UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the quarterly
period ended
Commission
file number:
| Organized in |
IRS Employer Identification No.: |
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 definition 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 ☐
Securities registered pursuant to Section 12(b) of the Act: N/A
PART I: FINANCIAL INFORMATION
Item 1. Financial Statements
LoCorr Futures Portfolio Fund, Limited Partnership
Statements of Financial Condition
March 31, 2024 (unaudited) and December 31, 2023
| March 31, | ||||||||
| 2024 | December 31, | |||||||
| (Unaudited) | 2023 | |||||||
| Assets | ||||||||
| Equity in broker trading accounts | ||||||||
| Cash | $ | $ | ||||||
| Net unrealized gain (loss) on open futures contracts | ( | ) | ||||||
| Net open futures options contracts (net premium paid $ | ||||||||
| Net unrealized gain (loss) on open forward currency contracts | ( | ) | ||||||
| Net unrealized gain (loss) on swap contracts | ||||||||
| Total equity in broker trading accounts | ||||||||
| Cash and cash equivalents | ||||||||
| Investment in private investment company, at fair value (cost $ | ||||||||
| Investment in securities, at fair value (cost $ | ||||||||
| General Partner | ||||||||
| Exchange membership, at fair value (cost $ | ||||||||
| Dividend receivable | ||||||||
| Total assets | $ | $ | ||||||
| Liabilities and Partners’ Capital (Net Asset Value) | ||||||||
| Liabilities | ||||||||
| Trading Advisor management fees payable | $ | $ | ||||||
| Trading Advisor incentive fees payable | ||||||||
| Commissions and other trading fees payable on open contracts | ||||||||
| Cash Managers fees payable | ||||||||
| General Partner management and performance fees payable | ||||||||
| General Partner | ||||||||
| Selling Agent payable - General Partner | ||||||||
| Broker dealer servicing fees payable - General Partner | ||||||||
| Administrative fee payable - General Partner | ||||||||
| Interest payable | ||||||||
| Redemption payable | ||||||||
| Subscriptions received in advance | ||||||||
| Total liabilities | ||||||||
| Partners’ Capital (Net Asset Value) | ||||||||
| Class A Interests – and units | ||||||||
| outstanding at March 31, 2024 and December 31, 2023, respectively | ||||||||
| Class A2 Interests – and units | ||||||||
| outstanding at March 31, 2024 and December 31, 2023, respectively | ||||||||
| Class B Interests – and units | ||||||||
| outstanding at March 31, 2024 and December 31, 2023, respectively | ||||||||
| Class I Interests – and units | ||||||||
| outstanding at March 31, 2024 and December 31, 2023, respectively | ||||||||
| Class R Interests – and units | ||||||||
| outstanding at March 31, 2024 and December 31, 2023, respectively | ||||||||
| Total partners’ capital (net asset value) | ||||||||
| Total liabilities and partners’ capital (net asset value) | $ | $ | ||||||
The accompanying notes are an integral part of these financial statements.
