þ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
DELAWARE | 98-0574019 (Series A); 98-0574020 (Series B) | |
(State or other jurisdiction of incorporation or organization) |
(IRS Employer Identification Number) | |
SUPERFUND OFFICE BUILDING | ||
P.O. BOX 1479 | ||
GRAND ANSE | ||
ST. GEORGES, GRENADA | ||
WEST INDIES | Not applicable | |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filer o | Accelerated filer o | Non-accelerated filer o (do not check if a smaller reporting company) | Smaller reporting company þ |
2
3
4
(a) | Market Information |
(b) | Holders |
(c) | Dividends |
(d) | Securities Authorized for Issuance Under Equity Compensation Plans |
(e) | Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities |
(A) | There were no sales of unregistered securities during the year ended December 31, 2010. | ||
(B) | Updated information required by Item 701(f) of Regulation S-K: |
(1) | The use of proceeds information is being disclosed for Post-Effective Amendment No.2 to Registration Statement No. 333-151632 declared effective on August 13, 2010. | ||
(4) | (iv) As of December 31, 2010, the Fund sold $8,798,543 of Series A-1 Units, $2,034,747 of Series A-2 Units, $8,574,908 of Series B-1 Units and $3,664,611 of Series B-2 Units. | ||
(v) As of December 31, 2010, the Fund incurred expenses for the account of the Fund totaling $2,407,510 of which $2,045,672 was paid to Superfund Capital Management and $361,838 were paid to Superfund USA. | |||
(vi) Net offering proceeds to the Fund as of December 31, 2010 were $20,665,299. | |||
(vii) As of December 31, 2010, the amount of net offering proceeds to the Fund for commodity futures and forward trading in accordance with Superfund Capital Managements trading program totaled $20,670,613. |
5
(f) | Purchases of Equity Securities by the Issuer and Affiliated Purchasers |
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
October 31, 2010 |
4.787 | 1,436.05 | ||||||
November 30, 2010 |
143.101 | 1.431.90 | ||||||
December 31, 2010 |
27.093 | 1,566.65 | ||||||
Total |
174.981 | |||||||
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
October 31, 2010 |
0.000 | 1,527.79 | ||||||
November 30, 2010 |
26.434 | 1,525.93 | ||||||
December 31, 2010 |
0.000 | 1,671.00 | ||||||
Total |
26.434 | |||||||
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
October 31, 2010 |
104.317 | 1,197.96 | ||||||
November 30, 2010 |
0.000 | 1,186.30 | ||||||
December 31, 2010 |
143.485 | 1,351.22 | ||||||
Total |
247.802 | |||||||
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
October 31, 2010 |
0.000 | 1,236.62 | ||||||
November 30, 2010 |
0.815 | 1,226.64 | ||||||
December 31, 2010 |
0.000 | 1,389.80 | ||||||
Total |
0.815 | |||||||
6
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10
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13
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15
| pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of each Series individually, as well as the Fund as a whole; | |
| provide reasonable assurance that transactions are recorded as necessary to permit preparation of each Series, as well as the Funds, financial statements in accordance with generally accepted accounting principles, and that the receipts and expenditures of each Series individually, as well as the Fund as a whole, are being made only in accordance with authorizations of Superfund Capital Managements management and directors; and | |
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the assets of each Series individually, as well as the Fund as a whole, that could have a material effect on the Series or the Funds financial statements. |
16
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(a) | The Following documents are filed as part of this report: |
(1) | Financial Statements beginning on page 22 hereof. | ||
(2) | Financial Statement Schedules: |
(3) | Exhibits as required by Item 601 of Regulation S-K. |
19
Exhibit | ||
Number | Description of Document | |
31.1
|
Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | |
31.2
|
Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1
|
Section 1350 Certification of Principal Executive Officer | |
32.2
|
Section 1350 Certification of Principal Financial Officer |
3.02
|
Form of Second Amended and Restated Limited Partnership Agreement of the Registrant. | |
10.02
|
Form of Subscription Agreement. |
3.01
|
Certificate of Limited Partnership of the Registrant. | |
10.01
|
Form of Administration Agreement between the Registrant and the Administrator. |
20
/s/ DELOITTE & TOUCHE LLP | ||||
Philadelphia, Pennsylvania | ||||
March 31, 2011 |
21
December 31, 2010 | December 31, 2009 | |||||||
ASSETS |
||||||||
US Government securities, at fair value,
(amortized cost of $9,598,087 and $5,999,748 as of
December 31, 2010, and December 31, 2009, respectively) |
$ | 9,598,087 | $ | 5,999,748 | ||||
Due from brokers |
12,805,431 | 6,301,154 | ||||||
Futures contracts purchased |
2,832,921 | | ||||||
Unrealized appreciation on open forward contracts |
224,585 | 81,845 | ||||||
Cash |
3,630,425 | 2,672,099 | ||||||
Due from affiliate |
5,599 | | ||||||
Total assets |
29,097,048 | 15,054,846 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
36,460 | 154,871 | ||||||
Futures contracts purchased |
| 818,974 | ||||||
Futures contracts sold |
349,805 | 7,812 | ||||||
Subscriptions received in advance |
1,289,417 | 1,864,130 | ||||||
Incentive fee |
409,223 | | ||||||
Redemptions payable |
236,327 | 9,890 | ||||||
Management fee |
51,406 | 22,891 | ||||||
Fees payable |
49,185 | 22,346 | ||||||
Total liabilities |
2,421,823 | 2,900,914 | ||||||
NET ASSETS |
$ | 26,675,225 | $ | 12,153,932 | ||||
22
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 24, 2011
(amortized cost $9,598,087), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 9,600,000 | 36.0 | % | $ | 9,598,087 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.8 | 224,585 | ||||||||||
Total unrealized appreciation on forward contracts |
0.8 | 224,585 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.1 | ) | (36,460 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (36,460 | ) | ||||||||
Total forward contracts, at fair value |
0.7 | 188,125 | ||||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
1.9 | 484,663 | ||||||||||
Energy |
0.4 | 110,783 | ||||||||||
Financial |
0.5 | 127,537 | ||||||||||
Food & Fiber |
0.7 | 194,250 | ||||||||||
Indices |
0.4 | 114,065 | ||||||||||
Livestock |
0.3 | 92,460 | ||||||||||
Metals |
||||||||||||
233 contracts of CMX Gold expiring February 2011 |
4.0 | 1,067,060 | ||||||||||
Other |
2.4 | 642,103 | ||||||||||
Total Metals |
6.4 | 1,709,163 | ||||||||||
Total futures contracts purchased |
10.6 | 2,832,921 | ||||||||||
Futures contracts sold |
||||||||||||
Currency |
0.1 | 33,694 | ||||||||||
Energy |
(0.1 | ) | (30,980 | ) | ||||||||
Financial |
(0.1 | ) | (22,344 | ) | ||||||||
Indices |
0.1 | 23,963 | ||||||||||
Metals |
(1.3 | ) | (354,138 | ) | ||||||||
Total futures contracts sold |
(1.3 | ) | (349,805 | ) | ||||||||
Total futures contracts, at fair value |
9.3 | 2,483,116 | ||||||||||
Futures and forward contracts by country composition |
||||||||||||
Australian |
0.0 | * | 3,134 | |||||||||
European Monetary Union |
0.3 | 81,278 | ||||||||||
Great Britain |
0.3 | 72,763 | ||||||||||
Japan |
0.8 | 210,666 | ||||||||||
United States |
6.4 | 1,729,526 | ||||||||||
Other |
2.2 | 573,874 | ||||||||||
Total futures and forward contracts by country |
10.0 | % | $ | 2,671,241 | ||||||||
* | Due to rounding |
23
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 25, 2010
(amortized cost $5,999,748), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 6,000,000 | 49.4 | % | $ | 5,999,748 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.7 | 81,845 | ||||||||||
Total unrealized appreciation on forward contracts |
0.7 | 81,845 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(1.3 | ) | (154,871 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(1.3 | ) | (154,871 | ) | ||||||||
Total forward contracts, at fair value |
(0.6 | ) | (73,026 | ) | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
(0.8 | ) | (96,686 | ) | ||||||||
Energy |
0.5 | 57,516 | ||||||||||
Financial |
(0.8 | ) | (93,811 | ) | ||||||||
Food & Fiber |
1.3 | 152,043 | ||||||||||
Indices |
2.1 | 257,035 | ||||||||||
Metals |
||||||||||||
104 contracts of CMX Gold expiring February 2010 |
(8.8 | ) | (1,069,890 | ) | ||||||||
Other |
(0.2 | ) | (25,181 | ) | ||||||||
Total Metals |
(9.0 | ) | (1,095,071 | ) | ||||||||
Total futures contracts purchased |
(6.7 | ) | (818,974 | ) | ||||||||
Futures contracts sold |
||||||||||||
Energy |
(0.0) | * | (5,650 | ) | ||||||||
Food & Fiber |
(0.1 | ) | (17,813 | ) | ||||||||
Indices |
(0.0) | * | (3,170 | ) | ||||||||
Livestock |
(0.1 | ) | (9,190 | ) | ||||||||
Financial |
0.2 | 28,011 | ||||||||||
Total futures contracts sold |
(0.1 | ) | (7,812 | ) | ||||||||
Total futures contracts, at fair value |
(6.8 | ) | (826,786 | ) | ||||||||
Futures and forward contracts by country composition |
||||||||||||
Australian |
0.1 | 17,853 | ||||||||||
European Monetary Union |
(0.4 | ) | (45,043 | ) | ||||||||
Great Britain |
0.1 | 14,810 | ||||||||||
Japan |
0.3 | 37,973 | ||||||||||
United States |
(7.8 | ) | (953,468 | ) | ||||||||
Other |
0.2 | 28,063 | ||||||||||
Total futures and forward contracts by country |
(7.4) | % | $ | (899,812 | ) | |||||||
* | Due to rounding |
24
2010 | 2009 | |||||||
Investment income, interest |
||||||||
Interest income |
$ | 11,425 | $ | 3,801 | ||||
Other income |
5,599 | | ||||||
Total income |
17,024 | 3,801 | ||||||
Expenses |
||||||||
Incentive fee |
577,643 | 55,524 | ||||||
Management fee |
423,897 | 139,136 | ||||||
Brokerage commissions |
475,941 | 178,170 | ||||||
Selling commission |
269,901 | 91,937 | ||||||
Operating expenses |
141,299 | 46,379 | ||||||
Other |
5,314 | 2,369 | ||||||
Total expenses |
1,893,995 | 513,515 | ||||||
Net investment loss |
(1,876,971 | ) | (509,714 | ) | ||||
Realized and unrealized gain
(loss) on investments |
||||||||
Net realized gain on futures and forward
contracts |
7,170,567 | 1,608,470 | ||||||
Net change in unrealized appreciation
