UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended June 30, 2013
OR
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission File number: 000-53764
SUPERFUND GOLD, L.P.
(Exact name of registrant as specified in charter)
Delaware | 98-0574019 (Series A); 98-0574020 (Series B) | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Superfund Office Building P.O. Box 1479 Grand Anse St. Georges, Grenada West Indies |
Not applicable | |
(Address of principal executive offices) | (Zip Code) |
(473) 439-2418
(Registrants telephone number, including area code)
Not applicable
(Former name, former address and former fiscal year, if changed since last report)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act.
Large Accelerated Filer | ¨ | Accelerated Filer | ¨ | |||
Non-Accelerated Filer | ¨ (Do not check if a smaller reporting company) | Smaller Reporting Company | x |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x
PART IFINANCIAL INFORMATION
ITEM 1. | FINANCIAL STATEMENTS |
The following unaudited financial statements of Superfund Gold, L.P., Superfund Gold, L.P. Series A and Superfund Gold L.P. Series B are included in Item 1:
2
SUPERFUND GOLD, L.P.
UNAUDITED STATEMENTS OF ASSETS AND LIABILITIES
as of June 30, 2013 and December 31, 2012
June 30, 2013 | December 31, 2012 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 11,795,854 | $ | 13,552,648 | ||||
Unrealized appreciation on open forward contracts |
12,894 | 182,189 | ||||||
Futures contracts purchased |
52,556 | 30,068 | ||||||
Futures contracts sold |
810,045 | 155,131 | ||||||
Cash |
6,538,224 | 9,250,263 | ||||||
|
|
|
|
|||||
Total assets |
19,209,573 | 23,170,299 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
17,466 | 101,789 | ||||||
Futures contracts purchased |
2,967,150 | 89,610 | ||||||
Futures contracts sold |
54,805 | | ||||||
Subscriptions received in advance |
30,000 | 84,515 | ||||||
Redemptions payable |
311,478 | 444,547 | ||||||
Management fees payable |
30,263 | 42,929 | ||||||
Fees payable |
27,719 | 40,220 | ||||||
|
|
|
|
|||||
Total liabilities |
3,438,881 | 803,610 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 15,770,692 | $ | 22,366,689 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
3
SUPERFUND GOLD, L.P.
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of June 30, 2013
Percentage of Net Assets |
Fair Value | |||||||
Forward Contracts, at fair value |
||||||||
Unrealized appreciation on forward contracts |
||||||||
Currency |
0.1 | % | $ | 12,894 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.1 | 12,894 | ||||||
|
|
|
|
|||||
Unrealized depreciation on forward contracts |
||||||||
Currency |
(0.1 | ) | (17,466 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (17,466 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.0 | )*% | $ | (4,572 | ) | |||
|
|
|
|
|||||
Futures Contracts Purchased |
||||||||
Currency |
(1.2 | )% | $ | (189,774 | ) | |||
Energy |
(0.4 | ) | (66,675 | ) | ||||
Financial |
0.0 | * | 5,059 | |||||
Food & Fiber |
(0.0 | )* | (4,168 | ) | ||||
Indices |
0.1 | 21,041 | ||||||
Livestock |
0.1 | 10,420 | ||||||
Metals |
||||||||
CMX Gold expiring August 2013 |
(15.7 | ) | (2,470,140 | ) | ||||
Other |
(1.4 | ) | (220,357 | ) | ||||
Total Metals |
(17.1 | ) | (2,690,497 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(18.5 | ) | (2,914,594 | ) | ||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
0.0 | * | 6,215 | |||||
Energy |
0.8 | 126,189 | ||||||
Financial |
0.3 | 44,911 | ||||||
Food & Fiber |
0.4 | 66,883 | ||||||
Indices |
(0.1 | ) | (9,693 | ) | ||||
Livestock |
(0.0 | )* | (7,230 | ) | ||||
Metals |
3.3 | 527,965 | ||||||
|
|
|
|
|||||
Total futures contracts sold |
4.8 | 755,240 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
(13.7 | )% | $ | (2,159,354 | ) | |||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
0.2 | % | $ | 32,148 | ||||
Great Britain |
0.0 | * | 832 | |||||
Japan |
0.0 | * | 3,969 | |||||
United States |
(14.0 | ) | (2,206,702 | ) | ||||
Other |
0.0 | * | 5,827 | |||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
(13.7 | )% | $ | (2,163,926 | ) | |||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
4
SUPERFUND GOLD, L.P.
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2012
Percentage of Net Assets |
Fair Value | |||||||
Forward Contracts, at fair value |
||||||||
Unrealized appreciation on forward contracts |
||||||||
Currency |
0.8 | % | $ | 182,189 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.8 | 182,189 | ||||||
|
|
|
|
|||||
Unrealized depreciation on forward contracts |
||||||||
Currency |
(0.5 | ) | (101,789 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.5 | ) | (101,789 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
0.4 | % | $ | 80,400 | ||||
|
|
|
|
|||||
Futures Contracts Purchased |
||||||||
Currency |
(0.0 | )*% | $ | (10,164 | ) | |||
Energy |
0.4 | 93,730 | ||||||
Financial |
0.7 | 157,123 | ||||||
Indices |
1.2 | 269,955 | ||||||
Metals |
(2.5 | ) | (570,186 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(0.3 | ) | (59,542 | ) | ||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
1.2 | 258,209 | ||||||
Energy |
(0.0 | )* | (2,904 | ) | ||||
Financial |
0.0 | * | 1,613 | |||||
Food & Fiber |
0.5 | 120,345 | ||||||
Indices |
(0.0 | )* | (504 | ) | ||||
Metals |
(1.0 | ) | (221,628 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.7 | 155,131 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
0.4 | % | $ | 95,589 | ||||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
0.1 | % | $ | 33,214 | ||||
European Monetary Union |
(0.1 | ) | (22,837 | ) | ||||
Great Britain |
(0.1 | ) | (15,450 | ) | ||||
Japan |
1.3 | 282,720 | ||||||
United States |
(1.3 | ) | (284,465 | ) | ||||
Other |
0.8 | 182,807 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
0.8 | % | $ | 175,989 | ||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
5
SUPERFUND GOLD, L.P.
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
Investment Income |
||||||||||||||||
Interest income |
$ | 671 | $ | 1,182 | $ | 1,381 | $ | 1,190 | ||||||||
Other income |
13 | 17 | 14 | 967 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total income |
684 | 1,199 | 1,395 | 2,157 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Brokerage commissions |
95,173 | 194,838 | 247,245 | 331,788 | ||||||||||||
Management fee |
108,585 | 150,949 | 235,044 | 309,547 | ||||||||||||
Selling commission |
63,398 | 95,994 | 141,083 | 195,246 | ||||||||||||
Operating expenses |
36,195 | 50,316 | 78,351 | 103,182 | ||||||||||||
Loss on MF Global |
| 12,764 | | 12,764 | ||||||||||||
Other |
4,413 | 6,387 | 10,374 | 8,406 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
307,764 | 511,248 | 712,097 | 960,933 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
$ | (307,080 | ) | $ | (510,049 | ) | $ | (710,702 | ) | $ | (958,776 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investments |
||||||||||||||||
Net realized gain (loss) on futures and forward contracts |
$ | (902,588 | ) | $ | 82,934 | $ | (502,164 | ) | $ | (879,715 | ) | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
(3,165,292 | ) | 925,183 | (2,339,915 | ) | 2,453,172 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net gain (loss) on investments |
$ | (4,067,880 | ) | $ | 1,008,117 | $ | (2,842,079 | ) | $ | 1,573,457 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations |
$ | (4,374,960 | ) | $ | 498,068 | $ | (3,552,781 | ) | $ | 614,681 | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to unaudited financial statements.
6
SUPERFUND GOLD, L.P.
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended June 30, |
||||||||
2013 | 2012 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (710,702 | ) | $ | (958,776 | ) | ||
Net realized loss on futures and forward contracts |
(502,164 | ) | (879,715 | ) | ||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
(2,339,915 | ) | 2,453,172 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(3,552,781 | ) | 614,681 | |||||
Capital Share transactions |
||||||||
Issuance of Units |
1,735,016 | 2,153,773 | ||||||
Redemption of Units |
(4,778,232 | ) | (2,516,698 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(3,043,216 | ) | (362,925 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets |
(6,595,997 | ) | 251,756 | |||||
Net assets, beginning of period |
22,366,689 | 25,359,446 | ||||||
|
|
|
|
|||||
Net assets, end of period |
$ | 15,770,692 | $ | 25,611,202 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
7
SUPERFUND GOLD, L.P.
UNAUDITED STATEMENTS OF CASH FLOWS
Six Months Ended June 30, |
||||||||
2013 | 2012 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (3,552,781 | ) | $ | 614,681 | |||
Adjustment to reconcile net decrease in net assets from operations to net cash provided by operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
| (7,948,374 | ) | |||||
Sales and maturities of U.S. government securities |
| 10,450,000 | ||||||
Amortization of discounts and premiums |
| (448 | ) | |||||
Increase in due from brokers |
1,756,794 | 7,616,254 | ||||||
Increase in unrealized appreciation on open forward contracts |
169,295 | 107,372 | ||||||
Increase (decrease) in unrealized depreciation on open forward contracts |
(84,323 | ) | 127,865 | |||||
Increase (decrease) in futures contracts purchased |
2,855,052 | (3,136,664 | ) | |||||
Increase (decrease) in futures contracts sold |
(600,109 | ) | 448,255 | |||||
Decrease in management fees payable |
(12,666 | ) | (59,018 | ) | ||||
Decrease in fees payable |
(12,501 | ) | (57,961 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
518,761 | 8,161,962 | ||||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
1,680,501 | 1,414,023 | ||||||
Redemptions, net of change in redemptions payable |
(4,911,301 | ) | (3,204,505 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(3,230,800 | ) | (1,790,482 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
(2,712,039 | ) | 6,371,480 | |||||
Cash, beginning of period |
9,250,263 | 5,304,787 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 6,538,224 | $ | 11,676,267 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
8
SUPERFUND GOLD, L.P. SERIES A
UNAUDITED STATEMENTS OF ASSETS AND LIABILITIES
as of June 30, 2013 and December 31, 2012
June 30, 2013 | December 31, 2012 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 7,248,501 | $ | 8,151,334 | ||||
Unrealized appreciation on open forward contracts |
7,296 | 111,557 | ||||||
Futures contracts purchased |
30,379 | | ||||||
Futures contracts sold |
457,683 | 85,248 | ||||||
Cash |
4,766,128 | 7,542,936 | ||||||
|
|
|
|
|||||
Total assets |
12,509,987 | 15,891,075 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
12,995 | 60,610 | ||||||
Futures contracts purchased |
1,884,495 | 89,610 | ||||||
Futures contracts sold |
29,616 | | ||||||
Subscriptions received in advance |
30,000 | 78,764 | ||||||
Redemptions payable |
282,082 | 280,745 | ||||||
Management fees payable |
19,787 | 29,368 | ||||||
Fees payable |
20,451 | 29,552 | ||||||
|
|
|
|
|||||
Total liabilities |
2,279,426 | 568,649 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 10,230,561 | $ | 15,322,426 | ||||
|
|
|
|
|||||
Superfund Gold, L.P. Series A-1 Net Assets |
$ | 8,103,371 | $ | 11,986,641 | ||||
|
|
|
|
|||||
Number of Units outstanding |
7,146.583 | 8,423.300 | ||||||
|
|
|
|
|||||
Superfund Gold, L.P. Series A-1 Net Asset Value per Unit |
$ | 1,133.88 | $ | 1,423.03 | ||||
|
|
|
|
|||||
Superfund Gold, L.P. Series A-2 Net Assets |
$ | 2,127,190 | $ | 3,335,785 | ||||
|
|
|
|
|||||
Number of Units outstanding |
1,675.484 | 2,114.666 | ||||||
|
|
|
|
|||||
Superfund Gold, L.P. Series A-2 Net Asset Value per Unit |
$ | 1,269.60 | $ | 1,577.45 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
9
SUPERFUND GOLD, L.P. SERIES A
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of June 30, 2013
Percentage of Net Assets |
Fair Value | |||||||
Forward Contracts, at fair value |
||||||||
Unrealized appreciation on forward contracts |
||||||||
Currency |
0.1 | % | $ | 7,296 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.1 | 7,296 | ||||||
|
|
|
|
|||||
Unrealized depreciation on forward contracts |
||||||||
Currency |
(0.1 | ) | (12,995 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (12,995 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.0 | )*% | $ | (5,699 | ) | |||
|
|
|
|
|||||
Futures Contracts Purchased |
||||||||
Currency |
(1.1 | )% | $ | (110,389 | ) | |||
Energy |
(0.4 | ) | (37,638 | ) | ||||
Financial |
0.0 | * | 3,028 | |||||
Food & Fiber |
(0.0 | )* | (2,640 | ) | ||||
Indices |
0.1 | 10,841 | ||||||
Livestock |
0.1 | 7,320 | ||||||
Metals |
||||||||
CMX Gold expiring August 2013 |
(15.6 | ) | (1,596,000 | ) | ||||
Other |
(1.3 | ) | (128,638 | ) | ||||
|
|
|
|
|||||
Total Metals |
(16.9 | ) | (1,724,638 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(18.2 | ) | (1,854,116 | ) | ||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
0.0 | * | 2,944 | |||||
Energy |
0.7 | 70,494 | ||||||
Financial |
0.2 | 23,992 | ||||||
Food & Fiber |
0.3 | 34,610 | ||||||
Indices |
(0.0 | )* | (4,943 | ) | ||||
Livestock |
(0.0 | )* | (3,780 | ) | ||||
Metals |
3.0 | 304,750 | ||||||
|
|
|
|
|||||
Total futures contracts sold |
4.2 | 428,067 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
(13.9 | )% | $ | (1,426,049 | ) | |||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
0.2 | % | $ | 17,346 | ||||
Great Britain |
0.0 | * | 513 | |||||
Japan |
0.0 | 2,335 | ||||||
United States |
(14.2 | ) | (1,454,516 | ) | ||||
Other |
0.0 | 2,574 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
(14.0 | )% | $ | (1,431,748 | ) | |||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
10
SUPERFUND GOLD, L.P. SERIES A
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2012
Percentage of Net Assets |
Fair Value | |||||||
Forward Contracts, at fair value |
||||||||
Unrealized appreciation on forward contracts |
||||||||
Currency |
0.7 | % | $ | 111,557 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.7 | 111,557 | ||||||
|
|
|
|
|||||
Unrealized depreciation on forward contracts |
||||||||
Currency |
(0.4 | ) | (60,610 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.4 | ) | (60,610 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
0.3 | % | $ | 50,947 | ||||
|
|
|
|
|||||
Futures Contracts Purchased |
||||||||
Currency |
(0.0 | )*% | $ | (5,989 | ) | |||
Energy |
0.4 | 53,671 | ||||||
Financial |
0.6 | 92,894 | ||||||
Indices |
1.1 | 164,177 | ||||||
Metals |
(2.6 | ) | (394,363 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(0.5 | ) | (89,610 | ) | ||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
1.0 | 146,281 | ||||||
Energy |
(0.1 | ) | (6,395 | ) | ||||
Financial |
0.0 | * | 1,033 | |||||
Food & Fiber |
0.5 | 69,879 | ||||||
Indices |
(0.0 | )* | (277 | ) | ||||
Metals |
(0.8 | ) | (125,273 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.6 | 85,248 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
(0.0 | )*% | $ | (4,362 | ) | |||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
0.1 | % | $ | 18,911 | ||||
European Monetary Union |
(0.1 | ) | (13,510 | ) | ||||
Great Britain |
(0.1 | ) | (10,846 | ) | ||||
Japan |
1.1 | 170,893 | ||||||
United States |
(1.4 | ) | (228,553 | ) | ||||
Other |
0.7 | 109,690 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
0.3 | % | $ | 46,585 | ||||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
11
SUPERFUND GOLD, L.P. SERIES A
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
Investment Income |
||||||||||||||||
Interest income |
$ | 404 | $ | 580 | $ | 818 | $ | 588 | ||||||||
Other income |
7 | 12 | 8 | 519 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total income |
411 | 592 | 826 | 1,107 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Brokerage commissions |
53,243 | 104,683 | 142,665 | 177,639 | ||||||||||||
Management fee |
70,876 | 95,954 | 156,765 | 194,936 | ||||||||||||
Selling commission |
50,019 | 67,964 | 109,868 | 137,514 | ||||||||||||
Operating expenses |
23,625 | 31,984 | 52,258 | 64,978 | ||||||||||||
Loss on MF Global |
| 6,925 | | 6,925 | ||||||||||||
Other |
1,565 | 2,900 | 3,874 | 3,455 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
199,328 | 310,410 | 465,430 | 585,447 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
$ | (198,917 | ) | $ | (309,818 | ) | $ | (464,604 | ) | $ | (584,340 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investments |
||||||||||||||||
Net realized loss on futures and forward contracts |
$ | (728,468 | ) | $ | (67,753 | ) | $ | (691,547 | ) | $ | (638,940 | ) | ||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
(2,014,540 | ) | 614,169 | (1,478,333 | ) | 1,629,487 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net gain (loss) on investments |
$ | (2,743,008 | ) | $ | 546,416 | $ | (2,169,880 | ) | $ | 990,547 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations |
$ | (2,941,925 | ) | $ | 236,598 | $ | (2,634,484 | ) | $ | 406,207 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series A-1 Unit (based upon weighted average number of units outstanding during period)* |
$ | (318.66 | ) | $ | 20.03 | $ | (270.93 | ) | $ | 33.58 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series A-1 Unit (based upon change in net asset value per unit during period) |
$ | (317.94 | ) | $ | 19.94 | $ | (289.15 | ) | $ | 35.27 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series A-2 Unit (based upon weighted average number of units outstanding during period) ** |
$ | (367.06 | ) | $ | 31.58 | $ | (293.34 | ) | $ | 57.79 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series A-2 Unit (based upon change in net asset value per unit during period)* |
$ | (347.86 | ) | $ | 30.19 | $ | (307.85 | ) | $ | 55.02 | ||||||
|
|
|
|
|
|
|
|
* | Weighted average number of Units outstanding for Series A-1 for the Three Months Ended June 30, 2013 and June 30, 2012: 7,310.023 and 8,600.62, respectively; and for the Six Months Ended June 30, 2013 and June 30, 2012: 7,757.798 and 8,550.60, respectively. |
* | Weighted average number of Units outstanding for Series A-2 for the Three Months Ended June 30, 2013 and June 30, 2012: 1,668.800 and 2,020.41, respectively; and for the Six Months Ended June 30, 2013 and June 30, 2012: 1,815.752 and 2,041.90, respectively. |
See accompanying notes to unaudited financial statements.
