed (or exchanged), any accrued fees (including performance fees) and expenses reduce the redemption proceeds paid to members.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><u>Indemnifications</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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. The Series expects the risk of any future obligation under these indemnifications to be remote.</p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"> <tr style="vertical-align: top"> <td style="width: 0pt"> </td> <td style="width: 36pt; text-align: left"> <b>(3)</b> </td> <td> <b>Related Party Transactions</b> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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 Series) on each of such Member&#8217;s subscriptions to the Series to UBS Financial Services Inc. (&#8220;UBS FS&#8221;), 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 $9,899 and $33,331 for the three months ended March 31, 2013 and March 31, 2012, respectively, were deducted from proceeds received from the Members. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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 $365,813 and $425,110 for the three months ended March 31, 2013 and 2012, respectively, and accrued $98,453 and $113,574 owed to UBS FS and $17,383 and $17,980 owed to Credit Suisse Securities LLC at March 31, 2013 and December 31, 2012, 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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). </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Sponsor receives a monthly sponsor fee of 0.04167 of 1% (a 0.50% annual rate) of the Series&#8217; 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&#8217;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&#8217;s fees of $91,453 and $106,278 for the three months ended March 31, 2013 and 2012, respectively, and accrued $0 and $10,120 payable to the Sponsor at March 31, 2013 and December 31, 2012, respectively. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> 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&#8217; current Confidential 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&#8217; capital as of March 16, 2007 (the date of commencement of operations of the Series) (&#8220;net asset value for financial reporting&#8221; or the &#8220;net asset value per Unit for financial reporting&#8221;). 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 (&#8220;net asset value for all other purposes&#8221; or the &#8220;net asset value per Unit for all other purposes&#8221;). 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. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> <u>Aspect Series Net Asset Values</u> </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The quarterly net asset value and net asset value per Unit since commencement of operations are as follows: </p><br/><table cellpadding="0" cellspacing="0" style="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="6" style="text-align: center; border-bottom: Black 1px solid"> Net Asset Value </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="6" style="text-align: center; border-bottom: Black 1px solid"> Net Asset Value per Unit </td> <td style="padding-bottom: 1px"> &#160; </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> All Other Purposes </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> Financial Reporting </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> Number of Units </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> All Other Purposes </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> Financial Reporting </td> <td style="padding-bottom: 1px"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="width: 35%; text-indent: -10pt; padding-left: 10pt"> Price at Commencement* </td> <td style="width: 2%"> &#160; </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 9%; text-align: right"> &#160; </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 2%"> &#160; </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 9%; text-align: right"> &#160; </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 2%"> &#160; </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 9%; text-align: right"> &#160; </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 2%"> &#160; </td> <td style="width: 1%; 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These expenses are paid in addition to the other expenses described below. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The Sponsor has retained outside service providers to supply certain services, including, without limitation, tax reporting, accounting, legal, and escrow services. 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The Series incurred performance fees of $0 and $170,487 during the three months ended March 31, 2013 and 2012, respectively, no amounts were accrued and owed to the Trading Advisor at March 31, 2013 and December 31, 2012, respectively. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> As the management and performance fees are paid out of the Master Fund, via a redemption by the Series from the Master Fund, the amounts of management and performance fees owed to the Trading Advisor as of March 31, 2013 and December 31, 2012 are reflected on the Master Fund&#8217;s Statements of Financial Condition as payable to Trading Advisor. </p><br/> 0.00167 0.02 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. 0.20 0 <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"> <tr style="vertical-align: top"> <td style="width: 0pt"> </td> <td style="width: 36pt; text-align: left"> <b>(5)</b> </td> <td> <b>Financial Instruments with Off-balance sheet and Concentration of Credit Risk</b> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> At March 31, 2013 and December 31, 2012, 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&#8217; risk at March 31, 2013 and December 31, 2012 is limited to the fair value of its investment in the Master Fund. </p><br/> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"> <tr style="vertical-align: top"> <td style="width: 0pt"> </td> <td style="width: 36pt; text-align: left"> <b>(6)</b> </td> <td> <b>Administration</b> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> AlphaMetrix360, LLC (&#8220;AlphaMetrix360&#8221;), a related party to the Sponsor, serves as the administrator (the &#8220;Administrator&#8221;) for the Platform and Series. 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). </p><br/> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"> <tr style="vertical-align: top"> <td style="width: 0pt"> </td> <td style="width: 36pt; text-align: left"> <b>(7)</b> </td> <td> <b>NAV Verification Agent</b> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> Custom House Fund Services (Chicago) LLC (&#8220;Custom House&#8221;), was retained by the Platform to serve as the 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 &#8220;Custom House Agreement&#8221;), entered into by Custom House, the Sponsor, the Platform and the Administrator. </p><br/> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"> <tr style="vertical-align: top"> <td style="width: 0pt"> </td> <td style="width: 36pt; text-align: left"> <b>(8)</b> </td> <td> <b>Financial Highlights</b> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> The following financial highlights show the Series&#8217; financial performance for the three months ended March 31, 2013 and 2012, respectively, in the table below. 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&#8217;s investment over the entire period-a percentage change in the Member&#8217;s capital value for the period. The information has been derived from information presented in the condensed financial statements. </p><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 18pt; text-align: justify"> Regarding the information shown in the table below: </p><br/><table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="vertical-align: top"> <td style="width: 3%; font: 10pt Symbol; text-indent: 0pt"> &#160; </td> <td style="width: 3%; text-indent: 0pt"> &#8226; </td> <td style="width: 94%; text-align: justify"> <font style="font-size: 10pt">Per Unit operating performance is computed based upon the weighted-average net Units for the periods ended March 31, 2013 and 2012. Total return is calculated as the change in the net asset value per Unit for the three months ended March 31, 2013 and 2012 and is not annualized.</font> </td> </tr> </table><br/><table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="vertical-align: top"> <td style="width: 3%"> &#160; </td> <td style="width: 3%; text-indent: 0pt"> &#8226; </td> <td style="width: 94%; text-align: justify"> <font style="font-size: 10pt">The net investment loss and total expense ratios are computed based upon the weighted average net assets for the three months ended March 31, 2013 and 2012. Weighted average net assets include the performance fee and are computed using month-end net assets. Net investment loss and expenses include the Series proportionate share of the Master Fund&#8217;s investment income (loss) and expenses, respectively. Such ratios have been annualized, with the exception of the performance fee.</font> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> An individual Member&#8217;s total return and ratios may vary from those below based on the timing of capital transactions. </p><br/><table cellpadding="0" cellspacing="0" style="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> Three Months Ended March 31, 2013 </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> Three Months Ended March 31, 2012 </td> <td style="padding-bottom: 1px"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="width: 66%; text-align: left; text-indent: -10pt; padding-left: 10pt"> Members&#8217; capital per Unit at beginning of period </td> <td style="width: 3%"> &#160; </td> <td style="width: 1%; text-align: left"> $ </td> <td style="width: 12%; text-align: right"> 1,134.27 </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 3%"> &#160; </td> <td style="width: 1%; text-align: left"> $ </td> <td style="width: 12%; text-align: right"> 1,298.90 </td> <td style="width: 1%; text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: -10pt; padding-left: 10pt"> Per Unit data (for a unit outstanding throughout the period) </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; text-indent: -10pt; padding-left: 20pt"> Net investment loss </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> (15.20 </td> <td style="text-align: left"> ) </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> (20.16 </td> <td style="text-align: left"> ) </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1px; text-indent: -10pt; padding-left: 20pt"> Net realized and unrealized gain on investments </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> 25.85 </td> <td style="padding-bottom: 1px; text-align: left"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> 27.50 </td> <td style="padding-bottom: 1px; text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; text-indent: -10pt; padding-left: 10pt"> Total from investment operations </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 10.65 </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 7.34 </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 3px; text-indent: -10pt; padding-left: 10pt"> Members&#8217; capital per Unit at end of period </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> $ </td> <td style="border-bottom: Black 3px double; text-align: right"> 1,144.92 </td> <td style="padding-bottom: 3px; text-align: left"> &#160; </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> $ </td> <td style="border-bottom: Black 3px double; text-align: right"> 1,306.24 </td> <td style="padding-bottom: 3px; text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; text-indent: -10pt; padding-left: 10pt"> Total return: </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: -10pt; padding-left: 20pt"> Total return before performance fee </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 0.94 </td> <td style="text-align: left"> % </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 0.77 </td> <td style="text-align: left"> % </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; padding-bottom: 1px; text-indent: -10pt; padding-left: 20pt"> Performance fee </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> 0.00 </td> <td style="padding-bottom: 1px; text-align: left"> % </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> (0.20 </td> <td style="padding-bottom: 1px; text-align: left"> %) </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 3px; text-indent: -10pt; padding-left: 20pt"> Total return after performance fee </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> 0.94 </td> <td style="padding-bottom: 2px; text-align: left"> % </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> 0.57 </td> <td style="padding-bottom: 2px; text-align: left"> % </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; text-indent: -10pt; padding-left: 10pt"> Ratios to average Members&#8217; capital </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 3px; text-indent: -10pt; padding-left: 20pt"> Net investment loss </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> (5.31 </td> <td style="padding-bottom: 1px; text-align: left"> %) </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> (5.53 </td> <td style="padding-bottom: 1px; text-align: left"> %) </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-indent: -10pt; padding-left: 20pt"> Expenses: </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-indent: -10pt; padding-left: 30pt"> Expenses </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 5.32 </td> <td style="text-align: left"> % </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 5.34 </td> <td style="text-align: left"> % </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; padding-bottom: 1px; text-indent: -10pt; padding-left: 30pt"> Performance fee </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> 0.00 </td> <td style="padding-bottom: 1px; text-align: left"> % </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> 0.20 </td> <td style="padding-bottom: 1px; text-align: left"> % </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 3px; text-indent: -10pt; padding-left: 40pt"> Total expenses </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> 5.32 </td> <td style="padding-bottom: 3px; text-align: left"> % </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> 5.54 </td> <td style="padding-bottom: 3px; text-align: left"> % </td> </tr> </table><br/> An individual Member&#8217;s total return and ratios may vary from those below based on the timing of capital transactions.<br /><table cellpadding="0" cellspacing="0" style="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> Three Months Ended March 31, 2013 </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td colspan="2" style="text-align: center; border-bottom: Black 1px solid"> Three Months Ended March 31, 2012 </td> <td style="padding-bottom: 1px"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="width: 66%; text-align: left; text-indent: -10pt; padding-left: 10pt"> Members&#8217; capital per Unit at beginning of period </td> <td style="width: 3%"> &#160; </td> <td style="width: 1%; text-align: left"> $ </td> <td style="width: 12%; text-align: right"> 1,134.27 </td> <td style="width: 1%; text-align: left"> &#160; </td> <td style="width: 3%"> &#160; </td> <td style="width: 1%; text-align: left"> $ </td> <td style="width: 12%; text-align: right"> 1,298.90 </td> <td style="width: 1%; text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: -10pt; padding-left: 10pt"> Per Unit data (for a unit outstanding throughout the period) </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="padding-bottom: 1px"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; 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text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; text-indent: -10pt; padding-left: 10pt"> Total from investment operations </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 10.65 </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 7.34 </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 3px; text-indent: -10pt; 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text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> 0.57 </td> <td style="padding-bottom: 2px; text-align: left"> % </td> </tr> <tr style="vertical-align: bottom"> <td> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; text-indent: -10pt; padding-left: 10pt"> Ratios to average Members&#8217; capital </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; 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</td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-indent: -10pt; padding-left: 20pt"> Expenses: </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> &#160; </td> <td style="text-align: left"> &#160; </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-indent: -10pt; padding-left: 30pt"> Expenses </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 5.32 </td> <td style="text-align: left"> % </td> <td> &#160; </td> <td style="text-align: left"> &#160; </td> <td style="text-align: right"> 5.34 </td> <td style="text-align: left"> % </td> </tr> <tr style="vertical-align: bottom; background-color: rgb(229,255,255)"> <td style="text-align: left; padding-bottom: 1px; text-indent: -10pt; padding-left: 30pt"> Performance fee </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> 0.00 </td> <td style="padding-bottom: 1px; text-align: left"> % </td> <td style="padding-bottom: 1px"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: left"> &#160; </td> <td style="border-bottom: Black 1px solid; text-align: right"> 0.20 </td> <td style="padding-bottom: 1px; text-align: left"> % </td> </tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 3px; text-indent: -10pt; padding-left: 40pt"> Total expenses </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> 5.32 </td> <td style="padding-bottom: 3px; text-align: left"> % </td> <td style="padding-bottom: 3px"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: left"> &#160; </td> <td style="border-bottom: Black 3px double; text-align: right"> 5.54 </td> <td style="padding-bottom: 3px; text-align: left"> % </td> </tr> </table> 1134.27 1298.90 -15.20 -20.16 25.85 27.50 10.65 7.34 1144.92 1306.24 0.0094 0.0077 0.0000 -0.0020 0.0094 0.0057 -0.0531 -0.0553 0.0532 0.0534 0.0000 0.0020 0.0532 0.0554 <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"> <tr style="vertical-align: top"> <td style="width: 0pt"> </td> <td style="width: 36pt; text-align: left"> <b>(9)</b> </td> <td> <b>Subsequent Events</b> </td> </tr> </table><br/><p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> In accordance with FASB ASC 855, <i>Subsequent Events</i>, 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 there are no material events that would require recognition of disclosure in or adjustment to the Series&#8217; financial statements through this date. </p><br/> EX-101.SCH 8 aldep-20130331.xsd 001 - Statement - Condensed Statements of Financial Condition link:presentationLink link:definitionLink link:calculationLink 002 - Statement - Condensed Statements of Financial Condition (Parentheticals) link:presentationLink link:definitionLink link:calculationLink 003 - Statement - Condensed Statements of Operations link:presentationLink link:definitionLink link:calculationLink 004 - Statement - Condensed Statements of Changes in Members Capital link:presentationLink link:definitionLink link:calculationLink 005 - Disclosure - Organization link:presentationLink link:definitionLink link:calculationLink 006 - Disclosure - Summary of Significant Accounting Policies link:presentationLink link:definitionLink link:calculationLink 007 - Disclosure - Related Party Transactions link:presentationLink link:definitionLink link:calculationLink 008 - Disclosure - Advisory Agreement link:presentationLink link:definitionLink link:calculationLink 009 - Disclosure - Financial Instruments with Off-balance sheet and Concentration of Credit Risk link:presentationLink link:definitionLink link:calculationLink 010 - Disclosure - Administration link:presentationLink link:definitionLink link:calculationLink 011 - Disclosure - NAV Verification Agent link:presentationLink link:definitionLink link:calculationLink 012 - Disclosure - Financial Highlights link:presentationLink link:definitionLink link:calculationLink 013 - Disclosure - Subsequent Events link:presentationLink link:definitionLink link:calculationLink 014 - Disclosure - Accounting Policies, by Policy (Policies) link:presentationLink link:definitionLink link:calculationLink 015 - Disclosure - Related Party Transactions (Tables) link:presentationLink link:definitionLink link:calculationLink 016 - Disclosure - Financial Highlights (Tables) link:presentationLink link:definitionLink link:calculationLink 017 - Disclosure - Organization (Detail) link:presentationLink link:definitionLink link:calculationLink 018 - Disclosure - Summary of Significant Accounting Policies (Detail) link:presentationLink link:definitionLink link:calculationLink 019 - Disclosure - Related Party Transactions (Detail) link:presentationLink link:definitionLink link:calculationLink 020 - Disclosure - Related Party Transactions (Detail) - Schedule of quarterly net asset value and net asset value per Unit since commencement of operations link:presentationLink link:definitionLink link:calculationLink 021 - Disclosure - Advisory Agreement (Detail) link:presentationLink link:definitionLink link:calculationLink 022 - Disclosure - Financial Highlights (Detail) - Schedule of financial highlights of members capital link:presentationLink link:definitionLink link:calculationLink 000 - Disclosure - Document And Entity Information link:presentationLink link:definitionLink link:calculationLink EX-101.CAL 9 aldep-20130331_cal.xml EX-101.DEF 10 aldep-20130331_def.xml EX-101.LAB 11 aldep-20130331_lab.xml EX-101.PRE 12 aldep-20130331_pre.xml XML 13 report.css IDEA: XBRL DOCUMENT /* Updated 2009-11-04 */ /* v2.2.0.24 */ /* DefRef Styles */ ..report table.authRefData{ background-color: #def; 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Advisory Agreement
3 Months Ended
Mar. 31, 2013
Advisory Agreement Disclosure [Text Block]
(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, legal, 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 $366,424 and $426,105 for the three months ended March 31, 2013 and 2012, respectively, and no amounts were accrued and owed to the Trading Advisor at March 31, 2013 and December 31, 2012, respectively.