1
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
March 31, 2024 (unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||
| INVESTMENTS IN SECURITIES | |||||||||||||||||
| U.S. Treasury Securities | |||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
| $ | 3/31/24 | U.S. Treasury | % | $ | % | ||||||||||||
| 4/15/24 | U.S. Treasury | % | % | ||||||||||||||
| 6/30/24 | U.S. Treasury | % | % | ||||||||||||||
| 8/31/24 | U.S. Treasury | % | % | ||||||||||||||
| 4/30/25 | U.S. Treasury | % | % | ||||||||||||||
| 5/31/25 | U.S. Treasury | % | % | ||||||||||||||
| 11/15/25 | U.S. Treasury | % | % | ||||||||||||||
| 4/15/26 | U.S. Treasury | % | % | ||||||||||||||
| Total U.S. Treasury securities (cost: $ |
% | ||||||||||||||||
| U.S. Commercial Paper | |||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
| Banks | |||||||||||||||||
| $ | 5/7/24 | HSBC USA Inc. | % | $ | % | ||||||||||||
| 4/26/24 | Mitsubishi UFJ Trust & Banking Corporation (U.S.A) | % | % | ||||||||||||||
| Beverages | |||||||||||||||||
| 4/12/24 | Brown-Forman Corporation | % | % | ||||||||||||||
| Diversified financial services | |||||||||||||||||
| 5/24/24 | Cabot Trail Funding LLC | % | % | ||||||||||||||
| 4/24/24 | DCAT, LLC | % | % | ||||||||||||||
| 4/18/24 | Fairway Finance Company LLC | % | % | ||||||||||||||
| 4/15/24 | Manhattan Asset Funding Company LLC | % | % | ||||||||||||||
| 5/1/24 | Sheffield Receivables Company LLC | % | % | ||||||||||||||
| Energy | |||||||||||||||||
| 4/11/24 | Berkshire Hathaway Energy Company | % | % | ||||||||||||||
| 4/2/24 | Consolidated Edison Company of New York, Inc. | % | % | ||||||||||||||
| Insurance | |||||||||||||||||
| 4/18/24 | Pacific Life Short Term Funding LLC | % | % | ||||||||||||||
| Machinery | |||||||||||||||||
| 5/9/24 | Cummins Inc. | % | % | ||||||||||||||
| Manufacturing | |||||||||||||||||
| 4/23/24 | EIDP, Inc. | % | % | ||||||||||||||
| Telecommunications | |||||||||||||||||
| 6/3/24 | Cisco Systems, Inc. | % | % | ||||||||||||||
| Total U.S. commercial paper (cost: $ |
% | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
2
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2024 (unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||
| Foreign Commercial Paper | |||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
| Automotive | |||||||||||||||||
| $ | 4/10/24 | Magna International Inc. | % | $ | % | ||||||||||||
| 4/5/24 | Podium Funding Trust | % | % | ||||||||||||||
| Banks | |||||||||||||||||
| 4/2/24 | Barclays Bank PLC - New York Branch | % | % | ||||||||||||||
| Commercial Services | |||||||||||||||||
| 4/17/24 | Experian Finance plc | % | % | ||||||||||||||
| Diversified financial services | |||||||||||||||||
| 4/3/24 | Brookfield Corporate Treasury Ltd. | % | % | ||||||||||||||
| 6/11/24 | Goldman Sachs International | % | % | ||||||||||||||
| Energy | |||||||||||||||||
| 4/23/24 | TotalEnergies Capital Société anonyme | % | % | ||||||||||||||
| Manufacturing | |||||||||||||||||
| 5/31/24 | Glencove Funding DAC | % | % | ||||||||||||||
| Total foreign commercial paper (cost: $ |
% | ||||||||||||||||
| Total commercial paper (cost: $ |
% | ||||||||||||||||
| U.S. Corporate Notes | |||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
| Aerospace | |||||||||||||||||
| $ | 5/1/25 | Boeing Company | % | $ | % | ||||||||||||
| Banks | |||||||||||||||||
| 3/11/27 | Bank of America Corporation | % | % | ||||||||||||||
| 3/18/27 | Goldman Sachs Bank USA | % | % | ||||||||||||||
| 12/8/26 | JPMorgan Chase Bank, National Association | % | % | ||||||||||||||
| 1/26/26 | KeyBank National Association | % | % | ||||||||||||||
| 12/6/24 | Truist Bank | % | % | ||||||||||||||
| Commercial services | |||||||||||||||||
| 8/18/24 | Air Lease Corporation | % | % | ||||||||||||||
| Diversified financial services | |||||||||||||||||
| 4/1/24 | Brookfield Finance LLC | % | % | ||||||||||||||
| 1/20/27 | Morgan Stanley | % | % | ||||||||||||||