12
SUPERFUND GOLD, L.P. SERIES A
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended June 30, |
||||||||
2013 | 2012 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (464,604 | ) | $ | (584,340 | ) | ||
Net realized loss on futures and forward contracts |
(691,547 | ) | (638,940 | ) | ||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
(1,478,333 | ) | 1,629,487 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(2,634,484 | ) | 406,207 | |||||
Capital Share transactions |
||||||||
Issuance of Units |
725,568 | 1,405,603 | ||||||
Redemption of Units |
(3,182,949 | ) | (1,186,717 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets from capital share transactions |
(2,457,381 | ) | 218,886 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets |
(5,091,865 | ) | 625,093 | |||||
Net assets, beginning of period |
15,322,426 | 15,819,153 | ||||||
|
|
|
|
|||||
Net assets, end of period |
$ | 10,230,561 | $ | 16,444,246 | ||||
|
|
|
|
|||||
Series A-1 Units, beginning of period |
8,423.300 | 8,359.510 | ||||||
Issuance of Series A-1 Units |
262.303 | 810.164 | ||||||
Redemption of Units |
(1,539.020 | ) | (633.297 | ) | ||||
|
|
|
|
|||||
Series A-1 Units, end of period |
7,146.583 | 8,536.377 | ||||||
|
|
|
|
|||||
Series A-2 Units, beginning of period |
2,114.666 | 2,037.421 | ||||||
Issuance of Series A-2 Units |
222.349 | 76.785 | ||||||
Redemption of Units |
(661.531 | ) | (108.152 | ) | ||||
|
|
|
|
|||||
Series A-2 Units, end of period |
1,675.484 | 2,006.054 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
13
SUPERFUND GOLD, L.P. SERIES A
UNAUDITED STATEMENTS OF CASH FLOWS
Six Months Ended June 30, |
||||||||
2013 | 2012 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (2,634,484 | ) | $ | 406,207 | |||
Adjustment to reconcile net decrease in net assets from operations to net cash provided by operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
| (4,249,133 | ) | |||||
Sales and maturities of U.S. government securities |
| 5,850,000 | ||||||
Amortization of discounts and premiums |
| (233 | ) | |||||
Increase in due from brokers |
902,833 | 4,724,841 | ||||||
Increase in unrealized appreciation on open forward contracts |
104,261 | 53,316 | ||||||
Increase (decrease) in unrealized depreciation on open forward contracts |
(47,615 | ) | 71,933 | |||||
Increase (decrease) in futures contracts purchased |
1,764,506 | (1,975,632 | ) | |||||
Increase (decrease) in futures contracts sold |
(342,819 | ) | 220,896 | |||||
Decrease in management fees payable |
(9,581 | ) | (36,467 | ) | ||||
Decrease in fees payable |
(9,101 | ) | (38,037 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
(272,000 | ) | 5,027,691 | |||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
676,804 | 1,222,603 | ||||||
Redemptions, net of change in redemptions payable |
(3,181612 | ) | (1,777,988 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(2,504,808 | ) | (555,385 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
(2,776,808 | ) | 4,472,306 | |||||
Cash, beginning of period |
7,542,936 | 4,325,976 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 4,766,128 | $ | 8,798,282 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
14
SUPERFUND GOLD, L.P. SERIES B
UNAUDITED STATEMENTS OF ASSETS AND LIABILITIES
as of June 30, 2013 and December 31, 2012
June 30, 2013 | December 31, 2012 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 4,547,353 | $ | 5,401,314 | ||||
Unrealized appreciation on open forward contracts |
5,598 | 70,632 | ||||||
Futures contracts purchased |
22,177 | 30,068 | ||||||
Futures contracts sold |
352,362 | 69,883 | ||||||
Cash |
1,772,096 | 1,707,327 | ||||||
|
|
|
|
|||||
Total assets |
6,699,586 | 7,279,224 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
4,471 | 41,179 | ||||||
Futures contracts purchased |
1,082,655 | | ||||||
Futures contracts sold |
25,189 | | ||||||
Subscriptions received in advance |
| 5,751 | ||||||
Redemptions payable |
29,396 | 163,802 | ||||||
Management fees payable |
10,476 | 13,561 | ||||||
Fees payable |
7,268 | 10,668 | ||||||
|
|
|
|
|||||
Total liabilities |
1,159,455 | 234,961 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 5,540,131 | $ | 7,044,263 | ||||
|
|
|
|
|||||
Superfund Gold, L.P. Series B-1 Net Assets |
$ | 2,238,280 | $ | 3,618,576 | ||||
|
|
|
|
|||||
Number of Units outstanding |
2,372.916 | 3,258.284 | ||||||
|
|
|
|
|||||
Superfund Gold, L.P. Series B-1 Net Asset Value per Unit |
$ | 943.26 | $ | 1,110.58 | ||||
|
|
|
|
|||||
Superfund Gold, L.P. Series B-2 Net Assets |
$ | 3,301,851 | $ | 3,425,687 | ||||
|
|
|
|
|||||
Number of Units outstanding |
3,242.041 | 2,885.689 | ||||||
|
|
|
|
|||||
Superfund Gold, L.P. Series B-2 Net Asset Value per Unit |
$ | 1,018.45 | $ | 1,187.13 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
15
SUPERFUND GOLD, L.P. SERIES B
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of June 30, 2013
Percentage of Net Assets |
Fair Value | |||||||
Forward Contracts, at fair value |
||||||||
Unrealized appreciation on forward contracts |
||||||||
Currency |
0.1 | % | $ | 5,598 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.1 | 5,598 | ||||||
|
|
|
|
|||||
Unrealized depreciation on forward contracts |
||||||||
Currency |
(0.1 | ) | (4,471 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (4,471 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
0.0 | *% | $ | 1,127 | ||||
|
|
|
|
|||||
Futures Contracts Purchased |
||||||||
Currency |
(1.4 | )% | $ | (79,385 | ) | |||
Energy |
(0.5 | ) | (29,037 | ) | ||||
Financial |
0.0 | * | 2,031 | |||||
Food & Fiber |
(0.0 | )* | (1,528 | ) | ||||
Indices |
0.2 | 10,200 | ||||||
Livestock |
0.1 | 3,100 | ||||||
Metals |
||||||||
CMX Gold expiring August 2013 |
(15.8 | ) | (874,140 | ) | ||||
Other |
(1.7 | ) | (91,719 | ) | ||||
|
|
|
|
|||||
Total Metals |
(17.5 | ) | (965,859 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(19.1 | ) | (1,060,478 | ) | ||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
0.1 | 3,271 | ||||||
Energy |
1.0 | 55,695 | ||||||
Financial |
0.4 | 20,919 | ||||||
Food & Fiber |
0.6 | 32,273 | ||||||
Indices |
(0.1 | ) | (4,750 | ) | ||||
Livestock |
(0.1 | ) | (3,450 | ) | ||||
Metals |
4.0 | 223,215 | ||||||
|
|
|
|
|||||
Total futures contracts sold |
5.9 | 327,173 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
(13.2 | )% | $ | (733,305 | ) | |||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
0.3 | % | $ | 14,802 | ||||
Great Britain |
0.0 | * | 319 | |||||
Japan |
0.0 | * | 1,634 | |||||
United States |
(13.6 | ) | (752,186 | ) | ||||
Other |
0.1 | 3,253 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
(13.2 | )% | $ | (732,178 | ) | |||
|
|
|
|
* | Due to rounding |
See accompanying notes to unaudited financial statements.
16
SUPERFUND GOLD, L.P. SERIES B
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2012
Percentage of Net Assets |
Fair Value | |||||||
Forward Contracts, at fair value |
||||||||
Unrealized appreciation on forward contracts |
||||||||
Currency |
1.0 | % | $ | 70,632 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
1.0 | 70,632 | ||||||
|
|
|
|
|||||
Unrealized depreciation on forward contracts |
||||||||
Currency |
(0.6 | ) | (41,179 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.6 | ) | (41,179 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
0.4 | % | $ | 29,453 | ||||
|
|
|
|
|||||
Futures Contracts Purchased |
||||||||
Currency |
(0.1 | )% | $ | (4,175 | ) | |||
Energy |
0.6 | 40,059 | ||||||
Financial |
0.9 | 64,229 | ||||||
Indices |
1.5 | 105,778 | ||||||
Metals |
(2.5 | ) | (175,823 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
0.4 | 30,068 | ||||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
1.6 | 111,928 | ||||||
Energy |
0.1 | 3,491 | ||||||
Financial |
0.0 | * | 580 | |||||
Food & Fiber |
0.7 | 50,466 | ||||||
Indices |
(0.0 | )* | (227 | ) | ||||
Metals |
(1.4 | ) | (96,355 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
1.0 | 69,883 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
1.4 | % | $ | 99,951 | ||||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
0.2 | % | $ | 14,303 | ||||
European Monetary Union |
(0.1 | ) | (9,327 | ) | ||||
Great Britain |
(0.1 | ) | (4,604 | ) | ||||
Japan |
1.6 | 111,827 | ||||||
United States |
(0.8 | ) | (55,912 | ) | ||||
Other |
1.0 | 73,117 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
1.8 | % | $ | 129,404 | ||||
|
|
|
|
* Due to rounding
See accompanying notes to unaudited financial statements.
17
SUPERFUND GOLD, L.P. SERIES B
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
Investment Income |
||||||||||||||||
Interest income |
$ | 267 | $ | 602 | $ | 563 | $ | 602 | ||||||||
Other income |
6 | 5 | 6 | 448 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total income |
273 | 607 | 569 | 1,050 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Brokerage commissions |
41,930 | 90,155 | 104,580 | 154,149 | ||||||||||||
Management fee |
37,709 | 54,995 | 78,279 | 114,611 | ||||||||||||
Selling commission |
13,379 | 28,030 | 31,215 | 57,732 | ||||||||||||
Operating expenses |
12,570 | 18,332 | 26,093 | 38,204 | ||||||||||||
Loss on MF Global |
| 5,839 | | 5,839 | ||||||||||||
Other |
2,848 | 3,487 | 6,500 | 4,951 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
108,436 | 200,838 | 246,667 | 375,486 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
$ | (108,163 | ) | $ | (200,231 | ) | $ | (246,098 | ) | $ | (374,436 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investments |
||||||||||||||||
Net realized gain (loss) on futures and forward contracts |
$ | (174,120 | ) | $ | 150,687 | $ | 189,383 | $ | (240,775 | ) | ||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
(1,150,752 | ) | 311,014 | (861,582 | ) | 823,685 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net gain (loss) on investments |
$ | (1,324,872 | ) | $ | 461,701 | $ | (672,199 | ) | $ | 582,910 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations |
$ | (1,433,035 | ) | $ | 261,470 | $ | (918,297 | ) | $ | 208,474 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series B-1 Unit (based upon weighted average number of units outstanding during period)* |
$ | (260.61 | ) | $ | 34.79 | $ | (142.06 | ) | $ | 19.24 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series B-1 Unit (based upon change in net asset value per unit during period) |
$ | (247.97 | ) | $ | 28.79 | $ | (167.32 | ) | $ | 7.40 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series B-2 Unit (based upon weighted average number of units outstanding during period) ** |
$ | (253.86 | ) | $ | 36.96 | $ | (177.65 | ) | $ | 39.55 | ||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Series B-2 Unit (based upon change in net asset value per unit during period)* |
$ | (261.30 | ) | $ | 36.94 | $ | (168.68 | ) | $ | 20.88 | ||||||
|
|
|
|
|
|
|
|
* | Weighted average number of Units outstanding for Series B-1 for the Three Months Ended June 30, 2013 and June 30, 2012: 2,349.787 and 4,290.72, respectively; and for the Six Months Ended June 30, 2013 and June 30, 2012: 2,609.787 and 4,378.78, respectively. |
* | Weighted average number of Units outstanding for Series B-2 for the Three Months Ended June 30, 2013 and June 30, 2012: 3,232.673 and 3,040.59, respectively; and for the Six Months Ended June 30, 2013 and June 30, 2012: 3,082.236 and 3,136.73, respectively. |
See accompanying notes to unaudited financial statements.
18
SUPERFUND GOLD, L.P. SERIES B
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended June 30, |
||||||||
2013 | 2012 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (246,098 | ) | $ | (374,436 | ) | ||
Net realized gain (loss) on futures and forward contracts |
189,383 | (240,775 | ) | |||||
Net change in unrealized appreciation (depreciation on) futures and forward contracts |
(861,582 | ) | 823,685 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(918,297 | ) | 208,474 | |||||
Capital Share transactions |
||||||||
Issuance of Units |
1,009,448 | 748,170 | ||||||
Redemption of Units |
(1,595,283 | ) | (1,329,981 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(585,835 | ) | (581,811 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets |
(1,504,132 | ) | (373,337 | ) | ||||
Net assets, beginning of period |
7,044,263 | 9,540,293 | ||||||
|
|
|
|
|||||
Net assets, end of period |
$ | 5,540,131 | $ | 9,166,956 | ||||
|
|
|
|
|||||
Series B-1 Units, beginning of period |
3,258.284 | 4,524.265 | ||||||
Issuance of Series B-1 Units |
184.070 | 188.978 | ||||||
Redemption of Units |
(1,069.438 | ) | (592.883 | ) | ||||
|
|
|
|
|||||
Series B-1 Units, end of period |
2,372.916 | 4,120.360 | ||||||
|
|
|
|
|||||
Series B-2 Units, beginning of period |
2,885.689 | 3,015.557 | ||||||
Issuance of Series B-2 Units |
608.830 | 389.874 | ||||||
Redemption of Units |
(252.478 | ) | (363.648 | ) | ||||
|
|
|
|
|||||
Series B-2 Units, end of period |
3,242.041 | 3,041.783 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
19
SUPERFUND GOLD, L.P. SERIES B
UNAUDITED STATEMENTS OF CASH FLOWS
Six Months Ended June 30, |
||||||||
2013 | 2012 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (918,297 | ) | $ | 208,474 | |||
Adjustment to reconcile net decrease in net assets from operations to net cash provided by operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
| (3,699,241 | ) | |||||
Sales and maturities of U.S. government securities |
| 4,600,000 | ||||||
Amortization of discounts and premiums |
| (215 | ) | |||||
Increase in due from brokers |
853,961 | 2,891,413 | ||||||
Increase in unrealized appreciation on open forward contracts |
65,034 | 54,056 | ||||||
Increase (decrease) in unrealized depreciation on open forward contracts |
(36,708 | ) | 55,932 | |||||
Increase (decrease) in futures contracts purchased |
1,090,546 | (1,161,032 | ) | |||||
Increase (decrease) in futures contracts sold |
(257,290 | ) | 227,359 | |||||
Decrease in management fees payable |
(3,085 | ) | (22,551 | ) | ||||
Decrease in fees payable |
(3,400 | ) | (19,924 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
790,761 | 3,134,271 | ||||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
1,003,697 | 191,420 | ||||||
Redemptions, net of change in redemptions payable |
(1,729,689 | ) | (1,426,517 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(725,992 | ) | (1,235,097 | ) | ||||
|
|
|
|
|||||
Net increase in cash |
64,769 | 1,899,174 | ||||||
Cash, beginning of period |
1,707,327 | 978,811 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 1,772,096 | $ | 2,877,985 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
20
SUPERFUND GOLD, L.P., SUPERFUND GOLD, L.P. SERIES A and SUPERFUND GOLD, L.P. SERIES B
NOTES TO UNAUDITED FINANCIAL STATEMENTS
June 30, 2013
SUPERFUND GOLD, L.P.
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 forward 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. Series B implements the Funds futures and forward trading program at a leverage level equal to approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years), the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B. The leverage with which each of the Series is traded is the only difference between the Series. Sub-Series within a Series are not managed differently. Rather, Series A-1 Units and Series B-1 Units are subject to selling commissions. Series A-2 Units and Series B-2 Units are not subject to selling commissions but are available exclusively to: (i) investors participating in selling agent asset-based or fixed-fee investment programs or a registered investment advisers asset-based fee or fixed-fee advisory program through which an investment adviser recommends a portfolio allocation to the Fund and for which Superfund USA, LLC (Superfund USA) serves as selling agent, (ii) investors who purchased the Units through Superfund USA or an affiliated broker and who are commodity pools operated by commodity pool operators registered as such with the Commodity Futures Trading Commission and (iii) investors who have paid the maximum selling commission on their Series A-1 or Series B-1 Units (by re-designation of such Units as Series A-2 Units or Series B-2 Units as described herein). The foregoing eligibility requirements and selling commissions are the only differences between the Sub-Series within a Series.
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 of the Fund (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
Basis of Presentation
The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (SEC) and accounting principles generally accepted in the U.S. (U.S. GAAP) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Funds Annual Report on Form 10-K for the year ended December 31, 2012.
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.
21
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 3 Fair Value Measurements).
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 realized and unrealized gain (loss) on investments in the Statements of Operations.
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. The Fund uses the amortized cost method for valuing U.S. Treasury Bills. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series.
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 Assets and Liabilities 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.
Set forth herein are instruments and transactions eligible for offset in the Statements of Assets and Liabilities and which are subject to derivative clearing agreements with the Funds futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of June 30, 2013, the Fund had on deposit $6,598,470 at ADM Investor Services, Inc. and $5,197,384 at Barclays Capital Inc. As of June 30, 2013, Series A had on deposit $4,348,754 at ADM Investor Services, Inc. and $2,899,747 at Barclays Capital Inc. As of June 30, 2013, Series B had on deposit $2,249,716 at ADM Investor Services, Inc. and $2,297,637 at Barclays Capital Inc.
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 Topic 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, Superfund Capital Management has determined no reserves for uncertain tax positions are required to be recorded as a result of the application of ASC 740. Superfund Capital Management 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 2009 through 2012 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
22
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.
Recently Issued Accounting Pronouncements
ASU 2011-11
In December 2011, the FASB issued Accounting Standards Update (ASU) No. 2011-11, Disclosures about Offsetting Assets and Liabilities (ASU 2011-11). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards (IFRS). The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.