(depreciation) on futures and forward
contracts |
3,571,053 | (899,812 | ) | |||||
Net gain on investments |
10,741,620 | 708,658 | ||||||
Net increase in net assets from operations |
$ | 8,864,649 | $ | 198,944 | ||||
25
2010 | 2009 | |||||||
Increase in net assets from operations |
||||||||
Net investment loss |
$ | (1,876,971 | ) | $ | (509,714 | ) | ||
Net realized gain on futures and forward contracts |
7,170,567 | 1,608,470 | ||||||
Net change in unrealized appreciation (depreciation)
on futures and forward contracts |
3,571,053 | (899,812 | ) | |||||
Net increase in net assets from operations |
8,864,649 | 198,944 | ||||||
Capital share transactions |
||||||||
Issuance of Units |
11,079,475 | 11,993,334 | ||||||
Redemption of Units |
(5,422,831 | ) | (38,346 | ) | ||||
Redemption of non unitized capital balance |
| (4,000 | ) | |||||
Net increase in net assets from capital share transactions |
5,656,644 | 11,950,988 | ||||||
Net increase in net assets |
14,521,293 | 12,149,932 | ||||||
Net assets, beginning of year |
12,153,932 | 4,000 | ||||||
Net assets, end of year |
$ | 26,675,225 | $ | 12,153,932 | ||||
26
2010 | 2009 | |||||||
Cash flows from operating activities |
||||||||
Net increase in net assets from operations |
$ | 8,864,649 | $ | 198,944 | ||||
Adjustments to reconcile net increase in net assets from
operations to net cash used in operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(29,290,418 | ) | (11,097,763 | ) | ||||
Sales and maturities of U.S. government securities |
25,700,000 | 5,100,000 | ||||||
Amortization of discounts and premiums |
(7,921 | ) | (1,985 | ) | ||||
Due from brokers |
(6,504,277 | ) | (6,301,154 | ) | ||||
Due from affiliate |
(5,599 | ) | | |||||
Unrealized appreciation on open forward contracts |
(142,740 | ) | (81,845 | ) | ||||
Unrealized depreciation on open forward contracts |
(118,411 | ) | 154,871 | |||||
Futures contracts purchased |
(3,651,895 | ) | 818,974 | |||||
Futures contracts sold |
341,993 | 7,812 | ||||||
Incentive fee payable |
409,223 | | ||||||
Management fee |
28,515 | 22,891 | ||||||
Fees payable |
26,839 | 22,346 | ||||||
Net cash used in operating activities |
(4,350,042 | ) | (11,156,909 | ) | ||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advance subscriptions |
10,504,762 | 13,857,464 | ||||||
Redemption of non unitized capital balance |
| (4,000 | ) | |||||
Redemptions, net of redemption payable |
(5,196,394 | ) | (28,456 | ) | ||||
Net cash provided by financing activities |
5,308,368 | 13,825,008 | ||||||
Net increase in cash |
958,326 | 2,668,099 | ||||||
Cash, beginning of year |
2,672,099 | 4,000 | ||||||
Cash, end of year |
$ | 3,630,425 | $ | 2,672,099 | ||||
27
December 31, 2010 | December 31, 2009 | |||||||
ASSETS |
||||||||
US Government securities, at fair value
(amortized cost of $4,949,019 and $1,549,939 as of
December 31, 2010, and December 31, 2009, respectively) |
$ | 4,949,019 | $ | 1,549,939 | ||||
Due from brokers |
6,513,798 | 1,794,485 | ||||||
Futures contracts purchased |
1,271,946 | | ||||||
Unrealized appreciation on open forward contracts |
95,755 | | ||||||
Cash |
2,215,532 | 1,739,581 | ||||||
Due from affiliate |
5,599 | | ||||||
Total assets |
15,051,649 | 5,084,005 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
13,857 | | ||||||
Futures contracts purchased |
| 278,229 | ||||||
Futures contracts sold |
143,844 | 3,078 | ||||||
Subscriptions received in advance |
882,330 | 1,355,500 | ||||||
Incentive fee |
198,986 | | ||||||
Redemptions payable |
42,447 | | ||||||
Management fee |
26,272 | 6,463 | ||||||
Fees payable |
27,222 | 6,380 | ||||||
Total liabilities |
1,334,958 | 1,649,650 | ||||||
NET ASSETS |
$ | 13,716,691 | $ | 3,434,355 | ||||
Superfund Gold, L.P. Series A-1 Net Assets |
$ | 10,835,030 | $ | 2,524,291 | ||||
Number of Units outstanding |
6,916.044 | 2,388.395 | ||||||
Superfund Gold, L.P. Series A-1 Net Asset Value per Unit |
$ | 1,566.65 | $ | 1,056.90 | ||||
Superfund Gold, L.P. Series A-2 Net Assets |
$ | 2,881,661 | $ | 910,064 | ||||
Number of Units outstanding |
1,724.508 | 818.846 | ||||||
Superfund Gold, L.P. Series A-2 Net Asset Value per Unit |
$ | 1,671.00 | $ | 1,111.40 | ||||
28
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value
|
||||||||||||
United States Treasury Bills due February 24, 2011
(amortized cost $4,949,019), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 4,950,000 | 36.1 | % | $ | 4,949,019 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.7 | 95,755 | ||||||||||
Total unrealized appreciation on forward contracts |
0.7 | 95,755 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.1 | ) | (13,857 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (13,857 | ) | ||||||||
Total forward contracts, at fair value |
0.6 | 81,898 | ||||||||||
Futures Contracts, at fair value |
||||||||||||
Futures Contracts Purchased |
||||||||||||
Currency |
1.5 | 208,888 | ||||||||||
Energy |
0.3 | 44,259 | ||||||||||
Financial |
0.4 | 55,066 | ||||||||||
Food & Fiber |
0.6 | 81,781 | ||||||||||
Indices |
0.4 | 46,624 | ||||||||||
Livestock |
0.3 | 40,970 | ||||||||||
Metals |
||||||||||||
116 contracts of CMX Gold expiring February 2011 |
3.9 | 528,140 | ||||||||||
Other |
1.9 | 266,218 | ||||||||||
Total Metals |
5.8 | 794,358 | ||||||||||
Total futures contracts purchased |
9.3 | 1,271,946 | ||||||||||
Futures Contracts Sold |
||||||||||||
Currency |
0.1 | 14,250 | ||||||||||
Energy |
(0.1 | ) | (12,190 | ) | ||||||||
Financial |
(0.1 | ) | (10,607 | ) | ||||||||
Indices |
0.1 | 9,628 | ||||||||||
Metals |
(1.1 | ) | (144,925 | ) | ||||||||
Total futures contracts sold |
(1.1 | ) | (143,844 | ) | ||||||||
Total futures contracts, at fair value |
8.2 | 1,128,102 | ||||||||||
Futures contracts by country composition |
||||||||||||
Australia |
0.0 | * | 1,134 | |||||||||
European Monetary Union |
0.2 | 32,375 | ||||||||||
Great Britain |
0.2 | 30,179 | ||||||||||
Japan |
0.7 | 92,656 | ||||||||||
United States |
5.9 | 808,405 | ||||||||||
Other |
1.8 | 245,251 | ||||||||||
Total futures contracts by country |
8.8 | % | $ | 1,210,000 | ||||||||
* | Due to rounding |
29
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 25, 2010
(amortized cost $1,549,939), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 1,550,000 | 45.1 | % | $ | 1,549,939 | ||||||
Futures Contracts, at fair value |
||||||||||||
Futures Contracts Purchased |
||||||||||||
Currency |
(0.4 | ) | (15,097 | ) | ||||||||
Energy |
(0.0 | )* | (1,336 | ) | ||||||||
Financial |
(0.3 | ) | (8,773 | ) | ||||||||
Food & Fiber |
0.5 | 18,003 | ||||||||||
Indices |
0.5 | 15,844 | ||||||||||
Metals |
||||||||||||
35 contracts of CMX Gold expiring February 2010 |
(6.8 | ) | (263,040 | ) | ||||||||
Other |
(1.6 | ) | (23,830 | ) | ||||||||
Total Metals |
(8.4 | ) | (286,870 | ) | ||||||||
Total futures contracts purchased |
(8.1 | ) | (278,229 | ) | ||||||||
Futures Contracts Sold |
||||||||||||
Energy |
(0.0 | )* | (780 | ) | ||||||||
Financial |
0.0 | * | 845 | |||||||||
Food & Fiber |
(0.1 | ) | (2,063 | ) | ||||||||
Livestock |
(0.0 | )* | (1,080 | ) | ||||||||
Total futures contracts sold |
(0.1 | ) | (3,078 | ) | ||||||||
Total futures contracts, at fair value |
(8.2 | ) | (281,307 | ) | ||||||||
Futures contracts by country composition |
||||||||||||
European Monetary Union |
(0.4 | ) | (14,015 | ) | ||||||||
United States |
(8.1 | ) | (277,640 | ) | ||||||||
Other |
0.3 | 10,348 | ||||||||||
Total futures contracts by country |
(8.2 | )% | $ | (281,307 | ) | |||||||
* | Due to rounding |
30
2010 | 2009 | |||||||
Investment income |
||||||||
Interest income |
$ | 6,400 | $ | 1,039 | ||||
Other income |
5,599 | | ||||||
Total income |
11,999 | 1,039 | ||||||
Expenses |
||||||||
Incentive fee |
367,406 | 55,524 | ||||||
Management fee |
192,137 | 34,624 | ||||||
Brokerage commissions |
160,212 | 19,190 | ||||||
Selling commission |
133,361 | 25,361 | ||||||
Operating expenses |
64,045 | 11,541 | ||||||
Other |
1,444 | 294 | ||||||
Total expenses |
918,605 | 146,534 | ||||||
Net investment loss |
(906,606 | ) | (145,495 | ) | ||||
Realized and unrealized gain (loss) on investments |
||||||||
Net realized gain on futures and forward contracts |
3,373,625 | 695,686 | ||||||
Net change in unrealized appreciation (depreciation)
on futures and forward contracts |
||||||||
1,491,307 | (281,307 | ) | ||||||
Net gain on investments |
4,864,932 | 414,379 | ||||||
Net increase in net assets from operations |
$ | 3,958,326 | $ | 268,884 | ||||
Net increase in net assets from operations per Unit (based upon
weighted average number of Units outstanding during period) for
Series A-1* |
$ | 586.87 | $ | 128.07 | ||||
Net increase in net assets from operations per Unit (based upon
change in net asset value per Unit during period) for Series A-1 |
$ | 509.75 | $ | 137.40 | ||||
Net increase in net assets from operations per Unit (based upon
weighted average number of Units outstanding during period) for
Series A-2** |
$ | 638.10 | $ | 154.06 | ||||
Net increase in net assets from operations per Unit (based upon
change in net asset value per Unit during period) for Series A-2 |
$ | 559.60 | $ | 191.90 | ||||
* | Weighted average number of Units outstanding for Series A-1 for the Year Ended December 31, 2010 and for the period from April 1, 2009 (commencement of operations), through December 31, 2009: 5,236.62 and 1,667.50, respectively. | |
** | Weighted average number of Units outstanding for Series A-2 for the Year Ended December 31, 2010 and for the period from April 1, 2009 (commencement of operations), through December 31, 2009: 1,387.08 and 359.14, respectively. |
31
2010 | 2009 | |||||||
Increase in net assets from operations: |
||||||||
Net investment loss |
$ | (906,606 | ) | $ | (145,495 | ) | ||
Net realized gain on futures and forward contracts |
3,373,625 | 695,686 | ||||||
Net change in unrealized appreciation (depreciation) on
futures and forward contracts |
1,491,307 | (281,307 | ) | |||||
Net increase in net assets from operations |
3,958,326 | 268,884 | ||||||
Capital share transactions |
||||||||
Issuance of Units |
7,649,260 | 3,184,030 | ||||||
Redemption of Units |
(1,325,250 | ) | (18,559 | ) | ||||
Redemption of non unitized capital balance |