| 2/5/27 | National Rural Utilities Cooperative Finance Corporation | % | % | ||||||||||||||
| Energy | |||||||||||||||||
| 1/29/26 | NextEra Energy Capital Holdings, Inc. | % | % | ||||||||||||||
| Equipment | |||||||||||||||||
| 6/14/24 | NVIDIA Corporation | % | % | ||||||||||||||
| Machinery | |||||||||||||||||
| 1/10/25 | John Deere Capital Corporation | % | % | ||||||||||||||
| Telecommunications | |||||||||||||||||
| 3/1/27 | AT&T Inc. | % | % | ||||||||||||||
| Total U.S. corporate notes (cost: $ | % | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
3
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2024 (unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||
| Foreign Corporate Notes | |||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
| Banks | |||||||||||||||||
| $ | 12/11/26 | The Toronto-Dominion Bank | % | $ | % | ||||||||||||
| Diversified financial services | |||||||||||||||||
| 1/13/25 | UBS AG | % | % | ||||||||||||||
| Total foreign corporate notes (cost: $ | % | ||||||||||||||||
| Total corporate notes (cost: $ | % | ||||||||||||||||
| U.S. Asset Backed Securities | |||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
| Automotive | |||||||||||||||||
| $ | 9/15/26 | Capital One Prime Auto Receivables Trust 2021-1 | % | % | |||||||||||||
| 2/17/26 | CarMax Auto Owner Trust 2021-2 | % | % | ||||||||||||||
| 6/15/26 | CarMax Auto Owner Trust 2021-3 | % | % | ||||||||||||||
| 4/26/27 | Chase Auto Owner Trust 2024-1 | % | % | ||||||||||||||
| 4/15/33 | Chesapeake Funding II LLC - 2018 - 2 | % | % | ||||||||||||||
| 6/15/26 | Ford Credit Auto Owner Trust 2022-A | % | % | ||||||||||||||
| 11/16/26 | Mercedes-Benz Auto Receivables Trust 2023-2 | % | % | ||||||||||||||
| 6/15/26 | Santander Consumer Auto Receivables Trust 2021-A | % | % | ||||||||||||||
| 1/15/26 | Santander Drive Auto Receivables Trust 2022-7 | % | % | ||||||||||||||
| 3/16/26 | Santander Drive Auto Receivables Trust 2023-2 | % | % | ||||||||||||||
| 2/16/27 | Santander Drive Auto Receivables Trust 2023-4 | % | % | ||||||||||||||
| 7/15/27 | Santander Drive Auto Receivables Trust 2023-5 | % | % | ||||||||||||||
| 1/20/26 | Sbna Auto Lease Trust 2024 - A Fund | % | % | ||||||||||||||
| 11/25/31 | Toyota Auto Loan Extended Note Trust 2019-1 | % | % | ||||||||||||||
| 10/15/25 | Toyota Auto Receivables 2020-C Owner Trust | % | % | ||||||||||||||
| 9/15/26 | Toyota Auto Receivables 2022-B Owner Trust | % | % | ||||||||||||||
| 7/22/26 | Toyota Lease Owner Trust 2024-A | % | % | ||||||||||||||
| Credit cards | |||||||||||||||||
| 11/15/24 | American Express Credit Account Master Trust, Series 2021-1 | % | % | ||||||||||||||
| 9/16/24 | Barclays Dryrock Issuance Trust, Series 2021-1 | % | % | ||||||||||||||
| 7/15/24 | Capital One Multi-Asset Execution Trust, Series 2021-1 | % | % | ||||||||||||||
| 4/22/24 | Citibank Credit Card Issuance Trust | % | % | ||||||||||||||
| 9/15/24 | Discover Card Execution Note Trust | % | % | ||||||||||||||
| Equipment | |||||||||||||||||
| 3/14/29 | CCG Receivables Trust 2021-2 | % | % | ||||||||||||||
| 1/21/25 | Dllst 2022-1 LLC | % | % | ||||||||||||||
| 9/20/29 | HPEFS Equipment Trust 2022-2 | % | % | ||||||||||||||
| 6/13/28 | Mmaf Equipment Finance LLC 2021-A | % | % | ||||||||||||||
| 7/20/28 | Verizon Master Trust | % | % | ||||||||||||||
| Total U.S. asset backed securities (cost: $ | % | ||||||||||||||||
| Total investments in securities (cost: $ | $ | % | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
4
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2024 (unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||
| OPEN FUTURES CONTRACTS | ||||||||||
| Long U.S. Futures Contracts | ||||||||||
| Agricultural commodities | $ | % | ||||||||
| Currencies | % | |||||||||
| Energy | % | |||||||||
| Equity indices | % | |||||||||
| Interest rate instruments | % | |||||||||
| Metals2 | % | |||||||||
| Net unrealized gain (loss) on open long U.S. futures contracts | % | |||||||||
| