UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
For
the Quarterly Period Ended:
Or
Commission
File Number:
(Exact name of registrant as specified in its charter)
| (State or other jurisdiction of | (I.R.S. Employer | |
| incorporation or organization) | Identification No.) |
(Address of principal executive offices) (Zip Code)
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act:
| Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
| None | None | None |
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.
Indicate by check mark whether the registrant has submitted electronically, every Interactive Data File required to be submitted 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 such files).
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer,” “smaller reporting company”, and “emerging growth company” in Rule 12b-2 of the Exchange Act.
| Large accelerated filer | ☐ | Accelerated filer | ☐ |
| ☐ | Smaller reporting company | ||
| Emerging growth company |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes
☐
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
Millburn Multi-Markets Fund L.P.
Financial statements
For the three and six months ended June 30, 2022 and 2021 (unaudited)
| Statements of Financial Condition (a) | 1 | |
| Statements of Operations (c) | 2 | |
| Statements of Changes in Partners’ Capital (b) | 4 | |
| Statements of Financial Highlights (c) | 5 | |
| Notes to Financial Statements | 9 |
| (a) | At June 30, 2022 (unaudited) and December 31, 2021 |
| (b) | For the six months ended June 30, 2022 and 2021 (unaudited) |
| (c) | For the three and six months ended June 30, 2022 and 2021 (unaudited) |
i
Millburn Multi-Markets Fund L.P.
Statements of Financial Condition
| June 30, 2022 |
December 31,
2021 |
|||||||
| (unaudited) | ||||||||
| ASSETS | ||||||||
| Investment in Millburn Multi-Markets | ||||||||
| Trading L.P. (the “Master Fund”) | $ | $ | ||||||
| Due from the Master Fund | ||||||||
| Cash and cash equivalents | ||||||||
| Total assets | $ | $ | ||||||
| LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
| LIABILITIES: | ||||||||
| Capital contributions received in advance | $ | $ | ||||||
| Capital withdrawals payable to Limited Partners | ||||||||
| Capital withdrawal payable to General Partner | ||||||||
| Other liabilities | ||||||||
| Total liabilities | ||||||||
| PARTNERS’ CAPITAL: | ||||||||
| General Partner | ||||||||
| Limited partners: | ||||||||
| Series
A ( | ||||||||
| Series
B ( | ||||||||
| Series
C ( | ||||||||
| Series
D ( | ||||||||
| Total limited partners | ||||||||
| Total partners’ capital | ||||||||
| TOTAL | $ | $ | ||||||
| NET ASSET VALUE PER UNIT OUTSTANDING: | ||||||||
| Series A | $ | $ | ||||||
| Series B | $ | $ | ||||||
| Series C | $ | $ | ||||||
| Series D | $ | $ | ||||||
See notes to financial statements (Unaudited)
1
Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)
| For
the three months ended |
||||||||
| June 30, 2022 |
June 30, 2021 |
|||||||
| INVESTMENT INCOME: | ||||||||
| Interest income | $ | $ | ||||||
| Interest income, net (allocated from the Master Fund) (1) | ||||||||
| Total investment income | ||||||||
| EXPENSES: | ||||||||
| Management fees (allocated from the Master Fund) (1) | ||||||||
| Brokerage commissions (allocated from the Master Fund) (1) | ||||||||
| Selling commissions and platform fees (allocated from the Master Fund) (1) | ||||||||
| Administrative and operating expenses (allocated from the Master Fund) (1) | ||||||||
| Custody fees and other expenses (allocated from the Master Fund) (1) | ||||||||
| Total expenses | ||||||||
| NET INVESTMENT LOSS | ( | ) | ( | ) | ||||
| REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND (1) | ||||||||
| Net realized gains (losses) on closed positions: | ||||||||
| Futures and forward currency contracts | ||||||||
| Foreign exchange transaction | ( | ) | ||||||
| Net change in unrealized: | ||||||||
| Futures and forward currency contracts | ( | ) | ||||||
| Foreign exchange translation | ( | ) | ( | ) | ||||
| Net losses from U.S. Treasury notes: | ||||||||
| Realized | ( | ) | ( | ) | ||||
| Net change in unrealized | ( | ) | ( | ) | ||||
| Net realized and unrealized gains allocated from the Master Fund | ||||||||
| NET INCOME | ||||||||
| LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND | ||||||||
| NET INCOME AFTER PROFIT SHARE | $ | $ | ||||||
| NET INCOME PER UNIT OUTSTANDING: | ||||||||
| Series A | $ | $ | ||||||
| Series B | $ | $ | ||||||
| Series C | $ | $ | ||||||
| Series D | $ | $ | ||||||
| (1) |
| See notes to financial statements (Unaudited) | (Continued) |
2
Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)
| For
the six months ended |
||||||||
| June 30, 2022 |
June 30, 2021 |
|||||||
| INVESTMENT INCOME: | ||||||||
| Interest income | $ | $ | ||||||
| Interest income, net (allocated from the Master Fund) (1) | ||||||||
| Total investment income | ||||||||
| EXPENSES: | ||||||||
| Management fees (allocated from the Master Fund) (1) | ||||||||
| Brokerage commissions (allocated from the Master Fund) (1) | ||||||||
| Selling commissions and platform fees (allocated from the Master Fund) (1) | ||||||||
| Administrative and operating expenses (allocated from the Master Fund) (1) | ||||||||
| Custody fees and other expenses (allocated from the Master Fund) (1) | ||||||||
| Total expenses | ||||||||
| NET INVESTMENT LOSS | ( | ) | ( | ) | ||||
| REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND (1) | ||||||||
| Net realized gains (losses) on closed positions: | ||||||||
| Futures and forward currency contracts | ||||||||
| Foreign exchange transaction | ( | ) | ||||||
| Net change in unrealized: | ||||||||
| Futures and forward currency contracts | ( | ) | ||||||
| Foreign exchange translation | ( | ) | ( | ) | ||||
| Net gains (losses) from U.S. Treasury notes: | ||||||||
| Realized | ( | ) | ( | ) | ||||
| Net change in unrealized | ( | ) | ||||||
| Net realized and unrealized gains allocated from the Master Fund | ||||||||
| NET INCOME | ||||||||
| LESS PROFIT SHARE ALLOCATION TO THE MASTER FUND | ||||||||
| NET INCOME AFTER PROFIT SHARE | $ | $ | ||||||
| NET INCOME PER UNIT OUTSTANDING: | ||||||||
| Series A | $ | $ | ||||||
| Series B | $ | $ | ||||||
| Series C | $ | $ | ||||||
| Series D | $ | $ | ||||||
| (1) |
| See notes to financial statements (Unaudited) | (Concluded) |
3
Millburn Multi-Markets Fund L.P.
Statements of Changes in Partners’ Capital (UNAUDITED)
For the six months ended June 30, 2022 and 2021
| General | Limited Partners | |||||||||||||||||||||||||||||||||||||||
| Partner | Series A | Series B | Series C | Series D | Total | |||||||||||||||||||||||||||||||||||
| Amount | Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||
| PARTNERS’ CAPITAL — January 1, 2022 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Capital contributions | ||||||||||||||||||||||||||||||||||||||||
| Capital withdrawals | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||
| Net income before profit share | - | - | - | - | ||||||||||||||||||||||||||||||||||||
| Profit share | ( | ) | - | ( | ) | - | ( | ) | - | ( | ) | - | ( | ) | ||||||||||||||||||||||||||
| PARTNERS’ CAPITAL — June 30, 2022 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Net Asset Value per Unit at June 30, 2022 | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||
| General | Limited Partners | |||||||||||||||||||||||||||||||||||||||
| Partner | Series A | Series B | Series C | Series D | Total | |||||||||||||||||||||||||||||||||||
| Amount | Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||
| PARTNERS’ CAPITAL — January 1, 2021 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Capital contributions | - | |||||||||||||||||||||||||||||||||||||||
| Capital withdrawals | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||
| Net income before profit share | - | - | - | - | ||||||||||||||||||||||||||||||||||||
| Profit share | - | - | - | ( | ) | - | ( | ) | ||||||||||||||||||||||||||||||||
| PARTNERS’ CAPITAL — June 30, 2021 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Net Asset Value per Unit at June 30, 2021 | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||
See notes to financial statements (Unaudited)
4
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended June 30, 2022
The following information presents per unit operating performance data for each series for the three months ended June 30, 2022.
| Per Unit Performance | ||||||||||||||||
| (For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | Series D | ||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ | $ | $ | $ | ||||||||||||
| INCOME (LOSS) ALLOCATED FROM THE MASTER FUND: | ||||||||||||||||
| Net investment loss (1) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| Total trading and investing gains (1) | ||||||||||||||||
| Net income before profit share allocation from the Master Fund | ||||||||||||||||
| Less: profit share allocation from the Master Fund (1) (6) | ||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | ||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ | $ | $ | $ | ||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | ||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||
| Expenses (3) (4) (5) | % | % | % | % | ||||||||||||
| Profit share allocation from the Master Fund (2) (6) | ||||||||||||||||
| Total expenses | % | % | % | % | ||||||||||||
| Net investment loss (3) (4) (5) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
| (1) |
| (2) |
| (3) |
| (4) |
| (5) |
| (6) |
| See notes to financial statements (Unaudited) | (Continued) |
5
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the six months ended June 30, 2022
The following information presents per unit operating performance data for each series for the six months ended June 30, 2022.
| Per Unit Performance | ||||||||||||||||
| (For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | Series D | ||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ | $ | $ | $ | ||||||||||||
| INCOME (LOSS) ALLOCATED FROM THE MASTER FUND: | ||||||||||||||||
| Net investment loss (1) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| Total trading and investing gains (1) | ||||||||||||||||
| Net income before profit share allocation from the Master Fund | ||||||||||||||||
| Less: profit share allocation from the Master Fund (1) (6) | ||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | ||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ | $ | $ | $ | ||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | ||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||
| Expenses (3) (4) (5) | % | % | % | % | ||||||||||||
| Profit share allocation from the Master Fund (2) (6) | ||||||||||||||||
| Total expenses | % | % | % | % | ||||||||||||
| Net investment loss (3) (4) (5) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
| (1) |
| (2) |
| (3) |
| (4) |
| (5) |
| (6) |
| See notes to financial statements (Unaudited) | (Concluded) |
6
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended June 30, 2021
The following information presents per unit operating performance data for each series for the three months ended June 30, 2021.
| Per Unit Performance | ||||||||||||||||
| (For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | Series D | ||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ | $ | $ | $ | ||||||||||||
| INCOME (LOSS) ALLOCATED FROM THE MASTER FUND: | ||||||||||||||||
| Net investment loss (1) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| Total trading and investing gains (1) | ||||||||||||||||
| Net income before profit share allocation from the Master Fund | ||||||||||||||||
| Less: profit share allocation from the Master Fund (1) (6) | ||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | ||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ | $ | $ | $ | ||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | ||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||
| Expenses (3) (4) (5) | % | % | % | % | ||||||||||||
| Profit share allocation from the Master Fund (2) (6) | ||||||||||||||||
| Total expenses | % | % | % | % | ||||||||||||
| Net investment loss (3) (4) (5) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
| (1) |
| (2) |
| (3) |
| (4) |
| (5) |
| (6) |
| See notes to financial statements (Unaudited) | (Continued) |
7
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the six months ended June 30, 2021
The following information presents per unit operating performance data for each series for the six months ended June 30, 2021.
| Per Unit Performance | ||||||||||||||||
| (For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | Series D | ||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ | $ | $ | $ | ||||||||||||
| INCOME (LOSS) ALLOCATED FROM THE MASTER FUND: | ||||||||||||||||
| Net investment loss (1) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| Total trading and investing gains (1) | ||||||||||||||||
| Net income before profit share allocation from the Master Fund | ||||||||||||||||
| Less: profit share allocation from the Master Fund (1) (6) | ||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | ||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ | $ | $ | $ | ||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | ||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||
| Expenses (3) (4) (5) | % | % | % | % | ||||||||||||
| Profit share allocation from the Master Fund (2) (6) | ||||||||||||||||
| Total expenses | % | % | % | % | ||||||||||||
| Net investment loss (3) (4) (5) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
| (1) |
| (2) |
| (3) |
| (4) |
| (5) |
| (6) |
| See notes to financial statements (Unaudited) | (Concluded) |
8
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at June 30, 2022 (unaudited) and December 31, 2021 and the results of its operations for the three and six months ended June 30, 2022 and 2021 (unaudited).
These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership’s 2021 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
The Partnership enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2018 to 2021, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.
Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.
There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership’s Annual Report on Form 10-K for fiscal year 2021.
2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.
The
Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s
ownership percentage of the Master Fund at June 30, 2022 and December 31, 2021 was
3. RELATED PARTY TRANSACTIONS
The
Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Administrative and operating
expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed
Series A Limited Partners that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units’ net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At June 30, 2022 and December 31, 2021, there were no redemption charges owed to the General Partner.
9
4. FINANCIAL HIGHLIGHTS
Per unit operating performance for Series A, Series B, Series C and Series D Units is calculated based on Limited Partners’ Partnership capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the period. Weighted average number of units of each series is detailed below.
| Three
months ended June 30, | Six
months ended June 30, | |||||||||||||||
| 2022 | 2021 | 2022 | 2021 | |||||||||||||
| Series A | ||||||||||||||||
| Series B | ||||||||||||||||
| Series C | ||||||||||||||||
| Series D | ||||||||||||||||
5. SUBSEQUENT EVENTS
During the period from July 1, 2022 to August 12, 2022, contributions
of $
10
Millburn Multi-Markets Trading L.P.
Financial statements
For the three and six months ended June 30, 2022 and 2021 (unaudited)
| (a) | At June 30, 2022 (unaudited) and December 31, 2021 |
| (b) | For the six months ended June 30, 2022 and 2021 (unaudited) |
| (c) | For the three and six months ended June 30, 2022 and 2021 (unaudited) |
ii
Millburn Multi-Markets Trading L.P.