| (2,000 | ) | |||||
Net increase in net assets from capital share transactions |
6,324,010 | 3,163,471 | ||||||
Net increase in net assets |
10,282,336 | 3,432,355 | ||||||
Net assets, beginning of period |
3,434,355 | 2,000 | ||||||
Net assets, end of period |
$ | 13,716,691 | $ | 3,434,355 | ||||
Series A-1 Units, beginning of period |
2,388.395 | | ||||||
Issuance of Series A-1 Units |
5,507.940 | 2,404.555 | ||||||
Redemption of Series A-1 Units |
(980.291 | ) | (16.160 | ) | ||||
Series A-1 Units, end of period |
6,916.044 | 2,388.395 | ||||||
Series A-2 Units, beginning of period |
818.846 | | ||||||
Issuance of Series A-2 Units |
978.117 | 818.846 | ||||||
Redemption of Series A-2 Units |
(72.455 | ) | | |||||
Series A-2 Units, end of period |
1,724.508 | 818.846 | ||||||
32
2010 | 2009 | |||||||
Cash flows from operating activities |
||||||||
Net increase in net assets from operations |
$ | 3,958,326 | $ | 268,884 | ||||
Adjustments to reconcile net increase in net assets from operations
to net cash used in operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(12,895,739 | ) | (2,799,452 | ) | ||||
Sales and maturities of U.S. government securities |
9,500,000 | 1,250,000 | ||||||
Amortization of discounts and premiums |
(3,341 | ) | (487 | ) | ||||
Due from brokers |
(4,719,313 | ) | (1,794,485 | ) | ||||
Due from affiliate |
(5,599 | ) | | |||||
Unrealized appreciation on open forward contracts |
(95,755 | ) | | |||||
Unrealized depreciation on open forward contracts |
13,857 | | ||||||
Futures contracts purchased |
(1,550,175 | ) | 278,229 | |||||
Futures contracts sold |
140,766 | 3,078 | ||||||
Incentive fee |
198,986 | | ||||||
Management fee |
19,809 | 6,463 | ||||||
Fees payable |
20,842 | 6,380 | ||||||
Net cash used in operating activities |
(5,417,336 | ) | (2,781,390 | ) | ||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in subscriptions received in
advance |
7,176,090 | 4,539,530 | ||||||
Redemptions of non unitized capital balance |
| (2,000 | ) | |||||
Redemptions, net of redemptions payable |
(1,282,803 | ) | (18,559 | ) | ||||
Net cash provided by financing activities |
5,893,287 | 4,518,971 | ||||||
Net increase in cash |
475,951 | 1,737,581 | ||||||
Cash, beginning of year |
1,739,581 | 2,000 | ||||||
Cash, end of year |
$ | 2,215,532 | $ | 1,739,581 | ||||
33
December 31, 2010 | December 31, 2009 | |||||||
ASSETS |
||||||||
US Government securities, at fair value
(amortized cost of $4,649,068 and $4,449,809 as of
December 31, 2010, and December 31, 2009, respectively) |
$ | 4,649,068 | $ | 4,449,809 | ||||
Due from brokers |
6,291,633 | 4,506,669 | ||||||
Futures contracts purchased |
1,560,975 | | ||||||
Unrealized appreciation on open forward contracts |
128,830 | 81,845 | ||||||
Cash |
1,414,893 | 932,518 | ||||||
Total assets |
14,045,399 | 9,970,841 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
22,603 | 154,871 | ||||||
Futures contracts purchased |
| 540,745 | ||||||
Futures contracts sold |
205,961 | 4,734 | ||||||
Subscriptions received in advance |
407,087 | 508,630 | ||||||
Redemptions payable |
193,880 | 9,890 | ||||||
Incentive fee |
210,237 | | ||||||
Management fee |
25,134 | 16,428 | ||||||
Fees payable |
21,963 | 15,966 | ||||||
Total liabilities |
1,086,865 | 1,251,264 | ||||||
NET ASSETS |
$ | 12,958,534 | $ | 8,719,577 | ||||
Superfund Gold, L.P. Series B-1 Net Assets |
$ | 7,815,597 | $ | 6,268,561 | ||||
Number of Units outstanding |
5,784.122 | 7,174.897 | ||||||
Superfund Gold, L.P. Series B-1 Net Asset Value per Unit |
$ | 1,351.21 | $ | 873.68 | ||||
Superfund Gold, L.P. Series B-2 Net Assets |
$ | 5,142,937 | $ | 2,451,016 | ||||
Number of Units outstanding |
3,700.480 | 2,763.500 | ||||||
Superfund Gold, L.P. Series B-2 Net Asset Value per Unit |
$ | 1,389.80 | $ | 886.92 | ||||
34
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 24, 2011
(amortized cost $4,649,068), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 4,650,000 | 35.9 | % | $ | 4,649,068 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts
Currency |
1.0 | 128,830 | ||||||||||
Total unrealized appreciation on forward contracts |
1.0 | 128,830 | ||||||||||
Unrealized depreciation on forward contracts
Currency |
(0.2 | ) | (22,603 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.2 | ) | (22,603 | ) | ||||||||
Total forward contracts, at fair value |
0.8 | 106,227 | ||||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
2.1 | 275,775 | ||||||||||
Energy |
0.5 | 66,524 | ||||||||||
Financial |
0.6 | 72,471 | ||||||||||
Food & Fiber |
0.9 | 112,469 | ||||||||||
Indices |
0.5 | 67,441 | ||||||||||
Livestock |
0.4 | 51,490 | ||||||||||
Metals |
||||||||||||
117 contracts of CMX Gold expiring February 2011 |
4.2 | 538,920 | ||||||||||
Other |
2.9 | 375,885 | ||||||||||
Total Metals |
7.1 | 914,805 | ||||||||||
Total futures contracts purchased |
12.1 | 1,560,975 | ||||||||||
Futures contracts sold |
||||||||||||
Currency |
0.2 | 19,444 | ||||||||||
Energy |
(0.1 | ) | (18,790 | ) | ||||||||
Financial |
(0.1 | ) | (11,737 | ) | ||||||||
Indices |
0.1 | 14,335 | ||||||||||
Metals |
(1.6 | ) | (209,213 | ) | ||||||||
Total futures contracts sold |
(1.5 | ) | (205,961 | ) | ||||||||
Total futures contracts, at fair value |
10.6 | 1,355,014 | ||||||||||
Futures and forward contracts by country composition |
||||||||||||
Australian |
0.0 | * | 2,000 | |||||||||
European Monetary Union |
0.5 | 48,903 | ||||||||||
Great Britain |
0.3 | 42,584 | ||||||||||
Japan |
0.9 | 118,010 | ||||||||||
United States |
7.1 | 921,121 | ||||||||||
Other |
2.6 | 328,623 | ||||||||||
Total futures and forward contracts by country |
11.4 | % | $ | 1,461,241 | ||||||||
* | Due to rounding |
35
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 25, 2010
(amortized cost $4,449,809), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 4,450,000 | 51.0 | % | $ | 4,449,809 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts
|
||||||||||||
Currency |
0.9 | 81,845 | ||||||||||
Total unrealized appreciation on forward contracts |
0.9 | 81,845 | ||||||||||
Unrealized depreciation on forward contracts
|
||||||||||||
Currency |
(1.7 | ) | (154,871 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(1.7 | ) | (154,871 | ) | ||||||||
Total forward contracts, at fair value |
(0.8 | ) | (73,026 | ) | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
(0.9 | ) | (81,589 | ) | ||||||||
Energy |
0.7 | 58,852 | ||||||||||
Financial |
(1.0 | ) | (85,038 | ) | ||||||||
Food & Fiber |
1.5 | 134,040 | ||||||||||
Indices |
2.8 | 241,191 | ||||||||||
Metals |
||||||||||||
104 contracts of CMX Gold expiring February 2010 |
(9.3 | ) | (806,850 | ) | ||||||||
Other |
(0.0 | )* | (1,351 | ) | ||||||||
Total Metals |
(9.3 | ) | (808,201 | ) | ||||||||
Total futures contracts purchased |
(6.2 | ) | (540,745 | ) | ||||||||
Futures contracts sold |
||||||||||||
Energy |
(0.1 | ) | (4,870 | ) | ||||||||
Food & Fiber |
(0.2 | ) | (15,750 | ) | ||||||||
Indices |
(0.0 | )* | (3,170 | ) | ||||||||
Livestock |
(0.1 | ) | (8,110 | ) | ||||||||
Financial |
0.3 | 27,166 | ||||||||||
Total futures contracts sold |
(0.1 | ) | (4,734 | ) | ||||||||
Total futures contracts, at fair value |
(6.3 | ) | (545,479 | ) | ||||||||
Futures and forward contracts by country composition |
||||||||||||
Australian |
0.2 | 17,853 | ||||||||||
European Monetary Union |
(0.4 | ) | (31,028 | ) | ||||||||
Great Britain |
0.2 | 14,810 | ||||||||||
Japan |
0.4 | 37,973 | ||||||||||
United States |
(7.7 | ) | (675,828 | ) | ||||||||
Other |
0.2 | 17,715 | ||||||||||
Total futures and forward contracts by country |
(7.1 | )% | $ | (618,505 | ) | |||||||
* | Due to rounding |
36
2010 | 2009 | |||||||
Investment income, interest |
$ | 5,025 | $ | 2,762 | ||||
Expenses |
||||||||
Brokerage commissions |
315,729 | 158,980 | ||||||
Management fee |
231,760 | 104,512 | ||||||
Incentive fee |
210,237 | | ||||||
Selling commission |
136,540 | 66,576 | ||||||
Operating expenses |
77,254 | 34,838 | ||||||
Other |
3,870 | 2,075 | ||||||
Total expenses |
975,390 | 366,981 | ||||||
Net investment loss |
(970,365 | ) | (364,219 | ) | ||||
Realized and unrealized gain
(loss) on investments |
||||||||
Net realized gain on futures and forward
contracts |
3,796,942 | 912,784 | ||||||
Net change in unrealized appreciation (depreciation) on
futures and forward contracts |
||||||||
2,079,746 | (618,505 | ) | ||||||
Net gain on investments |
5,876,688 | 294,279 | ||||||
Net increase (decrease) in net assets from operations |
$ | 4,906,323 | $ | (69,940 | ) | |||
Net increase (decrease) in net assets from operations per Unit
(based upon weighted average number of Units outstanding during
period) for Series B-1* |
$ | 456.22 | $ | (14.49 | ) | |||
Net increase (decrease) in net assets from operations per Unit
(based upon change in net asset value per Unit during period)
for Series B-1 |
$ | 477.53 | $ | (45.82 | ) | |||
Net increase in net assets from operations per Unit (based upon
weighted average number of Units outstanding during period) for
Series B-2** |
$ | 547.21 | $ | 1.06 | ||||
Net increase (decrease) in net assets from operations per Unit
(based upon change in net asset value per Unit during period)
for Series B-2 |
$ | 502.88 | $ | (32.58 | ) | |||
* | Weighted average number of Units outstanding for Series B-1 for the Year Ended December 31, 2010 and for the period from April 1, 2009 (commencement of operations), through December 31, 2009: 6,793.32 and 4,968.12, respectively. | |
** | Weighted average number of Units outstanding for Series B-2 for the Year Ended December 31, 2010 and for the period from April 1, 2009 (commencement of operations), through December 31, 2009: 3,273.29 and 1,945.21, respectively. |
37
2010 | 2009 | |||||||
Increase (decrease) in net assets from
operations |
||||||||
Net investment loss |
$ | (970,365 | ) | $ | (364,219 | ) | ||
Net realized gain on futures and forward
contracts |
3,796,942 | 912,784 | ||||||
Net change in unrealized appreciation
(depreciation) on futures and forward
contracts |
2,079,746 | (618,505 | ) | |||||
Net increase (decrease) in net assets from
operations |
4,906,323 | (69,940 | ) | |||||
Capital share transactions |
||||||||
Issuance of Units |
3,430,215 | 8,809,304 | ||||||
Redemption of Units |
(4,097,581 | ) | (19,787 | ) | ||||
Redemption of non unitized capital balance |
| (2,000 | ) | |||||
Net increase (decrease) in net assets from
capital share transactions |
(667,366 | ) | 8,787,517 | |||||
Net increase in net assets |
4,238,957 | 8,717,577 | ||||||
Net assets, beginning of period |
8,719,577 | 2,000 | ||||||
Net assets, end of period |
$ | 12,958,534 | $ | 8,719,577 | ||||
Series B-1 Units, beginning of period |
7,174.897 | | ||||||
Issuance of Series B-1 Units |
2,402.118 | 7,174.897 | ||||||
Redemption of Series B-1 Units |
(3,792.893 | ) | | |||||
Series B-1 Units, end of period |
5,784.122 | 7,174.897 | ||||||
Series B-2 Units, beginning of period |
2,763.500 | | ||||||
Issuance of Series B-2 Units |
1,294.860 | 2,786.537 | ||||||
Redemption of Series B-2 Units |
(357.880 | ) | (23.038 | ) | ||||
Series B-2 Units, end of period |
3,700.480 | 2,763.499 | ||||||
38
2010 | 2009 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | 4,906,323 | $ | (69,940 | ) | |||
Adjustments to reconcile net increase (decrease) in
net assets from operations to net cash provided by
(used in) operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(16,394,679 | ) | (8,298,311 | ) | ||||
Sales and maturities of U.S.
government securities |
16,200,000 | 3,850,000 | ||||||
Amortization of discounts and premiums |
(4,580 | ) | (1,498 | ) | ||||
Due from brokers |
(1,784,964 | ) | (4,506,669 | ) | ||||
Unrealized appreciation on open
forward contracts |
(46,985 | ) | (81,845 | ) | ||||
Unrealized depreciation on open
forward contracts |
(132,268 | ) | 154,871 | |||||
Futures contracts purchased |
(2,101,720 | ) | 540,745 | |||||
Futures contracts sold |
201,227 | 4,734 | ||||||
Incentive fee |
210,237 | | ||||||
Management fee |
8,706 | 16,428 | ||||||
Fees payable |
5,997 | 15,966 | ||||||
Net cash provided by (used in) operating activities |
1,067,294 | (8,375,519 | ) | |||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in subscriptions
received in advance |
3,328,672 | 9,317,934 | ||||||
Redemptions of non unitized capital balance |
| (2,000 | ) | |||||
Redemptions, net of redemption payable |
(3,913,591 | ) | (9,897 | ) | ||||
Net cash (used in) provided by financing activities |
(584,919 | ) | 9,306,037 | |||||
Net increase in cash |
482,375 | 930,518 | ||||||
Cash, beginning of year |
932,518 | 2,000 | ||||||
Cash, end of year |
$ | 1,414,893 | $ | 932,518 | ||||
39
(1) | Nature of Operations | |
Organization and Business | ||
Superfund Gold, L.P., a Delaware Limited Partnership (the Fund), commenced operations on April 1, 2009. The Fund was organized to trade speculatively in the United States and international commodity futures and forwards markets using a strategy developed by Superfund Capital Management, Inc., the general partner and trading advisor of the Fund (Superfund Capital Management). The Fund has issued two series of units of limited partnership interest (Units), each with a subseries, Series A-1/A-2 and Series B-1/B-2 (each a Series). Series A-1/A-2 and Series B-1/B-2 are traded and managed the same way, with the exception of the degree of leverage. | ||
The term of the Fund commenced on the day on which the Certificate of Limited Partnership was filed with the Secretary of State of the State of Delaware pursuant to the provisions of the Delaware Revised Uniform Limited Partnership Act and shall end upon the first to occur of the following: (i) receipt by Superfund Capital Management of an approval to dissolve the Fund at a specified time by Limited Partners owning Units representing more than fifty percent (50%) of the outstanding Units of each Series then owned by Limited Partners of each Series, notice of which is sent by certified mail return receipt requested to Superfund Capital Management not less than 90 days prior to the effective date of such dissolution; (ii) withdrawal, insolvency or dissolution of Superfund Capital Management or any other event that causes Superfund Capital Management to cease to be the general partner of the Fund, unless (a) at the time of each event there is at least one remaining general partner of the Fund who carries on the business of the Fund (and each remaining general partner of the Fund is hereby authorized to carry on the business of general partner of the Fund in such an event), or (b) within 120 days after such event Limited Partners of a Series holding a majority of Units of such Series agree in writing to continue the business of the Fund and such Series and to the appointment, effective as of the date of such event, of one or more general partners of the Fund and such Series; (iii) a decline in the aggregate net assets of each Series to less than $500,000 at any time following commencement of trading in the Series; or (iv) any other event which shall make it unlawful for the existence of the Fund to be continued or which requires termination of the Fund. | ||
(2) | Basis of Presentation and Significant Accounting Policies |
(a) | Basis of Presentation | ||
Pursuant to rules and regulations of the Securities and Exchange Commission (SEC), audited financial statements are presented for the Fund as a whole, as the SEC registrant, and for Series A and Series B individually. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Fund generally or any other Series. Accordingly, the assets of one Series of the Fund include only those funds and other assets that are paid to, held by or distributed to the Fund on account of and for the benefit of that Series, including, without limitation, funds delivered to the Fund for the purchase of Units in that Series. | |||
(b) | Valuation of Investments in Futures Contracts, Forward Contracts, and U.S Treasury Bills | ||
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available. Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers quotes. The Fund uses the amortized cost method for valuing U.S. Treasury Bills due to the short-term nature of such instruments; accordingly, the cost of securities plus accreted discount, or minus amortized premium, approximates fair value (See Section (2)(g) Fair Value Measurements). | |||
(c) | Translation of Foreign Currency | ||
Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period end exchange rates. Purchases and sales of investments, and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations. | |||
The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the statements of operations. |
40
(d) | Investment Transactions, Investment Income, and Expenses | ||
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. | |||
Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting Balance Sheet. | |||
(e) | Income Taxes | ||
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Funds income or loss on their returns. The financial statements reflect the Funds transactions without adjustment, if any, required for income tax purposes. | |||
Superfund Capital Management has evaluated the application of ASC 740, Income Taxes (ASC 740) to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, the Fund has determined no reserves for uncertain tax position are required to be recorded as a result of the application of ASC 740. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2008 through 2010 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. | |||
(f) | Use of Estimates | ||
The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. | |||
(g) | Recently Issued Accounting Pronouncements | ||
ASU 2010-06 | |||
In January 2010, FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06), Improving Disclosures about Fair Value Measurements, which, among other things, amends ASC 820, Fair Value Measurements, to require entities to separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e. to present such items as gross basis rather than on a net basis), and which clarifies existing disclosure requirements provided by ASC 820 regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. ASU 2010-06 is effective for interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements (which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years). The Fund has adopted ASU 2010-06 effective for reporting periods beginning after December 15, 2009. The adoption of ASU 2010-06 did not have any impact on the Funds results of operations, financial condition or cash flows, as the Fund has not had any transfers in or out of Level 1 or 2 categories, nor does it hold Level 3 assets or liabilities. The Fund does not anticipate the amendments effective for fiscal years beginning after December 15, 2010 to have an impact on the Funds results of operations, financial condition or cash flows since the ASU impacts disclosure items only. | |||
(h) | Fair Value Measurements | ||
The Fund follows ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below: |
Level 1 | Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. | ||
Level 2 | Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly. |
41
Level 3 | Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
A financial instruments level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts. | |||
U.S. Government Securities. The Funds only market exposure in instruments held other than for trading is in its U.S. Treasury Bill portfolio. As the Fund uses the amortized cost method for valuing its U.S. Treasury Bill portfolio, which approximates fair value, this portfolio is classified within level 2 of the fair value hierarchy. | |||
Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (OTC). Exchange-traded derivatives typically fall within level 1 or level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Funds trading of exchange-traded futures contracts. The Funds exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within level 2 of the fair value hierarchy. | |||
OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers quotes. The Funds forward positions are typically classified within level 2 of the fair value hierarchy. | |||
Certain OTC derivatives traded in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on level 1 and/or level 2 inputs that can be observed in the market, as well as unobservable level 3 inputs. Subsequent to initial recognition, the Fund updates the level 1 and level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within level 3. Level 3 inputs are only changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances where the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. | |||
As of and during the year ended December 31, 2010 and for the period from April 1, 2009 (commencement of operations) through December 31, 2009, the Fund held no derivative contracts valued using level 3 inputs. |
42
The following table summarizes the valuation of the Funds assets and liabilities by the ASC 820 fair value hierarchy as of December 31, 2010: |
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 9,598,087 | $ | | $ | 9,598,087 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
224,585 | | 224,585 | | ||||||||||||
Futures contracts purchased |
2,832,921 | 2,832,921 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 12,655,593 | $ | 2,832,921 | $ | 9,822,672 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 36,460 | $ | | $ | 36,460 | $ | | ||||||||
Futures contracts sold |
349,805 | 349,805 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 386,265 | $ | 349,805 | $ | 36,460 | $ | | ||||||||
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 4,949,019 | $ | | $ | 4,949,019 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
95,755 | | 95,755 | | ||||||||||||
Futures contracts purchased |
1,271,946 | 1,271,946 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 6,316,720 | $ | 1,271,946 | $ | 5,044,774 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 13,857 | $ | | $ | 13,857 | $ | | ||||||||
Futures contracts sold |
143,844 | 143,844 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 157,701 | $ | 143,844 | $ | 13,857 | $ | | ||||||||
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 4,649,068 | $ | | $ | 4,649,068 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
128,830 | | 128,830 | | ||||||||||||
Futures contracts purchased |
1,560,975 | 1,560,975 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 6,338,873 | $ | 1,560,975 | $ | 4,777,898 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 22,603 | $ | | $ | 22,603 | $ | | ||||||||
Futures contracts sold |
205,961 | 205,961 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 228,564 | $ | 205,961 | $ | 22,603 | $ | | ||||||||
43
Superfund Gold, L.P. |
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 5,999,748 | $ | | $ | 5,999,748 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
81,845 | | 81,845 | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 6,081,593 | $ | | $ | 6,081,593 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 154,871 | $ | | $ | 154,871 | $ | | ||||||||
Futures contracts purchased |
818,974 | 818,974 | | | ||||||||||||
Futures contracts sold |
7,812 | 7,812 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 981,657 | $ | 826,786 | $ | 154,871 | $ | | ||||||||
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 1,549,939 | $ | | $ | 1,549,939 | $ | | ||||||||
Total Assets Measured at Fair Value |
$ | 1,549,939 | $ | | $ | 1,549,939 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Futures contracts purchased |
$ | 278,229 | $ | 278,229 | $ | | $ | | ||||||||
Futures contracts sold |
3,078 | 3,078 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 281,307 | $ | 281,307 | $ | | $ | | ||||||||
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 4,449,809 | $ | | $ | 4,449,809 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
81,845 | | 81,845 | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 4,531,654 | $ | | $ | 4,531,654 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 154,871 | $ | | $ | 154,871 | $ | | ||||||||
Futures contracts purchased |
540,745 | 540,745 | | | ||||||||||||
Futures contracts sold |
4,734 | 4,734 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 700,350 | $ | 545,479 | $ | 154,871 | $ | | ||||||||
(3) | Disclosure of derivative instruments and hedging activities | |
The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities (ASC 815). ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entitys results of operations and financial position. | ||
Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund |
44
discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the Statement of Operations for each Series. |
The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in forward contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities as unrealized appreciation or depreciation on open forward contracts and futures contracts purchased and futures contracts sold. Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Funds trading profits and losses in the Statements of Operations. | ||
Superfund Capital Management believes futures and forward trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Funds derivatives held long or sold short, as well as information related to the annual average volume of the Funds derivative activity, is as follows: |
Statement of Assets | Asset Derivatives | Liability | ||||||||||||||
and Liabilities | at December 31, | Derivatives at | ||||||||||||||
Type of Instrument | Location | 2010 | December 31, 2010 | Net | ||||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 224,585 | $ | | $ | 224,585 | |||||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (36,460 | ) | (36,460 | ) | ||||||||||
Futures contracts |
Futures contracts purchased | 2,832,921 | | 2,832,921 | ||||||||||||
Futures contracts |
Futures contracts sold | | (349,805 | ) | (349,805 | ) | ||||||||||
Totals |
$ | 3,057,506 | $ | (386,265 | ) | $ | 2,671,241 | |||||||||
Statement of Assets | Asset Derivatives | Liability | ||||||||||||||
and Liabilities | at December 31, | Derivatives at | ||||||||||||||
Type of Instrument | Location | 2009 | December 31, 2009 | Net | ||||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 81,845 | $ | 81,845 | $ | 81,845 | |||||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (154,871 | ) | (154,871 | ) | ||||||||||
Futures contracts |
Futures contracts purchased | | (818,974 | ) | (818,974 | ) | ||||||||||
Futures contracts |
Futures contracts sold | | (7,812 | ) | (7,812 | ) | ||||||||||
Totals |
$ | 81,845 | $ | (981,657 | ) | $ | (899,812 | ) | ||||||||
45
Net Change in | ||||||||||
Derivatives not | Unrealized Appreciation | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | (Depreciation) on | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | Derivatives Recognized | |||||||
815 | Income | Income | in Income | |||||||
Foreign exchange contracts |
Net realized and unrealized gain on futures and forward contracts | $ | 35,721 | $ | 261,151 | |||||
Futures contracts |
Net realized and unrealized gain on futures and forward contracts | 7,134,846 | 3,309,902 | |||||||
Total |
$ | 7,170,567 | $ | 3,571,053 | ||||||
Net Change in | ||||||||||
Derivatives not | Unrealized Appreciation | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | (Depreciation) on | |||||||
Instruments under | Derivatives Recognized in | Derivatives Recognized in | Derivatives Recognized | |||||||
ASC 815 | Income | Income | in Income | |||||||
Foreign exchange contracts |
Net realized and unrealized loss on futures and forward contracts | $ | (123,140 | ) | $ | (73,026 | ) | |||
Futures contracts |
Net realized and unrealized gain (loss) on futures and forward contracts | 1,731,610 | (826,786 | ) | ||||||
Total |
$ | 1,608,470 | $ | (899,812 | ) | |||||
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 193,612 | 0.7 | $ | (14,156 | ) | (0.1 | ) | $ | 30,974 | 0.1 | (22,305 | ) | (0.1 | ) | $ | 188,125 | |||||||||||||||||||
Currency |
484,663 | 1.8 | | | 53,250 | 0.2 | (19,556 | ) | (0.1 | ) | 518,357 | |||||||||||||||||||||||||
Financial |
135,655 | 0.5 | (8,118 | ) | (0.0 | )* | 6,771 | 0.0 | * | (29,115 | ) | (0.1 | ) | 105,193 | ||||||||||||||||||||||
Food & Fiber |
195,205 | 0.7 | (955 | ) | (0.0 | )* | | | | | 194,250 | |||||||||||||||||||||||||
Indices |
207,408 | 0.8 | (93,343 | ) | (0.3 | ) | 23,963 | 0.1 | | | 138,028 | |||||||||||||||||||||||||
Metals |
1,715,408 | 6.4 | (6,245 | ) | (0.0 | )* | | | (354,138 | ) | (1.3 | ) | 1,355,025 | |||||||||||||||||||||||
Livestock |
92,610 | 0.3 | (150 | ) | (0.0 | )* | | | | | 92,460 | |||||||||||||||||||||||||
Energy |
134,619 | 0.5 | (23,836 | ) | (0.1 | ) | | | (30,980 | ) | (0.1 | ) | 79,803 | |||||||||||||||||||||||
Totals |
$ | 3,159,180 | 11.7 | $ | (146,803 | ) | (0.5 | ) | $ | 114,958 | 0.4 | $ | (456,094 | ) | (1.7 | ) | $ | 2,671,241 | ||||||||||||||||||
* | Due to rounding |
46
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 47,241 | 0.4 | $ | (99,908 | ) | (0.8 | ) | $ | 34,604 | 0.3 | $ | (54,963 | ) | (0.5 | ) | $ | (73,026 | ) | |||||||||||||||||
Currency |
31,920 | 0.3 | (128,606 | ) | (1.1 | ) | | | | | (96,686 | ) | ||||||||||||||||||||||||
Financial |
57,628 | 0.5 | (151,439 | ) | (1.2 | ) | 30,475 | 0.3 | (2,464 | ) | (0.0 | )* | (65,800 | ) | ||||||||||||||||||||||
Food & Fiber |
163,661 | 1.3 | (11,618 | ) | (0.1 | ) | 175 | 0.0 | * | (17,988 | ) | (0.1 | ) | 134,230 | ||||||||||||||||||||||
Indices |
261,964 | 2.2 | (4,929 | ) | (0.0 | )* | | | (3,170 | ) | (0.0 | )* | 253,865 | |||||||||||||||||||||||
Metals |
116,249 | 1.0 | (1,211,320 | ) | (10.0 | ) | | | | | (1,095,071 | ) | ||||||||||||||||||||||||
Livestock |
| | | | | | (9,190 | ) | (0.1 | ) | (9,190 | ) | ||||||||||||||||||||||||
Energy |
66,202 | 0.5 | (8,686 | ) | (0.1 | ) | | | (5,650 | ) | (0.0 | )* | 51,866 | |||||||||||||||||||||||
Totals |
$ | 744,865 | 6.2 | $ | (1,616,506 | ) | (13.3 | ) | $ | 65,254 | 0.6 | $ | (93,425 | ) | (0.7 | ) | $ | (899,812 | ) | |||||||||||||||||
* | Due to rounding |
Average Value | Average Value | Average Number | Average | |||||||||||||
of Long | of Short | of Long | Number of Short | |||||||||||||
Positions | Positions | Contracts | Contracts | |||||||||||||
Foreign Exchange |
$ | 336,671 | $ | 303,121 | 78 | 82 | ||||||||||
Average Number | Average | |||||||||||||||
of Long | Number of Short | |||||||||||||||
Contracts | Contracts | |||||||||||||||
Currency |
576 | 84 | ||||||||||||||
Financial |
1,248 | 570 | ||||||||||||||
Food & Fiber |
147 | 74 | ||||||||||||||
Indices |
973 | 187 | ||||||||||||||
Metals |
413 | 44 | ||||||||||||||
Livestock |
43 | 11 | ||||||||||||||
Energy |
361 | 234 | ||||||||||||||
Totals |
3,839 | 1,286 | ||||||||||||||
* | Based on quarterly holdings |
47
Average Value | Average Value | Average Number | Average | |||||||||||||
of Long | of Short | of Long | Number of Short | |||||||||||||
Positions | Positions | Contracts | Contracts | |||||||||||||
Foreign Exchange |
$ | 3,006 | $ | (29,509 | ) | 18 | 10 | |||||||||
Average Number | Average | |||||||||||||||
of Long | Number of Short | |||||||||||||||
Contracts | Contracts | |||||||||||||||
Currency |
98 | 33 | ||||||||||||||
Financial |
463 | 22 | ||||||||||||||
Food & Fiber |
31 | 44 | ||||||||||||||
Indices |
75 | 19 | ||||||||||||||
Metals |
123 | 6 | ||||||||||||||
Livestock |
| 19 | ||||||||||||||
Energy |
37 | 33 | ||||||||||||||
Totals |
845 | 186 | ||||||||||||||
* | Based on quarterly holdings |
For the Year Ended December 31, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 35,721 | $ | 261,151 | $ | 296,872 | ||||||
Currency |
691,570 | 615,043 | 1,306,613 | |||||||||
Financial |
2,099,722 | 170,993 | 2,270,715 | |||||||||
Food & Fiber |
24,772 | 60,020 | 84,792 | |||||||||
Indices |
578,673 | (115,837 | ) | 462,836 | ||||||||
Metals |
4,755,671 | 2,450,096 | 7,205,767 | |||||||||
Livestock |
(132,870 | ) | 101,650 | (31,220 | ) | |||||||
Energy |
(882,692 | ) | 27,937 | (854,755 | ) | |||||||
Total net trading gains |
$ | 7,170,567 | $ | 3,571,053 | $ | 10,741,620 | ||||||
For the period from April 1, 2009 (commencement | ||||||||||||
of operations), through December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (123,140 | ) | $ | (73,026 | ) | $ | (196,166 | ) | |||
Currency |
(569,192 | ) | (96,686 | ) | (655,878 | ) | ||||||
Financial |
114,855 | (65,800 | ) | 49,055 | ||||||||
Food & Fiber |
(105,277 | ) | 134,230 | 28,953 | ||||||||
Indices |
(375,648 | ) | 253,865 | (121,783 | ) | |||||||
Metals |
3,032,186 | (1,095,071 | ) | 1,937,115 | ||||||||
Livestock |
13,500 | (9,190 | ) | 4,310 | ||||||||
Energy |
(378,814 | ) | 51,866 | (326,948 | ) | |||||||
Total net trading gains (losses) |
$ | 1,608,470 | $ | (899,812 | ) | $ | 708,658 | |||||
48
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||
Type of Instrument | Liabilities Location | December 31, 2010 | at December 31, 2010 | Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 95,755 | $ | | $ | 95,755 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (13,857 | ) | (13,857 | ) | ||||||||
Futures contracts |
Futures contracts purchased | 1,271,946 | | 1,271,946 | ||||||||||
Futures contracts |
Futures contracts sold | | (143,844 | ) | (143,844 | ) | ||||||||
Totals |
$ | 1,367,701 | $ | (157,701 | ) | $ | 1,210,000 | |||||||
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||
Type of Instrument | Liabilities Location | December 31, 2009 | at December 31, 2009 | Net | ||||||||||
Futures contracts |
Futures contracts purchased | $ | | $ | (278,229 | ) | $ | (278,229 | ) | |||||
Futures contracts |
Futures contracts sold | | (3,078 | ) | (3,078 | ) | ||||||||
Totals |
$ | | $ | (281,307 | ) | $ | (281,307 | ) | ||||||
Net Change in | ||||||||||
Derivatives not | Unrealized Appreciation | |||||||||
Designated as Hedging | Location of Gain (Loss)on | Net Realized Gain on | (Depreciation) on | |||||||
Instruments under | Derivatives Recognized in | Derivatives Recognized in | Derivatives Recognized | |||||||
ASC 815 | Income | Income | in Income | |||||||
Foreign exchange contracts |
Net realized and unrealized gain on futures and forward contracts | $ | 164,227 | $ | 81,898 | |||||
Futures contracts |
Net realized and unrealized gain on futures and forward contracts | 3,209,398 | 1,409,409 | |||||||
Total |
$ | 3,373,625 | $ | 1,491,307 | ||||||
49
Net Change in | ||||||||||
Derivatives not | Unrealized Appreciation | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | (Depreciation) on | |||||||
Instruments under | Derivatives Recognized in | Derivatives Recognized in | Derivatives Recognized | |||||||
ASC 815 | Income | Income | in Income | |||||||
Foreign exchange contracts |
Net realized and unrealized gain on futures and forward contracts | $ | 866 | $ | 0 | |||||
Futures contracts |
Net realized and unrealized gain on futures and forward contracts | 694,820 | (281,307 | ) | ||||||
Total |
$ | 695,686 | $ | (281,307 | ) | |||||
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 84,142 | 0.6 | $ | (4,472 | ) | (0.0 | )* | $ | 11,613 | 0.1 | $ | (9,385 | ) | (0.1 | ) | $ | 81,898 | ||||||||||||||||||
Currency |
208,888 | 1.5 | | | 22,631 | 0.2 | (8,381 | ) | (0.1 | ) | 223,138 | |||||||||||||||||||||||||
Financial |
58,501 | 0.4 | (3,435 | ) | (0.0 | )* | 1,766 | 0.0 | * | (12,373 | ) | (0.1 | ) | 44,459 | ||||||||||||||||||||||
Food & Fiber |
82,217 | 0.6 | (436 | ) | (0.0 | )* | | | | | 81,781 | |||||||||||||||||||||||||
Indices |
84,851 | 0.7 | (38,227 | ) | (0.3 | ) | 9,628 | 0.1 | | | 56,252 | |||||||||||||||||||||||||
Metals |
797,284 | 5.8 | (2,926 | ) | (0.0 | )* | | | (144,925 | ) | (1.1 | ) | 649,433 | |||||||||||||||||||||||
Livestock |
41,020 | 0.3 | (50 | ) | (0.0 | )* | | | | | 40,970 | |||||||||||||||||||||||||
Energy |
54,905 | 0.4 | (10,646 | ) | (0.1 | ) | | | (12,190 | ) | (0.1 | ) | 32,069 | |||||||||||||||||||||||
Totals |
$ | 1,411,808 | 10.3 | $ | (60,192 | ) | (0.4 | ) | $ | 45,638 | 0.4 | $ | (187,254 | ) | (1.5 | ) | $ | 1,210,000 | ||||||||||||||||||
* | Due to rounding |
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Currency |
$ | 4,040 | 0.1 | $ | (19,137 | ) | (0.6 | ) | $ | | | $ | | | $ | (15,097 | ) | |||||||||||||||||||
Financial |
9,669 | 0.3 | (18,442 | ) | (0.5 | ) | 1,048 | 0.0 | * | (203 | ) | (0.0 | )* | (7,928 | ) | |||||||||||||||||||||
Food & Fiber |
18,003 | 0.5 | | | | | (2,063 | ) | (0.1 | ) | 15,940 | |||||||||||||||||||||||||
Indices |
15,844 | 0.5 | | | | | | | 15,844 | |||||||||||||||||||||||||||
Metals |
| | (286,870 | ) | (8.4 | ) | | | | | (286,870 | ) | ||||||||||||||||||||||||
Livestock |
| | | | | | (1,080 | ) | (0.0 | )* | (1,080 | ) | ||||||||||||||||||||||||
Energy |
| | (1,336 | ) | (0.0 | )* | | | (780 | ) | (0.0 | )* | (2,116 | ) | ||||||||||||||||||||||
Totals |
$ | 47,556 | 1.4 | $ | (325,785 | ) | (9.5 | ) | $ | 1,048 | 0.0 | * | $ | (4,126 | ) | (0.4 | ) | $ | (281,307 | ) | ||||||||||||||||
* | Due to rounding |
50
Average Value | Average Value | Average Number | Average | |||||||||||||
of Long | of Short | of Long | Number of Short | |||||||||||||
Positions | Positions | Contracts | Contracts | |||||||||||||
Foreign Exchange |
$ | 82,174 | $ | 46,696 | 24 | 23 | ||||||||||
Average Number | Average | |||||||||||||||
of Long | Number of Short | |||||||||||||||
Contracts | Contracts | |||||||||||||||
Currency |
184 | 27 | ||||||||||||||
Financial |
366 | 186 | ||||||||||||||
Food & Fiber |
41 | 23 | ||||||||||||||
Indices |
285 | 54 | ||||||||||||||
Metals |
127 | 12 | ||||||||||||||
Livestock |
13 | 3 | ||||||||||||||
Energy |
100 | 81 | ||||||||||||||
Totals |
1,140 | 409 | ||||||||||||||
* | Based on quarterly holdings |
Average Number | Average | |||||||
of Long | Number of Short | |||||||
Contracts | Contracts | |||||||
Currency |
11 | 3 | ||||||
Financial |
51 | 3 | ||||||
Food & Fiber |
2 | 2 | ||||||
Indices |
6 | 1 | ||||||
Metals |
19 | | ||||||
Livestock |
| 1 | ||||||
Energy |
1 | | ||||||
Totals |
90 | 10 | ||||||
* | Based on quarterly holdings |
For the Year Ended December 31, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 164,227 | $ | 81,898 | $ | 246,125 | ||||||
Currency |
379,999 | 238,235 | 618,234 | |||||||||
Financial |
563,890 | 52,387 | 616,277 | |||||||||
Food & Fiber |
17,166 | 65,841 | 83,007 | |||||||||
Indices |
284,057 | 40,408 | 324,465 | |||||||||
Metals |
2,300,929 | 936,303 | 3,237,232 | |||||||||
Livestock |
(36,170 | ) | 42,050 | 5,880 | ||||||||
Energy |
(300,473 | ) | 34,185 | (266,288 | ) | |||||||
Total net trading gains |
$ | 3,373,625 | $ | 1,491,307 | $ | 4,864,932 | ||||||
51
For the period from April 1, 2009 (commencement of | ||||||||||||
operations), through December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 866 | $ | | $ | 866 | ||||||
Currency |
(60,537 | ) | (15,097 | ) | (75,634 | ) | ||||||
Financial |
3,784 | (7,928 | ) | (4,144 | ) | |||||||
Food & Fiber |
(1,397 | ) | 15,940 | 14,543 | ||||||||
Indices |
(2,096 | ) | 15,844 | 13,748 | ||||||||
Metals |
751,476 | (286,870 | ) | 464,606 | ||||||||
Livestock |
650 | (1,080 | ) | (430 | ) | |||||||
Energy |
2,940 | (2,116 | ) | 824 | ||||||||
Total net trading gains (losses) |
$ | 695,686 | $ | (281,307 | ) | $ | 414,379 | |||||
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||||
Type of Instrument | Liabilities Location | December 31, 2010 | at December 31, 2010 | Net | ||||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 128,830 | $ | | $ | 128,830 | |||||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (22,603 | ) | (22,603 | ) | ||||||||||
Futures contracts |
Futures contracts purchased | 1,560,975 | | 1,560,975 | ||||||||||||
Futures contracts |
Futures contracts sold | | (205,961 | ) | (205,961 | ) | ||||||||||
Totals |
$ | 1,689,805 | $ | (228,564 | ) | $ | 1,461,241 | |||||||||
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||||
Type of Instrument | Liabilities Location | December 31,2009 | at December 31, 2009 | Net | ||||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 81,845 | $ | | $ | 81,845 | |||||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (154,871 | ) | (154,871 | ) | ||||||||||
Futures contracts |
Futures contracts purchased | | (540,745 | ) | (540,745 | ) | ||||||||||
Futures contracts |
Futures contracts sold | | (4,734 | ) | (4,734 | ) | ||||||||||
Totals |
$ | 81,845 | $ | (700,350 | ) | $ | (618,505 | ) | ||||||||
52
Net Change in Unrealized | ||||||||||
Derivatives not | Appreciation | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain (Loss) | (Depreciation) on | |||||||
Instruments under ASC | Derivatives Recognized in | on Derivatives Recognized in | Derivatives Recognized | |||||||
815 | Income | Income | in Income | |||||||
Foreign Exchange contracts |
Net realized and unrealized gain on futures and forward contracts | $ | (128,506 | ) | $ | 179,253 | ||||
Futures contracts |
Net realized and unrealized gain on futures and forward contracts | 3,925,448 | 1,900,493 | |||||||
Total |
$ | 3,796,942 | $ | 2,079,746 | ||||||
Net Change in Unrealized | ||||||||||||
Derivatives not | Appreciation | |||||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain (Loss) | (Depreciation) on | |||||||||
Instruments under ASC | Derivatives Recognized in | on Derivatives Recognized in | Derivatives Recognized in | |||||||||
815 | Income | Income | Income | |||||||||
Foreign Exchange contracts |
Net realized and unrealized gain on futures and forward contracts | $ | (124,006 | ) | $ | (73,026 | ) | |||||
Futures contracts |
Net realized and unrealized gain on futures and forward contracts | 1,036,790 | (545,479 | ) | ||||||||
Total |
$ | 912,784 | $ | (618,505 | ) | |||||||
As of December 31, 2010 | |||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | ||||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | |||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains on | |||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | |||||||||||||||||||||||||||||
Foreign Exchange |
$ | 109,470 | 0.9 | $ | (9,684 | ) | (0.1 | ) | $ | 19,361 | 0.1 | $ | (12,920 | ) | (0.1 | ) | $ | 106,227 | |||||||||||||||||||
Currency |
275,775 | 2.1 | | | 30,619 | 0.3 | (11,175 | ) | (0.1 | ) | 295,219 | ||||||||||||||||||||||||||
Financial |
77,154 | 0.6 | (4,683 | ) | (0.0) | * | 5,005 | 0.0 | * | (16,742 | ) | (0.1 | ) | 60,734 | |||||||||||||||||||||||
Food & Fiber |
112,988 | 0.9 | (519 | ) | (0.0) | * | | | | | 112,469 | ||||||||||||||||||||||||||
Indices |
122,557 | 0.9 | (55,116 | ) | (0.4 | ) | 14,335 | 0.1 | | | 81,776 | ||||||||||||||||||||||||||
Metals |
918,124 | 7.1 | (3,319 | ) | (0.0) | * | | | (209,213 | ) | (1.6 | ) | 705,592 | ||||||||||||||||||||||||
Livestock |
51,590 | 0.4 | (100 | ) | (0.0) | * | | | | | 51,490 | ||||||||||||||||||||||||||
Energy |
79,714 | 0.6 | (13,190 | ) | (0.1 | ) | | | (18,790 | ) | (0.1 | ) | 47,734 | ||||||||||||||||||||||||
Totals |
$ | 1,747,372 | 13.5 | $ | (86,611 | ) | (0.6 | ) | $ | 69,320 | 0.5 | $ | (268,840 | ) | (2.0 | ) | $ | 1,461,241 | |||||||||||||||||||
* | Due to rounding |
53
Superfund Gold, L.P. Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2009: |
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 47,241 | 0.5 | $ | (99,908 | ) | (1.1 | ) | $ | 34,604 | 0.4 | $ | (54,963 | ) | (0.6 | ) | $ | (73,026 | ) | |||||||||||||||||
Currency |
27,880 | 0.3 | (109,469 | ) | (1.3 | ) | | | | | (81,589 | ) | ||||||||||||||||||||||||
Financial |
47,959 | 0.6 | (132,997 | ) | (1.5 | ) | 29,427 | 0.3 | (2,261 | ) | (0.0) | * | (57,872 | ) | ||||||||||||||||||||||
Food & Fiber |
145,658 | 1.7 | (11,618 | ) | (0.1 | ) | 175 | 0.0 | * | (15,925 | ) | (0.2 | ) | 118,290 | ||||||||||||||||||||||
Indices |
246,120 | 2.8 | (4,929 | ) | (0.3 | ) | | | (3,170 | ) | (0.0) | * | 238,021 | |||||||||||||||||||||||
Metals |
116,249 | 1.3 | (924,450 | ) | (10.6 | ) | | | | | (808,201 | ) | ||||||||||||||||||||||||
Livestock |
| | | | | | (8,110 | ) | (0.1 | ) | (8,110 | ) | ||||||||||||||||||||||||
Energy |
66,202 | 0.8 | (7,350 | ) | (0.1 | ) | | | (4,870 | ) | (0.1 | ) | 53,982 | |||||||||||||||||||||||
Totals |
$ | 697,309 | 8.0 | $ | (1,290,721 | ) | (14.8 | ) | $ | 64,206 | 0.7 | $ | (89,299 | ) | (1.0 | ) | $ | (618,505 | ) | |||||||||||||||||
* | Due to rounding |
Average Value | Average Value | Average Number | Average | |||||||||||||
of Long | of Short | of Long | Number of Short | |||||||||||||
Positions | Positions | Contracts | Contracts | |||||||||||||
Foreign Exchange |
$ | 254,497 | $ | 256,425 | 54 | 59 | ||||||||||
Average Number | Average | |||||||||||||||
of Long | Number of Short | |||||||||||||||
Contracts | Contracts | |||||||||||||||
Currency |
392 | 57 | ||||||||||||||
Financial |
882 | 384 | ||||||||||||||
Food & Fiber |
106 | 51 | ||||||||||||||
Indices |
688 | 133 | ||||||||||||||
Metals |
286 | 32 | ||||||||||||||
Livestock |
30 | 8 | ||||||||||||||
Energy |
261 | 153 | ||||||||||||||
Totals |
2,699 | 877 | ||||||||||||||
* | Based on quarterly holdings |
54
Series B average* contract volume by market sector for the period from April 1, 2009 (commencement of operations), through December 31, 2009: |
Average Value | Average Value | Average Number | Average | |||||||||||||
of Long | of Short | of Long | Number of Short | |||||||||||||
Positions | Positions | Contracts | Contracts | |||||||||||||
Foreign Exchange |
$ | 3,006 | $ | (29,509 | ) | 18 | 10 | |||||||||
Average Number | Average | |||||||||||||||
of Long | Number of Short | |||||||||||||||
Contracts | Contracts | |||||||||||||||
Currency |
86 | 30 | ||||||||||||||
Financial |
412 | 20 | ||||||||||||||
Food & Fiber |
29 | 41 | ||||||||||||||
Indices |
69 | 19 | ||||||||||||||
Metals |
104 | 6 | ||||||||||||||
Livestock |
| 18 | ||||||||||||||
Energy |
36 | 32 | ||||||||||||||
Totals |
754 | 176 | ||||||||||||||
* | Based on quarterly holdings |
For the Year Ended December 31, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (128,506 | ) | $ | 179,253 | $ | 50,747 | |||||
Currency |
311,571 | 376,808 | 688,379 | |||||||||
Financial |
1,535,832 | 118,606 | 1,654,438 | |||||||||
Food & Fiber |
7,606 | (5,821 | ) | 1,785 | ||||||||
Indices |
294,616 | (156,245 | ) | 138,371 | ||||||||
Metals |
2,454,742 | 1,513,793 | 3,968,535 | |||||||||
Livestock |
(96,700 | ) | 59,600 | (37,100 | ) | |||||||
Energy |
(582,219 | ) | (6,248 | ) | (588,467 | ) | ||||||
Total net trading gains |
$ | 3,796,942 | $ | 2,079,746 | $ | 5,876,688 | ||||||
For the period from April 1, 2009 (commencement of operations), | ||||||||||||
through December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (124,006 | ) | $ | (73,026 | ) | $ | (197,032 | ) | |||
Currency |
(508,655 | ) | (81,589 | ) | (590,244 | ) | ||||||
Financial |
111,071 | (57,872 | ) | 53,199 | ||||||||
Food & Fiber |
(103,880 | ) | 118,290 | 14,410 | ||||||||
Indices |
(373,552 | ) | 238,021 | (135,531 | ) | |||||||
Metals |
2,280,710 | (808,201 | ) | 1,472,509 | ||||||||
Livestock |
12,850 | (8,110 | ) | 4,740 | ||||||||
Energy |
(381,754 | ) | 53,982 | (327,772 | ) | |||||||
Total net trading gains (losses) |
$ | 912,784 | $ | (618,505 | ) | $ | 294,279 | |||||
(4) | Due from/to Brokers | |
Due from brokers consist of proceeds from securities sold. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers represent margin borrowings that are collateralized by certain securities. As of December 31, 2010, there were no amounts due to brokers. | ||
In the normal course of business, all of the Funds marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts |
55
business is unable to fulfill contractual obligations on its behalf. Superfund Capital Management monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. |
(5) | Allocation of Net Profits and Losses | |
In accordance with the Second Amended and Restated Limited Partnership Agreement (the Limited Partnership Agreement), net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month. | ||
Subscriptions received in advance, if any, represent cash received prior to December 31 for contributions of the subsequent month and do not participate in the earnings of the Fund until the following January. | ||
(6) | Related Party Transactions | |
Superfund Capital Management shall be paid a management fee equal to one-twelfth of 2.25% of month-end net assets (2.25% per annum) and operating and ongoing offering expenses equal to one-twelfth of 0.75% of month-end net assets (0.75% per annum) when considered together, not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income or any changes in net asset due to changes in value of the Fund dollar for dollar gold position. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Asset Management Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Funds futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, Inc., an entity related to Superfund Capital Management by common ownership (Superfund USA), shall be paid selling commissions equal to 2% of the month-end net asset value per Series A-1 Unit and Series B-1 Unit (one-twelfth of 2% per month). These amounts are included under Selling commission in the Statements of Operations. However, the maximum cumulative selling commission per Unit is limited to 10% of the gross offering proceeds of such Unit. | ||
Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. | ||
As of December 31, 2010, Superfund Capital Management owned 514.919 Units of Series A, representing 5.86% of the total issued Units of Series A, and 434.257 Units of Series B, representing 4.46% of the total issued Units of Series B, having a combined value of $1,393,474. | ||
(7) | Financial Highlights |
SERIES A-1 | SERIES A-2 | |||||||
Total return |
||||||||
Total return before incentive fees |
52.0 | % | 54.9 | % | ||||
Incentive fees |
(3.8 | )% | (4.5 | )% | ||||
Total return after incentive fees |
48.2 | % | 50.4 | % | ||||
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees |
7.2 | % | 5.1 | % | ||||
Incentive fees |
4.4 | % | 4.9 | % | ||||
Total expenses |
11.6 | % | 10.0 | % | ||||
Net investment loss |
(7.0 | )% | (5.0 | )% | ||||
Net asset value per unit, beginning of period |
$ | 1,056.90 | $ | 1,111.40 | ||||
Net investment loss |
(142.77 | ) | (132.16 | ) | ||||
Net gain on investments |
652.52 | 691.76 | ||||||
Net asset value per unit, end of period |
$ | 1,566.65 | $ | 1,671.00 | ||||
Other per Unit information: |
||||||||
Net increase in net assets from operations per Unit (based upon weighted average Number of Units during period) |
$ | 586.87 | $ | 638.10 | ||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | 509.75 | $ | 559.60 | ||||
56
SERIES B-1 | SERIES B-2 | |||||||
Total return |
||||||||
Total return before incentive fees |
56.7 | % | 59.9 | % | ||||
Incentive fees |
(2.0 | )% | (3.2 | )% | ||||
Total return after incentive fees |
54.7 | % | 56.7 | % | ||||
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees |
8.2 | % | 6.2 | % | ||||
Incentive fees |
1.6 | % | 3.1 | % | ||||
Total expenses |
9.8 | % | 9.3 | % | ||||
Net investment loss |
(8.2 | )% | (6.1 | )% | ||||
Net asset value per unit, beginning of period |