In January 2013, the FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Funds financial statements.
3. Fair Value Measurements
The Fund follows ASC 820, Fair Value Measurements and Disclosures, which 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; |
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.
23
U.S. Government Securities. The Funds only market exposure in instruments held other than for speculative 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 and swap positions are typically classified within Level 2 of the fair value hierarchy.
Certain OTC derivatives trade 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 changed only 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 in which 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 six months ended June 30, 2013 and June 30, 2012, the Fund held no derivative contracts valued using Level 3 inputs.
The following table summarizes the valuation of the Funds assets and liabilities by the ASC 820 fair value hierarchy as of June 30, 2013 and December 31, 2012:
Superfund Gold, L.P.
Balance June 30, 2013 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 12,894 | $ | | $ | 12,894 | $ | | ||||||||
Futures contracts purchased |
52,556 | 52,556 | | | ||||||||||||
Futures contracts sold |
810,045 | 810,045 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 875,495 | $ | 862,601 | $ | 12,894 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 17,466 | $ | | $ | 17,466 | $ | | ||||||||
Futures contracts purchased |
2,967,150 | 2,967,150 | | | ||||||||||||
Futures contracts sold |
54,805 | 54,805 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 3,039,421 | $ | 3,021,955 | $ | 17,466 | $ | | ||||||||
|
|
|
|
|
|
|
|
24
Balance December 31, 2012 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 182,189 | $ | | $ | 182,189 | $ | | ||||||||
Futures contracts purchased |
30,068 | 30,068 | | | ||||||||||||
Futures contracts sold |
155,131 | 155,131 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 367,388 | $ | 185,199 | $ | 182,189 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 101,789 | $ | | $ | 101,789 | $ | | ||||||||
Futures contracts purchased |
89,610 | 89,610 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 191,399 | $ | 89,610 | $ | 101,789 | $ | | ||||||||
|
|
|
|
|
|
|
|
Superfund Gold, L.P. Series A
Balance June 30, 2013 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 7,296 | $ | | $ | 7,296 | $ | | ||||||||
Futures contracts purchased |
30,379 | 30,379 | | | ||||||||||||
Futures contracts sold |
457,683 | 457,683 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 495,358 | $ | 488,062 | $ | 7,296 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 12,995 | $ | | $ | 12,995 | $ | | ||||||||
Futures contracts purchased |
1,884,495 | 1,884,495 | | | ||||||||||||
Futures contracts sold |
29,616 | 29,616 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 1,927,106 | $ | 1,914,111 | $ | 12,995 | $ | | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2012 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 111,557 | $ | | $ | 111,557 | $ | | ||||||||
Futures contracts sold |
85,248 | 85,248 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 196,805 | $ | 85,248 | $ | 111,557 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 60,610 | $ | | $ | 60,610 | $ | | ||||||||
Futures contracts purchased |
89,610 | 89,610 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 150,220 | $ | 89,610 | $ | 60,610 | $ | | ||||||||
|
|
|
|
|
|
|
|
25
Superfund Gold, L.P. Series B
Balance June 30, 2013 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 5,598 | $ | | $ | 5,598 | $ | | ||||||||
Futures contracts purchased |
22,177 | 22,177 | | | ||||||||||||
Futures contracts sold |
352,362 | 352,362 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 380,137 | $ | 374,539 | $ | 5,598 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 4,471 | $ | | $ | 4,471 | $ | | ||||||||
Futures contracts purchased |
1,082,655 | 1,082,655 | | | ||||||||||||
Futures contracts sold |
25,189 | 25,189 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 1,112,315 | $ | 1,107,844 | $ | 4,471 | $ | | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2012 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 70,632 | $ | | $ | 70,632 | $ | | ||||||||
Futures contracts purchased |
30,068 | 30,068 | | | ||||||||||||
Futures contracts sold |
69,883 | 69,883 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 170,583 | $ | 99,951 | $ | 70,632 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 41,179 | $ | | $ | 41,179 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 41,179 | $ | | $ | 41,179 | $ | | ||||||||
|
|
|
|
|
|
|
|
The Fund assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Funds accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no significant transfers among Levels 1, 2 and 3 during the six months ended June 30, 2013 and year ended December 31, 2012.
4. 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 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 realized and unrealized gain (loss) on investments 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:
26
Superfund Gold, L.P.
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of June 30, 2013, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at June 30, 2013 |
Liability Derivatives at June 30, 2013 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts |
$ | 12,894 | $ | | $ | 12,894 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts |
| (17,466 | ) | (17,466 | ) | ||||||||
Futures contracts |
Futures contracts purchased |
52,556 | (2,967,150 | ) | (2,914,594 | ) | ||||||||
Futures contracts |
Futures contracts sold | 810,045 | (54,805 | ) | 755,240 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 875,495 | $ | (3,039,421 | ) | $ | (2,163,926 | ) | ||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2012, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2012 |
Liability Derivatives at December 31, 2012 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts |
$ | 182,189 | $ | | $ | 182,189 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts |
| (101,789 | ) | (101,789 | ) | ||||||||
Futures contracts |
Futures contracts purchased |
30,068 | (89,610 | ) | (59,542 | ) | ||||||||
Futures contracts |
Futures contracts sold | 155,131 | | 155,131 | ||||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 367,388 | $ | (191,399 | ) | $ | 175,989 | |||||||
|
|
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2013:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on Derivatives Recognized in Income |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized loss on futures and forward contracts |
$ | (79,737 | ) | $ | (41,358 | ) | |||
Futures contracts |
Net realized loss on futures and forward contracts |
(822,851 | ) | (3,123,934 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (902,588 | ) | $ | (3,165,292 | ) | ||||
|
|
|
|
27
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2013:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized loss on futures and forward contracts | $ | (275,714 | ) | $ | (84,972 | ) | |||
Futures contracts |
Net realized loss on futures and forward contracts | (226,450 | ) | (2,254,943 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (502,164 | ) | $ | (2,339,915 | ) | ||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2012:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on in Income |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 631,711 | $ | (136,923 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | (548,777 | ) | 1,062,106 | ||||||
|
|
|
|
|||||||
Total |
$ | 82,934 | $ | 925,183 | ||||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2012:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 721,822 | $ | (235,237 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | (1,601,537 | ) | 2,688,409 | ||||||
|
|
|
|
|||||||
Total |
$ | (879,715 | ) | $ | 2,453,172 | |||||
|
|
|
|
28
Superfund Gold, L.P. gross and net unrealized gains and losses by long and short positions as of June 30, 2013 and December 31, 2012:
As of June 30, 2013 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gains (Losses) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 3,303 | 0.0 | * | $ | (16,388 | ) | (0.1 | ) | $ | 9,591 | 0.1 | $ | (1,078 | ) | (0.0 | )* | $ | (4,572 | ) | ||||||||||||||||
Currency |
| | (189,774 | ) | (1.2 | ) | 9,520 | 0.1 | (3,305 | ) | (0.0 | )* | (183,559 | ) | ||||||||||||||||||||||
Financial |
9,574 | 0.1 | (4,515 | ) | (0.0 | )* | 57,831 | 0.4 | (12,920 | ) | (0.1 | ) | 49,970 | |||||||||||||||||||||||
Food & Fiber |
5 | 0.0 | * | (4,173 | ) | (0.0 | )* | 68,009 | 0.4 | (1,126 | ) | (0.0 | )* | 62,715 | ||||||||||||||||||||||
Indices |
32,557 | 0.2 | (11,516 | ) | (0.1 | ) | 206 | 0.0 | * | (9,899 | ) | (0.1 | ) | 11,348 | ||||||||||||||||||||||
Metals |
| | (2,690,497 | ) | (17.1 | ) | 539,225 | 3.4 | (11,260 | ) | (0.1 | ) | (2,162,532 | ) | ||||||||||||||||||||||
Energy |
| | (66,675 | ) | (0.4 | ) | 135,255 | 0.9 | (9,066 | ) | (0.1 | ) | 59,514 | |||||||||||||||||||||||
Livestock |
10,420 | 0.1 | | | | | (7,230 | ) | (0.0 | )* | 3,190 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 55,859 | 0.4 | $ | (2,983,538 | ) | (18.9 | ) | $ | 819,637 | 5.2 | $ | (55,884 | ) | (0.4 | ) | $ | (2,163,926 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gains (Losses) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 181,362 | 0.8 | $ | (16,748 | ) | (0.1 | ) | $ | 827 | 0.0 | * | $ | (85,041 | ) | (0.4 | ) | $ | 80,400 | |||||||||||||||||
Currency |
80,981 | 0.4 | (91,145 | ) | (0.4 | ) | 260,503 | 1.2 | (2,294 | ) | (0.0 | )* | 248,045 | |||||||||||||||||||||||
Financial |
172,165 | 0.8 | (15,042 | ) | (0.1 | ) | 1,613 | 0.0 | * | | | 158,736 | ||||||||||||||||||||||||
Food & Fiber |
| | | | 123,461 | 0.6 | (3,116 | ) | (0.0 | )* | 120,345 | |||||||||||||||||||||||||
Indices |
365,180 | 1.6 | (95,225 | ) | (0.4 | ) | | | (504 | ) | (0.0 | )* | 269,451 | |||||||||||||||||||||||
Metals |
88,702 | 0.4 | (658,888 | ) | (2.9 | ) | 226,985 | 1.0 | (448,613 | ) | (2.0 | ) | (791,814 | ) | ||||||||||||||||||||||
Energy |
94,444 | 0.4 | (714 | ) | (0.0 | )* | 194,796 | 0.9 | (197,700 | ) | (0.9 | ) | 90,826 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 982,834 | 4.4 | $ | (877,762 | ) | (3.9 | ) | $ | 808,185 | 3.6 | $ | (737,268 | ) | (3.3 | ) | $ | 175,989 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended June 30, 2013:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
54 | 49 | $ | 259,111 | $ | 308,025 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
356 | 303 | ||||||
Financial |
2,345 | 738 | ||||||
Food & Fiber |
276 | 252 | ||||||
Indices |
1,182 | 407 | ||||||
Metals |
530 | 229 | ||||||
Livestock |
9 | 46 | ||||||
Energy |
351 | 328 | ||||||
|
|
|
|
|||||
Total |
5,103 | 2,352 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended June 30, 2012:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
100 | 110 | $ | 936,111 | $ | 890,728 |
29
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
799 | 1,898 | ||||||
Financial |
3,193 | 501 | ||||||
Food & Fiber |
89 | 353 | ||||||
Indices |
346 | 1,511 | ||||||
Metals |
667 | 440 | ||||||
Livestock |
| 77 | ||||||
Energy |
246 | 511 | ||||||
|
|
|
|
|||||
Total |
5,440 | 5,401 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Gold, L.P. trading results by market sector:
For the Three Months Ended June 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (79,737 | ) | $ | (41,358 | ) | $ | (121,095 | ) | |||
Currency |
(372,088 | ) | (184,721 | ) | (556,809 | ) | ||||||
Financial |
225,433 | (274,536 | ) | (49,103 | ) | |||||||
Food & Fiber |
(454,988 | ) | 173,788 | (281,200 | ) | |||||||
Indices |
(43,368 | ) | 34,037 | (9,331 | ) | |||||||
Metals |
(250,309 | ) | (2,605,924 | ) | (2,856,233 | ) | ||||||
Livestock |
56,810 | (15,050 | ) | 41,760 | ||||||||
Energy |
15,659 | (251,528 | ) | (235,869 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (902,588 | ) | $ | (3,165,292 | ) | $ | (4,067,880 | ) | |||
|
|
|
|
|
|
For the Six Months Ended June 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (275,714 | ) | $ | (84,972 | ) | $ | (360,686 | ) | |||
Currency |
(213,578 | ) | (431,604 | ) | (645,182 | ) | ||||||
Financial |
141,048 | (108,766 | ) | 32,282 | ||||||||
Food & Fiber |
(553,700 | ) | (57,630 | ) | (611,330 | ) | ||||||
Indices |
1,644,605 | (258,103 | ) | 1,386,502 | ||||||||
Metals |
(1,453,494 | ) | (1,370,718 | ) | (2,824,212 | ) | ||||||
Livestock |
213,420 | 3,190 | 216,610 | |||||||||
Energy |
(4,751 | ) | (31,312 | ) | (36,063 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (502,164 | ) | $ | (2,339,915 | ) | $ | (2,842,079 | ) | |||
|
|
|
|
|
|
For the Three Months Ended June 30, 2012 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 631,711 | $ | (136,923 | ) | $ | 494,788 | |||||
Currency |
140,536 | (107,630 | ) | 32,906 | ||||||||
Financial |
1,005,626 | (72,030 | ) | 933,596 | ||||||||
Food & Fiber |
(533,667 | ) | 116,128 | (417,539 | ) | |||||||
Indices |
161,466 | (141,989 | ) | 19,477 | ||||||||
Metals |
(2,169,001 | ) | 1,382,704 | (786,297 | ) | |||||||
Livestock |
222,800 | (232,990 | ) | (10,190 | ) | |||||||
Energy |
623,463 | 117,913 | 741,376 | |||||||||
|
|
|
|
|
|
|||||||
Total net trading gains |
$ | 82,934 | $ | 925,183 | $ | 1,008,117 | ||||||
|
|
|
|
|
|
30
For the Six Months Ended June 30, 2012 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 721,823 | $ | (235,237 | ) | $ | 486,586 | |||||
Currency |
(842,134 | ) | (232,650 | ) | (1,074,784 | ) | ||||||
Financial |
464,555 | (13,032 | ) | 451,523 | ||||||||
Food & Fiber |
(874,717 | ) | (70,065 | ) | (944,782 | ) | ||||||
Indices |
(40,448 | ) | (81,293 | ) | (121,741 | ) | ||||||
Metals |
(2,569,292 | ) | 3,135,061 | 565,769 | ||||||||
Livestock |
207,105 | (47,140 | ) | 159,965 | ||||||||
Energy |
2,053,393 | (2,472 | ) | 2,050,921 | ||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | (879,715 | ) | $ | 2,453,172 | $ | 1,573,457 | |||||
|
|
|
|
|
|
Superfund Gold, L.P. Series A
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of June 30, 2013, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at June 30, 2013 |
Liability Derivatives at June 30, 2013 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 7,296 | $ | | $ | 7,296 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (12,995 | ) | (12,995 | ) | ||||||||
Futures contracts |
Futures contracts purchased | 30,379 | (1,884,495 | ) | (1,854,116 | ) | ||||||||
Futures contracts |
Futures contracts sold | 457,683 | (29,616 | ) | 428,067 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 495,358 | $ | (1,927,106 | ) | $ | (1,431,748 | ) | ||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2012, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2012 |
Liability Derivatives at December 31, 2012 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 111,557 | $ | | $ | 111,557 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (60,610 | ) | (60,610 | ) | ||||||||
Futures contracts |
Futures contracts purchased | | (89,610 | ) | (89,610 | ) | ||||||||
Futures contracts |
Futures contracts sold | 85,248 | | 85,248 | ||||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 196,805 | $ | (150,220 | ) | $ | 46,585 | |||||||
|
|
|
|
|
|
31
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2013:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on Derivatives Recognized in Income |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized loss on futures and forward contracts | $ | (52,329 | ) | $ | (28,121 | ) | |||
Futures contracts |
Net realized loss on futures and forward contracts | (676,139 | ) | (1,986,419 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (728,468 | ) | $ | (2,014,540 | ) | ||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2013:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on Derivatives Recognized in Income |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized loss on futures and forward contracts | $ | (161,072 | ) | $ | (56,646 | ) | |||
Futures contracts |
Net realized loss on futures and forward contracts | (530,475 | ) | (1,421,687 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (691,547 | ) | $ | (1,478,333 | ) | ||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2012:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on Derivatives Recognized in Income |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 342,467 | $ | (75,077 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | (410,220 | ) | 689,246 | ||||||
|
|
|
|
|||||||
Total |
$ | (67,753 | ) | $ | 614,169 | |||||
|
|
|
|
32
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2012:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on Derivatives Recognized in |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 377,187 | $ | (125,249 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | (1,016,127 | ) | 1,754,736 | ||||||
|
|
|
|
|||||||
Total |
$ | (638,940 | ) | $ | 1,629,487 | |||||
|
|
|
|
Superfund Gold, L.P. Series A gross and net unrealized gains and losses by long and short positions as of June 30, 2013 and December 31, 2012:
As of June 30, 2013 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gains (Losses) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 671 | 0.0 | * | $ | (12,456 | ) | (0.1 | ) | $ | 6,625 | 0.1 | $ | (539 | ) | (0.0 | )* | $ | (5,699 | ) | ||||||||||||||||
Currency |
| | (110,389 | ) | (1.1 | ) | 4,780 | 0.0 | * | (1,836 | ) | (0.0 | )* | (107,445 | ) | |||||||||||||||||||||
Financial |
5,315 | 0.1 | (2,287 | ) | (0.0 | )* | 31,166 | 0.3 | (7,174 | ) | (0.1 | ) | 27,020 | |||||||||||||||||||||||
Food & Fiber |
| | (2,640 | ) | (0.0 | )* | 35,219 | 0.3 | (609 | ) | (0.0 | )* | 31,970 | |||||||||||||||||||||||
Indices |