Statements of Financial Condition
|
June 30, 2022 | December 31, 2021 | |||||||
| (unaudited) | ||||||||
| ASSETS | ||||||||
| EQUITY IN TRADING ACCOUNTS: | ||||||||
| Investments
in U.S. Treasury notes — at fair value (amortized cost $ | $ | $ | ||||||
| Net unrealized appreciation on open futures and forward currency contracts | ||||||||
| Due from brokers, net | ||||||||
| Cash
denominated in foreign currencies (cost $ | ||||||||
| Total equity in trading accounts | ||||||||
| INVESTMENTS
IN U.S. TREASURY NOTES — at fair value (amortized cost $ | ||||||||
| CASH AND CASH EQUIVALENTS | ||||||||
| ACCRUED INTEREST RECEIVABLE | ||||||||
| DUE FROM MILLBURN MULTI-MARKETS LTD. | ||||||||
| OTHER ASSETS | ||||||||
| TOTAL | $ | $ | ||||||
| LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
| LIABILITIES: | ||||||||
| Net unrealized depreciation on open futures and forward currency contracts | $ | $ | ||||||
| Cash
overdrafts denominated in foreign currencies (cost $ | ||||||||
| Subscriptions received in advance | ||||||||
| Capital withdrawals payable to Limited Partners | ||||||||
| Capital withdrawal payable to General Partner | ||||||||
| Management fee payable | ||||||||
| Selling commissions payable | ||||||||
| Accrued expenses | ||||||||
| Commissions and other trading fees on open futures contracts | ||||||||
| Accrued profit share | ||||||||
| Total liabilities | ||||||||
| PARTNERS’ CAPITAL | ||||||||
| TOTAL | $ | $ | ||||||
See notes to financial statements (Unaudited)
11
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
June 30, 2022
| FUTURES AND FORWARD CURRENCY CONTRACTS | Net
Unrealized Appreciation (Depreciation) as a % of Partners’ Capital | Net Unrealized Appreciation (Depreciation) | ||||||
| FUTURES CONTRACTS | ||||||||
| Long futures contracts: | ||||||||
| Currencies | ( | )% | $ | ( | ) | |||
| Energies | ( | ) | ( | ) | ||||
| Interest rates: | ||||||||
| Other interest rates | ||||||||
| Total interest rates | ||||||||
| Livestock | ( | ) | ( | ) | ||||
| Metals | ( | ) | ( | ) | ||||
| Softs | ( | ) | ( | ) | ||||
| Stock indices | ( | ) | ( | ) | ||||
| Total long futures contracts | ||||||||
| Short futures contracts: | ||||||||
| Currencies | ( | ) | ( | ) | ||||
| Energies | ||||||||
| Grains | ||||||||
| Interest rates | ( | ) | ( | ) | ||||
| Livestock | ( | ) | ( | ) | ||||
| Metals | ||||||||
| Softs | ||||||||
| Stock indices | ||||||||
| Total short futures contracts | ||||||||
| TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | ||||||||
| FORWARD CURRENCY CONTRACTS | ||||||||
| Total long forward currency contracts | ( | ) | ( | ) | ||||
| Total short forward currency contracts | ||||||||
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | ( | ) | ( | ) | ||||
| TOTAL | % | $ | ||||||
(Continued)
12
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
June 30, 2022
U.S. TREASURY NOTES
| Face Amount | Description | Fair
Value as a % of Partners’ Capital | Fair Value | |||||||||
| $ | U.S.
Treasury notes, | % | $ | |||||||||
| U.S.
Treasury notes, | ||||||||||||
| U.S.
Treasury notes, | ||||||||||||
| U.S.
Treasury notes, | ||||||||||||
| Total
investments in U.S. Treasury notes (amortized cost $ | % | $ | ||||||||||
| See notes to financial statements (Unaudited) | (Concluded) |
13
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments
December 31, 2021
| FUTURES AND FORWARD CURRENCY CONTRACTS | Net
Unrealized Appreciation (Depreciation) as a % of Partners’ Capital | Net Unrealized Appreciation (Depreciation) | ||||||
| FUTURES CONTRACTS | ||||||||
| Long futures contracts: | ||||||||
| Currencies | % | $ | ||||||
| Energies | ||||||||
| Grains | ||||||||
| Interest rates | ( | ) | ( | ) | ||||
| Livestock | ( | ) | ( | ) | ||||
| Metals | ||||||||
| Softs | ( | ) | ( | ) | ||||
| Stock indices | ||||||||
| Total long futures contracts | ||||||||
| Short futures contracts: | ||||||||
| Currencies | ||||||||
| Energies | ||||||||
| Grains | ||||||||
| Interest rates | ||||||||
| Livestock | ||||||||
| Metals | ( | ) | ( | ) | ||||
| Softs | ||||||||
| Stock indices | ||||||||
| Total short futures contracts | ( | ) | ( | ) | ||||
| TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | ||||||||
| FORWARD CURRENCY CONTRACTS | ||||||||
| Total long forward currency contracts | ||||||||
| Total short forward currency contracts | ( | ) | ( | ) | ||||
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | ( | ) | ( | ) | ||||
| TOTAL | ( | )% | $ | ( | ) | |||
(Continued)
14
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments
December 31, 2021
U.S. TREASURY NOTES
| Face Amount | Description | Fair
Value as a % of Partners’ Capital | Fair Value | |||||||||
| $ | U.S.
Treasury notes, | % | $ | |||||||||
| U.S.
Treasury notes, | ||||||||||||
| U.S.
Treasury notes, | ||||||||||||
| Total
investments in U.S. Treasury notes (amortized cost $ | % | $ | ||||||||||
| See notes to financial statements (Unaudited) | (Concluded) |
15
Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)
| For
the three months ended | ||||||||
| June 30, | June 30, | |||||||
| 2022 | 2021 | |||||||
| INVESTMENT INCOME — Interest income, net | $ | $ | ||||||
| EXPENSES: | ||||||||
| Brokerage commissions | ||||||||
| Management fees | ||||||||
| Selling commissions and platform fees | ||||||||
| Administrative and operating expenses | ||||||||
| Custody fees and other expenses | ||||||||
| Total expenses | ||||||||
| NET INVESTMENT LOSS | ( | ) | ( | ) | ||||
| REALIZED AND UNREALIZED GAINS (LOSSES): | ||||||||
| Net realized gains (losses) on closed positions: | ||||||||
| Futures and forward currency contracts | ||||||||
| Foreign exchange transaction | ( | ) | ||||||
| Net change in unrealized: | ||||||||
| Futures and forward currency contracts | ( | ) | ||||||
| Foreign exchange translation | ( | ) | ( | ) | ||||
| Net losses from U.S. Treasury notes: | ||||||||
| Realized | ( | ) | ( | ) | ||||
| Net change in unrealized | ( | ) | ( | ) | ||||
| Total net realized and unrealized gains | ||||||||
| NET INCOME | ||||||||
| LESS PROFIT SHARE TO GENERAL PARTNER | ||||||||
| NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ | $ | ||||||
| See notes to financial statements (Unaudited) | (Continued) |
16
Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)
For the six months ended | ||||||||
| June 30, | June 30, | |||||||
| 2022 | 2021 | |||||||
| INVESTMENT INCOME — Interest income | $ | $ | ||||||
| EXPENSES: | ||||||||
| Brokerage commissions | ||||||||
| Management fees | ||||||||
| Selling commissions and platform fees | ||||||||
| Administrative and operating expenses | ||||||||
| Custody fees and other expenses | ||||||||
| Total expenses | ||||||||
| NET INVESTMENT LOSS | ( | ) | ( | ) | ||||
| REALIZED AND UNREALIZED GAINS (LOSSES): | ||||||||
| Net realized gains (losses) on closed positions: | ||||||||
| Futures and forward currency contracts | ||||||||
| Foreign exchange transaction | ( | ) | ||||||
| Net change in unrealized: | ||||||||
| Futures and forward currency contracts | ( | ) | ||||||
| Foreign exchange translation | ( | ) | ( | ) | ||||
| Net gains (losses) from U.S. Treasury notes: | ||||||||
| Realized | ( | ) | ( | ) | ||||
| Net change in unrealized | ( | ) | ||||||
| Total net realized and unrealized gains | ||||||||
| NET INCOME | ||||||||
| LESS PROFIT SHARE TO GENERAL PARTNER | ||||||||
| NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ | $ | ||||||
| See notes to financial statements (Unaudited) | (Concluded) |
17
Millburn Multi-Markets Trading L.P.
Statements of Changes in Partners’ Capital (UNAUDITED)
| For the six months ended June 30, 2022 | ||||||||||||||||
| Limited Partners | New
Profit Memo Account | General Partner | Total | |||||||||||||
| PARTNERS’ CAPITAL - January 1, 2022 | $ | $ | $ | $ | ||||||||||||
| Contributions | ||||||||||||||||
| Withdrawals | ( | ) | ( | ) | ||||||||||||
| Net income before profit share | ||||||||||||||||
| General Partner’s allocation - profit share | ( | ) | ( | ) | ||||||||||||
| PARTNERS’ CAPITAL - June 30, 2022 | $ | $ | $ | $ | ||||||||||||
| For the six months ended June 30, 2021 | ||||||||||||||||
| Limited Partners | New Profit Memo Account | General
Partner | Total | |||||||||||||
| PARTNERS’ CAPITAL - January 1, 2021 | $ | $ | $ | $ | ||||||||||||
| Contributions | ||||||||||||||||
| Withdrawals | ( | ) | ( | ) | ||||||||||||
| Net income before profit share | ||||||||||||||||
| General Partner’s allocation - profit share | ( | ) | ( | ) | ||||||||||||
| PARTNERS’ CAPITAL - June 30, 2021 | $ | $ | $ | $ | ||||||||||||
See notes to financial statements (Unaudited)
18
Millburn Multi-Markets Trading L.P.
Statements of Financial Highlights (UNAUDITED)
The following information presents financial highlights of a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (fee reduced to 1.75% per annum, effective April 1, 2021) and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).
| For
the three months ended | For
the six months ended | |||||||||||||||
| June 30, | June 30, | June 30, | June 30, | |||||||||||||
| 2022 | 2021 | 2022 | 2021 | |||||||||||||
| Total return before General Partner profit share allocation (3) | % | % | % | % | ||||||||||||
| Less: General Partner profit share allocation (3) | ||||||||||||||||
| Total return after General Partner profit share allocation (3) | % | % | % | % | ||||||||||||
| Ratios to average net asset value: | ||||||||||||||||
| Expenses (1) (4) | % | % | % | % | ||||||||||||
| General Partner profit share allocation (3) | ||||||||||||||||
| Total expenses (1) | % | % | % | % | ||||||||||||
| Net investment loss (1) (2) (4) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
Total returns and the ratios to average net asset value are calculated for a Limited Partner.
| (1) |
| (2) |
| (3) |
| (4) |
See notes to financial statements (Unaudited)
19
Millburn
Multi-Markets Trading L.P.
Statements of Financial Highlights (UNAUDITED)
The following information presents financial highlights for Limited Partners as a whole.
| For
the three months ended | For
the six months ended | |||||||||||||||
| June 30, | June 30, | June 30, | June 30, | |||||||||||||
| 2022 | 2021 | 2022 | 2021 | |||||||||||||
| Total return before General Partner profit share allocation (3) | % | % | % | % | ||||||||||||
| Less: General Partner profit share allocation (3) | ||||||||||||||||
| Total return after General Partner profit share allocation (3) | % | % | % | % | ||||||||||||
| Ratios to average net asset value: | ||||||||||||||||
| Expenses (1) (4) | % | % | % | % | ||||||||||||
| General Partner profit share allocation (3) | ||||||||||||||||
| Total expenses (1) | % | % | % | % | ||||||||||||
| Net investment loss (1) (2) (4) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner’s total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.
| (1) |
| (2) |
| (3) |
| (4) |
See notes to financial statements (Unaudited)
20
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Master Fund engages in the speculative trading of futures and forward currency contracts, as well as hedging using forward currency contracts and also acts as a master fund for the Partnership and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”).
The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at June 30, 2022 (unaudited) and December 31, 2021 (audited) and the results of its operations for the three and six months ended June 30, 2022 and 2021 (unaudited).
These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Master Fund’s annual report for the year ended December 31, 2021 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021.
The preparation of financial statements in conformity with U.S. GAAP in the U.S, as detailed in the FASB Codification, requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
The Master Fund enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Master Fund’s maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2018 to 2021, the General Partner has determined that no reserves for uncertain tax positions were required.
Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.
21
2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At June 30, 2022 and December 31, 2021, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.
| June 30, 2022 | December 31, 2021 | |||||||
| Partnership | % | % | ||||||
| Cayman Feeder | % | % | ||||||
| Total | % | % | ||||||
The
capital withdrawals payable at June 30, 2022 and December 31, 2021 were $
| June 30, | December 31, | |||||||
| 2022 | 2021 | |||||||
| Direct investors (1) | $ | $ | ||||||
| Partnership | ||||||||
| Cayman Feeder | ||||||||
| Total | $ | $ | ||||||
| (1) |
The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Cayman Feeder level. The General Partner bears any excess over such amounts.
22
3. FAIR VALUE
The Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy 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 active or financial instruments for which all significant inputs are observable, either directly or indirectly; and
Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.
Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.
Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.
Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.
During the three and six months ended June 30, 2022 and 2021, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of June 30, 2022 and December 31, 2021 in valuing the Master Fund’s investments at fair value. At June 30, 2022 and December 31, 2021, the Master Fund had no assets or liabilities in Level 3.
23
Financial assets and liabilities at fair value as of June 30, 2022
| Level 1 | Level 2 | Total | ||||||||||
| U.S. Treasury notes (1) | $ | $ | $ | |||||||||
| Short-Term Money Market Fund* | ||||||||||||
| Exchange-traded futures contracts | ||||||||||||
| Currencies | ( | ) | ( | ) | ||||||||
| Energies | ||||||||||||
| Grains | ||||||||||||
| Interest rates | ||||||||||||
| Livestock | ( | ) | ( | ) | ||||||||
| Metals | ||||||||||||
| Softs | ||||||||||||
| Stock indices | ||||||||||||
| Total exchange-traded futures contracts | ||||||||||||
| Over-the-counter forward currency contracts | ( | ) | ( | ) | ||||||||
| Total futures and forward currency contracts (2) | ( | ) | ||||||||||
| Total financial assets and liabilities at fair value | $ | $ | ( | ) | $ | |||||||
| Per line item in the Statements of Financial Condition | ||||||||||||
| (1) | ||||||||||||
| Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | |||||||||||
| Investments in U.S. Treasury notes held in custody | ||||||||||||
| Total investments in U.S. Treasury notes | $ | |||||||||||
| (2) | ||||||||||||
| Net unrealized appreciation on open futures and forward currency contracts | $ | |||||||||||
| Net unrealized depreciation on open futures and forward currency contracts | ( | ) | ||||||||||
| Total net unrealized appreciation on open futures and forward currency contracts | $ |
| * |
24
Financial assets and liabilities at fair value as of December 31, 2021
| Level 1 | Level 2 | Total | ||||||||||
| U.S. Treasury notes (1) | $ | $ | $ | |||||||||
| Short-Term Money Market Fund* | ||||||||||||
| Exchange-traded futures contracts | ||||||||||||
| Currencies | ||||||||||||
| Energies | ||||||||||||
| Grains | ||||||||||||
| Interest rates | ( | ) | ( | ) | ||||||||
| Livestock | ( | ) | ( | ) | ||||||||
| Metals | ||||||||||||
| Softs | ( | ) | ( | ) | ||||||||
| Stock indices | ||||||||||||
| Total exchange-traded futures contracts | ||||||||||||
| Over-the-counter forward currency contracts | ( | ) | ( | ) | ||||||||
| Total futures and forward currency contracts (2) | ( | ) | ( | ) | ||||||||
| Total financial assets and liabilities at fair value | $ | $ | ( | ) | $ | |||||||
| Per line item in Statements of Financial Condition | ||||||||||||
| (1) | ||||||||||||
| Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | |||||||||||
| Investments in U.S. Treasury notes | ||||||||||||
| Total investments in U.S. Treasury notes | $ | |||||||||||
| (2) | ||||||||||||
| Net unrealized appreciation on open futures and forward currency contracts | $ | |||||||||||
| Net unrealized depreciation on open futures and forward currency contracts | ( | ) | ||||||||||
| Total net unrealized depreciation on open futures and forward currency contracts | $ | ( | ) |
| * |
25
4. DERIVATIVE INSTRUMENTS
The Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.
The Master Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Fund’s open positions and the liquidity of the markets in which it trades.
The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at June 30, 2022 by market sector:
Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.
Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.
Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this sector.
Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.
Metals – The Master Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.
Stock indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.
The Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.
Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. 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 Master Fund’s trading gains and losses in the Statements of Operations.
26
The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at June 30, 2022 and December 31, 2021. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.
Fair value of futures and forward currency contracts at June 30, 2022
| Net Unrealized Gain (Loss) on | ||||||||||||||||||||
| Fair Value - Long Positions | Fair Value - Short Positions | Open | ||||||||||||||||||
| Sector | Gains | Losses | Gains | Losses | Positions | |||||||||||||||
| Futures contracts: | ||||||||||||||||||||
| Currencies | $ | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | |||||||||
| Energies | ( | ) | ( | ) | ||||||||||||||||
| Grains | ( | ) | ||||||||||||||||||
| Interest rates | ( | ) | ( | ) | ||||||||||||||||
| Livestock | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Metals | ( | ) | ( | ) | ||||||||||||||||
| Softs | ( | ) | ( | ) | ||||||||||||||||
| Stock indices | ( | ) | ( | ) | ||||||||||||||||
| Total futures contracts | ( | ) | ( | ) | ||||||||||||||||
| Forward currency contracts | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Total futures and forward currency contracts | $ | $ | ( | ) | $ | $ | ( | ) | $ | |||||||||||
Fair value of futures and forward currency contracts at December 31, 2021
| Net Unrealized Gain (Loss) on | ||||||||||||||||||||
| Fair Value - Long Positions | Fair Value - Short Positions | Open | ||||||||||||||||||
| Sector | Gains | Losses | Gains | Losses | Positions | |||||||||||||||
| Futures contracts: | ||||||||||||||||||||
| Currencies | $ | $ | $ | $ | ( | ) | $ | |||||||||||||
| Energies | ( | ) | ( | ) | ||||||||||||||||
| Grains | ( | ) | ( | ) | ||||||||||||||||
| Interest rates | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Livestock | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Metals | ( | ) | ( | ) | ||||||||||||||||
| Softs | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Stock indices | ( | ) | ( | ) | ||||||||||||||||
| Total futures contracts | ( | ) | ( | ) | ||||||||||||||||
| Forward currency contracts | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Total futures and forward currency contracts | $ | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | |||||||||
27
The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three and six months ended June 30, 2022 and 2021 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.
Trading gains (losses) of futures and forward currency contracts for the three and six months ended June 30, 2022 and 2021
| Three months ended: | Three months ended: | Six months ended: | Six months ended: | |||||||||||||
| June 30, | June 30, | June 30, | June 30, | |||||||||||||
| Sector | 2022 | 2021 | 2022 | 2021 | ||||||||||||
| Futures contracts: | ||||||||||||||||
| Currencies | $ | $ | $ | $ | ||||||||||||
| Energies | ||||||||||||||||
| Grains | ( | ) | ||||||||||||||
| Interest rates | ( | ) | ( | ) | ( | ) | ||||||||||
| Livestock | ( | ) | ||||||||||||||
| Metals | ( | ) | ||||||||||||||
| Softs | ( | ) | ( | ) | ||||||||||||
| Stock indices | ||||||||||||||||
| Total futures contracts | ||||||||||||||||
| Forward currency contracts | ( | ) | ( | ) | ||||||||||||
| Total futures and forward currency contracts | $ | $ | $ | $ | ||||||||||||
For the three months ended June 30, 2022 and 2021, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:
| 2022 | 2021 | |||||||
| Average bought | ||||||||
| Average sold | ||||||||
| Average notional | $ | $ | ||||||
The customer agreements between the Master Fund, the futures clearing brokers including, Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Master Fund the legal right to net unrealized gains and losses on open futures and forward currency contracts. The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under FASB Accounting Standards Codification Topic 210, “Balance Sheet,” were met.
28
The following tables represent gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of June 30, 2022 and December 31, 2021.
Offsetting of derivative assets and liabilities at June 30, 2022
| Assets | Gross amounts of recognized assets | Gross
amounts offset in the Statements of Financial Condition | Net
amounts of assets presented in the Statements of Financial Condition | |||||||||
| Futures contracts | ||||||||||||
| Counterparty C | $ | $ | ( | ) | $ | |||||||
| Counterparty J | ( | ) | ||||||||||
| Counterparty L | ( | ) | ||||||||||
| Total futures contracts | ( | ) | ||||||||||
| Forward currency contracts | ||||||||||||
| Counterparty K | ( | ) | ||||||||||
| Total assets | $ | $ | ( | ) | $ | |||||||
| Liabilities | Gross amounts of recognized liabilities | Gross
amounts offset in the Statements of Financial Condition | Net
amounts of liabilities presented in the Statements of Financial Condition | |||||||||
| Forward currency contracts | ||||||||||||
| Counterparty G | $ | $ | ( | ) | $ | |||||||
| Total liabilities | $ | $ | ( | ) | $ | |||||||
29
| Net amounts of Assets presented in the Statements of | Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
| Counterparty | Financial Condition | Financial Instruments | Collateral Received(1)(2) | Net Amount(3) | ||||||||||||
| Counterparty C | $ | $ | $ | ( | ) | $ | ||||||||||
| Counterparty J | ( | ) | ||||||||||||||
| Counterparty L | ( | ) | ||||||||||||||
| Counterparty K | ||||||||||||||||
| Total | $ | $ | $ | ( | ) | $ | ||||||||||
| Net amounts of Liabilities presented in the Statements of | Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
| Counterparty | Financial Condition | Financial Instruments | Collateral Pledged(1)(2) | Net Amount(4) | ||||||||||||
| Counterparty G | $ | $ | $ | $ | ||||||||||||
| Total | $ | $ | $ | $ | ||||||||||||
| (1) |
| (2) |
| (3) |
| (4) |
30
Offsetting of derivative assets and liabilities at December 31, 2021
| Assets | Gross amounts of recognized assets | Gross
amounts offset in the Statement of Financial Condition | Net
amounts of assets presented in the Statement of Financial Condition | |||||||||
| Futures contracts | ||||||||||||
| Counterparty J | $ | $ | ( | ) | $ | |||||||
| Counterparty L | ( | ) | ||||||||||
| Total futures contracts | ( | ) | ||||||||||
| Total assets | $ | $ | ( | ) | $ | |||||||
| Liabilities | Gross amounts of recognized liabilities | Gross
amounts offset in the Statement of Financial Condition | Net
amounts of liabilities presented in the Statement of Financial Condition | |||||||||
| Futures contracts | ||||||||||||
| Counterparty C | $ | $ | ( | ) | $ | |||||||
| Forward currency contracts | ||||||||||||
| Counterparty G | $ | $ | ( | ) | $ | |||||||
| Counterparty K | ( | ) | ||||||||||
| Total forward contracts | ( | ) | ||||||||||
| Total liabilities | $ | $ | ( | ) | $ | |||||||
31
| Net amounts of Assets presented in the Statements of | Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
| Counterparty | Financial Condition | Financial Instruments | Collateral Received(1)(2) | Net Amount(3) | ||||||||||||
| Counterparty J | $ | $ | $ | ( | ) | $ | ||||||||||
| Counterparty L | ( | ) | ||||||||||||||
| Total | $ | $ | $ | ( | ) | $ | ||||||||||
| Net amounts of Liabilities presented in the Statements of | Amounts Not Offset in the Statement of Financial Condition | |||||||||||||||
| Counterparty | Financial Condition | Financial Instruments | Collateral Pledged(1)(2) | Net Amount(4) | ||||||||||||
| Counterparty C | $ | $ | $ | $ | ||||||||||||
| Counterparty G | ||||||||||||||||
| Counterparty K | ||||||||||||||||
| Total | $ | $ | $ | $ | ||||||||||||
| (1) |
| (2) |
| (3) |
| (4) |
32
CONCENTRATION OF CREDIT RISK
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 is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.
The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.
The
Master Fund’s forward currency trading activities are cleared by DB and BA. The Master Fund’s concentration of credit risk
associated with DB, or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements
of Financial Condition plus the value of margin or collateral held by DB, and BA. The amount of such credit risk was $
The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 2022 and 2021. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Master Fund’s Agreement of Limited Partnership.
| Three months ended: | Three months ended: | |||||||
| June 30, 2022 | June 30, 2021 | |||||||
| Profit share earned | $ | $ | ||||||
| Reversal of profit share (1) | ( | ) | ( | ) | ||||
| Profit share accrued | ||||||||
| Total profit share | $ | $ | ||||||
| Six months ended: | Six months ended: | |||||||
| June 30, 2022 | June 30, 2021 | |||||||
| Profit share earned | $ | $ | ||||||
| Profit share accrued | ||||||||
| Total profit share | $ | $ | ||||||
| (1) |
33
6. FINANCIAL HIGHLIGHTS
Ratios
to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of
7. SUBSEQUENT EVENTS
During the period from July 1, 2022 to August 12, 2022, contributions
of $
34
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Reference is made to Item 1, “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.
OPERATIONAL OVERVIEW
The Partnership invests substantially all of its assets in the Master Fund. Due to the nature of the Master Fund’s business, its results of operations depend on the General Partner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner’s investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Master Fund’s results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.
LIQUIDITY AND CAPITAL RESOURCES
Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).
The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.
The Master Fund trades futures, forwards, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.
The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be substantially higher; and (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market). The General Partner attempts to control credit risk by causing the Partnership and the Master Fund to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.
The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward, and spot contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.
35
Due to the nature of the Master Fund’s business, substantially all its assets are represented by cash, cash equivalents, and U.S. government obligations, while the Master Fund maintains its market exposure through open futures, forward, and spot contract positions.
The Master Fund’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked-to-market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.
The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.
The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures, forwards, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures, forward and spot trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations through June 30, 2022, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.
CRITICAL ACCOUNTING ESTIMATES
The Master Fund records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.
36
RESULTS OF OPERATIONS
Due to the nature of the Partnership’s trading, through its investment in the Master Fund, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
Periods ended June 30, 2022
| Month Ended: | Total Partners’ Capital of the Partnership | |||
| June 30, 2022 | $ | 142,500,839 | ||
| March 31, 2022 | 129,950,379 | |||
| December 31, 2021 | 128,076,157 | |||
| Three Months | Six Months | |||||||
| Change in Partners’ Capital | $ | 12,550,460 | $ | 14,424,682 | ||||
| Percent Change | 9.66 | % | 11.26 | % | ||||
37
THREE MONTHS ENDED JUNE 30, 2022
The increase in the Partnership’s net assets of $12,550,460 was attributable to net income after profit share through its investment in the Master Fund of $9,153,118 and contributions of $4,780,000 which were partially offset by withdrawals of $1,382,658.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2022 decreased $1,792 relative to the corresponding period in 2021. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended June 30, 2022, relative to the corresponding period in 2021.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2022 decreased $76,148 relative to the corresponding period in 2021. The decrease was due to a decrease in trading volume during the three months ended June 30, 2022, relative to the corresponding period in 2021.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended June 30, 2022 increased $14,743 relative to the corresponding period in 2021. The increase was due predominantly to an increase in the average net asset value of Series A during the three months ended June 30, 2022, relative to the corresponding period in 2021.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2022 decreased $2,783 relative to the corresponding period in 2021. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended June 30, 2022, relative to the corresponding period in 2021.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2022 increased $307,919 relative to the corresponding period in 2021. The increase was due to an increase in short-term U.S. Treasury yields during the three months ended June 30, 2022, relative to the corresponding period in 2021.
For the three months ended June 30, 2022, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $11,434,374 from trading operations (including foreign exchange transactions and translations). Management fees of $601,640, brokerage commissions of $148,587, selling commissions and platform fees of $601,927, administrative and operating expenses of $130,094, custody fees and other expenses of $6,211, and profit share of $1,116,328 were paid or accrued. Interest income of $323,531 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $9,153,118.
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
| % Gain | ||||
| Sector | (Loss) | |||
| Currencies | 2.61 | % | ||
| Energies | 3.56 | % | ||
| Grains | 0.85 | % | ||
| Interest rates | (4.17 | )% | ||
| Livestock | 0.05 | % | ||
| Metals | 1.40 | % | ||
| Softs | 0.05 | % | ||
| Stock indices | 4.54 | % | ||
| Trading gain* | 8.89 | % | ||
| * | Percentage of the Partnership Capital |
38
SIX MONTHS ENDED JUNE 30, 2022
The increase in the Partnership’s net assets of $14,424,682 was attributable to net income after profit share through its investment in the Master Fund of $15,957,331 and contributions of $5,060,000 which were partially offset by withdrawals of $6,592,649.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2022 decreased $139,340 relative to the corresponding period in 2022. The decrease was due to a decrease in the average net asset value of the Partnership during the six months ended June 30, 2022, relative to the corresponding period in 2021.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2022 decreased $112,217 relative to the corresponding period in 2021. The decrease was due to a decrease in the trading volume during the six months ended June 30, 2022, relative to the corresponding period in 2021.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the six months ended June 30, 2022 decreased $16,423 relative to the corresponding period in 2021. The decrease was due predominantly to a decrease in the average net asset value of Series D during the six months ended June 30, 2022, relative to the corresponding period in 2021.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2022 decreased $5,966 relative to the corresponding period in 2021. The decrease was due to a decrease in the average net asset value of Series D during the six months ended June 30, 2022, relative to the corresponding period in 2021.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2022 increased $352,651 relative to the corresponding period in 2021. The increase was due to an increase in short-term U.S. Treasury yields during the six months ended June 30, 2022, relative to the corresponding period in 2021.
For the six months ended June 30, 2022, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $19,659,198 from trading operations (including foreign exchange transactions and translations). Management fees of $1,145,808, brokerage commissions of $323,477, selling commissions and platform fees of $1,142,679, administrative and operating expenses of $256,911, custody fees and other expenses of $11,901, and profit share of $1,207,222 were paid or accrued. Interest income of $386,131 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $15,957,331.
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
| % Gain | ||||
| Sector | (Loss) | |||
| Currencies | 3.56 | % | ||
| Energies | 10.66 | % | ||
| Grains | 0.48 | % | ||
| Interest rates | (3.97 | )% | ||
| Livestock | 0.08 | % | ||
| Metals | (0.56 | )% | ||
| Softs | 0.22 | % | ||
| Stock indices | 5.63 | % | ||
| Trading gain* | 16.10 | % | ||
| * | Percentage of the Partnership Capital |
39
MANAGEMENT DISCUSSION – 2022
Three months ended June 30, 2022
The Partnership was profitable as gains from trading stock index, energy, metal and grain futures, and currency forwards far outweighed losses from trading interest rate futures. Trading of soft and livestock futures were each essentially flat.
As markets faced constant pressure from rising inflation, Russia’s war on Ukraine, persistent supply chain difficulties and expanding U.S.-China tensions, market participants increasingly focused on the uncertainties around three interrelated questions: how fast and how high official interest rates would be raised by global central banks, especially the U.S. Federal Reserve Bank (the “Fed”) and European Central Bank (the “ECB”); when and how quickly inflation would begin to subside; and when and how significantly global growth would begin to decelerate.
Against the background of rising inflation and interest rates, plunging consumer confidence globally, fears of slowing growth and caution concerning the earnings outlook, volatility increased, most global equity markets declined sharply, and trading of equity futures was quite profitable. Short positions in European, British, Korean, Singaporean, Brazilian, Indian, EAFE and emerging markets index futures were profitable. Trading of U.S. equity index futures was profitable too. On the other hand, short positions in Japanese equity index futures, long positions in Canadian and Australian equity index futures, and a short VIX futures trade resulted in partially offsetting losses. Short positions in Chinese stock index futures were also unprofitable late in the quarter as China displayed incipient signs of emerging from its severe first half growth slowdown.
Following sharp increases in the first quarter, energy prices were volatile during the April-June period. Strong demand for refined fuels combined with concerns over increasing restrictions on Russian supplies and a dwindling “supply buffer” within Organization of the Petroleum Exporting Countries (“OPEC+”) pushed energy prices higher, while increasing recession worries due to tighter monetary policies mitigated the upward pressures, especially late in June. Long natural gas positions were profitable for most of the quarter. Then, in late June, an explosion at one of the biggest US liquefied natural gas export terminals in Texas reduced exports to Europe, thereby significantly raising natural gas supplies available for U.S. domestic consumption. U.S. natural gas prices plunged in June, leading to profits on a short natural gas position. Elsewhere, long positions in RBOB gasoline, heating oil, London gas oil, WTI crude and Brent crude were profitable.
The U.S. dollar, as measured by the Bloomberg DXY index, rose about 7 1/2% in the quarter and about 10% since the start of the year. Considering that the war in Ukraine is expected to have a much greater negative impact on European growth than U.S. growth and that the Fed is likely to remain more hawkish than the ECB, long U.S. dollar positions against the euro and Swiss franc were profitable. A long U.S. dollar trade versus the Japanese yen was profitable too as the Bank of Japan continued to pursue an expansive monetary policy at the same time that the Fed was becoming decidedly more restrictive. As commodity prices stabilized somewhat, albeit at high levels, long U.S. dollar trades versus several commodity currencies such as the Aussie dollar, Canadian dollar, Chilean peso, Norwegian krone and South African rand also resulted in profits. On the other hand, a short U.S. dollar position against the Brazilian real and trading the U.S. dollar versus the British pound and New Zealand dollar generated partially offsetting losses.
Fears of a demand-sapping recession, a stronger U.S. dollar and higher interest rates weighed on metal markets, even though there were incipient signs that China was emerging from its sharp growth slowdown. Indications that supplies of many industrial metals would increase in the next couple of years also dampened the price outlook. Short positions in copper, silver and gold were profitable, while trading of aluminum generated a partially offsetting loss.
Grain prices which hit 10-year highs in March and April following the Russian invasion of Ukraine, were volatile during most of the second quarter, and eased somewhat in June against the backdrop of more favorable weather in the U.S. and South America, near record Russian wheat crops, hopes for Ukrainian exports and slowing demand due to recession fears. A long soybean oil position was profitable in April in the wake of news that Indonesia banned exports of palm oil in a bid to ensure domestic supply. Both palm oil and soybean oil are used for cooking as well as food preparation, and are in high demand as substitutes for sunflower oil, a commodity whose supply has been negatively impacted by the ongoing Russian war on Ukraine. Then, late in June, a short soybean oil trade was also profitable. Short corn and wheat trades were also profitable late in the quarter.
Interest rate volatility, as measured by the Merrill Lynch MOVE Index, increased markedly during the quarter. On the one hand, concerns about inflation and more hawkish central bank policies underpinned rates. On the other hand, weakening economic data underscored worries about recession and sparked speculation that the Fed might not need to raise rates as high as previously estimated, thereby periodically dragging yields lower. Long positions in European, British, Australian, Canadian, Japanese and U.S. note and bond futures were broadly unprofitable, although these losses were reduced by a significant global bond rally near month end. Meanwhile, trading of short-term U.S., German, Canadian and Australian interest rate futures was fractionally profitable.
40
Three months ended March 31, 2022
The Partnership was profitable in the quarter as gains from trading energy futures, stock index futures and currency forwards outpaced losses from trading metal futures. Elsewhere, trading of interest rate futures and softs futures were marginally positive while trading of agricultural commodity futures was marginally negative.
During the quarter, market prices experienced significant volatility as market participants endeavored to understand the impacts of recent events—including the increasingly hawkish Federal Reserve (the “Fed”) and global central bank monetary policies; the Russia-Ukraine war and accompanying sanctions; and the Chinese growth slowdown, which was exacerbated by recent COVID-19 lockdowns—on individual markets and on growth/inflation outlooks for various regions of the world.
Disciplined supply management from both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers together with oil consumption recovering toward pre-pandemic levels underpinned a rise in Brent crude oil prices from $77/barrel at the end of 2021 to around $90/barrel on January 31 amid concerns that the market may face an oil-market squeeze triggered by too little investment and quickly rebounding demand. Then, as the Russia-Ukraine war erupted, energy prices, represented by Brent crude oil, surge to nearly $130/barrel on March 8 amid fears that Russian energy supplies would be negatively impacted. Russia is among the top three global producers of crude oil and natural gas. Over the last three weeks of the quarter, energy prices were extremely volatile with Brent crude plunging to $98/barrel on March 16 and jumping to $122/barrel on March 24 before closing the month at $108/barrel. The price drop near month-end followed news that the U.S. would release a million barrels per day from the Strategic Petroleum Reserve for up to six months. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, and heating oil were profitable. In addition, periodic short positions in Brent crude, RBOB gasoline and London gas oil posted small gains. On the other hand, a short position in U.S. natural gas was unprofitable and shifted to a long position late in the quarter.
The Fed and other central banks’ embrace of more hawkish policy impacted global financial markets, contributing to increased volatility and significant losses for global equities, despite a modest recovery at quarter-end. China’s growth slowdown and property market distress also weighed on equities, as did Europe’s struggles with high energy prices, supply bottlenecks and personnel shortages. The potential stagflationary impacts of the Russia-Ukraine war also contributed to uncertainty in global equity markets. Overall, short positions in Chinese, Hong Kong, Korean, Singaporean, German, Italian, South African, and the EEM and EAFE index futures were profitable. Trading of the S&P Mid-Cap index, and long positions in Australian and British index futures late in the quarter were also profitable. On the other hand, long positions in most U.S. equity index futures and trading of Dutch, French, and the Euro Stoxx index futures posted partially offsetting losses. Short VIX and Brazilian index futures positions, a long Canadian equity index future position, and trading of the Taiwanese stock index future were also unprofitable.
The U.S. dollar was volatile for most of the quarter, but it spiked about 3% higher during the first week of the Russian invasion of Ukraine and as market participants anticipated a hawkish tilt for the mid-March Federal Open Market Committee meeting. A long U.S. dollar trade versus the Japanese yen was particularly profitable as the Bank of Japan continued to pursue an expansive monetary policy while the Fed was becoming decidedly more restrictive. A long Brazilian real/short dollar trade benefitted from high level of Brazilian interest rates and from rising commodity prices. Given that the war in Ukraine is likely to have a much greater negative impact on Europe than the U.S., a long U.S. dollar position against the Euro was profitable. A short U.S. dollar trade versus the Russian ruble was closed out at a loss during February when the Partnership halted trading of the Russian currency. Elsewhere, trading the U.S. dollar against the currencies of Switzerland, Sweden, the U.K. and India; long U.S. dollar trades against the Australian and Canadian currencies; and a short U.S. dollar/ long New Zealand dollar position posted partially offsetting losses.
Led by a seemingly increasingly hawkish Fed, global interest rates increased throughout the quarter as Chairman Powell indicated that the March start to official rate increases and end to Quantitative Easing would be followed shortly thereafter by Quantitate Tightening (“QT”) as the Fed seeks to rein in inflation without derailing strong GDP and employment growth. Following this news, the 10-year U.S. government bond yield, which ended 2021 near 1.50%, soared to nearly 2.50% on March 28 before settling back to about 2.30% at month-end. Concerns that higher rates and QT would slow growth nor safe haven demand deriving from the Russian-Ukraine kept rates down. On balance, short positions in shorter-term U.S., European, Canadian and Italian interest rate futures were profitable. In addition, short positions in the U.S. ultra-bond future and the 10-year Italian bond future were profitable. On the other hand, trading of Australian, Canadian, French, Japanese and U.S. note futures posted largely offsetting losses.
Geopolitical developments, the Chinese growth slowdown, monetary policy uncertainties and dollar volatility impacted metal markets, which experienced an overall sector loss. Trading of silver, gold, platinum and copper futures produced losses. On the other hand, a long nickel position was profitable as rising demand—especially for EV batteries, and low inventories buoyed prices. Trading of zinc was also slightly profitable.
Finally, turning to soft and agricultural commodities, losses from a short wheat position and from trading soybean oil, sugar and coffee outdistanced the profits from long soybean, soybean meal and cotton positions.
41
Periods ended June 30, 2021
| Month Ended: | Total Partners’ Capital of the Partnership | |||
| June 30, 2021 | $ | 134,322,512 | ||
| March 31, 2021 | 137,264,652 | |||
| December 31, 2020 | 139,012,777 | |||
| Three Months | Six Months | |||||||
| Change in Partners’ Capital | $ | (2,942,140 | ) | $ | (4,690,265 | ) | ||
| Percent Change | (2.14 | )% | (3.37 | )% | ||||
42
THREE MONTHS ENDED JUNE 30, 2021
The decrease in the Partnership’s net assets of $2,942,140 was attributable to withdrawals of $12,571,959 which were partially offset by net income after profit share through its investment in the Master Fund of $9,576,819 and contributions of $53,000.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2021 decreased $209,725 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended June 30, 2021, relative to the corresponding period in 2020.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2021 increased $42,505 relative to the corresponding period in 2020. The increase was due to an increase in the trading volume during the three months ended June 30, 2021, relative to the corresponding period in 2020.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended June 30, 2021 decreased $113,476 relative to the corresponding period in 2020. The decrease was due predominantly to a decrease in the average net asset value of the Partnership during the three months ended June 30, 2021, relative to the corresponding period in 2020.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2021 decreased $28,818 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended June 30, 2021, relative to the corresponding period in 2020.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2021 decreased $406,866 relative to the corresponding period in 2020. The decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended June 30, 2021 as well as a decrease in Treasury note holdings, relative to the corresponding period in 2020.
For the three months ended June 30, 2021, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $11,214,840 from trading operations (including foreign exchange transactions and translations). Management fees of $603,432, brokerage commissions of $224,735, selling commissions and platform fees of $587,184, administrative and operating expenses of $132,877, custody fees and other expenses of $5,821, and profit share of $99,436 were paid or accrued. Interest income of $15,464 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $9,576,819.
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
| % Gain | ||||
| Sector | (Loss) | |||
| Currencies | (1.01 | )% | ||
| Energies | 2.95 | % | ||
| Grains | (0.58 | )% | ||
| Interest rates | 2.81 | % | ||
| Livestock | 0.03 | % | ||
| Metals | 1.31 | % | ||
| Softs | (0.45 | )% | ||
| Stock indices | 3.29 | % | ||
| Trading gain* | 8.35 | % | ||
| * | Percentage of the Partnership Capital |
43
SIX MONTHS ENDED JUNE 30, 2021
The decrease in the Partnership’s net assets of $4,690,265 was attributable to withdrawals of $18,925,703 which were partially offset by net income after profit share through its investment in the Master Fund of $13,861,438 and contributions of $374,000.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2021 decreased $409,281 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the six months ended June 30, 2021, relative to the corresponding period in 2020.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2021 increased $14,155 relative to the corresponding period in 2020. The increase was due to an increase in the trading volume during the six months ended June 30, 2021, relative to the corresponding period in 2020.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the six months ended June 30, 2021 decreased $319,062 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the six months ended June 30, 2021, relative to the corresponding period in 2020.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2021 decreased $47,489 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the six months ended June 30, 2021, relative to the corresponding period in 2020.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2021 decreased $1,134,456 relative to the corresponding period in 2020. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields as well as a decrease in Treasury note holdings.
For the six months ended June 30, 2021, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $17,082,055 from trading operations (including foreign exchange transactions and translations). Management fees of $1,285,148, brokerage commissions of $435,694, selling commissions and platform fees of $1,159,102, administrative and operating expenses of $262,877, custody fees and other expenses of $11,692, and profit share of $99,436 were paid or accrued. Interest income of $33,332 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $13,861,438.
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
| % Gain | ||||
| Sector | (Loss) | |||
| Currencies | (2.03 | )% | ||
| Energies | 4.18 | % | ||
| Grains | 0.31 | % | ||
| Interest rates | (0.22 | )% | ||
| Livestock | (0.11 | )% | ||
| Metals | 1.01 | % | ||
| Softs | (0.43 | )% | ||
| Stock indices | 10.52 | % | ||
| Trading gain* | 13.23 | % | ||
| * | Percentage of the Partnership Capital |
44
MANAGEMENT DISCUSSION – 2021
Three months ended June 30, 2021
The Partnership was profitable in the quarter as gains from long positions in stock index, interest rate, energy and metals futures outpaced losses from trading currency forwards and grain and soft commodity futures.
For much of the quarter, reflation and reopening dynamics underpinned by expanding COVID-19 vaccinations and accommodative monetary and fiscal policies globally contributed to rising equity prices, commodity prices and interest rates. In May, market participants faced headwinds that at times impacted market sentiment including: declines in Bitcoin and SPAC prices; the Colonial pipeline cyberattack; and geopolitical tensions and/or negotiations between the U.S. and China, the U.S. and Iran, Israel and Hamas and Russia/Belarus and the West. Importantly, evidence that inflation was increasing raised concerns that global monetary policies might become less accommodative. Central banks in Brazil, Russia, Turkey, Mexico, Hungary and the Czech Republic have raised official rates recently and monetary authorities in Canada, New Zealand and Norway have suggested it may be time to rein in crisis policies soon. The Federal Reserve (the “Fed”) continues to emphasize the “transitory” nature of recent inflation increases but financial markets were impacted following the Fed’s June meeting and indications that a number of Fed policy makers are considering Quantitative easing (“QE”) tapering and interest rates increases earlier than had been previously anticipated.
After peaking late in March, interest rates were volatile but drifted lower during most of the quarter. Following the June Fed meeting, rates fell to their lowest levels since late February and yield curves flattened, inflation expectations eased, real yields rose, gold declined and the U.S. dollar rebounded. Consequently, long positions in long-term U.S., U.K., Japanese, Canadian and Australian government bonds were profitable. On the other hand, trading of the U.S. 5-year note and European long-term interest rate futures produced partially offsetting losses.
Against this background of reflation and reopening, long positions in U.S., Canadian and EAFE equity index futures, and trading of European, Chinese and Taiwanese stock index futures were highly profitable. Elsewhere, short positions in Japanese and Brazilian equity futures posted partially offsetting losses.
During the quarter, Brent crude oil hit its highest price level since October 2018 and an increasingly bullish picture contributed to speculation that the price may eventually return to $100 a barrel. Prices drew support from expectations that the Organization of the Petroleum Exporting Countries’ (“OPEC”)+ alliance -- which meets on July 1 -- won’t revive production quickly enough to prevent markets from tightening, and from continued production discipline from non-OPEC shale producers who have exerted strong control on additional investments while focusing on returns to investors. Consequently, stockpiles are draining as fuel consumption rebounds in key regions including the U.S. and Europe. At the same time, the prospect of an imminent surge of Iranian oil is diminishing as talks to revive a nuclear deal continue. In this environment, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short U.S. natural gas position posted a partially offsetting loss. Natural gas prices have risen sharply amid low global natural gas inventories after a long, cold winter; rebounding global demand along with the reopening global economy; and hot summer temperatures.
Reflation and reopening demand contributed to metals’ prices despite some intra-quarter volatility prompted by Chinese efforts to rein in “excessive” speculation and worries about possible changes in monetary policy. Long copper, gold, silver and aluminum positions were profitable, especially in April and May.
The U.S. dollar strengthened during the first quarter amid the U.S.’s vaccine distribution efforts (particularly relative to the rest of the world), fiscal policy support, economic reopening and rising interest rates. Subsequently, as those distinctions eroded, the U.S. dollar declined for much of the second quarter. However, the U.S. currency rebounded sharply in June, particularly after Federal Reserve officials suggested that they were starting to think about QE tapering and interest rate increases. Currency trading was mixed and unprofitable for the quarter. Short U.S. dollar trades against the currencies of Australia and New Zealand were unprofitable especially in the second half of the quarter. Long U.S. dollar trades against the Japanese yen and Norwegian krone posted losses, particularly in April. Trading the U.S.dollar against the euro, Polish zloty, Swedish krona, Brazilian real and Chilean peso added to the losses. On the other hand, during April and May, short U.S. dollar trades versus the British pound, Indian rupee, Israeli shekel, Russian ruble and Swiss franc produced partially offsetting profits.
Grains prices were volatile during the quarter, spiking and plunging along with a variety of events including drought concerns and robust demand from China, the U.S. and elsewhere as the global economy reopened; the multi-year highs reached in May while rains in the U.S. Midwest and Canada eased severe drought concerns; and the release of the USDA grain stocks June 30th report showing sharp inventory declines from a year ago. On balance, trading of wheat, corn and soybean meal registered losses, while a long soybean oil trade posted a partially offsetting gain.
A short coffee position was unprofitable when coffee prices increased as the 2020 drought reduced recent supplies from Brazil, Colombia and Nicaragua, and because logistics and customs issues constrained Brazilian exports. Trading of sugar was slightly unprofitable too.
45
Three months ended March 31, 2021
The Partnership was profitable in the quarter as gains from trading equity, energy and grain futures outpaced losses from trading interest rate futures, metal futures and currency forwards. Trading of livestock and soft commodity futures was marginally negative.
The global reflation trade gathered momentum throughout the quarter amid fiscal stimulus expansion from the Biden Administration; Federal Reserve (the “Fed”) Chairman Powell reiterating in testimony before Congress that the Fed will maintain low interest rates and continue asset purchases until “substantial further progress has been made” toward its employment and inflation goals; the global vaccine rollout; and the resurgence of global trade. Periodically, however, the growth outlook and investor enthusiasm were tamped down and markets experienced increased volatility while concerns about the slow pace of vaccine distribution in Europe, Asia and emerging markets relative to the U.S. and U.K. lingered; evidence of moderating monetary and fiscal policy support came out of China; and the geopolitical conflict between China and the U.S expanded.
Trading of equity futures was highly profitable. Positive impulses from massive fiscal and monetary policy support globally outweighed the negative impact of higher global interest rates and less synchronous global growth. The Reddit-driven short frenzy in January, Archegos events in March, and the week-long Suez Canal closure in March did not seem to have long-term effects on equity markets. Long positions in U.S., Canadian, European, British, Chinese and EAFE equity index futures were profitable. A short VIX position and trading of the EEM emerging market index future were also profitable. On the other hand, trading of South African and Australian futures registered small offsetting losses.
Energy markets were volatile during the quarter. After exceeding 2-year highs early in March amid strong reflation trade and Organization of the Petroleum Exporting Countries’ production restraint, crude prices dropped sharply as reopening demand expectations receded along with the global growth outlook. For example, Brent crude, climbed from just over $50/barrel at the start of the year to nearly $71/barrel on March 7, but plunged to nearly $60/barrel on March 23. Even though the closure of the Suez Canal provided some support to crude prices, Brent closed the month at less than $63/barrel. Overall, long positions in Brent crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short natural gas trade was unprofitable, especially as prices rose in January in response to unusually cold weather across Europe and China and in February in the wake of weather-induced energy market turmoil in Texas. Trading of WTI crude oil was slightly unprofitable as well.
Chinese demand for U.S. exports, a weaker than expected U.S. harvest of row crops and dry weather in South America contributed to profits on long corn, soybean and soybean oil trades. Then, on March 31 the USDA reported that farmers are likely to plant lower-than-expected corn and soybean acreage in 2021, and corn and soybean prices traded limit-up on the day, reinforcing results from earlier in the quarter. Trading of soybean meal was marginally unprofitable.
Interest rates were volatile during the quarter, trading across a broad range in January, spiking higher in February, and then dropping back sharply in March before entering volatile range-trading to close out the period. Amid growth, inflation and government borrowing concerns, global note and bond yields pushed sharply higher during the January-February period as evidenced by the German 10-year Bund yield which rose from about -0.60% at the start of January to as high as -0.23% on February 25. Then, as growth optimism faded somewhat in March, the Bund yield fell to -0.39% on March 21 before closing the quarter at -0.32%. Long positions in U.S., Canadian and Australian long bond futures were unprofitable, especially in February. Trading of German, French, Italian and Japanese bond futures were also unprofitable, particularly in January and March. Trading of U.S., British, Australian, German and Italian short-term interest rate futures registered small losses as well. On the other hand, short positions in the U.S. 5-year note future and in the German ultra-long bond future posted partially offsetting gains in February.
Currency markets too were impacted by the fluid growth, inflation and interest rate developments, and trading of currency forwards was mixed and unprofitable. The euro, which traded toward five-year highs during January and February, declined sharply in March and a long euro position against the U.S. dollar was unprofitable. Long Swiss franc and Swedish krona positions were also unprofitable. Trading the U.S. dollar against the currencies of Brazil and Singapore posted losses, as did a long U.S. dollar/short Canadian dollar position as commodity currencies outperformed. On the other hand, long U.S. dollar positions versus the Japanese yen and Israeli shekel, short dollar trades versus the Norwegian krone and South African rand, and trading the U.S. dollar against the British pound sterling produced partially offsetting gains.
The improving economic outlook and COVID-19 prognosis together with higher interest rates and a stronger U.S. dollar weighed on precious metal prices and long gold and silver positions posted losses. Meanwhile, long positions in copper and aluminum produced partially offsetting profits, especially in February as prices rose and reflation optimism was high.
46
OFF-BALANCE SHEET ARRANGEMENTS
Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.
CONTRACTUAL OBLIGATIONS
Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts 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 Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedule of investments setting forth open futures, forward and other contracts at June 30, 2022 and December 31, 2021.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Not required.
ITEM 4. CONTROLS AND PROCEDURES
The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner’s internal controls over financial reporting during the quarter ended June 30, 2022 that have materially affected, or are reasonably likely to materially affect, the General Partner’s internal controls over financial reporting with respect to the Partnership.
47
PART II. OTHER INFORMATION
ITEM 1. Legal Proceedings
None.
ITEM 1A. Risk Factors
Not required.
ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
(a) Pursuant to the Partnership’s Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”), the Partnership may sell Units at the beginning of each calendar month. On May 1, 2022, and June 1, 2022, the Partnership sold Units to new and existing limited partners of $4,035,000, and $745,000. There were no underwriting discounts or commissions in connection with the sales of the Units described above.
Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.
(b) Pursuant to the Partnership’s Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.
The following table summarizes the redemptions by Series A, Series B, and Series D limited partners during the three months ended June 30, 2022. There were no Series C redemptions.
| Series A | Series B | Series D | ||||||||||||||||||||||
| Date of | Units | NAV | Units | NAV | Units | NAV | ||||||||||||||||||
| Withdrawal | Redeemed | per Unit | Redeemed | per Unit | Redeemed | per Unit | ||||||||||||||||||
| April 30, 2022 | - | $ | 1,269.44 | (23.9470 | ) | $ | 1,538.77 | (116.5848 | ) | $ | 1,456.80 | |||||||||||||
| May 31, 2022 | (847.3030 | ) | 1,267.86 | (28.5638 | ) | 1,538.90 | (39.6554 | ) | 1,456.20 | |||||||||||||||
| June 30, 2022 | - | 1,296.27 | - | 1,575.84 | - | 1,490.66 | ||||||||||||||||||
| Total | (847.3030 | ) | (52.5108 | ) | (156.2402 | ) | ||||||||||||||||||
ITEM 3. DEFAULTS UPON SENIOR SECURITIES
Not Applicable.
ITEM 4. MINE SAFETY DISCLOSURES
Not Applicable.
ITEM 5. OTHER INFORMATION
None.
48
ITEM 6. EXHIBITS
The following exhibits are included herewith:
| 31.01 | Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer | |
| 31.02 | Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer | |
| 31.03 | Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Operating Officer | |
| 31.04 | Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer | |
| 32.01 | Section 1350 Certification of Co-Chief Executive Officer | |
| 32.02 | Section 1350 Certification of Co-Chief Executive Officer | |
| 32.03 | Section 1350 Certification of President and Chief Operating Officer | |
| 32.04 | Section 1350 Certification of Chief 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 Label Linkbase Document | |
| 101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
49
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.
| By: | Millburn Ridgefield Corporation, | |
| General Partner |
| Date: August 12, 2022 | |
| /s/ Michael W. Carter | |
| Michael W. Carter | |
| Vice-President | |
| (Principal Accounting Officer) |
50
EXHIBIT 31.01
RULE 13(a)-14(a)/15(d)-14(a)
CERTIFICATION OF CO-CHIEF EXECUTIVE OFFICER
I, Barry Goodman, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Millburn Multi-Markets Fund 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 registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
| By: | /s/ Barry Goodman | |
| Barry Goodman | ||
| Co-Chief Executive Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
EXHIBIT 31.02
RULE 13(a)-14(a)/15(d)-14(a)
CERTIFICATION OF CO-CHIEF EXECUTIVE OFFICER
I, Grant N. Smith, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Millburn Multi-Markets Fund 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 registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
| By: | /s/ Grant N. Smith | |
| Grant N. Smith | ||
| Co-Chief Executive Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
EXHIBIT 31.03
RULE 13(a)-14(a)/15(d)-14(a)
CERTIFICATION OF PRESIDENT AND CHIEF OPERATING OFFICER
I, Gregg Buckbinder, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Millburn Multi-Markets Fund 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 registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
| By: | /s/ Gregg Buckbinder | |
| Gregg Buckbinder | ||
| President and Chief Operating Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
EXHIBIT 31.04
RULE
13(a)-14(a)/15(d)-14(a)
CERTIFICATION OF CHIEF FINANCIAL OFFICER
I, Ilon Wu, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Millburn Multi-Markets Fund 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 registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act
Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a)
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared;
(b)
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles;
(c)
evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation;
and
(d)
disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s
most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.
The registrant’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial
reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing
the equivalent functions):
(a)
all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information;
and
(b)
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s
internal control over financial reporting.
| By: | /s/ Ilon Wu | |
| Ilon Wu | ||
| Chief Financial Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
Exhibit 32.01
CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE
I, Barry Goodman, certify that (i) the Quarterly Report of Millburn Multi-Markets Fund L.P. (the “Partnership”) on Form 10-Q for the period ending June 30, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.
| By: | /s/ Barry Goodman | |
| Barry Goodman | ||
| Co-Chief Executive Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
Exhibit 32.02
CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE
I, Grant N. Smith, certify that (i) the Quarterly Report of Millburn Multi-Markets Fund L.P. (the “Partnership”) on Form 10-Q for the period ending June 30, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.
| By: | /s/ Grant N. Smith | |
| Grant N. Smith | ||
| Co-Chief Executive Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
Exhibit 32.03
CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE
I, Gregg Buckbinder, certify that (i) the Quarterly Report of Millburn Multi-Markets Fund L.P. (the “Partnership”) on Form 10-Q for the period ending June 30, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.
| By: | /s/ Gregg Buckbinder | |
| Gregg Buckbinder | ||
| President and Chief Operating Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
Exhibit 32.04
CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE
I,
Ilon Wu, certify that (i) the Quarterly Report of Millburn Multi-Markets Fund L.P. (the “Partnership”) on Form 10-Q for the
period ending June 30, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and
(ii) the information contained in such Quarterly Report fairly presents, in all material respects, the financial condition and results
of operations of the Partnership.
| By: | /s/ Ilon Wu | |
| Ilon Wu | ||
| Chief Financial Officer | ||
| Millburn Ridgefield Corporation | ||
| General Partner, Millburn Multi-Markets Fund L.P. | ||
| August 12, 2022 | ||
Statements of Operations (unaudited) - USD ($) |
3 Months Ended | 6 Months Ended | ||
|---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
| INVESTMENT INCOME: | ||||
| Interest income | $ 150 | $ 2 | $ 150 | $ 2 |
| Interest income, net (allocated from the Master Fund) (1) | 323,381 | 15,462 | 385,981 | 33,330 |
| INVESTMENT INCOME — Interest income | 323,531 | 15,464 | 386,131 | 33,332 |
| EXPENSES: | ||||
| Management fees | 601,640 | 603,432 | 1,145,808 | 1,285,148 |
| Brokerage commissions | 148,587 | 224,735 | 323,477 | 435,694 |
| Selling commissions and platform fees | 601,927 | 587,184 | 1,142,679 | 1,159,102 |
| Administrative and operating expenses | 130,094 | 132,877 | 256,911 | 262,877 |
| Custody fees and other expenses | 6,211 | 5,821 | 11,901 | 11,692 |
| Total expenses | 1,488,459 | 1,554,049 | 2,880,776 | 3,154,513 |
| NET INVESTMENT LOSS | (1,164,928) | (1,538,585) | (2,494,645) | (3,121,181) |
| REALIZED AND UNREALIZED GAINS (LOSSES): | ||||
| Futures and forward currency contracts | 9,852,913 | 14,411,445 | 14,953,194 | 25,347,625 |
| Foreign exchange transaction | (52,199) | 54,824 | (115,302) | 51,361 |
| Net change in unrealized: | ||||
| Futures and forward currency contracts | 2,148,816 | (3,202,556) | 5,435,563 | (8,051,547) |
| Foreign exchange translation | (29,555) | (21,868) | (3,455) | (265,453) |
| Realized | (12,675) | (530) | (17,538) | (4,818) |
| Net change in unrealized | (472,926) | (26,475) | (593,264) | 4,887 |
| Total net realized and unrealized gains | 11,434,374 | 11,214,840 | 19,659,198 | 17,082,055 |
| NET INCOME | 10,269,446 | 9,676,255 | 17,164,553 | 13,960,874 |
| LESS PROFIT SHARE TO GENERAL PARTNER | 1,116,328 | 99,436 | 1,207,222 | 99,436 |
| NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | 9,153,118 | 9,576,819 | 15,957,331 | 13,861,438 |
| Millburn Multi Markets Trading L P [Member] | ||||
| INVESTMENT INCOME: | ||||
| INVESTMENT INCOME — Interest income | 1,013,757 | 52,767 | 1,213,626 | 117,011 |
| EXPENSES: | ||||
| Management fees | 1,208,417 | 1,395,655 | 2,316,288 | 3,081,731 |
| Brokerage commissions | 466,697 | 767,388 | 1,019,464 | 1,563,079 |
| Selling commissions and platform fees | 601,934 | 591,172 | 1,142,690 | 1,169,231 |
| Administrative and operating expenses | 268,589 | 283,506 | 528,772 | 569,118 |
| Custody fees and other expenses | 19,359 | 19,870 | 37,631 | 43,662 |
| Total expenses | 2,564,996 | 3,057,591 | 5,044,845 | 6,426,821 |
| NET INVESTMENT LOSS | (1,551,239) | (3,004,824) | (3,831,219) | (6,309,810) |
| REALIZED AND UNREALIZED GAINS (LOSSES): | ||||
| Futures and forward currency contracts | 29,634,939 | 49,986,054 | 46,650,484 | 95,322,004 |
| Foreign exchange transaction | (158,165) | 188,380 | (360,815) | 176,618 |
| Net change in unrealized: | ||||
| Futures and forward currency contracts | 6,742,153 | (11,775,913) | 16,067,439 | (31,775,451) |
| Foreign exchange translation | (100,097) | (86,501) | (15,961) | (950,488) |
| Realized | (39,664) | (1,823) | (54,860) | (17,884) |
| Net change in unrealized | (1,484,347) | (90,401) | (1,872,836) | 33,076 |
| Total net realized and unrealized gains | 34,594,819 | 38,219,796 | 60,413,451 | 62,787,875 |
| NET INCOME | 33,043,580 | 35,214,972 | 56,582,232 | 56,478,065 |
| LESS PROFIT SHARE TO GENERAL PARTNER | 6,184,610 | 1,201,187 | 8,349,031 | 1,516,337 |
| NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ 26,858,970 | $ 34,013,785 | $ 48,233,201 | $ 54,961,728 |
| Series A [Member] | ||||
| Net change in unrealized: | ||||
| NET INCOME PER UNIT OUTSTANDING | $ 84.92 | $ 78.91 | $ 148.48 | $ 112.27 |
| Series B [Member] | ||||
| Net change in unrealized: | ||||
| NET INCOME PER UNIT OUTSTANDING | 98.05 | 101.74 | 180.13 | 148.20 |
| Series C [Member] | ||||
| Net change in unrealized: | ||||
| NET INCOME PER UNIT OUTSTANDING | 100.03 | 103.80 | 183.78 | 151.20 |
| Series D [Member] | ||||
| Net change in unrealized: | ||||
| NET INCOME PER UNIT OUTSTANDING | $ 91.27 | $ 86.91 | $ 157.10 | $ 129.23 |
Statements of Changes in Partners' Capital (Unaudited) - USD ($) |
General Partners [Member] |
General Partners [Member]
Millburn Multi Markets Trading L P [Member]
|
Limited Partners Series A [Member] |
Limited Partners Series B [Member] |
Limited Partners Series C [Member] |
Limited Partners Series D [Member] |
Total |
Millburn Multi Markets Trading L P [Member] |
Limited Partners [Member]
Millburn Multi Markets Trading L P [Member]
|
New Profit Memo Account [Member]
Millburn Multi Markets Trading L P [Member]
|
|---|---|---|---|---|---|---|---|---|---|---|
| PARTNERS’ CAPITAL - January 1, 2021 at Dec. 31, 2020 | $ 2,803,226 | $ 944,315 | $ 108,544,835 | $ 7,431,183 | $ 4,015,189 | $ 16,218,344 | $ 139,012,777 | $ 554,247,918 | $ 553,303,603 | |
| Beginning balance, shares at Dec. 31, 2020 | 99,597.6414 | 5,720.6069 | 3,029.4662 | 12,963.4335 | ||||||
| Contributions | $ 374,000 | 374,000 | 2,871,556 | 2,674,000 | 197,556 | |||||
| Capital contributions, units | 327.6338 | |||||||||
| Withdrawals | $ (8,998,786) | $ (772,055) | $ (727,142) | $ (8,427,720) | (18,925,703) | (147,929,872) | (147,929,872) | |||
| Capital withdrawals, units | (7,911.3905) | (572.0942) | (514.5614) | (6,156.3006) | ||||||
| Net income before profit share | 349,247 | 118,985 | $ 10,689,547 | $ 791,901 | $ 425,424 | $ 1,704,755 | 13,960,874 | 56,478,065 | 56,358,947 | 133 |
| Profit share | $ (99,436) | (99,436) | ||||||||
| Net Asset Value per Unit | $ 1,202.10 | $ 1,447.22 | $ 1,476.58 | $ 1,380.31 | ||||||
| General Partner’s allocation - profit share | (1,516,337) | (1,516,337) | ||||||||
| PARTNERS’ CAPITAL - June 30, 2021 at Jun. 30, 2021 | 3,152,473 | 1,063,300 | $ 110,609,596 | $ 7,451,029 | $ 3,713,471 | $ 9,395,943 | 134,322,512 | 464,151,330 | 462,890,341 | 197,689 |
| Ending balance, shares at Jun. 30, 2021 | 92,013.8847 | 5,148.5127 | 2,514.9048 | 6,807.1329 | ||||||
| PARTNERS’ CAPITAL - January 1, 2021 at Dec. 31, 2021 | 2,667,014 | 1,035,802 | $ 105,051,882 | $ 6,954,675 | $ 3,469,370 | $ 9,933,216 | 128,076,157 | 400,012,532 | 398,976,730 | |
| Beginning balance, shares at Dec. 31, 2021 | 91,525.4967 | 4,982.8851 | 2,436.2995 | 7,448.6560 | ||||||
| Contributions | $ 4,000,000 | $ 40,000 | $ 985,000 | $ 35,000 | 5,060,000 | 6,784,179 | 6,711,000 | 73,179 | ||
| Capital contributions, units | 3,150.9841 | 29.4878 | 645.8210 | 24.0253 | ||||||
| Withdrawals | $ 3,138,487 | $ 176,768 | $ 679,554 | $ 2,597,840 | 6,592,649 | (14,112,141) | (14,112,141) | |||
| Capital withdrawals, units | (2,639.6668) | (117.4469) | (491.0000) | (1,953.9979) | ||||||
| Net income before profit share | 422,995 | 165,777 | $ 14,201,617 | $ 1,029,494 | $ 454,232 | $ 1,056,215 | 17,164,553 | 56,582,232 | 56,410,766 | 5,689 |
| Profit share | $ (810,323) | $ (133,785) | $ (63,008) | $ (200,106) | (1,207,222) | |||||
| Net Asset Value per Unit | $ 1,296.27 | $ 1,575.84 | $ 1,607.81 | $ 1,490.66 | ||||||
| General Partner’s allocation - profit share | (8,349,031) | (8,349,031) | ||||||||
| PARTNERS’ CAPITAL - June 30, 2021 at Jun. 30, 2022 | $ 3,090,009 | $ 1,201,579 | $ 119,304,689 | $ 7,713,616 | $ 4,166,040 | $ 8,226,485 | $ 142,500,839 | $ 440,917,771 | $ 439,637,324 | $ 78,868 |
| Ending balance, shares at Jun. 30, 2022 | 92,036.8140 | 4,894.9260 | 2,591.1205 | 5,518.6834 |
Statement of Financial Highlights (unaudited) - Limited Partner [Member] - $ / shares |
3 Months Ended | 6 Months Ended | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|||||||||||||||||||||||||||||||||
| Series A [Member] | ||||||||||||||||||||||||||||||||||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ 1,211.35 | $ 1,123.19 | $ 1,147.79 | $ 1,089.83 | ||||||||||||||||||||||||||||||||
| Net investment loss (1) | (11.68) | (14.14) | (24.69) | [1] | (27.80) | [2] | ||||||||||||||||||||||||||||||
| Total trading and investing gains (1) | 105.47 | 93.05 | 182.04 | 140.07 | ||||||||||||||||||||||||||||||||
| Net income before profit share allocation from the Master Fund | 93.79 | 78.91 | 157.35 | 112.27 | ||||||||||||||||||||||||||||||||
| Less: profit share allocation from the Master Fund | 8.87 | 0.00 | 8.87 | 0.00 | ||||||||||||||||||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | 84.92 | 78.91 | 148.48 | 112.27 | ||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ 1,296.27 | $ 1,202.10 | $ 1,296.27 | $ 1,202.10 | ||||||||||||||||||||||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 7.70% | 7.03% | 13.67% | 10.30% | ||||||||||||||||||||||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 0.69% | 0.00% | 0.73% | 0.00% | ||||||||||||||||||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 7.01% | 7.03% | 12.94% | 10.30% | ||||||||||||||||||||||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||||||||||||||||||||||
| Expenses | 4.58% | [3],[4],[5] | 4.79% | [6],[7],[8] | 4.65% | [9],[10],[11] | 4.90% | [12],[13],[14] | ||||||||||||||||||||||||||||
| Profit share allocation from the Master Fund (2) (6) | 0.69% | 0.00% | 0.73% | 0.00% | ||||||||||||||||||||||||||||||||
| Total expenses | 5.27% | 4.79% | 5.38% | 4.90% | ||||||||||||||||||||||||||||||||
| Net investment loss | (3.66%) | [3],[4],[5] | (4.75%) | [6],[7],[8] | (4.07%) | [9],[10],[11] | (4.85%) | [12],[13],[14] | ||||||||||||||||||||||||||||
| Series B [Member] | ||||||||||||||||||||||||||||||||||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ 1,477.79 | $ 1,345.48 | $ 1,395.71 | $ 1,299.02 | ||||||||||||||||||||||||||||||||
| Net investment loss (1) | (6.48) | (9.82) | (15.33) | [1] | (19.55) | [2] | ||||||||||||||||||||||||||||||
| Total trading and investing gains (1) | 128.89 | 111.56 | 222.42 | 167.75 | ||||||||||||||||||||||||||||||||
| Net income before profit share allocation from the Master Fund | 122.41 | 101.74 | 207.09 | 148.20 | ||||||||||||||||||||||||||||||||
| Less: profit share allocation from the Master Fund | 24.36 | 0.00 | 26.96 | 0.00 | ||||||||||||||||||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | 98.05 | 101.74 | 180.13 | 148.20 | ||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ 1,575.84 | $ 1,447.22 | $ 1,575.84 | $ 1,447.22 | ||||||||||||||||||||||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 8.22% | 7.56% | 14.79% | 11.41% | ||||||||||||||||||||||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 1.59% | 0.00% | 1.88% | 0.00% | ||||||||||||||||||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 6.63% | 7.56% | 12.91% | 11.41% | ||||||||||||||||||||||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||||||||||||||||||||||
| Expenses | 2.60% | [3],[4],[5] | 2.79% | [6],[7],[8] | 2.66% | [9],[10],[11] | 2.89% | [12],[13],[14] | ||||||||||||||||||||||||||||
| Profit share allocation from the Master Fund (2) (6) | 1.59% | 0.00% | 1.88% | 0.00% | ||||||||||||||||||||||||||||||||
| Total expenses | 4.19% | 2.79% | 4.54% | 2.89% | ||||||||||||||||||||||||||||||||
| Net investment loss | (1.67%) | [3],[4],[5] | (2.74%) | [6],[7],[8] | (2.08%) | [9],[10],[11] | (2.84%) | [12],[13],[14] | ||||||||||||||||||||||||||||
| Series C [Member] | ||||||||||||||||||||||||||||||||||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ 1,507.78 | $ 1,372.78 | $ 1,424.03 | $ 1,325.38 | ||||||||||||||||||||||||||||||||
| Net investment loss (1) | (6.43) | (10.03) | (15.46) | [1] | (19.96) | [2] | ||||||||||||||||||||||||||||||
| Total trading and investing gains (1) | 132.22 | 113.83 | 227.58 | 171.16 | ||||||||||||||||||||||||||||||||
| Net income before profit share allocation from the Master Fund | 125.79 | 103.80 | 212.12 | 151.20 | ||||||||||||||||||||||||||||||||
| Less: profit share allocation from the Master Fund | 25.76 | 0.00 | 28.34 | 0.00 | ||||||||||||||||||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | 100.03 | 103.80 | 183.78 | 151.20 | ||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ 1,607.81 | $ 1,476.58 | $ 1,607.81 | $ 1,476.58 | ||||||||||||||||||||||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 8.22% | 7.56% | 14.79% | 11.41% | ||||||||||||||||||||||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 1.59% | 0.00% | 1.88% | 0.00% | ||||||||||||||||||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 6.63% | 7.56% | 12.91% | 11.41% | ||||||||||||||||||||||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||||||||||||||||||||||
| Expenses | 2.60% | [3],[4],[5] | 2.79% | [6],[7],[8] | 2.66% | [9],[10],[11] | 2.90% | [12],[13],[14] | ||||||||||||||||||||||||||||
| Profit share allocation from the Master Fund (2) (6) | 1.59% | 0.00% | 1.88% | 0.00% | ||||||||||||||||||||||||||||||||
| Total expenses | 4.19% | 2.79% | 4.54% | 2.90% | ||||||||||||||||||||||||||||||||
| Net investment loss | (1.67%) | [3],[4],[5] | (2.74%) | [6],[7],[8] | (2.08%) | [9],[10],[11] | (2.85%) | [12],[13],[14] | ||||||||||||||||||||||||||||
| Series D [Member] | ||||||||||||||||||||||||||||||||||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — Beginning of period | $ 1,399.39 | $ 1,293.40 | $ 1,333.56 | $ 1,251.08 | ||||||||||||||||||||||||||||||||
| Net investment loss (1) | (9.17) | (11.93) | (20.18) | [1] | (23.67) | [2] | ||||||||||||||||||||||||||||||
| Total trading and investing gains (1) | 122.07 | 107.51 | 209.41 | 161.57 | ||||||||||||||||||||||||||||||||
| Net income before profit share allocation from the Master Fund | 112.90 | 95.58 | 189.23 | 137.90 | ||||||||||||||||||||||||||||||||
| Less: profit share allocation from the Master Fund | 21.63 | 8.67 | 32.13 | 8.67 | ||||||||||||||||||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | 91.27 | 86.91 | 157.10 | 129.23 | ||||||||||||||||||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ 1,490.66 | $ 1,380.31 | $ 1,490.66 | $ 1,380.31 | ||||||||||||||||||||||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 8.08% | 7.43% | 14.08% | 10.99% | ||||||||||||||||||||||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 1.56% | 0.71% | 2.30% | 0.66% | ||||||||||||||||||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 6.52% | 6.72% | 11.78% | 10.33% | ||||||||||||||||||||||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||||||||||||||||||||||
| Expenses | 3.37% | [3],[4],[5] | 3.54% | [6],[7],[8] | 3.43% | [9],[10],[11] | 3.65% | [12],[13],[14] | ||||||||||||||||||||||||||||
| Profit share allocation from the Master Fund (2) (6) | 1.56% | 0.71% | 2.30% | 0.66% | ||||||||||||||||||||||||||||||||
| Total expenses | 4.93% | 4.25% | 5.73% | 4.31% | ||||||||||||||||||||||||||||||||
| Net investment loss | (2.44%) | [3],[4],[5] | (3.49%) | [6],[7],[8] | (2.89%) | [9],[10],[11] | (3.61%) | [12],[13],[14] | ||||||||||||||||||||||||||||
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Statements of Financial Highlights (unaudited) - Millburn Multi Markets Trading L P [Member] |
3 Months Ended | 6 Months Ended | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
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| Tracking Partner [Member] | ||||||||||||||||||||
| Total return before General Partner profit share allocation | [1] | 8.29% | 7.63% | 14.89% | 11.55% | |||||||||||||||
| Less: General Partner profit share allocation | [1] | 1.60% | 1.84% | |||||||||||||||||
| Total return after General Partner profit share allocation | [1] | 6.69% | 7.63% | 13.05% | 11.55% | |||||||||||||||
| Ratios to average net asset value: | ||||||||||||||||||||
| Expenses | [2],[3] | 2.36% | 2.60% | 2.40% | 2.68% | |||||||||||||||
| General Partner profit share allocation | [1] | 1.60% | 1.84% | |||||||||||||||||
| Total expenses | [3] | 3.96% | 2.60% | 4.24% | 2.68% | |||||||||||||||
| Net investment loss | [2],[3],[4] | (1.44%) | (2.56%) | (1.82%) | (2.64%) | |||||||||||||||
| Limited Partner [Member] | ||||||||||||||||||||
| Total return before General Partner profit share allocation | [5] | 7.95% | 7.60% | 14.22% | 11.55% | |||||||||||||||
| Less: General Partner profit share allocation | [5] | 1.43% | 0.25% | 2.00% | 0.30% | |||||||||||||||
| Total return after General Partner profit share allocation | [5] | 6.52% | 7.35% | 12.22% | 11.25% | |||||||||||||||
| Ratios to average net asset value: | ||||||||||||||||||||
| Expenses | [6],[7] | 2.40% | 2.52% | 2.42% | 2.56% | |||||||||||||||
| General Partner profit share allocation | [5] | 1.43% | 0.25% | 2.00% | 0.30% | |||||||||||||||
| Total expenses | [7] | 3.83% | 2.77% | 4.42% | 2.86% | |||||||||||||||
| Net investment loss | [6],[7],[8] | (1.48%) | (2.48%) | (1.84%) | (2.52%) | |||||||||||||||
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BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
6 Months Ended |
|---|---|
Jun. 30, 2022 | |
| BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at June 30, 2022 (unaudited) and December 31, 2021 and the results of its operations for the three and six months ended June 30, 2022 and 2021 (unaudited).
These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership’s 2021 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
The Partnership enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2018 to 2021, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.
Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.
There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership’s Annual Report on Form 10-K for fiscal year 2021.
|
| Millburn Multi Markets Trading L P [Member] | |
| BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Master Fund engages in the speculative trading of futures and forward currency contracts, as well as hedging using forward currency contracts and also acts as a master fund for the Partnership and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”).
The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at June 30, 2022 (unaudited) and December 31, 2021 (audited) and the results of its operations for the three and six months ended June 30, 2022 and 2021 (unaudited).
These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Master Fund’s annual report for the year ended December 31, 2021 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021.
The preparation of financial statements in conformity with U.S. GAAP in the U.S, as detailed in the FASB Codification, requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
The Master Fund enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Master Fund’s maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2018 to 2021, the General Partner has determined that no reserves for uncertain tax positions were required.
Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.
|
INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P. |
6 Months Ended |
|---|---|
Jun. 30, 2022 | |
| Investments, All Other Investments [Abstract] | |
| INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P. | 2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at June 30, 2022 and December 31, 2021 was 32.32% and 32.02%, respectively, of total partners’ capital of the Master Fund. See the attached financial statements of the Master Fund.
|
RELATED PARTY TRANSACTIONS |
6 Months Ended |
|---|---|
Jun. 30, 2022 | |
| Related Party Transactions [Abstract] | |
| RELATED PARTY TRANSACTIONS | 3. RELATED PARTY TRANSACTIONS
The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Administrative and operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital.
Series A Limited Partners that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units’ net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At June 30, 2022 and December 31, 2021, there were no redemption charges owed to the General Partner.
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FINANCIAL HIGHLIGHTS |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FINANCIAL HIGHLIGHTS | 4. FINANCIAL HIGHLIGHTS
Per unit operating performance for Series A, Series B, Series C and Series D Units is calculated based on Limited Partners’ Partnership capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the period. Weighted average number of units of each series is detailed below.
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| Millburn Multi Markets Trading L P [Member] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FINANCIAL HIGHLIGHTS | 6. FINANCIAL HIGHLIGHTS
Ratios to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% (1.75% per annum, fee reduced to 1.75% from 2.00%, effective April 1, 2021) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner’s capital account may vary from these ratios based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements. Returns are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% (1.75% per annum, fee reduced to 1.75% from 2.00%, effective April 1, 2021) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. An individual partner’s returns may vary from these returns based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements.
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SUBSEQUENT EVENTS |
6 Months Ended |
|---|---|
Jun. 30, 2022 | |
| SUBSEQUENT EVENTS | 5. SUBSEQUENT EVENTS
During the period from July 1, 2022 to August 12, 2022, contributions of $440,000 were made to the Partnership. The General Partner has performed its evaluation of subsequent events through August 12, 2022, the date the Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the Financial Statements. |
| Millburn Multi Markets Trading L P [Member] | |
| SUBSEQUENT EVENTS | 7. SUBSEQUENT EVENTS
During the period from July 1, 2022 to August 12, 2022, contributions of $38,040,000 were made to the Master Fund. The General Partner has performed its evaluation of subsequent events through August 12, 2022, the date this Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the 10-Q. |
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Millburn Multi Markets Trading L P [Member] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. | 2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At June 30, 2022 and December 31, 2021, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.
The capital withdrawals payable at June 30, 2022 and December 31, 2021 were $500,000 and $44,120,763, respectively, as detailed below.
The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Cayman Feeder level. The General Partner bears any excess over such amounts.
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FAIR VALUE |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| Millburn Multi Markets Trading L P [Member] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FAIR VALUE | 3. FAIR VALUE
The Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy 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 active or financial instruments for which all significant inputs are observable, either directly or indirectly; and
Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.
Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.
Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.
Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.
During the three and six months ended June 30, 2022 and 2021, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of June 30, 2022 and December 31, 2021 in valuing the Master Fund’s investments at fair value. At June 30, 2022 and December 31, 2021, the Master Fund had no assets or liabilities in Level 3.
Financial assets and liabilities at fair value as of June 30, 2022
Financial assets and liabilities at fair value as of December 31, 2021
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DERIVATIVE INSTRUMENTS |
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| Millburn Multi Markets Trading L P [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| DERIVATIVE INSTRUMENTS | 4. DERIVATIVE INSTRUMENTS
The Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.
The Master Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Fund’s open positions and the liquidity of the markets in which it trades.
The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at June 30, 2022 by market sector:
Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.
Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.
Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this sector.
Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.
Metals – The Master Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.
Stock indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.
The Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.
Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. 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 Master Fund’s trading gains and losses in the Statements of Operations.
The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at June 30, 2022 and December 31, 2021. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.
Fair value of futures and forward currency contracts at June 30, 2022
Fair value of futures and forward currency contracts at December 31, 2021
The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three and six months ended June 30, 2022 and 2021 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.
Trading gains (losses) of futures and forward currency contracts for the three and six months ended June 30, 2022 and 2021
For the three months ended June 30, 2022 and 2021, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:
The customer agreements between the Master Fund, the futures clearing brokers including, Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Master Fund the legal right to net unrealized gains and losses on open futures and forward currency contracts. The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under FASB Accounting Standards Codification Topic 210, “Balance Sheet,” were met.
The following tables represent gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of June 30, 2022 and December 31, 2021.
Offsetting of derivative assets and liabilities at June 30, 2022
Offsetting of derivative assets and liabilities at December 31, 2021
CONCENTRATION OF CREDIT RISK
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 is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.
The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.
The Master Fund’s forward currency trading activities are cleared by DB and BA. The Master Fund’s concentration of credit risk associated with DB, or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB, and BA. The amount of such credit risk was $35,486,056 and $31,976,629 at June 30, 2022 and December 31, 2021, respectively.
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| PROFIT SHARE |
The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 2022 and 2021. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Master Fund’s Agreement of Limited Partnership.
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FINANCIAL HIGHLIGHTS (Tables) |
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| Schedule of weighted number of units |
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INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Tables) |
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| Schedule of capital withdrawals payable |
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| Schedule of interests are held by direct investors in the Master Fund |
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FAIR VALUE (Tables) |
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Jun. 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Millburn Multi Markets Trading L P [Member] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
Financial assets and liabilities at fair value as of December 31, 2021
|
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DERIVATIVE INSTRUMENTS (Tables) - Millburn Multi Markets Trading L P [Member] |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of fair value of futures and forward currency contracts |
Fair value of futures and forward currency contracts at December 31, 2021
|
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| Schedule of trading gains (losses) of futures and forward currency contracts |
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| Schedule of monthly average future and forward currency contracts |
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| Schedule of Offsetting of derivative assets and liabilities |
Offsetting of derivative assets and liabilities at December 31, 2021
|
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PROFIT SHARE (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Millburn Multi Markets Trading L P [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of profit share |
|
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INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P. (Details Narrative) |
Jun. 30, 2022 |
Dec. 31, 2021 |
|---|---|---|
| Investments, All Other Investments [Abstract] | ||
| Partnerships investment | 32.32% | 32.02% |
RELATED PARTY TRANSACTIONS (Details Narrative) |
6 Months Ended |
|---|---|
Jun. 30, 2022 | |
| Related Party Transactions [Abstract] | |
| Description of administrative and operating expenses related to investors | 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital. |
FINANCIAL HIGHLIGHTS (Details) - shares |
3 Months Ended | 6 Months Ended | ||
|---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
| Series A [Member] | ||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||
| Weighted average number of units | 91,566.012 | 94,115.569 | 91,305.247 | 96,155.410 |
| Series B [Member] | ||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||
| Weighted average number of units | 4,921.973 | 5,217.391 | 4,961.875 | 5,392.686 |
| Series C [Member] | ||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||
| Weighted average number of units | 2,273.031 | 2,638.080 | 2,223.496 | 2,832.674 |
| Series D [Member] | ||||
| Auction Market Preferred Securities, Stock Series [Line Items] | ||||
| Weighted average number of units | 5,575.760 | 10,200.782 | 6,227.851 | 11,470.111 |
SUBSEQUENT EVENTS (Details Narrative) - USD ($) |
1 Months Ended | 6 Months Ended | |
|---|---|---|---|
Aug. 12, 2022 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
| Subsequent Event [Line Items] | |||
| Contributions | $ 5,060,000 | $ 374,000 | |
| Subsequent Event [Member] | |||
| Subsequent Event [Line Items] | |||
| Contributions | $ 440,000 | ||
| Subsequent Event [Member] | Millburn Multi Markets Trading L P [Member] | |||
| Subsequent Event [Line Items] | |||
| Contributions | $ 38,040,000 | ||
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Details) - Millburn Multi Markets Trading L P [Member] |
Jun. 30, 2022 |
Dec. 31, 2021 |
|---|---|---|
| Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 85.65% | 86.65% |
| Partnerships [Member] | ||
| Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 32.32% | 32.02% |
| Cayman Feeder [Member] | ||
| Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 53.33% | 54.63% |
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Details 1) - USD ($) |
Jun. 30, 2022 |
Dec. 31, 2021 |
||
|---|---|---|---|---|
| Millburn Multi Markets Trading L P [Member] | ||||
| Capital withdrawals payable | $ 500,000 | $ 44,120,763 | ||
| Millburn Multi Markets Trading L P [Member] | ||||
| Capital withdrawal payable to General Partner | 894,583 | |||
| Direct Investor [Member] | Millburn Multi Markets Trading L P [Member] | ||||
| Capital withdrawals payable | [1] | 894,583 | ||
| Partnerships [Member] | Millburn Multi Markets Trading L P [Member] | ||||
| Capital withdrawals payable | 1,449,036 | |||
| Cayman Feeder [Member] | Millburn Multi Markets Trading L P [Member] | ||||
| Capital withdrawals payable | $ 500,000 | $ 41,777,144 | ||
| ||||
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Details Narrative) - USD ($) |
Jun. 30, 2022 |
Dec. 31, 2021 |
|---|---|---|
| Millburn Multi Markets Trading L P [Member] | ||
| Capital withdrawals payable | $ 500,000 | $ 44,120,763 |
DERIVATIVE INSTRUMENTS (Details) - Millburn Multi Markets Trading L P [Member] - USD ($) |
Jun. 30, 2022 |
Dec. 31, 2021 |
|---|---|---|
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | $ 15,117,237 | $ (950,202) |
| Exchange Traded Futures Contracts Currencies [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (7,532) | 13,848 |
| Exchange Traded Futures Contracts Energies [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 2,465,312 | 1,800,611 |
| Exchange Traded Futures Contracts Grains [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 2,358,529 | 105,702 |
| Interest Rate Contract [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 6,628,503 | (3,181,786) |
| Exchange Traded Futures Contracts Livestock [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (19,150) | (1,040) |
| Exchange Traded Futures Contracts Metals [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 2,283,140 | 439,232 |
| Exchange Traded Futures Contracts Softs [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 268,081 | (40,540) |
| Exchange Traded Futures Contracts Stock Indices [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 2,007,388 | 899,035 |
| Future [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 15,984,271 | 35,062 |
| Forward Contracts [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (867,034) | (985,264) |
| Futures And Forward Currency Contracts Gains [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 8,785,617 | 18,396,048 |
| Futures And Forward Currency Contracts Gains [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 25,237,073 | 4,221,179 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Currencies [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 4,205 | 11,463 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Currencies [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 24,491 | 13,106 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Energies [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 147,057 | 2,020,956 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Energies [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 2,568,728 | 343,300 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Grains [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 288,920 | |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Grains [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 2,637,195 | 241,782 |
| Futures And Forward Currency Contracts Gains [Member] | Interest Rate Contract [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 6,647,450 | 616,220 |
| Futures And Forward Currency Contracts Gains [Member] | Interest Rate Contract [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 3,621 | 203,333 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Livestock [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 250 | |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Livestock [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 130 | 17,370 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Metals [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 10,021 | 4,543,642 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Metals [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 6,724,526 | 98,540 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Softs [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 20,231 | 20,189 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Softs [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 377,523 | 65,654 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 307 | 1,633,415 |
| Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 2,733,652 | 633,174 |
| Futures And Forward Currency Contracts Gains [Member] | Future [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 6,829,521 | 9,134,805 |
| Futures And Forward Currency Contracts Gains [Member] | Future [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 15,069,866 | 1,616,259 |
| Futures And Forward Currency Contracts Gains [Member] | Forward Contracts [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 1,956,096 | 9,261,243 |
| Futures And Forward Currency Contracts Gains [Member] | Forward Contracts [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | 10,167,207 | 2,604,920 |
| Futures And Forward Currency Contracts Losses [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (13,374,547) | (8,375,121) |
| Futures And Forward Currency Contracts Losses [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (5,530,906) | (15,192,308) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Currencies [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (5,920) | |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Currencies [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (30,308) | (10,721) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Energies [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (246,091) | (433,423) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Energies [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (4,382) | (130,222) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Grains [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (257,765) | |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Grains [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (278,666) | (167,235) |
| Futures And Forward Currency Contracts Losses [Member] | Interest Rate Contract [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (12,581) | (3,980,795) |
| Futures And Forward Currency Contracts Losses [Member] | Interest Rate Contract [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (9,987) | (20,544) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Livestock [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (19,300) | (18,210) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Livestock [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (230) | (200) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Metals [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (4,430,878) | (182,931) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Metals [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (20,529) | (4,020,019) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Softs [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (23,950) | (73,295) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Softs [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (105,723) | (53,088) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (222,110) | (887,110) |
| Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (504,461) | (480,444) |
| Futures And Forward Currency Contracts Losses [Member] | Future [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (4,960,830) | (5,833,529) |
| Futures And Forward Currency Contracts Losses [Member] | Future [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (954,286) | (4,882,473) |
| Futures And Forward Currency Contracts Losses [Member] | Forward Contracts [Member] | Long [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | (8,413,717) | (2,541,592) |
| Futures And Forward Currency Contracts Losses [Member] | Forward Contracts [Member] | Short [Member] | ||
| Derivatives, Fair Value [Line Items] | ||
| Derivative Assets (Liabilities), at Fair Value, Net | $ (4,576,620) | $ (10,309,835) |
DERIVATIVE INSTRUMENTS (Details 1) - Millburn Multi Markets Trading L P [Member] - USD ($) |
3 Months Ended | 6 Months Ended | ||
|---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | $ 36,377,092 | $ 38,210,141 | $ 62,717,923 | $ 63,546,553 |
| Exchange Traded Futures Contracts Currencies [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 1,171,479 | 1,428,995 | ||
| Exchange Traded Futures Contracts Energies [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 14,834,133 | 13,531,340 | 41,213,583 | 20,556,240 |
| Exchange Traded Futures Contracts Grains [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 3,495,720 | (2,808,688) | 1,910,299 | 1,807,131 |
| Interest Rate Contract [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | (18,003,261) | 13,005,358 | (17,399,443) | (2,421,200) |
| Exchange Traded Futures Contracts Livestock [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 180,340 | 51,570 | 148,480 | (529,080) |
| Exchange Traded Futures Contracts Metals [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 5,918,686 | 6,023,444 | (1,812,427) | 5,020,855 |
| Exchange Traded Futures Contracts Softs [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 158,385 | (2,210,646) | 705,166 | (1,995,257) |
| Exchange Traded Futures Contracts Stock Indices [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 19,192,045 | 15,112,656 | 23,587,125 | 50,831,652 |
| Future [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | 26,947,527 | 42,705,034 | 49,781,778 | 73,270,341 |
| Forward Contracts [Member] | ||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||
| Trading Gain (Loss) | $ 9,429,565 | $ (4,494,893) | $ 12,936,145 | $ (9,723,788) |
DERIVATIVE INSTRUMENTS (Details 2) - Millburn Multi Markets Trading L P [Member] |
6 Months Ended | |
|---|---|---|
|
Jun. 30, 2022
USD ($)
Decimal
|
Jun. 30, 2021
USD ($)
Decimal
|
|
| Average bought | 65,074 | 75,850 |
| Average sold | 65,571 | 76,557 |
| Average notional | $ | $ 3,370,000,000 | $ 11,798,000,000 |
DERIVATIVE INSTRUMENTS (Details 3) - Millburn Multi Markets Trading L P [Member] - USD ($) |
Jun. 30, 2022 |
Dec. 31, 2021 |
||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized assets | $ 28,594,018 | $ 8,854,272 | ||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (11,957,999) | (7,788,201) | ||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 16,636,019 | 1,066,071 | ||||||||||||||||||
| Gross amounts of recognized liabilities | 6,947,454 | 15,779,228 | ||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (5,428,672) | (13,762,955) | ||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | 1,518,782 | 2,016,273 | ||||||||||||||||||
| Financial Instruments | ||||||||||||||||||||
| Collateral Received | (15,984,271) | [1],[2] | (1,066,071) | [3],[4] | ||||||||||||||||
| Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 651,748 | [5] | [6] | |||||||||||||||||
| Collateral pledged | 1,518,782 | [1],[2] | 2,016,273 | [3],[4] | ||||||||||||||||
| Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [7] | [8] | ||||||||||||||||||
| Future [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized assets | 21,899,387 | 8,854,272 | ||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (5,915,116) | (7,788,201) | ||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 15,984,271 | 1,066,071 | ||||||||||||||||||
| Forward Contracts [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized liabilities | 12,851,427 | |||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (11,866,163) | |||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | 985,264 | |||||||||||||||||||
| Counterparty C [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 4,472,646 | |||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | 1,031,009 | |||||||||||||||||||
| Financial Instruments | ||||||||||||||||||||
| Collateral Received | [1],[2] | (4,472,646) | ||||||||||||||||||
| Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | |||||||||||||||||||
| Collateral pledged | [3],[4] | 1,031,009 | ||||||||||||||||||
| Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [8] | |||||||||||||||||||
| Counterparty C [Member] | Future [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized assets | 5,348,725 | |||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (876,079) | |||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 4,472,646 | |||||||||||||||||||
| Counterparty C [Member] | Futures Contracts [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized liabilities | 2,927,801 | |||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (1,896,792) | |||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | 1,031,009 | |||||||||||||||||||
| Counterparty J [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 852,394 | 846,184 | ||||||||||||||||||
| Financial Instruments | ||||||||||||||||||||
| Collateral Received | (852,394) | [1],[2] | (846,184) | [3],[4] | ||||||||||||||||
| Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | [6] | ||||||||||||||||||
| Counterparty J [Member] | Future [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized assets | 981,457 | 1,771,788 | ||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (129,063) | (925,604) | ||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 852,394 | 846,184 | ||||||||||||||||||
| Counterparty L [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 10,659,231 | 219,887 | ||||||||||||||||||
| Financial Instruments | ||||||||||||||||||||
| Collateral Received | (10,659,231) | [1],[2] | (219,887) | [3],[4] | ||||||||||||||||
| Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | [6] | ||||||||||||||||||
| Counterparty L [Member] | Future [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized assets | 15,569,205 | 7,082,484 | ||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (4,909,974) | (6,862,597) | ||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 10,659,231 | 219,887 | ||||||||||||||||||
| Counterparty K [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 651,748 | |||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | 139,698 | |||||||||||||||||||
| Financial Instruments | ||||||||||||||||||||
| Collateral Received | [1],[2] | |||||||||||||||||||
| Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | 651,748 | ||||||||||||||||||
| Collateral pledged | [3],[4] | 139,698 | ||||||||||||||||||
| Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [8] | |||||||||||||||||||
| Counterparty K [Member] | Forward Contracts [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized assets | 6,694,631 | |||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (6,042,883) | |||||||||||||||||||
| Net amounts of assets presented in the Statements of Financial Condition | 651,748 | |||||||||||||||||||
| Gross amounts of recognized liabilities | 7,266,994 | |||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (7,127,296) | |||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | 139,698 | |||||||||||||||||||
| Counterparty G [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | 1,518,782 | 845,566 | ||||||||||||||||||
| Financial Instruments | ||||||||||||||||||||
| Collateral pledged | 1,518,782 | [1],[2] | 845,566 | [3],[4] | ||||||||||||||||
| Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [7] | [8] | ||||||||||||||||||
| Counterparty G [Member] | Forward Contracts [Member] | ||||||||||||||||||||
| Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||||||||
| Gross amounts of recognized liabilities | 6,947,454 | 5,584,433 | ||||||||||||||||||
| Gross amounts offset in the Statement of Financial Condition | (5,428,672) | (4,738,867) | ||||||||||||||||||
| Net amounts of liabilities presented in the Statements of Financial Condition | $ 1,518,782 | $ 845,566 | ||||||||||||||||||
| ||||||||||||||||||||
DERIVATIVE INSTRUMENTS (Details Narrative) - USD ($) |
6 Months Ended | 12 Months Ended |
|---|---|---|
Jun. 30, 2022 |
Dec. 31, 2021 |
|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
| Credit risk | $ 35,486,056 | $ 31,976,629 |
PROFIT SHARE (Details) - Millburn Multi Markets Trading L P [Member] - USD ($) |
3 Months Ended | 6 Months Ended | ||||
|---|---|---|---|---|---|---|
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
|||
| Profit share earned | $ 73,179 | $ 197,362 | $ 73,179 | $ 197,556 | ||
| Reversal of profit share | [1] | (2,164,421) | (314,956) | |||
| Profit share accrued | 8,275,852 | 1,318,781 | 8,275,852 | 1,318,781 | ||
| Total profit share | $ 6,184,610 | $ 1,201,187 | $ 8,349,031 | $ 1,516,337 | ||
| ||||||
PROFIT SHARE (Details Narrative) - Millburn Multi Markets Trading L P [Member] |
6 Months Ended |
|---|---|
Jun. 30, 2022 | |
| Monthly management fee charges description | 1.75% (1.75% per annum, fee reduced to 1.75% from 2.00% |
| Management fee percentage per annum | 20.00% |
| Trading profits percent included in computing ratios to average capital | 1.75% |