$ | 873.68 | $ | 886.92 | ||||
Net investment loss |
(95.99 | ) | (95.19 | ) | ||||
Net gain on investments |
573.52 | 598.07 | ||||||
Net asset value per unit, end of period |
$ | 1,351.21 | $ | 1,389.80 | ||||
Other per Unit information: |
||||||||
Net increase in net assets from operations per Unit (based upon weighted average Number of Units during period) |
$ | 456.22 | $ | 547.21 | ||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | 477.53 | $ | 502.88 | ||||
57
SERIES A-1 | SERIES A-2 | |||||||
Total return |
||||||||
Total return before incentive fees |
17.6 | % | 26.1 | % | ||||
Incentive fees |
(2.7 | )% | (5.2 | )% | ||||
Total return after incentive fees |
14.9 | % | 20.9 | % | ||||
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees* |
6.5 | % | 5.0 | % | ||||
Incentive fees |
2.5 | % | 4.3 | % | ||||
Total expenses |
9.0 | % | 9.3 | % | ||||
Net investment loss |
(6.4 | )% | (4.9 | )% | ||||
Net asset value per unit, beginning of period |
$ | 919.50 | $ | 919.50 | ||||
Net investment loss |
(73.02 | ) | (85.14 | ) | ||||
Net gain on investments |
210.42 | 277.04 | ||||||
Net asset value per unit, end of period |
$ | 1,056.90 | $ | 1,111.40 | ||||
Other per Unit information: |
||||||||
Net increase in net assets from operations per Unit (based upon weighted average Number of Units during period) |
$ | 128.07 | $ | 154.06 | ||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | 137.40 | $ | 191.90 | ||||
* | Annualized for periods less than a year |
SERIES B-1 | SERIES B-2 | |||||||
Total return |
||||||||
Total return before incentive fees |
(5.0 | )% | (3.5 | )% | ||||
Incentive fees |
0.0 | % | 0.0 | % | ||||
Total return after incentive fees |
(5.0 | )% | (3.5 | )% | ||||
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees* |
9.2 | % | 6.7 | % | ||||
Incentive fees |
0.0 | % | 0.0 | % | ||||
Total expenses |
9.2 | % | 6.7 | % | ||||
Net investment loss |
(9.1 | )% | (6.6 | )% | ||||
Net asset value per unit, beginning of period |
$ | 919.50 | $ | 919.50 | ||||
Net investment loss |
(61.09 | ) | (45.00 | ) | ||||
Net gain on investments |
15.27 | 12.42 | ||||||
Net asset value per unit, end of period |
$ | 873.68 | $ | 886.92 | ||||
Other per Unit information: |
||||||||
Net increase (decrease) in net assets from operations per Unit (based upon
weighted average Number of Units during period) |
$ | (14.49 | ) | $ | 1.06 | |||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | (45.82 | ) | $ | (32.58 | ) | ||
* | Annualized for periods less than a year. |
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(8) | Financial Instrument Risk | |
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. | ||
For the Fund, gross unrealized gains and losses related to exchange traded futures were $3,049,552 and $566,436, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $224,586 and $36,461, respectively, at December 31, 2010. | ||
For Series A, gross unrealized gains and losses related to exchange traded futures were $1,361,691 and $233,589, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $95,755 and $13,857, respectively, at December 31, 2010. | ||
For Series B, gross unrealized gains and losses related to exchange traded futures were $1,687,861 and $332,847, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $128,831 and $22,604, respectively, at December 31, 2010. | ||
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management is unable to offset such positions, the Fund could experience substantial losses. | ||
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 with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Funds risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Funds assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Funds futures commission merchants are currently ADM Investor Services, Inc., Barclays Capital Inc., MF Global Inc. and Rosenthal Collins Group, L.L.C. |
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Superfund Capital Management monitors and controls the Funds risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions, and collateral positions. |
The majority of these instruments mature within one year of December 31, 2010. However, due to the nature of the Funds business, these instruments may not be held to maturity. | ||
(9) | Subscriptions and Redemptions | |
Investors must submit subscriptions at least five business days prior to the applicable month-end closing date and they will be accepted once payments are received and cleared. All subscription funds are required to be promptly transmitted to the escrow agent, HSBC Bank USA. Subscriptions must be accepted or rejected by Superfund Capital Management within five business days of receipt, and the settlement date for the deposit of subscription funds in escrow must be within five business days of acceptance. No fees or costs will be assessed on any subscription while held in escrow, irrespective of whether the subscription is accepted or the subscription funds are returned. | ||
A limited partner of a Series (Limited Partner) may request any or all of his investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of each month, subject to a minimum redemption of $1,000 and subject further to such Limited Partner having an investment in such Series, after giving effect to the requested redemption, at least equal to the minimum initial investment amount of $5,000. Limited Partners must transmit a written request of such withdrawal to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which redemption is to be effective. Redemptions will generally be paid within twenty days after the date of redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are the subject of such default or delay. In the event that the estimated net asset value per Unit of a Series, or sub-Series thereof, after adjustments for distributions, as of the close of business on any business day is less than 50% of the net asset value per Unit of such Series, or sub-Series thereof, as of the most recent month-end, a special redemption period shall be established. In the event of a special redemption, Superfund Capital Management shall notify Limited Partners within such Series within seven business days thereafter and shall liquidate all open positions with respect to such Series as expeditiously as possible and suspend trading. Within ten business days after the date of suspension of trading, Superfund Capital Management shall declare a date (a Special Redemption Date) with respect to such Series. Such Special Redemption Date shall be a business day within 30 business days from the date of suspension of trading by such Series, and Superfund Capital Management shall mail notice of such date to each Limited Partner of such Series and assignee of Units within such Series of whom it has received written notice, by first-class mail, postage prepaid, not later than ten business days prior to such Special Redemption Date, together with instructions as to the procedure such Limited Partner or assignee must follow to have his interest in such Series redeemed on such date (only entire, not partial, interests may be so redeemed unless otherwise determined by Superfund Capital Management). Upon redemption pursuant to a Special Redemption Date, a Limited Partner or any other assignee of whom the General Partner has received written notice as described above, shall receive from the applicable Series an amount equal to the Net Asset Value of his interest in such Series, determined as of the close of business (as determined by the General Partner) on such Special Redemption Date. The details of the special redemption are set forth in Section 12 of the Limited Partnership Agreement. | ||
(10) | Subsequent events | |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. |
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SUPERFUND GOLD, L.P. (Registrant) |
||||
By: | SUPERFUND CAPITAL MANAGEMENT, INC. | |||
General Partner | ||||
By: | /s/ Nigel James | |||
Nigel James | ||||
President | ||||
Title with | ||||
Signature | Superfund Capital Management | Date | ||
/s/ Nigel James
|
President (Principal Executive Officer) |
March 31, 2011 | ||
/s/ Martin Schneider
|
Vice President and Director (Principal Financial Officer) |
March 31, 2011 |
61
Exhibit | ||||
Number | Description of Document | |||
31.1 | Rule 13a-14(a)/15d -14(a) Certification of Principal Executive Officer |
|||
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer |
|||
32.1 | Section 1350 Certification of Principal Executive Officer |
|||
32.2 | Section 1350 Certification of Principal Financial Officer |
3.02 | Form of Second Amended and Restated Limited Partnership Agreement of the Registrant. |
|||
10.02 | Form of Subscription Agreement. |
3.01 | Certificate of Limited Partnership of the Registrant. |
|||
10.01 | Form of Administration Agreement between the Registrant and the Administrator. |
62
(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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
(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 registrants 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 registrants internal control over financial reporting. |
Date: March 31, 2011 | By: | /s/ Nigel James | ||
Nigel James | ||||
President and Principal Executive Officer |
63
(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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal controls over financial reporting which are reasonably likely to adversely affect the registrants 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 registrants internal control over financial reporting. |
Date: March 31, 2011 | By: | /s/ Martin Schneider | ||
Martin Schneider | ||||
Vice President and Principal Financial Officer |
64
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | ||
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: March 31, 2011 | By: | /s/ Nigel James | ||
Nigel James | ||||
President and Principal Executive Officer |
65
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | ||
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: March 31, 2011 | By: | /s/ Martin Schneider | ||
Martin Schneider | ||||
Vice President and Principal Financial Officer | ||||
66