17,744 | 0.2 | (6,903 | ) | (0.1 | ) | 206 | 0.0 | * | (5,149 | ) | (0.1 | ) | 5,898 | ||||||||||||||||||||||
Metals |
| | (1,724,638 | ) | (16.9 | ) | 310,167 | 3.0 | (5,417 | ) | (0.1 | ) | (1,419,888 | ) | ||||||||||||||||||||||
Energy |
| | (37,638 | ) | (0.4 | ) | 76,145 | 0.7 | (5,651 | ) | (0.1 | ) | 32,856 | |||||||||||||||||||||||
Livestock |
7,320 | 0.1 | | | | | (3,780 | ) | (0.0 | )* | 3,540 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 31,050 | 0.3 | $ | (1,896,951 | ) | (18.5 | ) | $ | 464,308 | 4.5 | $ | (30,155 | ) | (0.3 | ) | $ | (1,431,748 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gains (Losses) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 111,070 | 0.7 | $ | (9,470 | ) | (0.1 | ) | $ | 487 | 0.0 | * | $ | (51,140 | ) | (0.3 | ) | $ | 50,947 | |||||||||||||||||
Currency |
47,906 | 0.4 | (53,895 | ) | (0.4 | ) | 147,619 | 1.0 | (1,338 | ) | (0.0 | )* | 140,292 | |||||||||||||||||||||||
Financial |
101,664 | 0.7 | (8,770 | ) | (0.1 | ) | 1,033 | 0.0 | * | | | 93,927 | ||||||||||||||||||||||||
Food & Fiber |
| | | | 71,612 | 0.5 | (1,733 | ) | (0.0 | )* | 69,879 | |||||||||||||||||||||||||
Indices |
220,513 | 1.5 | (56,336 | ) | (0.4 | ) | | | (277 | ) | (0.0 | )* | 163,900 | |||||||||||||||||||||||
Metals |
50,177 | 0.3 | (444,540 | ) | (2.9 | ) | 132,145 | 0.9 | (257,418 | ) | (1.7 | ) | (519,636 | ) | ||||||||||||||||||||||
Energy |
54,057 | 0.4 | (386 | ) | (0.0 | )* | 105,825 | 0.7 | (112,220 | ) | (0.8 | ) | 47,276 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 585,387 | 4.0 | $ | (573,397 | ) | (3.9 | ) | $ | 458,721 | 3.1 | $ | (424,126 | ) | (2.8 | ) | $ | 46,585 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
Superfund Gold, L.P. Series A average* monthly contract volume by market sector as of quarter ended June 30, 2013:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
31 | 27 | $ | 150,400 | $ | 180,167 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
198 | 168 | ||||||
Financial |
1,294 | 403 | ||||||
Food & Fiber |
154 | 145 | ||||||
Indices |
661 | 221 | ||||||
Metals |
304 | 133 | ||||||
Livestock |
5 | 26 | ||||||
Energy |
196 | 185 | ||||||
|
|
|
|
|||||
Total |
2,843 | 1,308 | ||||||
|
|
|
|
* | Based on quarterly holdings |
33
Superfund Gold, L.P. Series A average* monthly contract volume by market sector as of quarter ended June 30, 2012:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
51 | 57 | $ | 512,532 | $ | 487,638 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
429 | 1,009 | ||||||
Financial |
1,713 | 267 | ||||||
Food & Fiber |
47 | 190 | ||||||
Indices |
185 | 816 | ||||||
Metals |
367 | 238 | ||||||
Livestock |
| 41 | ||||||
Energy |
130 | 274 | ||||||
|
|
|
|
|||||
Total |
2,922 | 2,892 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Gold, L.P. Series A trading results by market sector:
For the Three Months Ended June 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (52,329 | ) | $ | (28,121 | ) | $ | (80,450 | ) | |||
Currency |
(208,839 | ) | (107,049 | ) | (315,888 | ) | ||||||
Financial |
153,967 | (162,443 | ) | (8,476 | ) | |||||||
Food & Fiber |
(262,242 | ) | 93,818 | (168,424 | ) | |||||||
Indices |
(33,592 | ) | 17,738 | (15,854 | ) | |||||||
Metals |
(372,862 | ) | (1,673,519 | ) | (2,046,381 | ) | ||||||
Livestock |
33,510 | (9,270 | ) | 24,240 | ||||||||
Energy |
13,919 | (145,694 | ) | (131,775 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (728,468 | ) | $ | (2,014,540 | ) | $ | (2,743,008 | ) | |||
|
|
|
|
|
|
For the Six Months Ended June 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (161,072 | ) | $ | (56,646 | ) | $ | (217,718 | ) | |||
Currency |
(121,872 | ) | (247,737 | ) | (369,609 | ) | ||||||
Financial |
118,026 | (66,907 | ) | 51,119 | ||||||||
Food & Fiber |
(318,953 | ) | (37,909 | ) | (356,862 | ) | ||||||
Indices |
964,888 | (158,002 | ) | 806,886 | ||||||||
Metals |
(1,247,542 | ) | (900,252 | ) | (2,147,794 | ) | ||||||
Livestock |
119,950 | 3,540 | 123,490 | |||||||||
Energy |
(44,972 | ) | (14,420 | ) | (59,392 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (691,547 | ) | $ | (1,478,333 | ) | $ | (2,169,880 | ) | |||
|
|
|
|
|
|
34
For the Three Months Ended June 30, 2012 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 342,467 | $ | (75,077 | ) | $ | 267,390 | |||||
Currency |
97,770 | (57,131 | ) | 40,639 | ||||||||
Financial |
561,137 | (36,337 | ) | 524,800 | ||||||||
Food & Fiber |
(286,206 | ) | 64,000 | (222,206 | ) | |||||||
Indices |
132,631 | (69,372 | ) | 63,259 | ||||||||
Metals |
(1,367,374 | ) | 841,762 | (525,612 | ) | |||||||
Livestock |
117,070 | (124,090 | ) | (7,020 | ) | |||||||
Energy |
334,752 | 70,414 | 405,166 | |||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | (67,753 | ) | $ | 614,169 | $ | 546,416 | |||||
|
|
|
|
|
|
For the Six Months Ended June 30, 2012 | ||||||||||||
Net
Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 377,187 | $ | (125,249 | ) | $ | 251,938 | |||||
Currency |
(417,100 | ) | (124,177 | ) | (541,277 | ) | ||||||
Financial |
272,797 | (4,968 | ) | 267,829 | ||||||||
Food & Fiber |
(467,893 | ) | (36,271 | ) | (504,164 | ) | ||||||
Indices |
27,357 | (33,141 | ) | (5,784 | ) | |||||||
Metals |
(1,643,035 | ) | 1,976,188 | 333,153 | ||||||||
Livestock |
107,017 | (24,700 | ) | 82,317 | ||||||||
Energy |
1,104,730 | 1,805 | 1,106,535 | |||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | (638,940 | ) | $ | 1,629,487 | $ | 990,547 | |||||
|
|
|
|
|
|
Superfund Gold, L.P. Series B
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of June 30, 2013, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at June 30, 2013 |
Liability Derivatives at June 30, 2013 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 5,598 | $ | | $ | 5,598 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (4,471 | ) | (4,471 | ) | ||||||||
Futures contracts |
Futures contracts purchased | 22,177 | (1,082,655 | ) | (1,060,478 | ) | ||||||||
Futures contracts |
Futures contracts sold | 352,362 | (25,189 | ) | 327,173 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 380,137 | $ | (1,112,315 | ) | $ | (732,178 | ) | ||||||
|
|
|
|
|
|
35
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2012, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2012 |
Liability Derivatives at December 31, 2012 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 70,632 | $ | | $ | 70,632 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (41,179 | ) | (41,179 | ) | ||||||||
Futures contracts |
Futures contracts purchased | 30,068 | | 30,068 | ||||||||||
Futures contracts |
Futures contracts sold | 69,883 | | 69,883 | ||||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 170,583 | $ | (41,179 | ) | $ | 129,404 | |||||||
|
|
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2013:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on Derivatives Recognized in Income |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized loss on futures and forward contracts | $ | (27,408 | ) | $ | (13,237 | ) | |||
Futures contracts |
Net realized loss on futures and forward contracts | (146,712 | ) | (1,137,515 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (174,120 | ) | $ | (1,150,752 | ) | ||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2013:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on Derivatives Recognized in Income |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change
in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized loss on futures and forward contracts | $ | (114,642 | ) | $ | (28,326 | ) | |||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 304,025 | (833,256 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 189,383 | $ | (861,582 | ) | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2012:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on Derivatives Recognized in Income |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 289,244 | $ | (61,846 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | (138,557 | ) | 372,860 | ||||||
|
|
|
|
|||||||
Total |
$ | 150,687 | $ | 311,014 | ||||||
|
|
|
|
36
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2012:
Derivatives not Designated as Hedging |
Location of Gain (Loss)
on Recognized in Income |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 344,635 | $ | (109,988 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | (585,410 | ) | 933,673 | ||||||
|
|
|
|
|||||||
Total |
$ | (240,775 | ) | $ | 823,685 | |||||
|
|
|
|
Superfund Gold, L.P. Series B gross and net unrealized gains and losses by long and short positions as of June 30, 2013 and December 31, 2012:
As of June 30, 2013 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized |
|
||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gains (Losses) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 2,632 | 0.0 | * | $ | (3,932 | ) | (0.1 | ) | $ | 2,966 | 0.1 | $ | (539 | ) | (0.0 | )* | $ | 1,127 | |||||||||||||||||
Currency |
| | (79,385 | ) | (1.4 | ) | 4,740 | 0.1 | (1,469 | ) | (0.0 | )* | (76,114 | ) | ||||||||||||||||||||||
Financial |
4,259 | 0.1 | (2,228 | ) | (0.0 | )* | 26,665 | 0.5 | (5,746 | ) | (0.1 | ) | 22,950 | |||||||||||||||||||||||
Food & Fiber |
5 | 0.0 | * | (1,533 | ) | (0.0 | )* | 32,790 | 0.6 | (517 | ) | (0.0 | )* | 30,745 | ||||||||||||||||||||||
Indices |
14,813 | 0.3 | (4,613 | ) | (0.1 | ) | | | (4,750 | ) | (0.1 | ) | 5,450 | |||||||||||||||||||||||
Metals |
| | (965,859 | ) | (17.4 | ) | 229,058 | 4.1 | (5,843 | ) | (0.1 | ) | (742,644 | ) | ||||||||||||||||||||||
Energy |
| | (29,037 | ) | (0.5 | ) | 59,110 | 1.1 | (3,415 | ) | (0.1 | ) | 26,658 | |||||||||||||||||||||||
Livestock |
3,100 | 0.1 | | | | | (3,450 | ) | (0.1 | ) | (350 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 24,809 | 0.4 | $ | (1,086,587 | ) | (19.6 | ) | $ | 355,329 | 6.4 | $ | (25,729 | ) | (0.5 | ) | $ | (732,178 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
As of December 31, 2012 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized |
|
||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gains (Losses) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 70,292 | 1.0 | $ | (7,278 | ) | (0.1 | ) | $ | 340 | 0.0 | * | $ | (33,901 | ) | (0.5 | ) | $ | 29,453 | |||||||||||||||||
Currency |
33,075 | 0.5 | (37,250 | ) | (0.5 | ) | 112,884 | 1.5 | (956 | ) | (0.0 | )* | 107,753 | |||||||||||||||||||||||
Financial |
70,501 | 1.0 | (6,272 | ) | (0.1 | ) | 580 | 0.0 | * | | | 64,809 | ||||||||||||||||||||||||
Food & Fiber |
| | | | 51,849 | 0.7 | (1,383 | ) | (0.0 | )* | 50,466 | |||||||||||||||||||||||||
Indices |
144,667 | 2.1 | (38,889 | ) | (0.6 | ) | | | (227 | ) | (0.0 | )* | 105,551 | |||||||||||||||||||||||
Metals |
38,525 | 0.5 | (214,348 | ) | (3.0 | ) | 94,840 | 1.3 | (191,195 | ) | (2.7 | ) | (272,178 | ) | ||||||||||||||||||||||
Energy |
40,387 | 0.6 | (328 | ) | (0.0 | )* | 88,971 | 1.3 | (85,480 | ) | (1.2 | ) | 43,550 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 397,447 | 5.6 | $ | (304,365 | ) | (4.6 | ) | $ | 349,464 | 4.8 | $ | (313,142 | ) | (4.4 | ) | $ | 129,404 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding |
37
Superfund Gold, L.P. Series B average* monthly contract volume by market sector as of quarter ended June 30, 2013:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
23 | 22 | $ | 108,711 | $ | 127,858 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
158 | 135 | ||||||
Financial |
1,051 | 335 | ||||||
Food & Fiber |
122 | 107 | ||||||
Indices |
521 | 186 | ||||||
Metals |
226 | 96 | ||||||
Livestock |
4 | 20 | ||||||
Energy |
155 | 143 | ||||||
|
|
|
|
|||||
Total |
2,260 | 1,044 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Gold, L.P. Series B average* monthly contract volume by market sector as of quarter ended June 30, 2012:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
49 | 53 | $ | 423,579 | $ | 403,090 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
370 | 889 | ||||||
Financial |
1,480 | 234 | ||||||
Food & Fiber |
42 | 163 | ||||||
Indices |
161 | 695 | ||||||
Metals |
300 | 202 | ||||||
Livestock |
| 36 | ||||||
Energy |
116 | 237 | ||||||
|
|
|
|
|||||
Total |
2,518 | 2,509 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Gold, L.P. Series B trading results by market sector:
For the Three Months Ended June 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (27,408 | ) | $ | (13,237 | ) | $ | (40,645 | ) | |||
Currency |
(163,249 | ) | (77,672 | ) | (240,921 | ) | ||||||
Financial |
71,466 | (112,093 | ) | (40,627 | ) | |||||||
Food & Fiber |
(192,746 | ) | 79,970 | (112,776 | ) | |||||||
Indices |
(9,776 | ) | 16,299 | 6,523 | ||||||||
Metals |
122,553 | (932,405 | ) | (809,852 | ) | |||||||
Livestock |
23,300 | (5,780 | ) | 17,520 | ||||||||
Energy |
1,740 | (105,834 | ) | (104,094 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (174,120 | ) | $ | (1,150,752 | ) | $ | (1,324,872 | ) | |||
|
|
|
|
|
|
38
For the Six Months Ended June 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (114,642 | ) | $ | (28,326 | ) | $ | (142,968 | ) | |||
Currency |
(91,706 | ) | (183,867 | ) | (275,573 | ) | ||||||
Financial |
23,022 | (41,859 | ) | (18,837 | ) | |||||||
Food & Fiber |
(234,747 | ) | (19,721 | ) | (254,468 | ) | ||||||
Indices |
679,717 | (100,101 | ) | 579,616 | ||||||||
Metals |
(205,952 | ) | (470,466 | ) | (676,418 | ) | ||||||
Livestock |
93,470 | (350 | ) | 93,120 | ||||||||
Energy |
40,221 | (16,892 | ) | 23,329 | ||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | 189,383 | $ | (861,582 | ) | $ | (672,199 | ) | ||||
|
|
|
|
|
|
For the Three Months Ended June 30, 2012 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 289,244 | $ | (61,846 | ) | $ | 227,398 | |||||
Currency |
42,766 | (50,499 | ) | (7,733 | ) | |||||||
Financial |
444,489 | (35,693 | ) | 408,796 | ||||||||
Food & Fiber |
(247,461 | ) | 52,128 | (195,333 | ) | |||||||
Indices |
28,835 | (72,617 | ) | (43,782 | ) | |||||||
Metals |
(801,627 | ) | 540,942 | (260,685 | ) | |||||||
Livestock |
105,730 | (108,900 | ) | (3,170 | ) | |||||||
Energy |
288,711 | 47,499 | 336,210 | |||||||||
|
|
|
|
|
|
|||||||
Total net trading gains |
$ | 150,687 | $ | 311,014 | $ | 461,701 | ||||||
|
|
|
|
|
|
For the Six Months Ended June 30, 2012 | ||||||||||||
Net Realized Gains (Losses) |
Change in
Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 344,636 | $ | (109,988 | ) | $ | 234,648 | |||||
Currency |
(425,034 | ) | (108,473 | ) | (533,507 | ) | ||||||
Financial |
191,758 | (8,064 | ) | 183,694 | ||||||||
Food & Fiber |
(406,824 | ) | (33,794 | ) | (440,618 | ) | ||||||
Indices |
(67,805 | ) | (48,152 | ) | (115,957 | ) | ||||||
Metals |
(926,257 | ) | 1,158,873 | 232,616 | ||||||||
Livestock |
100,088 | (22,440 | ) | 77,648 | ||||||||
Energy |
948,663 | (4,277 | ) | 944,386 | ||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | (240,775 | ) | $ | 823,685 | $ | 582,910 | |||||
|
|
|
|
|
|
5. Due from/to brokers
Due from brokers consists 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, if any, represent margin borrowings that are collateralized by certain securities. As of June 30, 2013 and December 31, 2012, 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 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.
6. Allocation of net profits and losses
In accordance with the Funds Third 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 the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month.
39
7. 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 Funds 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, a portion of the Funds brokerage fees will be paid to clearing brokers for execution and clearing costs, and the balance will be paid to Superfund Capital Management for providing services akin to services provided by an introducing broker. Superfund USA, LLC, an entity related to Superfund Capital Management by common ownership, 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.
8. Financial highlights
Financial highlights for the period January 1 through June 30, 2013 are as follows:
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return* |
||||||||||||||||
Total return before incentive fees |
(20.3 | )% | (19.5 | )% | (15.1 | )% | (14.2 | )% | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total return after incentive fees |
(20.3 | )% | (19.5 | )% | (15.1 | )% | (14.2 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratios to average partners capital** |
||||||||||||||||
Operating expenses before incentive fees |
3.5 | % | 2.5 | % | 4.0 | % | 3.1 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
3.5 | % | 2.5 | % | 4.0 | % | 3.1 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
(3.5 | )% | (2.5 | )% | (4.0 | )% | (3.1 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, beginning of period |
$ | 1,423.03 | $ | 1,577.45 | $ | 1,110.58 | $ | 1,187.13 | ||||||||
Net investment loss |
(48.70 | ) | (38.74 | ) | (45.79 | ) | (38.12 | ) | ||||||||
Net gain (loss) on investments |
(240.45 | ) | (269.11 | ) | (121.53 | ) | (130.56 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, end of period |
$ | 1,133.88 | $ | 1,269.60 | $ | 943.26 | $ | 1,018.45 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Other per Unit information: |
||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) |
$ | (270.93 | ) | $ | (293.34 | ) | $ | (142.06 | ) | $ | (177.65 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | (289.15 | ) | $ | (307.85 | ) | $ | (167.32 | ) | $ | (168.68 | ) | ||||
|
|
|
|
|
|
|
|
* | Total return is calculated for each Series of the Fund taken as a whole. An individuals return may vary from these returns based on the timing of capital transactions. |
** | Annualized for periods less than a year. |
Financial highlights are calculated for each series taken as a whole. An individual partners return, per unit data, and ratios may vary based on the timing of capital transactions.
40
Financial highlights for the period January 1 through June 30, 2012 are as follows:
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return* |
||||||||||||||||
Total return before incentive fees and MF Global reserve |
2.4 | % | 3.4 | % | 0.7 | % | 1.7 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
MF Global reserve |
0.0 | % | 0.0 | % | (0.1 | )% | (0.1 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total return after incentive fees |
2.4 | % | 3.4 | % | 0.6 | % | 1.6 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratios to average partners capital** |
||||||||||||||||
Operating expenses before incentive fees |
3.6 | % | 2.6 | % | 4.1 | % | 3.1 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
MF Global reserve |
0.0 | % | 0.0 | % | 0.1 | % | 0.1 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
3.7 | % | 2.6 | % | 4.2 | % | 3.2 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
(3.6 | )% | (2.6 | )% | (4.1 | )% | (3.1 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, beginning of period |
$ | 1,496.15 | $ | 1,625.63 | $ | 1,241.61 | $ | 1,300.90 | ||||||||
Net investment loss |
(57.57 | ) | (45.08 | ) | (54.42 | ) | (43.40 | ) | ||||||||
Net gain (loss) on investments |
92.84 | 100.10 | 61.82 | 64.28 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, end of period |
$ | 1,531.42 | $ | 1,680.65 | $ | 1,249.01 | $ | 1,321.78 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Other per Unit information: |
||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) |
$ | 33.58 | $ | 57.79 | $ | 19.23 | $ | 39.55 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | 35.27 | $ | 55.02 | $ | 7.40 | $ | 20.88 | ||||||||
|
|
|
|
|
|
|
|
* | Total return is calculated for each Series of the Fund taken as a whole. An individuals return may vary from these returns based on the timing of capital transactions. |
** | Annualized for periods less than a year. |
Financial highlights are calculated for each series taken as a whole. An individual partners return, per unit data, and ratios may vary based on the timing of capital transactions.
Financial highlights for the period April 1 through June 30, 2013 are as follows:
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return* |
||||||||||||||||
Total return before incentive fees |
(21.9 | )% | (21.5 | )% | (20.8 | )% | (20.4 | )% | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total return after incentive fees |
(21.9 | )% | (21.5 | )% | (20.8 | )% | (20.4 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratios to average partners capital** |
||||||||||||||||
Operating expenses before incentive fees |
1.6 | % | 1.2 | % | 1.9 | % | 1.4 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
1.6 | % | 1.2 | % | 1.9 | % | 1.4 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
(1.6 | )% | (1.2 | )% | (1.9 | )% | (1.4 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, beginning of period |
$ | 1,451.82 | $ | 1,617.46 | $ | 1,191.23 | $ | 1,279.75 | ||||||||
Net investment loss |
(22.11 | ) | (17.51 | ) | (21.74 | ) | (17.66 | ) | ||||||||
Net gain (loss) on investments |
(295.83 | ) | (330.35 | ) | (226.23 | ) | (243.64 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, end of period |
$ | 1,133.88 | $ | 1,269.60 | $ | 943.26 | $ | 1,018.45 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Other per Unit information: |
||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) |
$ | (318.66 | ) | $ | (367.06 | ) | $ | (260.61 | ) | $ | (253.86 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | (317.94 | ) | $ | (347.86 | ) | $ | (247.97 | ) | $ | (261.30 | ) | ||||
|
|
|
|
|
|
|
|
* | Total return is calculated for each Series of the Fund taken as a whole. An individuals return may vary from these returns based on the timing of capital transactions. |
** | Annualized for periods less than a year. |
41
Financial highlights are calculated for each series taken as a whole. An individual partners return, per unit data, and ratios may vary based on the timing of capital transactions.
Financial highlights for the period April 1 through June 30, 2012 are as follows:
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return* |
||||||||||||||||
Total return before incentive fees and MF Global reserve |
1.4 | % | 1.9 | % | 2.4 | % | 2.9 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
MF Global reserve |
0.0 | % | 0.0 | % | (0.1 | )% | (0.1 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total return after incentive fees |
1.4 | % | 1.9 | % | 2.3 | % | 2.8 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratios to average partners capital** |
||||||||||||||||
Operating expenses before incentive fees |
1.9 | % | 1.4 | % | 2.3 | % | 1.7 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
MF Global reserve |
0.0 | % | 0.0 | % | 0.1 | % | 0.1 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
2.0 | % | 1.4 | % | 2.4 | % | 1.8 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
(1.9 | )% | (1.4 | )% | (2.3 | )% | (1.7 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, beginning of period |
$ | 1,511.48 | $ | 1,650.46 | $ | 1,220.22 | $ | 1,284.84 | ||||||||
Net investment loss |
(30.31 | ) | (24.31 | ) | (29.58 | ) | (24.11 | ) | ||||||||
Net gain (loss) on investments |
50.25 | 54.50 | 58.37 | 61.05 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, end of period |
$ | 1,531.42 | $ | 1,680.65 | $ | 1,249.01 | $ | 1,321.78 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Other per Unit information: |
||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) |
$ | 20.03 | $ | 31.58 | $ | 34.79 | $ | 36.96 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) |
$ | 19.94 | $ | 30.19 | $ | 28.79 | $ | 36.94 | ||||||||
|
|
|
|
|
|
|
|
* | Total return is calculated for each Series of the Fund taken as a whole. An individuals return may vary from these returns based on the timing of capital transactions. |
** | Annualized for periods less than a year. |
Financial highlights are calculated for each series taken as a whole. An individual partners return, per unit data, and ratios may vary based on the timing of capital transactions.
9. 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
42
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 $862,602 and $3,021,956, respectively, and gross unrealized gains and losses related to non-exchange-traded forwards were $12,894 and $17,466, respectively, at June 30, 2013.
For Series A, gross unrealized gains and losses related to exchange-traded futures were $488,062 and $1,914,111, respectively, and gross unrealized gains and losses related to non-exchange-traded forwards were $7,296 and $12,995, respectively, at June 30, 2013.
For Series B, gross unrealized gains and losses related to exchange-traded futures were $374,540 and $1,107,845, respectively, and gross unrealized gains and losses related to non-exchange-traded forwards were $5,598 and $4,471, respectively, at June 30, 2013.
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 or security 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 was 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. and Barclays Capital Inc.
Superfund Capital Management monitors and attempts to control 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 June 30, 2013. However, due to the nature of the Funds business, these instruments may not be held to maturity.
10. 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 U.S. Bank National Association, as escrow agent. 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.
43
Limited Partners may request any or all of their 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 the month, subject to a minimum redemption of $1,000. A request for less than a full redemption that would reduce a Limited Partners remaining investment to less than $10,000 will be treated as a request for full redemption. Limited Partners must transmit a written request of such redemption 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 the redemption is to be effective. Redemptions will generally be paid within 20 days after the effective date of the 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, and Limited Partners will be paid their pro rata portion of the redemption amount not subject to defaults or delays.
11. Indemnification
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Funds maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
12. Subsequent events
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were filed and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
ITEM 2. | MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
INTRODUCTION
The Fund commenced the offering of its Units on February 17, 2009. The initial offering terminated on March 31, 2009, and the Fund commenced operations on April 1, 2009. The continuing offering period commenced at the termination of the initial offering period and is ongoing. Subscription and redemption data is presented for both the Fund, as the SEC registrant, and for Series A and Series B, individually. For the quarter ended June 30, 2013, subscriptions totaling $1,735,016 in the Fund have been accepted and redemptions over the same period totaled $4,778,232. For the quarter ended June 30, 2013, subscriptions totaling $75,920 in Series A-1, $345,896 in Series A-2, $229,000 in Series B-1, and $667,315 in Series B-2 have been accepted and redemptions over the same period totaled $975,560 in Series A-1, $409,404 in Series A-2, $109,101 in Series B-1 and $315,284 in Series B-2. The Fund operates as a commodity investment pool, whose purpose is speculative trading in the U.S. and international futures and forward markets. Specifically, the Fund trades a portfolio of more than 120 futures and forward contracts using a fully-automated, proprietary, computerized trading system. The Fund also seeks to maintain an investment in gold approximately equal to the total capital of each Series, as of the beginning of each month. The gold investment is intended to delink each Series net asset value, which is determined in U.S. dollars, from the value of the U.S. dollar relative to gold, effectively denominating the Series net asset value in terms of gold.
LIQUIDITY
Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as daily price fluctuation limits or daily limits. During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Funds ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.
Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed off exchange between private parties, the time required to offset or unwind these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a U.S. person.
44
Other than these limitations on liquidity, which are inherent in the Funds futures and forward trading operations, the Funds assets are expected to be highly liquid.
CAPITAL RESOURCES
The Fund will raise additional capital only through the sale of Units offered pursuant to the continuing offering and does not intend to raise any capital through borrowings. Due to the nature of the Funds business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
RESULTS OF OPERATIONS
Three Months Ended June 30, 2013
Series A:
Net results for the quarter ended June 30, 2013, were a loss of 21.9% in net asset value for Series A-1 and a loss of 21.5% in net asset value for Series A-2. In this period, Series A experienced a net decrease in net assets from operations of $2,941,925. This decrease consisted of total income of $411, trading losses of $2,743,008, and total expenses of $199,328. Expenses included $70,876 in management fees, $23,625 in operating expenses, $50,019 in selling commissions, $53,243 in brokerage commissions and $1,565 in other expenses. At June 30, 2013, the net asset value per Unit of Series A-1 was $1,133.88, and the net asset value per Unit of Series A-2 was $1,269.60.
Series B:
Net results for the quarter ended June 30, 2013, were a loss of 20.8% in net asset value for Series B-1 and a loss of 20.4% in net asset value for Series B-2. In this period, Series B experienced a net decrease in net assets from operations of $1,433,035. This increase consisted of total income of $273, trading losses of $1,324,872, and total expenses of $108,436. Expenses included $37,709 in management fees, $12,570 in operating expenses, $13,379 in selling commissions, $41,930 in brokerage commissions and $2,848 in other expenses. At June 30, 2013, the net asset value per Unit of Series B-1 was $943.26, and the net asset value per Unit of Series B-2 was $1,018.45.
Fund results for 2nd Quarter 2013:
In June, the Funds strategies produced negative returns, driven primarily by losses from the Funds allocation to energy markets as U.S. Department of Energy data showed higher than expected oil inventories. These losses were tempered slightly by gains experienced from the Funds short metals positions, as gold and silver each dropped to its lowest level in over two years. The Funds short positions in the bonds markets also produced positive returns as a rise in the U.S. dollar produced sharp downward pressure on interest rate products. Based on the aforementioned decrease in price, the Funds perpetual long gold position negatively affected performance in June.
In May, the Fund yielded disappointing results due primarily to its positions in the bonds and energy sectors. The Funds long natural gas positions negatively affected performance amid reports from the U.S. Energy Information Administration of rising inventories. The U.S. Environmental Protection Agency also issued reports that downplayed the environmental impact of natural gas fracking. The Funds long soybean positions produced positive returns in May as China, the worlds largest soybean consumer, continued to show increased demand. The Funds perpetual long gold position had a negative effect on performance amid speculation that the U.S. Federal Reserve (the Fed) will scale back its aggressive bond purchasing program.
In April, the Funds managed futures strategy posted positive returns amidst high volatility in several key markets. The Funds positions in the metals sector generated positive returns, as did its long natural gas positions. The Funds allocation to the grains sector suffered in April after the U.S. Department of Agricultures (USDA) reported that farmers had planted 2 million more acres of corn than expected. The Funds perpetual long gold position had a negative effect on performance as gold experienced its sharpest monthly decline since December 2011.
Three Months Ended March 31, 2013
Series A:
Net results for the quarter ended March 31, 2013, were a gain of 2.0% in net asset value for Series A-1 and a gain of 2.5% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $307,441. This increase consisted of total income of $415, trading gains of $573,128, and total expenses of $266,102. Expenses included $85,889 in management fees, $28,633 in operating expenses, $59,849 in selling commissions, $89,422 in brokerage commissions and $2,309 in other expenses. At March 31, 2013, the net asset value per Unit of Series A-1 was $1,451.82, and the net asset value per Unit of Series A-2 was $1,617.46.
Series B:
Net results for the quarter ended March 31, 2013, were a gain of 7.3% in net asset value for Series B-1 and a gain of 7.8% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $514,738. This increase consisted of total income of $296, trading gains of $652,673, and total expenses of $138,231. Expenses included $40,570 in management fees, $13,523 in operating expenses, $17,836 in selling commissions, $62,650 in brokerage commissions and $3,652 in other expenses. At March 31, 2013, the net asset value per Unit of Series B-1 was $1,191.23, and the net asset value per Unit of Series B-2 was $1,279.75.
Fund results for 1st Quarter 2013:
In March, the Funds trading strategies produced positive returns. U.S. stock indices rose for a third consecutive month with the Standard and Poors 500 (the S&P 500) approaching an all-time high, leading to profitable returns for the Funds long positions. The Funds long positions in European long-term interest rate futures produced significant gains as investors feared the banking crisis in Cyprus could spill over into neighboring economies. Short positions in base metals
45
added to positive returns as markets were pressured by the debt crisis in Europe, slumping Chinese stocks, and the rising U.S. dollar. The Fund also benefited from long natural gas positions as below normal temperatures forecasted for April lifted futures to an 18-month high. Larger than expected U.S. inventories and record projected planting acreage sent Chicago Board of Trade (CBOT) corn to limit down conditions on the last day of trading, resulting in losses for the Funds long positions across the grain sector. The Funds perpetual long gold position had a small positive effect on performance in March.
In February, the Fund produced positive results as unmet expectations for global demand sent commodities lower while unsettling election results in Italy and negative growth renewed European debt concerns. Long positions in equity indices yielded losses for the Fund as European political instability and the slow pace of economic activity again raised concerns over regional finances. The Funds long bond positions generated solid returns in treasuries as European debt crisis fears were reignited in reaction to inconclusive Italian election results. Long positions in the money market sector generated favorable returns for the Funds as rising interbank borrowing costs prompted European Central Bank (ECB) President Mario Draghi to restate the ECBs readiness to loosen monetary policy, lowering yield expectations. The U.S. dollar strengthened dramatically against a basket of world currencies leading to disappointing results for the Funds long positions in counter-currencies. The Funds short position in London Metal Exchange (LME) aluminum generated healthy returns as anticipated increases in demand had yet to be realized, Chinese production swelled and stockpiles tracked by LME rose for a fifth straight month. After climbing 6% in January, the crude oil complex fell back as the slow pace of recovery across the globe was unable to support a further advance, leading to losses for the Funds long positions in the energies sector. The Funds perpetual long gold position had a negative impact on performance in February as growing optimism for a U.S. economic recovery led investors to exit safe-haven assets, sending gold lower for a fifth consecutive month.
In January, the Fund produced positive returns to start 2013 with gains across multiple market sectors. The Funds strategies performed well in global equities as indices reached multi-year highs on growing investor optimism, producing profits for the Funds long positions. The Funds long positions in base metals produced favorable results with the rebound in the global economy leading to increased industrial demand. Long allocations across the energies sector also generated healthy returns for the Fund as improving global economic conditions lifted demand prospects while unrest across North Africa and the Middle East injected geopolitical risk premium. Growing global economic stability eroded demand for the safety of government securities in January, leading to negative returns for the Funds long positions in the bonds sector. Expectations for the removal of excess liquidity from the financial system led to losses for the Funds long positions in money market futures. The Funds perpetual long gold position negatively affected performance in January as positive economic metrics, fading inflation concerns, and prospects for an end to Fed monetary stimulus led to the fourth straight monthly decline for gold.
Three Months Ended June 30, 2012
Series A:
Net results for the quarter ended June 30, 2012, were a gain of 1.2% in net asset value for Series A-1 and a gain of 1.8% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $236,598. This increase consisted of total income of $592, trading gains of $546,416, and total expenses of $310,410. Expenses included $95,954 in management fees, $31,984 in operating expenses, $67,964 in selling commissions, $104,683 in brokerage commissions, $6,925 attributable to the MF Global reserve and $2,900 in other expenses. At June 30, 2012, the net asset value per Unit of Series A-1 was $1,531.42, and the net asset value per Unit of Series A-2 was $1,680.65.
Series B:
Net results for the quarter ended June 30, 2012, were a gain of 2.1% in net asset value for Series B-1 and a gain of 2.9% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $261,470. This increase consisted of total income of $607, trading gains of $461,701, and total expenses of $200,838. Expenses included $54,995 in management fees, $18,332 in operating expenses, $28,030 in selling commissions, $90,155 in brokerage commissions, $5,839 attributable to the MF Global reserve and $3,487 in other expenses. At June 30, 2012, the net asset value per Unit of Series B-1 was $1,249.01, and the net asset value per Unit of Series B-2 was $1,321.78.
Fund results for 2nd Quarter 2012:
In June, the Funds trading strategies yielded disappointing results as market sensitivity to European debt crisis news led to choppy market conditions. Investor focus remained on troubled European economies, with eyes turned to faltering Spain. Moodys downgrade of Spanish sovereign debt was followed by rating reductions for numerous Spanish lenders. Depressed European indices reacted positively to European Union (EU) summit agreements to reduce funding costs for Spain and Italy. U.S. stocks rallied in anticipation of a third round of quantitative easing (QE3) but were disappointed as the U.S. Federal Reserve (the Fed) offered only an extension of the Operation Twist program. Commodity demand remains weak as supplies
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build in base metals and energies. U.S. crude inventories are at their highest since 1990 as growth in consumption is met with greater gains in production. The Funds short-term trading strategies also underperformed. The Funds allocation to equities underperformed in June due to volatile and directionless trading as European economic conditions weighed on global markets. Uncertainty over Greek elections eased as pro-EU moderates prevailed while business confidence in Germany hit a two-year low. European equities rose at the end of the month, as EU summit leaders eased repayment terms for Spanish banks. In the U.S., the Dow Jones Industrial Average (the Dow) rose 3.4% but gains were tempered by poor unemployment and weak consumer confidence. China reacted to slowing growth by cutting its key interest rate. The Australian SPI fell 0.4% despite surprise gains in gross domestic product (GDP) and employment, while the Japanese Nikkei climbed 5.6% on expectations for further stimulus. The Funds bond portfolio experienced losses in June as the recent rally stagnated due to a lack of substantial central bank stimulus. Investors hoping for new asset purchases from the Fed were disappointed as they chose only to expand their Operation Twist program by $267 billion. Europes bond rally also retreated as area-wide interest rates climbed in response to the increasingly insolvent Spanish banking sector. While bond rallies in the U.S. and Europe cooled, Japanese 10-year bond futures continued higher with yields reaching 0.79%, the lowest since 2003. The Funds allocation to currencies produced negative results in June as the U.S. dollar declined versus major currencies. The euro (+2.4% against the U.S. dollar) finished in positive territory while remaining under pressure due to the unresolved debt crisis. Spanish bank insolvency and unsustainable sovereign debt had sent the euro to 23-month low before regaining ground. The Swiss franc (+2.5%) gained against the dollar while holding steady against the euro. The British pound (+1.7%) rose versus the dollar after Mays sharp decline while also gaining favor versus the euro. The Funds grain allocations generated moderate losses in June as hot and dry conditions in the U.S. threatened to damage the largest projected corn crop since 1937. December corn surged 21.6% as the market digested rapidly deteriorating crop conditions. Soybeans (+12.4%) trailed corn higher, tempered by hopes that the later developing crop still has time to recover. The Funds positions in the metals sector generated moderately negative results in June as gains in short base metal positions were offset by losses in range-bound COMEX gold (-0.4%). Demand for base metals has suffered as Chinese growth has slowed and the broader world economy has failed to show significant signs of recovery. After spending nearly the entire month in negative territory, however, base metals took part in a global rally spurred by European leaders agreement on short-term measures to assist Spanish banks. The Funds allocation to the energy sector produced gains in June as weak demand and ample supplies pushed prices lower. Global economic weakness continues to be the key driver of prices near-term as slowing global growth has hurt overall energy demand. Crude oil touched an eight-month low of $77.28/bbl with supplies reaching 22-year highs. Gasoline (-3.5%) fell as U.S. supplies rose more than expected and demand remains soft. Heating oil (-0.4%) also suffered from a rise in inventories and warm temperatures. The Funds perpetual long gold position posted disappointing results in June as conflicting market influences produced trendless trading. The supportive effects of central bank reserve purchases, a weaker dollar and lackluster U.S. economic data were counteracted by the lack of new stimulus from the Fed and reduced demand out of India, the worlds top consumer.
In May, the Funds trading strategies produced strong results as uncertainty and eroding optimism dominated market sentiment, sending investors on a broad-based flight to safety. Falling business confidence in Germany, rising euro-zone unemployment, and a shrinking manufacturing sector led to dramatic risk reduction across all sectors. The euro decreased to a nearly two-year low as investors sought the safety of the U.S. dollar, pressuring commodities. The S&P GSCI index of 24 commodities plunged 13%, its worst month since the recession of 2008. Demand for capital preservation drove yields of safe-haven debt instruments to all-time lows. The Funds short-term models enhanced monthly gains with profitable positions in CME Australian dollar, COMEX gold and CBT U.S. T-Bonds. The Funds equity positions excelled in May as markets fell sharply on weakening economic conditions. European economies continued to soften with negative quarterly GDP and falling indices in the United Kingdom (U.K.) (-7.5%), Italy (-10.4%), Spain (-11.8%), and Greece (-30.6%). Even though Germany managed to show slight positive GDP growth of .5%, Dax futures fell 7.9%. The possibility of a Greek departure from the euro-zone increased as economic and political pressures mount. In the U.S., the Dow slipped 5.3% as factory orders fell 1.5% and leading indicators slipped 0.1%, leaving only modest growth expectations for the near-term. The U.S. added 115,000 jobs in April, the fewest since October, 2011. Shares across Asia were decidedly weak with the Hang Seng (-11.5%), Nikkei (-10.2%), and MSCI Taiwan (-3.5%) sinking on weakening export demand. The Funds bond exposure returned substantial profits in May as the risk-off trade prevailed in response to the unresolved debt crisis in Europe. Elevated fears that Greece may leave the euro-zone and an increasingly troubled Spanish banking sector combined to lift borrowing costs for at-risk sovereigns. Fear-driven investment poured into safe-haven assets in Germany, the U.S., and Australia. German 10-year bund futures (+3.5%) rose to all-time highs. In the U.S., strong demand for safety pushed the benchmark 10-year note to a record low of 1.5309% with 30-year yields approaching their 2008 bottom. The Funds allocations to currencies yielded strong results in May as the U.S. dollar advanced sharply in a general flight to safety. Heightened European instability and slowing global growth hurt equity markets while driving the Dollar Index to a 5.4% gain and a 21-month high. The euro slid 6.6% against the U.S. dollar as regional unemployment hit 10.9%, a 15-year high. U.K. retail sales dropped the most over two years, pushing the British pound 5.0% lower versus the U.S. dollar. The Australian dollar fell 6.2% as the Reserve Bank of Australia (RBA) unexpectedly cut its key lending rate 50 basis points to 3.75%. Only the Japanese yen (+1.8%) managed to rise against the U.S. dollar in relatively quiet trade. The Funds positions in the metals sector generated significant gains in May. Precious and industrial metals fell as a risk-off mentality began to permeate futures markets once again on renewed fears of a global economic recession. Euro-zone service and manufacturing sector data showed contraction for the ninth consecutive month, adding to concerns about the health of the global economy. Manufacturing data in China continued to reveal slowing growth,
47
pushing down industrial metal. LME and COMEX copper fell for four consecutive weeks while LME aluminum slumped 5.9%. All base metals, with the exception of zinc, established new lows for 2012 in May, as did COMEX gold (-6.1%) and silver (-10.3%). The Funds allocation to the energy sector produced robust gains, benefitting from the sharp decline in the petroleum complex as ample supply and slack demand pressured prices. After several months of consolidation in crude, technical breaks below support levels led to a significant decline in both NYMEX and Brent futures, dropping 17.5% and 14.7% respectively. In natural gas, the well-established down-trend was finally broken as multi-year lows spurred buying interest. Mild spring weather and warm near-term forecasts helped support prices on increased cooling needs. The Funds perpetual long gold position underperformed in May as gold experienced its worst month in 11 years. Investors concerned over the European debt crisis favored the perceived safety of the U.S. dollar over alternative assets such as precious metals.
In April, the Funds trading strategies produced mixed results as markets digested signs of moderating growth and concerns over European sovereign debt. Minutes from a meeting of the Fed revealed the U.S. central bank will refrain from additional stimulus unless the economy wavers, sparking concern over growth and demand for raw materials. Upticks in weekly jobless claims and weak sales of previously-owned homes added to bearish sentiment. Chinese GDP grew 8.1%, the slowest pace in nearly three years as the country seeks to rebalance its economy away from exports and towards domestic consumption. Tenuous optimism in Europe gave way to increasing instability as austerity measures and ECB efforts to spur growth have yet to solve the regions debt woes, punctuated by S&Ps downgrade of Spanish debt. Investment flowed into safe-haven debt instruments of the U.S., Germany, and Australia in response to the weakness. The Funds bond exposure produced robust returns in April as investment poured into safe-haven assets on renewed euro-zone weakness and concerns over slowing growth. Spains soaring unemployment (24.4%), contracting GDP (-0.3%), and alarming spike in non-performing loans led to poor debt auctions as their 10-year yield climbed back above 6%. Resurging peripheral debt woes sent investors flocking to the security of German Bunds (+1.9%). British Long Gilts also benefited from safe-haven inflows but performance was muted due to negative GDP growth in the U.K. Despite mixed economic signals and signs of stagnation, the U.S. maintained its favored position relative to struggling European economies, driving demand for U.S. debt. Australian debt yields fell to record lows as easing inflation data is widely expected to prompt a rate cut from the Reserve Bank of Australia (the RBA) at its next meeting. The Funds allocation to foreign exchange markets underperformed in April as markets ended little changed in volatile trade. Concerns over sovereign debt and slowing economic growth left European currencies seeking solid direction. The euro (-0.7%) fell modestly as economic indicators softened and Spains debt was downgraded. The Swiss franc (-0.5%) fell against the U.S. dollar after reversing early month gains. The British pound (+1.5%) gained against the U.S. dollar and the euro (+2.2%) on expectations the Bank of England will not pursue further stimulus. The Australian dollar (+1.0%) continued its position as a favored currency with the RBA keeping rates unchanged as their economy sustains growth. The Canadian dollar (1.1%) also appreciated as unemployment there fell to 7.2%. The Japanese yen (+3.8%) regained ground from its recent decline as the Bank of Japan remains focused on easing in an effort to strengthen growth prospects. The Mexican peso (-1.5%) fell back on worries global growth concerns will dampen exports. The Funds positions in the metals sector generated moderate losses in April due to sharp reversals in the LME and COMEX copper markets. Poor U.S. monthly payroll and industrial production figures, slowing Chinese growth and heightened euro-zone debt concerns drove copper 6.6% lower to 3-month lows before being turned markedly higher on falling inventories. LME copper stockpiles dropped to 241,550 tons, the lowest level since November of 2008 and down 30% since January as miners struggle to keep pace with consumption. COMEX copper posted five consecutive gains at months end, its longest rally since August, to close nearly unchanged. Short positions in COMEX silver (-4.7%) helped to offset losses while COMEX gold (-0.3%) had its smallest monthly change since March of 2010 as traders waited for clarity on global economic conditions. The Funds allocation to the energy sector yielded losses in April as encouraging U.S. manufacturing and consumer spending supported energy markets despite reduced geopolitical risk, slowing growth in China, and renewed recession fears in Europe. NYMEX crude posted its least volatile month in 17 years, trading in a 4.8% range, tightly bound by its 100 and 50-day moving averages. Weekly inventories (373 million barrels) reached an 11-month high as Chinese manufacturing contracted for the sixth straight month. Brent crudes premium over West Texas Intermediate (WTI) shrunk to as little as $13.61, the smallest margin since January, as Spain and the U.K. slid back into recession and negotiations with Iran showed promise. The Funds perpetual long gold position was relatively flat in April, as gold traded in its tightest range (4.3%) since August of 2009 due to languid investor and physical interest. Gold closed at $1664.20/oz., just below its 200-day moving average and down 7.2% from the 2012 high.
For the second quarter of 2012, the most profitable market group overall was the bonds sector while the greatest losses were attributable to positions in the grains sector.
Three Months Ended March 31, 2012
Series A:
Net results for the quarter ended March 31, 2012, were a gain of 1.0% in net asset value for Series A-1 and a gain of 1.53% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $169,609. This increase consisted of total income of $515, trading gains of $444,131, and total expenses of $275,037. Expenses included $98,982 in management fees, $32,994 in operating expenses, $69,550 in selling commissions, $72,956 in brokerage commissions and $555 in other expenses. At March 31, 2012, the net asset value per Unit of Series A-1 was $1,511.48, and the net asset value per Unit of Series A-2 was $1,650.46.
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Series B:
Net results for the quarter ended March 31, 2012, were a loss of 1.7% in net asset value for Series B-1 and a loss of 1.24% in net asset value for Series B-2. In this period, Series B experienced a net decrease in net assets from operations of $52,996. This decrease consisted of total income of $443, trading gains of $121,209, and total expenses of $174,648. Expenses included $59,616 in management fees, $19,872 in operating expenses, $29,702 in selling commissions, $63,994 in brokerage commissions and $1,464 in other expenses. At March 31, 2012, the net asset value per Unit of Series B-1 was $1,220.22, and the net asset value per Unit of Series B-2 was $1,284.84.
Fund results for 1st Quarter 2012:
In March, the Funds trading strategies produced disappointing returns as rapidly shifting macroeconomic factors led to trendless and choppy market conditions. The U.S. economy sustained momentum, adding another 227,000 jobs for its best six-month streak since May of 2006. Retail sales climbed 1.1%, the most in five months, reflecting consumer confidence despite rising gas prices. In contrast, commodity-driven economies such as Australia felt the effects of reduced base-metal demand, while euro-zone GDP unexpectedly contracted as the region struggles to contain its debt crisis. Crude oil declined as the impact of Iranian tensions receded when compared to slowing global demand and ample supplies. The Funds short-term strategies produced mixed to slightly negative results. The Funds allocation to currency markets yielded poor results in March. The U.S. dollar (+0.5%) advanced early as improvements in the U.S. economy and positive investor sentiment drove up equities and sent interest rates modestly higher. Later in the month Chairman Bernanke of the Fed reiterated his commitment to low interest rates, pressuring the U.S. dollar and erasing previous gains. The ECB continued to hold the line on interest rates, keeping its discount rate at 1%. The euro and British pound finished unchanged versus the U.S. dollar after declines of 2%. The Australian dollar (-4.4%) fell on weak GDP, an unexpected rise in unemployment, as well as softening commodity exports. The Funds bond exposure experienced losses during a turbulent March as U.S. and European bonds sold off precipitously only to rebound later in the month. Japanese Government Bonds (JGB) came under pressure as the Bank of Japan (BOJ) resisted calls to increase asset purchases beyond the 30 trillion yen committed at their February meeting. JGB yields rose to 1.056%, the highest since December 2011. The Fund experienced negative results in the global equity markets in March. European stocks fell sharply on euro-zone GDP contraction (-0.3%) before optimistic U.S. data helped lift futures to 8-month highs. Markets quickly reversed on Chinas shrinking economy and the possible need for further Greek debt restructuring. The FTSE (-2.1%), Amsterdam EOE Index (-1.2%), and Euro Stoxx (-4.5%) all finished lower. The Dow Jones Industrial Average (the Dow Jones) (+1.2%) and the S&P 500 (+2.5%) rose to four-year highs. Asian shares were mostly lower, pressured by the slowdown in China. Chinas H-Shares (-10.9%) sank on weaker-than-expected housing and auto data with stocks in Singapore (-1.1%), Taiwan (-2.5%), and India (-2.3%) also lower. The Nikkei (+1.5%) managed to gain as the BOJ continued to ease in an effort to boost growth and weaken the yen. The Funds grains positions experienced moderate losses for the month. Directionless trading led to losses in corn and wheat while trending soybeans benefited long soybean meal positions. The Funds exposure to the metals sectors generated moderate losses as precious metals declined on increasingly positive sentiment surrounding the stability of the global economy. The Funds allocation to money market futures also produced negative results. Short-rate price movement closely mirrored the volatility seen in longer-term maturities as central banks continued to hold overnight lending rates between 0 and 25 basis points. Although targeted rates are expected to remain near zero for an extended period, the strength of the equity rally precipitated a decline in global short-rate prices, negatively impacting the Funds long positions. The Funds perpetual long gold position underperformed in March as investors exited the precious metal in exchange for risk. The steady pace of upbeat economic reports in the U.S., including consumer spending and confidence, fed growing optimism over the stability of the worlds largest economy.
In February, the Funds trading strategies generated solid returns as geopolitical and economic forces pushed energies and equities decidedly higher. Intensifying tensions with Iran over their nuclear program injected risk premium into oil markets, driving crude prices to multi-month highs. Meanwhile, a wave of hopeful economic data and the long-awaited second Greek bailout lifted stocks. U.S. unemployment fell for a fifth straight month, adding 234,000 jobs while U.S. consumer confidence posted its longest streak of gains since 1997. The Nasdaq Stock Market (the Nasdaq) hit 11-year highs and the Dow Jones closed above 13,000 for the first time since 2008. The BOJ revealed plans to inject 10 trillion yen into the Japanese economy in an effort to suppress deflation while the ECB sought to stabilize euro-zone banks and stimulate the economy by issuing 529.5 billion of low interest loans. CBOT corn slid sideways awaiting spring plantings, while soybeans soared on expected crop damage in Brazil. Short-term strategies enhanced overall performance with gains in currencies, stocks, metals, and energies. The Funds allocation to the energy sector produced significant returns in February as economic optimism, escalating Iranian tensions, and reduced refinery capacity led to robust returns for long energy positions. Extreme cold in Europe in the midst of heavy refinery maintenance drove IPE gas oil (+6.3%) to a nine-month high. New York heating oil (+6.0%), also used in home heating, was pulled higher on anticipated demand shift to the U.S. Brent crude gained 10.9%, its best month since May of
49
2009, while NY crude (+8.6%) reached a nine-month high. Despite poor U.S. gasoline demand, RBOB futures extended an impressive rally, gaining 5.4%, aided by permanent, unplanned, and seasonal refinery closures. Promising U.S. employment data and the Greek bailout approval lifted energies universally on hopes of economic growth. The Fund experienced positive results in global equity markets as stocks rose on continued economic improvement. While Europe worked its way towards the second bailout of Greece, equity markets across the continent were higher as fears of an imminent euro-zone collapse subsided. The ECB eased monetary policy significantly in an effort to support markets, stepping away from its traditional mandate of inflation stability. Markets responded with the CAC40 (+4.5%), FTSE (+3.7%) and DAX (+6.0%) all finishing the month higher. Only the Greek index finished lower with a 9.1% loss. Investor optimism drove up markets across Asia with the Nikkei (+10.2%) climbing sharply as the yen fell. Improvements in the outlook for exports also boosted shares in Hong Kong (+6.6%), Korea (+3.5%) and Taiwan (+7.6%). The U.S. markets rose as unemployment fell to 8.3%, jobless claims hit a four-year low, and modest growth was seen in manufacturing and housing. The S&P 500 (+4.3%) is off to its best start in 21 years. The Funds allocation to currencies generated moderate losses due to the sharp reversal in the Japanese yen. The U.S. dollar was weaker against most global currencies as the Fed reiterated its highly accommodative stance in spite of improving economic conditions. The BOJ, which has struggled with deflation for more than a decade, announced it would target a 1% annual inflation rate, adding 10 trillion yen to the economy in the process. Traders took the news seriously and sent the yen (-6.2%) to a seven-month low. The euro (+1.9%) strengthened against the U.S. dollar as fears over a Greek debt disaster abated and expectations rose for increased lending activity. The Swiss franc (+1.8%) and British pound (+1.1%) also gained while better-than-expected economic data in Australia drove the AUD/USD rate to a six-month high (1.0795 $/AUD). South American currencies continued to climb with the Mexican peso (+1.4%), Colombian peso (+2.4%), and the Brazilian real (+1.7%) all gaining. The Funds bond portfolio produced negative results in February. U.S. bond prices retreated slightly from January highs as positive economic data continued to foster the strongest equity rally in two decades. U.S. unemployment dropped to 8.3%, returning to a level not seen since February 2009. U.S. 10-year notes retreated on the news and ended the month down 0.8%. The ECB implemented phase two of their long term refinancing operation liquidity program on February 27th, injecting 530 billion of short-term liquidity into the region. The 1% loan offering was taken up by 800 euro-zone banks. The monetary infusion is expected to make its way into longer-term maturities as seen by the resulting rally in Bunds and 10-year Swap Notes. The Funds strategies underperformed in the metals sector after bullish trends in precious metals radically corrected as Fed Chairman Bernanke quelled hopes for a third round of quantitative easing. Immediately prior to the plunge, gold and silver each hit multi-month highs as investors placed hedges against rising consumer prices and a weakening U.S. dollar. Following Mr. Bernankes testimony, gold (-1.7%) and silver (-6.9%) decreased significantly. Fears of reduced euro-zone base metal demand abated as leaders came to agreement on a second aid package for Greece. LME aluminum (+4.0%), assisted by record canceled warrants (orders to withdraw stockpiles), reversed early losses in the broad-based rally. Rising confidence levels on both sides of the Atlantic and falling inventories worked in tandem to elevate Comex (+2.1%) and LME copper (+2.2%). The Funds perpetual long gold position suffered late-month losses as testimony from Fed Chairman Ben Bernanke expressed optimism over improving macroeconomic data, reducing the likelihood of additional monetary stimulus. Gold and other safe-havens dropped on the news as the U.S. dollar rallied.
In January, the Funds strategies produced mixed results as optimism toward a European debt resolution and positive economic growth indicators led investors to add risk. The U.S. dollar declined against major currencies as the safety trade unwound, accelerated by the Feds stated willingness to purchase additional bonds. Gold benefited from the dollars decline, posting a +10% gain, climbing solidly back above its 200-day moving average while base-metals surged on production cutbacks and anticipated Chinese demand. EU negotiations with Greece, initially promising, weighed on equity markets towards month-end as leaders debated terms of a second rescue package worth 500 billion euro. NYMEX gasoline trended higher throughout the month as supply concerns intensified due to multiple refinery closures while natural gas plummeted to a 10-year low on unseasonably warm winter temperatures and overabundant supply. The Funds short-term strategies contributed positively to performance with gains in bonds, stocks, and metals, while the Funds perpetual long gold position produced significant gains for the month. The Funds allocation to money market futures yielded robust returns as central banks universally maintained accommodative monetary policies. In the U.S., minutes from the Federal Open Market Committee of the Fed (FOMC) revealed the Feds commitment to maintain interest rates at or near zero through 2014. The ECB, having cut rates twice in the last three months, maintained rates at a record low of 1%, citing signs of stabilization. In the United Kingdom, the Bank of England also maintained a record low benchmark of 0.5%. The Funds allocation to currency markets yielded negative returns as the U.S. dollar reversed its recent uptrend as global economic concerns began to subside. What had been a flight to safety in the U.S. dollar in late 2011 reversed as investors chose risk exposure and yield over conservation. The euro reached a 17-month low before recovering on perceived EU debt negotiation progress. The Australian dollar sustained its climb on relative economic outperformance, attractive interest rates, and strength in commodity prices. South American currencies, which lost significant ground in 2011, advanced considerably against the U.S. dollar. The Japanese yen rallied sharply late, closing at a three-month high, as investors flocked to the currency given the short-term U.S. interest rate outlook. The Funds grain positions experienced moderate losses for the month. Lingering concerns over South American corn and soybean yields drove grains to multi-week highs before surprisingly bearish USDA figures abruptly reversed trends. The highly anticipated January USDA report caused significant declines mid-month on unexpected increases in corn production and inventories, resulting in losses for the Funds corn positions. Wheat traded in tandem with corn, pressured by weak exports, ample supply, and favorable winter crop conditions. The Funds exposure to the energy sector
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generated positive returns, led by long gasoline and short natural gas positions. Gasoline ended up (+7.3%) for the month, while an unusually warm winter and continued supply glut pushed natural gas to $2.231/btu, a 10-year low. The Fund experienced losses in NYMEX crude oil amid a directionless trade as prices were range-bound between $98 and $103 per barrel. The Funds perpetual long gold position produced sizable gains after the FOMC announced that interest rates would remain low through 2014, sparking U.S. dollar worries. The ongoing EU debt crisis also continues to keep the euro weak. The instability associated with these currencies provided strong support for safe-haven assets.
For the first quarter of 2012, the most profitable market group overall was the energy sector while the greatest losses were attributable to positions in the currency sector.
OFF-BALANCE SHEET RISK
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. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. 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 interests positions of the Fund at the same time, and if Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio in all but extreme instances not greater than 50%.
In addition to market risk, in entering into futures and forward contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
OFF-BALANCE SHEET ARRANGEMENTS
The Fund does not engage in off-balance sheet arrangements.
CONTRACTUAL OBLIGATIONS
The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Funds sole business is trading futures, currency, forward and certain swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The Financial Statements of the Fund present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of such Series open forward contracts as well as the fair value of the futures contracts purchased and sold by each Series at June 30, 2013 and December 31, 2012.
CRITICAL ACCOUNTING POLICIES VALUATION OF THE FUNDS POSITIONS
Superfund Capital Management believes that the accounting policies that will be most critical to the Funds financial condition and results of operations relate to the valuation of the Funds positions. The Fund uses the amortized cost method for valuing U.S. Treasury Bills. Superfund Capital Management believes the cost of securities plus accreted discount, or minus amortized premium, approximates fair value. The majority of the Funds positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Any spot and forward foreign currency or swap contracts held by the Fund will also be valued at published daily settlement prices or at dealers quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Funds assets will be valued on a daily basis using objective measures.
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RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS
ASU 2011-11
In December 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2011-11, Disclosures about Offsetting Assets and Liabilities (ASU 2011-11). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards (IFRS). The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.
In January 2013, the FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Funds financial statements.
ITEM 3. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
Not required.
ITEM 4. | CONTROLS AND PROCEDURES |
Superfund Capital Management, the Funds general partner, with the participation of Superfund Capital Managements principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no formal changes in Superfund Capital Managements internal controls over financial reporting during the quarter ended June 30, 2013 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Managements internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole.
The Rule 13a-14(a)/15d-14(a) certifications of the principal executive officer and the principal financial officer included as Exhibits 31.1 and 31.2, respectively, are certifying as to each Series individually, as well as the Fund as a whole.
PART II - OTHER INFORMATION
ITEM 1. LEGAL PROCEEDINGS
Superfund Capital Management is not aware of any pending legal proceedings to which either the Fund is a party or to which any of its assets are subject. The Fund has no subsidiaries.
ITEM 1A. | RISK FACTORS |
Not required.
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ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
(a) There were no sales of unregistered securities during the quarter ended June 30, 2013.
(c) Pursuant to the Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.
The following tables summarize the redemptions by investors during the three months ended June 30, 2013:
Series A-1:
Month |
Units Redeemed |
Net Asset Value per Unit ($) |
||||||
April 30, 2013 |
368.875 | 1,505.43 | ||||||
May 31, 2013 |
184.838 | 1,309.36 | ||||||
June 30, 2013 |
157.179 | 1,133.88 | ||||||
|
|
|||||||
Total |
710.892 | |||||||
|
|
Series A-2:
Month |
Units Redeemed |
Net Asset Value per Unit ($) |
||||||
April 30, 2013 |
93.360 | 1,679.99 | ||||||
May 31, 2013 |
101.597 | 1,463.64 | ||||||
June 30, 2013 |
81.803 | 1,269.60 | ||||||
|
|
|||||||
Total |
276.760 | |||||||
|
|
Series B-1:
Month |
Units Redeemed |
Net Asset Value per Unit ($) |
||||||
April 30, 2013 |
39.232 | 1,322.27 | ||||||
May 31, 2013 |
30.135 | 1,099.69 | ||||||
June 30, 2013 |
25.536 | 943.26 | ||||||
|
|
|||||||
Total |
94.903 | |||||||
|
|
Series B-2:
Month |
Units Redeemed |
Net Asset Value per Unit ($) |
||||||
April 30, 2013 |
194.625 | 1,422.90 | ||||||
May 31, 2013 |
27.876 | 1,185.37 | ||||||
June 30, 2013 |
5.213 | 1,018.45 | ||||||
|
|
|||||||
Total |
227.714 | |||||||
|
|
ITEM 3. | DEFAULTS UPON SENIOR SECURITIES |
Not applicable.
ITEM 4. | MINE SAFETY DISCLOSURE |
Not applicable.
53
ITEM 5. OTHER INFORMATION
None.
ITEM 6. EXHIBITS
The following exhibits are included herewith:
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 | |
101.INS* | XBRL Instance Document | |
101.SCH* | XBRL Taxonomy Extension Schema Document | |
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB* | XBRL Taxonomy Extension Labe Linkbase Document | |
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document |
* | XBRL information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document. |
54
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
Date: August 14, 2013 | SUPERFUND GOLD, L.P. (Registrant) |
|||
By: Superfund Capital Management, Inc. | ||||
General Partner | ||||
By: /s/ Nigel James |
||||
Nigel James | ||||
President and Principal Executive Officer | ||||
By: /s/ Martin Schneider |
||||
Martin Schneider | ||||
Vice President and Principal Financial Officer |
55
EXHIBIT INDEX
Exhibit Number |
Description of Document |
Page Number | ||||
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | E-2 | ||||
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | E-3 | ||||
32.1 | Section 1350 Certification of Principal Executive Officer | E-4 | ||||
32.2 | Section 1350 Certification of Principal Financial Officer | E-5 |
E-1
Exhibit 31.1
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
I, Nigel James, certify that:
1. I have reviewed this report on Form 10-Q for the period ending June 30, 2013, of Superfund Gold, L.P.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the 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 |
5. The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the 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: August 14, 2013 | By: | /s/ Nigel James | ||||
Nigel James | ||||||
President and Principal Executive Officer |
E-2
Exhibit 31.2
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER
I, Martin Schneider, certify that:
1. I have reviewed this report on Form 10-Q for the period ending June 30, 2013, of Superfund Gold, L.P.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the 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 |
5. The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the 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: August 14, 2013 | By: | /s/ Martin Schneider | ||||
Martin Schneider | ||||||
Vice President and Principal Financial Officer |
E-3
Exhibit 32.1
SECTION 1350 CERTIFICATION
OF PRINCIPAL EXECUTIVE OFFICER
In connection with the report on Form 10-Q for the period ending June 30, 2013 (the Report), I, Nigel James, President and Principal Executive Officer of Superfund Capital Management, Inc., the general partner of Superfund Gold, L.P. (the Fund), certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:
(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: August 14, 2013 | By: | /s/ Nigel James | ||||
Nigel James | ||||||
President and Principal Executive Officer |
E-4
Exhibit 32.2
SECTION 1350 CERTIFICATION
OF PRINCIPAL FINANCIAL OFFICER
In connection with the report on Form 10-Q for the period ending June 30, 2013 (the Report), I, Martin Schneider, Vice President and Principal Financial Officer of Superfund Capital Management, Inc., the general partner of Superfund Gold, L.P. (the Fund), certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:
(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: August 14, 2013 | By: | /s/ Martin Schneider | ||||
Martin Schneider | ||||||
Vice President and Principal Financial Officer |
E-5
Subsequent events
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Subsequent events | 12. Subsequent events Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were filed and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. |
Due from/to brokers
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Due from/to brokers | 5. Due from/to brokers Due from brokers consists 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, if any, represent margin borrowings that are collateralized by certain securities. As of June 30, 2013 and December 31, 2012, there were no amounts due to brokers. In the normal course of business, all of the Fund’s 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 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. |
Nature of Operations - Additional Information (Detail) (USD $)
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Limited Partners' Capital Account [Line Items] | |
Percentage of Owning Units by Limited Partners of Outstanding Units of Each Series Having Right of Dissolution of Fund | 50.00% |
Minimum Notice Period for Dissolution | 90 days |
Minimum Aggregate Net Assets Position Not Resulting in Dissolution | $ 500,000 |
Period to Cease the General Partner of Fund | 120 days |
SERIES A
|
|
Limited Partners' Capital Account [Line Items] | |
Targeted Average Ratio of Margin to Equity Percentage | 20.00% |
SERIES B
|
|
Limited Partners' Capital Account [Line Items] | |
Targeted Average Ratio of Margin to Equity Percentage | 30.00% |
Leverage ratio used for implementation of fund's futures and forward trading program | 1.5 |
Basis of presentation and significant accounting policies (Policies)
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Basis of Presentation | Basis of Presentation The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in the U.S. (“U.S. GAAP”) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2012. |
Valuation of Investments in Futures Contracts, Forward Contracts, and U.S. Treasury Bills | 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 3 – Fair Value Measurements). |
Translation of Foreign Currency | 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 realized and unrealized gain (loss) on investments in the Statements of Operations. |
Investment Transactions, Investment Income and Expenses | 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. The Fund uses the amortized cost method for valuing U.S. Treasury Bills. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series. 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 Assets and Liabilities 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. Set forth herein are instruments and transactions eligible for offset in the Statements of Assets and Liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of June 30, 2013, the Fund had on deposit $6,598,470 at ADM Investor Services, Inc. and $5,197,384 at Barclays Capital Inc. As of June 30, 2013, Series A had on deposit $4,348,754 at ADM Investor Services, Inc. and $2,899,747 at Barclays Capital Inc. As of June 30, 2013, Series B had on deposit $2,249,716 at ADM Investor Services, Inc. and $2,297,637 at Barclays Capital Inc. |
Income Taxes | Income Taxes The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. Superfund Capital Management has evaluated the application of ASC Topic 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, Superfund Capital Management has determined no reserves for uncertain tax positions are required to be recorded as a result of the application of ASC 740. Superfund Capital Management 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 2009 through 2012 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
Use of Estimates | 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. |
Recently Issued Accounting Pronouncements | Recently Issued Accounting Pronouncements ASU 2011-11 In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities (“ASU 2011-11”). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards (“IFRS”). The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements. In January 2013, the FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Funds’ financial statements. |
Fair Value Measurements - Additional Information (Detail) (USD $)
|
3 Months Ended | |
---|---|---|
Mar. 31, 2013
|
Mar. 31, 2012
|
|
Fair Value Measurements [Line Items] | ||
Derivative Contracts Valued Using Level 3 Inputs During Period | $ 0 | $ 0 |
Financial Highlights (Detail) (USD $)
|
3 Months Ended | 6 Months Ended | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Incentive fees | 25.00% | |||||||||||||||||||
Series A-1
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return after incentive fees | (21.90%) | [1] | 1.40% | [1] | (20.30%) | [1] | 2.40% | [1] | ||||||||||||
Total expenses | 1.60% | [2] | 2.00% | [2] | 3.50% | [2] | 3.70% | [2] | ||||||||||||
Net investment loss | (1.60%) | [2] | (1.90%) | [2] | (3.50%) | [2] | (3.60%) | [2] | ||||||||||||
Net asset value per unit, beginning of period | $ 1,451.82 | $ 1,511.48 | $ 1,423.03 | $ 1,496.15 | ||||||||||||||||
Net investment loss | $ (22.11) | $ (30.31) | $ (48.70) | $ (57.57) | ||||||||||||||||
Net gain (loss) on investments | $ (295.83) | $ 50.25 | $ (240.45) | $ 92.84 | ||||||||||||||||
Net asset value per unit, end of period | $ 1,133.88 | $ 1,531.42 | $ 1,133.88 | $ 1,531.42 | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) | $ (318.66) | [3] | $ 20.03 | [3] | $ (270.93) | [3] | $ 33.58 | [3] | ||||||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) | $ (317.94) | $ 19.94 | $ (289.15) | $ 35.27 | ||||||||||||||||
Series A-1 | Total Return
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return before incentive fees and MF Global reserve | (21.90%) | [1] | 1.40% | [1] | (20.30%) | [1] | 2.40% | [1] | ||||||||||||
Incentive fees | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | ||||||||||||
MF Global reserve | 0.00% | [1] | 0.00% | [1] | ||||||||||||||||
Series A-1 | Ratio To Average Partner Capital
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Operating expenses before incentive fees | 1.60% | [2] | 1.90% | [2] | 3.50% | [2] | 3.60% | [2] | ||||||||||||
Incentive fees | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | ||||||||||||
MF Global reserve | 0.00% | [2] | 0.00% | [2] | ||||||||||||||||
Series A-2
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return after incentive fees | (21.50%) | [1] | 1.90% | [1] | (19.50%) | [1] | 3.40% | [1] | ||||||||||||
Total expenses | 1.20% | [2] | 1.40% | [2] | 2.50% | [2] | 2.60% | [2] | ||||||||||||
Net investment loss | (1.20%) | [2] | (1.40%) | [2] | (2.50%) | [2] | (2.60%) | [2] | ||||||||||||
Net asset value per unit, beginning of period | $ 1,617.46 | $ 1,650.46 | $ 1,577.45 | $ 1,625.63 | ||||||||||||||||
Net investment loss | $ (17.51) | $ (24.31) | $ (38.74) | $ (45.08) | ||||||||||||||||
Net gain (loss) on investments | $ (330.35) | $ 54.50 | $ (269.11) | $ 100.10 | ||||||||||||||||
Net asset value per unit, end of period | $ 1,269.60 | $ 1,680.65 | $ 1,269.60 | $ 1,680.65 | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) | $ (367.06) | [4] | $ 31.58 | [4] | $ (293.34) | [4] | $ 57.79 | [4] | ||||||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) | $ (347.86) | [4] | $ 30.19 | [4] | $ (307.85) | [4] | $ 55.02 | [4] | ||||||||||||
Series A-2 | Total Return
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return before incentive fees and MF Global reserve | (21.50%) | [1] | 1.90% | [1] | (19.50%) | [1] | 3.40% | [1] | ||||||||||||
Incentive fees | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | ||||||||||||
MF Global reserve | 0.00% | [1] | 0.00% | [1] | ||||||||||||||||
Series A-2 | Ratio To Average Partner Capital
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Operating expenses before incentive fees | 1.20% | [2] | 1.40% | [2] | 2.50% | [2] | 2.60% | [2] | ||||||||||||
Incentive fees | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | ||||||||||||
MF Global reserve | 0.00% | [2] | 0.00% | [2] | ||||||||||||||||
Series B-1
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return after incentive fees | (20.80%) | [1] | 2.30% | [1] | (15.10%) | [1] | 0.60% | [1] | ||||||||||||
Total expenses | 1.90% | [2] | 2.40% | [2] | 4.00% | [2] | 4.20% | [2] | ||||||||||||
Net investment loss | (1.90%) | [2] | (2.30%) | [2] | (4.00%) | [2] | (4.10%) | [2] | ||||||||||||
Net asset value per unit, beginning of period | $ 1,191.23 | $ 1,220.22 | $ 1,110.58 | $ 1,241.61 | ||||||||||||||||
Net investment loss | $ (21.74) | $ (29.58) | $ (45.79) | $ (54.42) | ||||||||||||||||
Net gain (loss) on investments | $ (226.23) | $ 58.37 | $ (121.53) | $ 61.82 | ||||||||||||||||
Net asset value per unit, end of period | $ 943.26 | $ 1,249.01 | $ 943.26 | $ 1,249.01 | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) | $ (260.61) | [5] | $ 34.79 | [5] | $ (142.06) | [5] | $ 19.24 | [5] | ||||||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) | $ (247.97) | $ 28.79 | $ (167.32) | $ 7.40 | ||||||||||||||||
Series B-1 | Total Return
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return before incentive fees and MF Global reserve | (20.80%) | [1] | 2.40% | [1] | (15.10%) | [1] | 0.70% | [1] | ||||||||||||
Incentive fees | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | ||||||||||||
MF Global reserve | (0.10%) | [1] | (0.10%) | [1] | ||||||||||||||||
Series B-1 | Ratio To Average Partner Capital
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Operating expenses before incentive fees | 1.90% | [2] | 2.30% | [2] | 4.00% | [2] | 4.10% | [2] | ||||||||||||
Incentive fees | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | ||||||||||||
MF Global reserve | 0.10% | [2] | 0.10% | [2] | ||||||||||||||||
Series B-2
|
||||||||||||||||||||
Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return after incentive fees | (20.40%) | [1] | 2.80% | [1] | (14.20%) | [1] | 1.60% | [1] | ||||||||||||
Total expenses | 1.40% | [2] | 1.80% | [2] | 3.10% | [2] | 3.20% | [2] | ||||||||||||
Net investment loss | (1.40%) | [2] | (1.70%) | [2] | (3.10%) | [2] | (3.10%) | [2] | ||||||||||||
Net asset value per unit, beginning of period | $ 1,279.75 | $ 1,284.84 | $ 1,187.13 | $ 1,300.90 | ||||||||||||||||
Net investment loss | $ (17.66) | $ (24.11) | $ (38.12) | $ (43.40) | ||||||||||||||||
Net gain (loss) on investments | $ (243.64) | $ 61.05 | $ (130.56) | $ 64.28 | ||||||||||||||||
Net asset value per unit, end of period | $ 1,018.45 | $ 1,321.78 | $ 1,018.45 | $ 1,321.78 | ||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) | $ (253.86) | [6] | $ 36.96 | [6] | $ (177.65) | [6] | $ 39.55 | [6] | ||||||||||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) | $ (261.30) | [6] | $ 36.94 | [6] | $ (168.68) | [6] | $ 20.88 | [6] | ||||||||||||
Series B-2 | Total Return
|
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Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Total return before incentive fees and MF Global reserve | (20.40%) | [1] | 2.90% | [1] | (14.20%) | [1] | 1.70% | [1] | ||||||||||||
Incentive fees | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | ||||||||||||
MF Global reserve | (0.10%) | [1] | (0.10%) | [1] | ||||||||||||||||
Series B-2 | Ratio To Average Partner Capital
|
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Limited Partners' Capital Account [Line Items] | ||||||||||||||||||||
Operating expenses before incentive fees | 1.40% | [2] | 1.70% | [2] | 3.10% | [2] | 3.10% | [2] | ||||||||||||
Incentive fees | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | ||||||||||||
MF Global reserve | 0.10% | [2] | 0.10% | [2] | ||||||||||||||||
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Basis of Presentation and Significant Accounting Policies - Additional Information (Detail) (USD $)
|
Jun. 30, 2013
|
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ADM Investor Services, Inc.
|
|
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | $ 6,598,470 |
ADM Investor Services, Inc. | SERIES A
|
|
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 4,348,754 |
ADM Investor Services, Inc. | SERIES B
|
|
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 2,249,716 |
Barclays Capital Inc.
|
|
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 5,197,384 |
Barclays Capital Inc. | SERIES A
|
|
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 2,899,747 |
Barclays Capital Inc. | SERIES B
|
|
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | $ 2,297,637 |
Nature of operations
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6 Months Ended |
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Jun. 30, 2013
|
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Nature of operations | 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 forward 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. Series B implements the Fund’s futures and forward trading program at a leverage level equal to approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years), the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B. The leverage with which each of the Series is traded is the only difference between the Series. Sub-Series within a Series are not managed differently. Rather, Series A-1 Units and Series B-1 Units are subject to selling commissions. Series A-2 Units and Series B-2 Units are not subject to selling commissions but are available exclusively to: (i) investors participating in selling agent asset-based or fixed-fee investment programs or a registered investment adviser’s asset-based fee or fixed-fee advisory program through which an investment adviser recommends a portfolio allocation to the Fund and for which Superfund USA, LLC (“Superfund USA”) serves as selling agent, (ii) investors who purchased the Units through Superfund USA or an affiliated broker and who are commodity pools operated by commodity pool operators registered as such with the Commodity Futures Trading Commission and (iii) investors who have paid the maximum selling commission on their Series A-1 or Series B-1 Units (by re-designation of such Units as Series A-2 Units or Series B-2 Units as described herein). The foregoing eligibility requirements and selling commissions are the only differences between the Sub-Series within a Series. 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 of the Fund (“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. |
Fair Value Measurements
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Jun. 30, 2013
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Fair Value Measurements | 3. Fair Value Measurements The Fund follows ASC 820, Fair Value Measurements and Disclosures, which 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:
A financial instrument’s 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 Fund’s only market exposure in instruments held other than for speculative 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 Fund’s trading of exchange-traded futures contracts. The Fund’s 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 Fund’s forward and swap positions are typically classified within Level 2 of the fair value hierarchy. Certain OTC derivatives trade 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 changed only 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 in which 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 six months ended June 30, 2013 and June 30, 2012, the Fund held no derivative contracts valued using Level 3 inputs. The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of June 30, 2013 and December 31, 2012: Superfund Gold, L.P.
Superfund Gold, L.P. – Series A
Superfund Gold, L.P. – Series B
The Fund assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no significant transfers among Levels 1, 2 and 3 during the six months ended June 30, 2013 and year ended December 31, 2012. |
Allocation of net profits and losses
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6 Months Ended |
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Jun. 30, 2013
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Allocation of net profits and losses | 6. Allocation of net profits and losses In accordance with the Fund’s Third 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 the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month. |
Disclosure of derivative instruments and hedging activities
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Jun. 30, 2013
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Disclosure of derivative instruments and hedging activities | 4. 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 entity’s 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 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 Fund’s realized and unrealized gain (loss) on investments 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 Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows:
Superfund Gold, L.P. The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of June 30, 2013, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2012, is as follows:
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2013:
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2013:
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2012:
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2012:
Superfund Gold, L.P. gross and net unrealized gains and losses by long and short positions as of June 30, 2013 and December 31, 2012:
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended June 30, 2013:
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended June 30, 2012:
Superfund Gold, L.P. trading results by market sector:
Superfund Gold, L.P. – Series A The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of June 30, 2013, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2012, is as follows:
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2013:
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2013:
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2012:
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2012:
Superfund Gold, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of June 30, 2013 and December 31, 2012:
Superfund Gold, L.P. – Series A average* monthly contract volume by market sector as of quarter ended June 30, 2013:
Superfund Gold, L.P. – Series A average* monthly contract volume by market sector as of quarter ended June 30, 2012:
Superfund Gold, L.P. – Series A trading results by market sector:
Superfund Gold, L.P. – Series B The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of June 30, 2013, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2012, is as follows:
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2013:
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2013:
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2012:
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2012:
Superfund Gold, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of June 30, 2013 and December 31, 2012:
Superfund Gold, L.P. – Series B average* monthly contract volume by market sector as of quarter ended June 30, 2013:
Superfund Gold, L.P. – Series B average* monthly contract volume by market sector as of quarter ended June 30, 2012:
Superfund Gold, L.P. – Series B trading results by market sector:
|
Fair Value of Fund's Derivatives by Instrument Type (Detail) (USD $)
|
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | $ 875,495 | $ 367,388 |
Liability Derivatives | (3,039,421) | (191,399) |
Net | (2,163,926) | 175,989 |
SERIES A
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 495,358 | 196,805 |
Liability Derivatives | (1,927,106) | (150,220) |
Net | (1,431,748) | 46,585 |
SERIES B
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 380,137 | 170,583 |
Liability Derivatives | (1,112,315) | (41,179) |
Net | (732,178) | 129,404 |
Foreign Exchange Contract | Unrealized Appreciation On Forward Contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 12,894 | 182,189 |
Net | 12,894 | 182,189 |
Foreign Exchange Contract | Unrealized depreciation on open forward contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Liability Derivatives | (17,466) | (101,789) |
Net | (17,466) | (101,789) |
Foreign Exchange Contract | SERIES A | Unrealized Appreciation On Forward Contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 7,296 | 111,557 |
Net | 7,296 | 111,557 |
Foreign Exchange Contract | SERIES A | Unrealized depreciation on open forward contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Liability Derivatives | (12,995) | (60,610) |
Net | (12,995) | (60,610) |
Foreign Exchange Contract | SERIES B | Unrealized Appreciation On Forward Contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 5,598 | 70,632 |
Net | 5,598 | 70,632 |
Foreign Exchange Contract | SERIES B | Unrealized depreciation on open forward contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Liability Derivatives | (4,471) | (41,179) |
Net | (4,471) | (41,179) |
Future | Futures Contracts Purchased
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 52,556 | 30,068 |
Liability Derivatives | (2,967,150) | (89,610) |
Net | (2,914,594) | (59,542) |
Future | Futures Contracts Sold
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 810,045 | 155,131 |
Liability Derivatives | (54,805) | |
Net | 755,240 | 155,131 |
Future | SERIES A | Futures Contracts Purchased
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 30,379 | |
Liability Derivatives | (1,884,495) | (89,610) |
Net | (1,854,116) | (89,610) |
Future | SERIES A | Futures Contracts Sold
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 457,683 | 85,248 |
Liability Derivatives | (29,616) | |
Net | 428,067 | 85,248 |
Future | SERIES B | Futures Contracts Purchased
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 22,177 | 30,068 |
Liability Derivatives | (1,082,655) | |
Net | (1,060,478) | 30,068 |
Future | SERIES B | Futures Contracts Sold
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Derivatives | 352,362 | 69,883 |
Liability Derivatives | (25,189) | |
Net | $ 327,173 | $ 69,883 |
Funds Trading Results by Market Sector (Detail) (USD $)
|
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | $ (902,588) | $ 82,934 | $ (502,164) | $ (879,715) |
Change in Net Unrealized Gain (Loss) | (3,165,292) | 925,183 | (2,339,915) | 2,453,172 |
Net Trading Gain (Loss) | (4,067,880) | 1,008,117 | (2,842,079) | 1,573,457 |
SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (728,468) | (67,753) | (691,547) | (638,940) |
Change in Net Unrealized Gain (Loss) | (2,014,540) | 614,169 | (1,478,333) | 1,629,487 |
Net Trading Gain (Loss) | (2,743,008) | 546,416 | (2,169,880) | 990,547 |
SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (174,120) | 150,687 | 189,383 | (240,775) |
Change in Net Unrealized Gain (Loss) | (1,150,752) | 311,014 | (861,582) | 823,685 |
Net Trading Gain (Loss) | (1,324,872) | 461,701 | (672,199) | 582,910 |
Foreign Exchange
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (79,737) | 631,711 | (275,714) | 721,823 |
Change in Net Unrealized Gain (Loss) | (41,358) | (136,923) | (84,972) | (235,237) |
Net Trading Gain (Loss) | (121,095) | 494,788 | (360,686) | 486,586 |
Foreign Exchange | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (52,329) | 342,467 | (161,072) | 377,187 |
Change in Net Unrealized Gain (Loss) | (28,121) | (75,077) | (56,646) | (125,249) |
Net Trading Gain (Loss) | (80,450) | 267,390 | (217,718) | 251,938 |
Foreign Exchange | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (27,408) | 289,244 | (114,642) | 344,636 |
Change in Net Unrealized Gain (Loss) | (13,237) | (61,846) | (28,326) | (109,988) |
Net Trading Gain (Loss) | (40,645) | 227,398 | (142,968) | 234,648 |
Currency Swap
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (372,088) | 140,536 | (213,578) | (842,134) |
Change in Net Unrealized Gain (Loss) | (184,721) | (107,630) | (431,604) | (232,650) |
Net Trading Gain (Loss) | (556,809) | 32,906 | (645,182) | (1,074,784) |
Currency Swap | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (208,839) | 97,770 | (121,872) | (417,100) |
Change in Net Unrealized Gain (Loss) | (107,049) | (57,131) | (247,737) | (124,177) |
Net Trading Gain (Loss) | (315,888) | 40,639 | (369,609) | (541,277) |
Currency Swap | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (163,249) | 42,766 | (91,706) | (425,034) |
Change in Net Unrealized Gain (Loss) | (77,672) | (50,499) | (183,867) | (108,473) |
Net Trading Gain (Loss) | (240,921) | (7,733) | (275,573) | (533,507) |
Financial
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 225,433 | 1,005,626 | 141,048 | 464,555 |
Change in Net Unrealized Gain (Loss) | (274,536) | (72,030) | (108,766) | (13,032) |
Net Trading Gain (Loss) | (49,103) | 933,596 | 32,282 | 451,523 |
Financial | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 153,967 | 561,137 | 118,026 | 272,797 |
Change in Net Unrealized Gain (Loss) | (162,443) | (36,337) | (66,907) | (4,968) |
Net Trading Gain (Loss) | (8,476) | 524,800 | 51,119 | 267,829 |
Financial | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 71,466 | 444,489 | 23,022 | 191,758 |
Change in Net Unrealized Gain (Loss) | (112,093) | (35,693) | (41,859) | (8,064) |
Net Trading Gain (Loss) | (40,627) | 408,796 | (18,837) | 183,694 |
Food And Fiber
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (454,988) | (533,667) | (553,700) | (874,717) |
Change in Net Unrealized Gain (Loss) | 173,788 | 116,128 | (57,630) | (70,065) |
Net Trading Gain (Loss) | (281,200) | (417,539) | (611,330) | (944,782) |
Food And Fiber | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (262,242) | (286,206) | (318,953) | (467,893) |
Change in Net Unrealized Gain (Loss) | 93,818 | 64,000 | (37,909) | (36,271) |
Net Trading Gain (Loss) | (168,424) | (222,206) | (356,862) | (504,164) |
Food And Fiber | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (192,746) | (247,461) | (234,747) | (406,824) |
Change in Net Unrealized Gain (Loss) | 79,970 | 52,128 | (19,721) | (33,794) |
Net Trading Gain (Loss) | (112,776) | (195,333) | (254,468) | (440,618) |
Indices
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (43,368) | 161,466 | 1,644,605 | (40,448) |
Change in Net Unrealized Gain (Loss) | 34,037 | (141,989) | (258,103) | (81,293) |
Net Trading Gain (Loss) | (9,331) | 19,477 | 1,386,502 | (121,741) |
Indices | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (33,592) | 132,631 | 964,888 | 27,357 |
Change in Net Unrealized Gain (Loss) | 17,738 | (69,372) | (158,002) | (33,141) |
Net Trading Gain (Loss) | (15,854) | 63,259 | 806,886 | (5,784) |
Indices | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (9,776) | 28,835 | 679,717 | (67,805) |
Change in Net Unrealized Gain (Loss) | 16,299 | (72,617) | (100,101) | (48,152) |
Net Trading Gain (Loss) | 6,523 | (43,782) | 579,616 | (115,957) |
Metals
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (250,309) | (2,169,001) | (1,453,494) | (2,569,292) |
Change in Net Unrealized Gain (Loss) | (2,605,924) | 1,382,704 | (1,370,718) | 3,135,061 |
Net Trading Gain (Loss) | (2,856,233) | (786,297) | (2,824,212) | 565,769 |
Metals | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | (372,862) | (1,367,374) | (1,247,542) | (1,643,035) |
Change in Net Unrealized Gain (Loss) | (1,673,519) | 841,762 | (900,252) | 1,976,188 |
Net Trading Gain (Loss) | (2,046,381) | (525,612) | (2,147,794) | 333,153 |
Metals | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 122,553 | (801,627) | (205,952) | (926,257) |
Change in Net Unrealized Gain (Loss) | (932,405) | 540,942 | (470,466) | 1,158,873 |
Net Trading Gain (Loss) | (809,852) | (260,685) | (676,418) | 232,616 |
Livestock
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 56,810 | 222,800 | 213,420 | 207,105 |
Change in Net Unrealized Gain (Loss) | (15,050) | (232,990) | 3,190 | (47,140) |
Net Trading Gain (Loss) | 41,760 | (10,190) | 216,610 | 159,965 |
Livestock | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 33,510 | 117,070 | 119,950 | 107,017 |
Change in Net Unrealized Gain (Loss) | (9,270) | (124,090) | 3,540 | (24,700) |
Net Trading Gain (Loss) | 24,240 | (7,020) | 123,490 | 82,317 |
Livestock | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 23,300 | 105,730 | 93,470 | 100,088 |
Change in Net Unrealized Gain (Loss) | (5,780) | (108,900) | (350) | (22,440) |
Net Trading Gain (Loss) | 17,520 | (3,170) | 93,120 | 77,648 |
Energy
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 15,659 | 623,463 | (4,751) | 2,053,393 |
Change in Net Unrealized Gain (Loss) | (251,528) | 117,913 | (31,312) | (2,472) |
Net Trading Gain (Loss) | (235,869) | 741,376 | (36,063) | 2,050,921 |
Energy | SERIES A
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 13,919 | 334,752 | (44,972) | 1,104,730 |
Change in Net Unrealized Gain (Loss) | (145,694) | 70,414 | (14,420) | 1,805 |
Net Trading Gain (Loss) | (131,775) | 405,166 | (59,392) | 1,106,535 |
Energy | SERIES B
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) | 1,740 | 288,711 | 40,221 | 948,663 |
Change in Net Unrealized Gain (Loss) | (105,834) | 47,499 | (16,892) | (4,277) |
Net Trading Gain (Loss) | $ (104,094) | $ 336,210 | $ 23,329 | $ 944,386 |