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 $0 and $170,487 during the three months ended March 31, 2013 and 2012, respectively, no amounts were accrued and owed to the Trading Advisor at March 31, 2013 and December 31, 2012, respectively.


As the management and performance fees are paid out of the Master Fund, via a redemption by the Series from the Master Fund, the amounts of management and performance fees owed to the Trading Advisor as of March 31, 2013 and December 31, 2012 are reflected on the Master Fund’s Statements of Financial Condition as payable to Trading Advisor.


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Related Party Transactions
3 Months Ended
Mar. 31, 2013
Related Party Transactions Disclosure [Text Block]
(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 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 $9,899 and $33,331 for the three months ended March 31, 2013 and March 31, 2012, respectively, were deducted from proceeds received from the Members.


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 $365,813 and $425,110 for the three months ended March 31, 2013 and 2012, respectively, and accrued $98,453 and $113,574 owed to UBS FS and $17,383 and $17,980 owed to Credit Suisse Securities LLC at March 31, 2013 and December 31, 2012, 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).


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 $91,453 and $106,278 for the three months ended March 31, 2013 and 2012, respectively, and accrued $0 and $10,120 payable to the Sponsor at March 31, 2013 and December 31, 2012, 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 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.


Aspect Series Net Asset Values


The quarterly net asset value and net asset value per Unit since commencement of operations 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*                           $ 1,000.00     $ 1,000.00  
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       68,261.84       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  
March 31, 2013     66,503,436       66,503,436       58,085.84       1,144.916       1,144.916  
                                         
Total return after performance fee, from the commencement of operations through the period ended March 31, 2013       14.49 %     14.49 %

* Commencement of operations of the Series was March 16, 2007


XML 17 R2.htm IDEA: XBRL DOCUMENT v2.4.0.6
Condensed Statements of Financial Condition (USD $)
Mar. 31, 2013
Dec. 31, 2012
ASSETS    
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value $ 64,515,302 $ 63,194,749
Cash at bank 5,352,936 16,104,735
Due from Sponsor 29,498  
Total Assets 69,897,736 79,299,484
REDEMPTIONS PAYABLE 2,853,418 3,376,506
SUBSCRIPTIONS RECEIVED IN ADVANCE 210,968 259,715
PAYABLES:    
Accrued sales commission 115,836 131,554
Accrued sponsor’s fee   10,120
Accrued operating costs and administrative fee 214,077 130,334
Total Liabilities 3,394,299 3,908,229
MEMBERS’ CAPITAL    
Members (58,077.72 and 66,458.60 units outstanding at March 31, 2013 and December 31, 2012, respectively, unlimited units authorized) 66,494,139 75,382,045
Sponsor (8.12 units outstanding at March 31, 2013 and December 31, 2012, respectively, unlimited units authorized) 9,297 9,210
Total Members’ Capital 66,503,436 75,391,255
Total Liabilities and Members’ Capital 69,897,735 79,299,484
NET ASSET VALUE PER UNIT    
Members (in Dollars per Item) 1,144.916 1,134.271
Sponsor (in Dollars per Item) 1,144.916 1,134.271
Aspect Series [Member]
   
ASSETS    
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value 64,515,302 63,194,749
Cash at bank 5,352,936 16,104,735
Due from Sponsor 29,498  
Total Assets 69,897,736 79,299,484
REDEMPTIONS PAYABLE 2,853,419 3,376,506
SUBSCRIPTIONS RECEIVED IN ADVANCE 210,968 259,715
PAYABLES:    
Accrued sales commission 115,836 131,554
Accrued sponsor’s fee 0 10,120
Accrued operating costs and administrative fee 214,077 130,334
Total Liabilities 3,394,300 3,908,229
MEMBERS’ CAPITAL    
Members (58,077.72 and 66,458.60 units outstanding at March 31, 2013 and December 31, 2012, respectively, unlimited units authorized) 66,494,139 75,382,045
Sponsor (8.12 units outstanding at March 31, 2013 and December 31, 2012, respectively, unlimited units authorized) 9,297 9,210
Total Members’ Capital 66,503,436 75,391,255
Total Liabilities and Members’ Capital $ 69,897,736 $ 79,299,484
NET ASSET VALUE PER UNIT    
Members (in Dollars per Item) 1,144.916 1,134.271
Sponsor (in Dollars per Item) 1,144.916 1,134.271
XML 18 R6.htm IDEA: XBRL DOCUMENT v2.4.0.6
Organization
3 Months Ended
Mar. 31, 2013
Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block]
(1) Organization

As of November 1, 2008, AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform” or the “Fund”). The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the U.S. 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 the 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 Disclosure Document dated October 31, 2011 (the “Confidential Disclosure Document”). All capitalized terms used but not defined herein are defined in the Confidential Disclosure Document.


The Aspect Series invests substantially all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the “Trading Fund”). The Trading Fund then invests 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. As of March 31, 2013 and December 31, 2012, the Aspect Series held an interest in the Master Fund of approximately 84% and 86%, respectively.


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. Credit Suisse Securities (USA) LLC acts as the Series futures clearing broker and Credit Suisse AG acts as the foreign exchange clearing broker of the Master Fund. The Master Fund may execute foreign exchange trades through other foreign exchange clearing brokers 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”), which registration became effective October 17, 2006.


The accompanying unaudited condensed financial statements, in the opinion of management, include all adjustments necessary for a fair presentation of the Series’ financial condition as of March 31, 2013 (unaudited) and December 31, 2012 and the results of its operations and its changes in members’ capital for the three months ended March 31, 2013 and 2012 (unaudited). These condensed financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these unaudited condensed financial statements be read in conjunction with the audited financial statements and notes included in the Series’ annual report on Form 10-K filed with the SEC for the year ended December 31, 2012. The December 31, 2012 information has been derived from the audited financial statements as of December 31, 2012.


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).


XML 19 R22.htm IDEA: XBRL DOCUMENT v2.4.0.6
Advisory Agreement (Detail) (USD $)
3 Months Ended
Mar. 31, 2013
Mar. 31, 2012
Management Fee $ 366,424 $ 426,105
Percent Net Trading Profits Paid Quarterly As Performance Fee 20.00%  
Performance Fee   170,487
Aspect Series [Member]
   
Management Fee Rate 0.167%  
Management Fee Rate Annual 2.00%  
Management Fee 366,424 426,105
Performance Fee Description 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.  
Performance Fee $ 0 $ 170,487
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Summary of Significant Accounting Policies
3 Months Ended
Mar. 31, 2013
Significant Accounting Policies [Text Block]
(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. 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 unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 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 March 31, 2013 and 2012, and December 31, 2012, the Aspect Series exists as the only segregated series on the Platform.


The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. In accordance with Financial Accounting Standards Board Accounting Standards Codification 946 Financial Services – Investment Companies, the Series and the Master Fund are not consolidated.


Due from Sponsor


Represents amounts due from the Sponsor for over payment of fees. As of March 31, 2013 and December 31, 2012, there was a receivable of $29,498 and $0, respectively, from the Sponsor.


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 for Units effective subsequent to period end.


Redemptions payable


Redemptions payable are Unit redemptions effective March 31, 2013 and December 31, 2012 but paid subsequent to that date.


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 period. As of March 31, 2013 and December 31, 2012, 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 its 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 Investor’s share of the Series’ income and expenses as reported for income tax purposes.


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.


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.


Fair Value Measurements and Disclosures


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 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 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 its 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.


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. The Series expects the risk of any future obligation under these indemnifications to be remote.


XML 23 R3.htm IDEA: XBRL DOCUMENT v2.4.0.6
Condensed Statements of Financial Condition (Parentheticals)
Mar. 31, 2013
Dec. 31, 2012
Members, units outstanding (in Shares) 58,077.72 66,458.60
Members, units authorized unlimited unlimited
Sponsor, units outstanding (in Shares) 8.12 8.12
Sponsor, units authorized unlimited unlimited
Aspect Series [Member]
   
Members, units outstanding (in Shares) 58,077.72 66,458.60
Members, units authorized unlimited unlimited
Sponsor, units outstanding (in Shares) 8.12 8.12
Sponsor, units authorized unlimited unlimited
XML 24 R17.htm IDEA: XBRL DOCUMENT v2.4.0.6
Financial Highlights (Tables)
3 Months Ended
Mar. 31, 2013
Schedule of Condensed Income Statement [Table Text Block] An individual Member’s total return and ratios may vary from those below based on the timing of capital transactions.
    Three Months Ended March 31, 2013     Three Months Ended March 31, 2012  
Members’ capital per Unit at beginning of period   $ 1,134.27     $ 1,298.90  
                 
Per Unit data (for a unit outstanding throughout the period)                
Net investment loss     (15.20 )     (20.16 )
Net realized and unrealized gain on investments     25.85       27.50  
Total from investment operations     10.65       7.34  
                 
Members’ capital per Unit at end of period   $ 1,144.92     $ 1,306.24  
                 
Total return:                
Total return before performance fee     0.94 %     0.77 %
Performance fee     0.00 %     (0.20 %)
Total return after performance fee     0.94 %     0.57 %
                 
Ratios to average Members’ capital                
Net investment loss     (5.31 %)     (5.53 %)
                 
Expenses:                
Expenses     5.32 %     5.34 %
Performance fee     0.00 %     0.20 %
Total expenses     5.32 %     5.54 %
XML 25 R1.htm IDEA: XBRL DOCUMENT v2.4.0.6
Document And Entity Information (USD $)
3 Months Ended
Mar. 31, 2013
Document and Entity Information [Abstract]  
Entity Registrant Name AlphaMetrix Managed Futures LLC
Document Type 10-Q
Current Fiscal Year End Date --12-31
Entity Common Stock, Shares Outstanding 0
Entity Public Float $ 0
Amendment Flag false
Entity Central Index Key 0001373179
Entity Current Reporting Status Yes
Entity Voluntary Filers No
Entity Filer Category Smaller Reporting Company
Entity Well-known Seasoned Issuer No
Document Period End Date Mar. 31, 2013
Document Fiscal Year Focus 2013
Document Fiscal Period Focus Q1
XML 26 R18.htm IDEA: XBRL DOCUMENT v2.4.0.6
Organization (Detail) (Aspect Series [Member], USD $)
Mar. 31, 2013
Dec. 31, 2012
Nov. 01, 2008
Apr. 01, 2007
Mar. 16, 2007
Aspect Series [Member]
         
Interest Held Percentage 84.00% 86.00%      
Units Issued For Trading Advisor         5,000.00
Units For Trading Advisor, Value (in Dollars)         $ 5,000,000
Units Issued For Third Parties         2,760.62
Units For Third Parties, Value (in Dollars)         2,760,620
Units Issued For Former Sponsor, UBS MFS       9.94  
Units For Former Sponsor, UBS MFS, Value (in Dollars)       10,000  
Units Issued for Sponsor     8.12    
Units Issued For Sponsor, Value (in Dollars)     $ 10,000    
XML 27 R4.htm IDEA: XBRL DOCUMENT v2.4.0.6
Condensed Statements of Operations (USD $)
3 Months Ended
Mar. 31, 2013
Mar. 31, 2012
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:    
Interest income $ 2,566 $ 1,809
Trading costs (34,201) (34,048)
Interest expense (10,869) (13,744)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001 (42,504) (45,983)
SERIES NET INVESTMENT INCOME/(LOSS):    
Operating expenses (110,913) (111,092)
Management fee (366,424) (426,105)
Performance fee   (170,487)
Sales commissions (365,813) (425,110)
Sponsor fee (91,453) (106,278)
Net investment income/(loss) (934,603) (1,239,072)
Total net investment income/(loss) (977,107) (1,285,055)
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001    
Net realized gain/(loss) 1,873,709 2,975,617
Net increase/(decrease) in unrealized appreciation/(depreciation) (144,188) (1,254,515)
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 1,729,521 1,721,102
Net increase/(decrease) in net assets resulting from operations 752,414 436,047
Weighted average number of units outstanding (in Shares) 62,016 63,506
Net income/(loss) per weighted average unit (in Dollars per share) $ 12.13 $ 6.87
Aspect Series [Member]
   
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:    
Interest income 2,566 1,809
Trading costs (34,201) (34,048)
Interest expense (10,869) (13,744)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001 (42,504) (45,983)
SERIES NET INVESTMENT INCOME/(LOSS):    
Operating expenses (110,913) (111,092)
Management fee (366,424) (426,105)
Performance fee 0 (170,487)
Sales commissions (365,813) (425,110)
Sponsor fee (91,453) (106,278)
Net investment income/(loss) (934,603) (1,239,072)
Total net investment income/(loss) (977,107) (1,285,055)
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001    
Net realized gain/(loss) 1,873,709 2,975,617
Net increase/(decrease) in unrealized appreciation/(depreciation) (144,188) (1,254,515)
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 1,729,521 1,721,102
Net increase/(decrease) in net assets resulting from operations $ 752,414 $ 436,047
Weighted average number of units outstanding (in Shares) 62,016 63,506
Net income/(loss) per weighted average unit (in Dollars per share) $ 12.13 $ 6.87
XML 28 R12.htm IDEA: XBRL DOCUMENT v2.4.0.6
NAV Verification Agent
3 Months Ended
Mar. 31, 2013
NAV Verification Agent [Text Block]
(7) NAV Verification Agent

Custom House Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as the 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.


XML 29 R11.htm IDEA: XBRL DOCUMENT v2.4.0.6
Administration
3 Months Ended
Mar. 31, 2013
Administration [Text Block]
(6) Administration

AlphaMetrix360, LLC (“AlphaMetrix360”), a related party to the Sponsor, serves as the administrator (the “Administrator”) for the Platform and Series. 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).


XML 30 R23.htm IDEA: XBRL DOCUMENT v2.4.0.6
Financial Highlights (Detail) - Schedule of financial highlights of members capital
3 Months Ended
Mar. 31, 2013
Mar. 31, 2012
Members’ capital per Unit at beginning of period (in Dollars per Item) 1,134.27 1,298.90
Per Unit data (for a unit outstanding throughout the period)    
Net investment loss (in Dollars per Item) (15.20) (20.16)
Net realized and unrealized gain on investments (in Dollars per Item) 25.85 27.50
Total from investment operations (in Dollars per Item) 10.65 7.34
Members’ capital per Unit at end of period (in Dollars per Item) 1,144.92 1,306.24
Total return:    
Total return before performance fee 0.94% 0.77%
Performance fee 0.00% (0.20%)
Total return after performance fee 0.94% 0.57%
Ratios to average Members’ capital    
Net investment loss (5.31%) (5.53%)
Expenses:    
Expenses 5.32% 5.34%
Performance fee 0.00% 0.20%
Total expenses 5.32% 5.54%
XML 31 R19.htm IDEA: XBRL DOCUMENT v2.4.0.6
Summary of Significant Accounting Policies (Detail) (USD $)
3 Months Ended 12 Months Ended
Mar. 31, 2013
Dec. 31, 2012
Sponsor Fees Refund (in Dollars) $ 29,498 $ 0
Price at Commencement (January 1, 2010) (in Dollars per Item) 1,000  
XML 32 R15.htm IDEA: XBRL DOCUMENT v2.4.0.6
Accounting Policies, by Policy (Policies)
3 Months Ended
Mar. 31, 2013
Investment, Policy [Policy Text Block]

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. 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 unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 and should be read in conjunction with the Series’ financial statements.

Basis Of Presentation [Policy Text Block]

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 March 31, 2013 and 2012, and December 31, 2012, the Aspect Series exists as the only segregated series on the Platform.


The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. In accordance with Financial Accounting Standards Board Accounting Standards Codification 946 Financial Services – Investment Companies, the Series and the Master Fund are not consolidated.

Amount Due From Sponsor [Policy Text Block]

Due from Sponsor


Represents amounts due from the Sponsor for over payment of fees. As of March 31, 2013 and December 31, 2012, there was a receivable of $29,498 and $0, respectively, from the Sponsor.

Cash and Cash Equivalents, Policy [Policy Text Block]

Cash


Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance.

Subscriptions Received In Advance [Policy Text Block]

Subscriptions received in advance


Subscriptions received in advance are subscriptions for Units effective subsequent to period end.

Redemptions Payable [Policy Text Block]

Redemptions payable


Redemptions payable are Unit redemptions effective March 31, 2013 and December 31, 2012 but paid subsequent to that date.

Income Tax, Policy [Policy Text Block]

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 period. As of March 31, 2013 and December 31, 2012, 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 its 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 Investor’s share of the Series’ income and expenses as reported for income tax purposes.

Use of Estimates, Policy [Policy Text Block]

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.

Interest Income And Expense [Policy Text Block]

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.

Fair Value Measurement, Policy [Policy Text Block]

Fair Value Measurements and Disclosures


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 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 financial statements of the Master Fund.

Derivatives, Policy [Policy Text Block]

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 its 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.

Distributions [Policy Text Block]

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 [Policy Text Block]

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 [Policy Text Block]

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 [Policy Text Block]

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. The Series expects the risk of any future obligation under these indemnifications to be remote.

XML 33 R13.htm IDEA: XBRL DOCUMENT v2.4.0.6
Financial Highlights
3 Months Ended
Mar. 31, 2013
Financial Highlights Disclosure [Text Block]
(8) Financial Highlights

The following financial highlights show the Series’ financial performance for the three months ended March 31, 2013 and 2012, respectively, in the table below. 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 period-a percentage change in the Member’s capital value for the period. The information has been derived from information presented in the condensed 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 periods ended March 31, 2013 and 2012. Total return is calculated as the change in the net asset value per Unit for the three months ended March 31, 2013 and 2012 and is not annualized.

  The net investment loss and total expense ratios are computed based upon the weighted average net assets for the three months ended March 31, 2013 and 2012. Weighted average net assets include the performance fee and are computed using month-end net assets. Net investment loss and expenses include the Series proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. Such ratios have been annualized, with the exception of the performance fee.

An individual Member’s total return and ratios may vary from those below based on the timing of capital transactions.


    Three Months Ended March 31, 2013     Three Months Ended March 31, 2012  
Members’ capital per Unit at beginning of period   $ 1,134.27     $ 1,298.90  
                 
Per Unit data (for a unit outstanding throughout the period)                
Net investment loss     (15.20 )     (20.16 )
Net realized and unrealized gain on investments     25.85       27.50  
Total from investment operations     10.65       7.34  
                 
Members’ capital per Unit at end of period   $ 1,144.92     $ 1,306.24  
                 
Total return:                
Total return before performance fee     0.94 %     0.77 %
Performance fee     0.00 %     (0.20 %)
Total return after performance fee     0.94 %     0.57 %
                 
Ratios to average Members’ capital                
Net investment loss     (5.31 %)     (5.53 %)
                 
Expenses:                
Expenses     5.32 %     5.34 %
Performance fee     0.00 %     0.20 %
Total expenses     5.32 %     5.54 %

XML 34 R14.htm IDEA: XBRL DOCUMENT v2.4.0.6
Subsequent Events
3 Months Ended
Mar. 31, 2013
Subsequent Events [Text Block]
(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 there are no material events that would require recognition of disclosure in or adjustment to the Series’ financial statements through this date.


XML 35 R16.htm IDEA: XBRL DOCUMENT v2.4.0.6
Related Party Transactions (Tables)
3 Months Ended
Mar. 31, 2013
Schedule Of Quarterly Net Asset Value And Net Asset Value Per Unit Since Commencement Of Operations [Table Text Block] 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*                           $ 1,000.00     $ 1,000.00  
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       68,261.84       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  
March 31, 2013     66,503,436       66,503,436       58,085.84       1,144.916       1,144.916  
                                         
Total return after performance fee, from the commencement of operations through the period ended March 31, 2013       14.49 %     14.49 %

* Commencement of operations of the Series was March 16, 2007

XML 36 R21.htm IDEA: XBRL DOCUMENT v2.4.0.6
Related Party Transactions (Detail) - Schedule of quarterly net asset value and net asset value per Unit since commencement of operations (USD $)
3 Months Ended 72 Months Ended 72 Months Ended
Mar. 31, 2013
Mar. 31, 2012
Dec. 31, 2012
Dec. 31, 2011
Mar. 31, 2013
All Other Purposes [Member]
Aspect Series [Member]
Dec. 31, 2012
All Other Purposes [Member]
Aspect Series [Member]
Sep. 30, 2012
All Other Purposes [Member]
Aspect Series [Member]
Jun. 30, 2012
All Other Purposes [Member]
Aspect Series [Member]
Mar. 31, 2012
All Other Purposes [Member]
Aspect Series [Member]
Dec. 31, 2011
All Other Purposes [Member]
Aspect Series [Member]
Sep. 30, 2011
All Other Purposes [Member]
Aspect Series [Member]
Jun. 30, 2011
All Other Purposes [Member]
Aspect Series [Member]
Mar. 31, 2011
All Other Purposes [Member]
Aspect Series [Member]
Dec. 31, 2010
All Other Purposes [Member]
Aspect Series [Member]
Sep. 30, 2010
All Other Purposes [Member]
Aspect Series [Member]
Jun. 30, 2010
All Other Purposes [Member]
Aspect Series [Member]
Mar. 31, 2010
All Other Purposes [Member]
Aspect Series [Member]
Dec. 31, 2009
All Other Purposes [Member]
Aspect Series [Member]
Sep. 30, 2009
All Other Purposes [Member]
Aspect Series [Member]
Jun. 30, 2009
All Other Purposes [Member]
Aspect Series [Member]
Mar. 31, 2009
All Other Purposes [Member]
Aspect Series [Member]
Dec. 31, 2008
All Other Purposes [Member]
Aspect Series [Member]
Sep. 30, 2008
All Other Purposes [Member]
Aspect Series [Member]
Jun. 30, 2008
All Other Purposes [Member]
Aspect Series [Member]
Mar. 31, 2008
All Other Purposes [Member]
Aspect Series [Member]
Dec. 31, 2007
All Other Purposes [Member]
Aspect Series [Member]
Sep. 30, 2007
All Other Purposes [Member]
Aspect Series [Member]
Jun. 30, 2007
All Other Purposes [Member]
Aspect Series [Member]
Mar. 31, 2007
All Other Purposes [Member]
Aspect Series [Member]
Mar. 16, 2007
All Other Purposes [Member]
Aspect Series [Member]
Mar. 31, 2013
Financial Reporting [Member]
Aspect Series [Member]
Dec. 31, 2012
Financial Reporting [Member]
Aspect Series [Member]
Sep. 30, 2012
Financial Reporting [Member]
Aspect Series [Member]
Jun. 30, 2012
Financial Reporting [Member]
Aspect Series [Member]
Mar. 31, 2012
Financial Reporting [Member]
Aspect Series [Member]
Dec. 31, 2011
Financial Reporting [Member]
Aspect Series [Member]
Sep. 30, 2011
Financial Reporting [Member]
Aspect Series [Member]
Jun. 30, 2011
Financial Reporting [Member]
Aspect Series [Member]
Mar. 31, 2011
Financial Reporting [Member]
Aspect Series [Member]
Dec. 31, 2010
Financial Reporting [Member]
Aspect Series [Member]
Sep. 30, 2010
Financial Reporting [Member]
Aspect Series [Member]
Jun. 30, 2010
Financial Reporting [Member]
Aspect Series [Member]
Mar. 31, 2010
Financial Reporting [Member]
Aspect Series [Member]
Dec. 31, 2009
Financial Reporting [Member]
Aspect Series [Member]
Sep. 30, 2009
Financial Reporting [Member]
Aspect Series [Member]
Jun. 30, 2009
Financial Reporting [Member]
Aspect Series [Member]
Mar. 31, 2009
Financial Reporting [Member]
Aspect Series [Member]
Dec. 31, 2008
Financial Reporting [Member]
Aspect Series [Member]
Sep. 30, 2008
Financial Reporting [Member]
Aspect Series [Member]
Jun. 30, 2008
Financial Reporting [Member]
Aspect Series [Member]
Mar. 31, 2008
Financial Reporting [Member]
Aspect Series [Member]
Dec. 31, 2007
Financial Reporting [Member]
Aspect Series [Member]
Sep. 30, 2007
Financial Reporting [Member]
Aspect Series [Member]
Jun. 30, 2007
Financial Reporting [Member]
Aspect Series [Member]
Mar. 31, 2007
Financial Reporting [Member]
Aspect Series [Member]
Mar. 16, 2007
Financial Reporting [Member]
Aspect Series [Member]
Mar. 31, 2013
Aspect Series [Member]
Dec. 31, 2012
Aspect Series [Member]
Sep. 30, 2012
Aspect Series [Member]
Jun. 30, 2012
Aspect Series [Member]
Mar. 31, 2012
Aspect Series [Member]
Dec. 31, 2011
Aspect Series [Member]
Sep. 30, 2011
Aspect Series [Member]
Jun. 30, 2011
Aspect Series [Member]
Mar. 31, 2011
Aspect Series [Member]
Dec. 31, 2010
Aspect Series [Member]
Sep. 30, 2010
Aspect Series [Member]
Jun. 30, 2010
Aspect Series [Member]
Mar. 31, 2010
Aspect Series [Member]
Dec. 31, 2009
Aspect Series [Member]
Sep. 30, 2009
Aspect Series [Member]
Jun. 30, 2009
Aspect Series [Member]
Mar. 31, 2009
Aspect Series [Member]
Dec. 31, 2008
Aspect Series [Member]
Sep. 30, 2008
Aspect Series [Member]
Jun. 30, 2008
Aspect Series [Member]
Mar. 31, 2008
Aspect Series [Member]
Dec. 31, 2007
Aspect Series [Member]
Sep. 30, 2007
Aspect Series [Member]
Jun. 30, 2007
Aspect Series [Member]
Mar. 31, 2007
Aspect Series [Member]
Price at Commencement* 1,000                                                         1,000.00 [1]                                                   1,000.00 [1]                                                  
Net Asset Value (in Dollars)         $ 66,503,436 $ 75,391,255 $ 83,552,421 $ 85,311,103 $ 85,002,471 $ 80,107,270 $ 75,178,811 $ 70,137,681 $ 69,735,670 $ 63,929,433 $ 62,864,771 $ 58,685,934 $ 61,712,630 $ 59,653,082 $ 65,446,804 $ 48,597,098 $ 66,062,490 $ 71,216,262 $ 59,013,279 $ 50,168,558 $ 20,507,363 $ 16,034,264 $ 18,932,687 $ 13,409,546 $ 7,805,411   $ 66,503,436 $ 75,391,255 $ 83,552,421 $ 85,311,103 $ 85,002,471 $ 80,093,668 $ 75,148,782 $ 70,091,226 $ 69,672,788 $ 63,850,122 $ 62,769,033 $ 58,573,769 $ 61,584,035 $ 59,508,061 $ 65,285,354 $ 48,419,221 $ 65,868,185 $ 71,005,529 $ 58,786,119 $ 49,924,971 $ 20,247,348 $ 15,757,821 $ 18,639,817 $ 13,100,248 $ 7,479,686                                                    
Number of Units (in Shares)     66,466.72 61,662.64                                                                                                         58,085.84 66,466.72 69,662.22 68,261.84 65,074.13 61,662.64 56,985.40 57,603.59 55,107.50 50,286.04 51,344.51 50,598.99 52,710.17 52,355.78 55,797.55 43,344.52 50,663.64 53,002.45 52,463.77 40,063.82 17,025.49 14,700.02 18,241.85 11,988.08 7,760.62
Net Asset Value Per Unit         1,144.916 1,134.271 1,199.393 1,249.763 1,306.241 1,299.122 1,319.265 1,217.592 1,265.448 1,271.316 1,224.372 1,159.824 1,170.792 1,139.379 1,172.933 1,121.182 1,303.950 1,343.641 1,124.839 1,252.216 1,204.509 1,090.765 1,037.871 1,118.573 1,005.772   1,144.916 1,134.271 1,199.393 1,249.763 1,306.241 1,298.901 1,318.738 1,216.786 1,264.307 1,269.739 1,222.507 1,157.607 1,168.352 1,136.609 1,170.040 1,117.074 1,300.108 1,339.665 1,120.509 1,246.136 1,189.237 1,071.959 1,021.816 1,092.773 963.801                                                    
Total return after performance fee, from the commencement of operations through the period ended March 31, 2013 0.94% 0.57%     14.49%                                                   14.49%                                                                                                    
[1] * Commencement of operations of the Series was March 16, 2007.
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Condensed Statements of Changes in Members Capital (USD $)
3 Months Ended 12 Months Ended 3 Months Ended 12 Months Ended 3 Months Ended
Mar. 31, 2013
Mar. 31, 2012
Mar. 31, 2013
Members [Member]
Aspect Series [Member]
Mar. 31, 2012
Members [Member]
Aspect Series [Member]
Dec. 31, 2013
Members [Member]
Aspect Series [Member]
Mar. 31, 2013
Sponsor [Member]
Aspect Series [Member]
Mar. 31, 2012
Sponsor [Member]
Aspect Series [Member]
Dec. 31, 2013
Sponsor [Member]
Aspect Series [Member]
Mar. 31, 2013
Aspect Series [Member]
Mar. 31, 2012
Aspect Series [Member]
Members’ capital start of period $ 75,391,255 $ 80,093,668 $ 75,382,045 $ 80,083,121 $ 75,382,045 $ 9,210 $ 10,547 $ 9,210 $ 75,391,255 $ 80,093,668
Members’ capital start of period (in Shares) 66,466.72 61,662.64 66,458.60 61,654.52 66,458.60 8.12 8.12 8.12 66,466.72 61,662.64
Members’ subscriptions 771,201 5,761,420 771,201 5,761,420         771,201 5,761,420
Members’ subscriptions (in Shares) 677.19 4,385.37 677.19 4,385.37         677.19 4,385.37
Members’ redemptions (10,411,434) (1,288,664) (10,411,434) (1,288,664)         (10,411,434) (1,288,664)
Members’ redemptions (in Shares) (9,058.07) (973.88) (9,058.07) (973.88)         (9,058.07) (973.88)
Net investment income/(loss) (977,107) (1,285,055) (976,982) (1,284,892)   (125) (163)   (977,107) (1,285,055)
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 1,729,521 1,721,102 1,729,309 1,720,879   212 223   1,729,521 1,721,102
Members’ capital end of period $ 66,503,436 $ 85,002,471 $ 66,494,139 $ 84,991,864   $ 9,297 $ 10,607   $ 66,503,436 $ 85,002,471
Members’ capital end of period (in Shares) 58,085,840,000 65,074,130,000 58,077,720,000 65,066,010,000   8,120,000 8,120,000   58,085,840,000 65,074,130,000
Net asset value per unit start of period (in Dollars per Item)     1,134.271 1,298.901 1,134.271 1,134.271 1,298.901 1,134.271    
Change in net asset value per unit (in Dollars per Item) 10.65 7.34   7.340 10.645   7.340 10.645    
Net asset value per unit end of period (in Dollars per Item)     1,144.916 1,306.241   1,144.916 1,306.241      
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Financial Instruments with Off-balance sheet and Concentration of Credit Risk
3 Months Ended
Mar. 31, 2013
Financial Instruments With Off-balance Sheet And Concentration Of Credit Risk [Text Block]
(5) Financial Instruments with Off-balance sheet and Concentration of Credit Risk

At March 31, 2013 and December 31, 2012, 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 March 31, 2013 and December 31, 2012 is limited to the fair value of its investment in the Master Fund.


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Related Party Transactions (Detail) (USD $)
3 Months Ended
Mar. 31, 2013
Mar. 31, 2012
Dec. 31, 2012
Mar. 16, 2007
Minimum Percentage Of Placement Fee 0.00%      
Maximum Percentage Of Placement Fee 2.00%      
Placement Fees $ 9,899 $ 33,331    
Sales Commission Rate 2.00%      
Sales Commissions 365,813 425,110    
Accrued Sales Commission 115,836   131,554  
Management Fee Description 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).      
Percent Management Fee Shared With UBS FS 0.50%      
Sponsor Fee Description 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.      
Sponsor Fee Monthly, 1% 0.04167%      
Sponsor Fee Annual Rate 0.50%      
Sponsor Fees 91,453 106,278    
Accrued sponsor’s fee     10,120  
UBS FS [Member] | Aspect Series [Member]
       
Accrued Sales Commission 98,453   113,574  
Credit Suisse Securities LLC [Member] | Aspect Series [Member]
       
Accrued Sales Commission 17,383   17,980  
Aspect Series [Member]
       
Sales Commissions 365,813 425,110    
Accrued Sales Commission 115,836   131,554  
Sponsor Fees 91,453 106,278    
Accrued sponsor’s fee 0   10,120  
Organizational Costs       208,820
Initial Offering Costs       $ 119,732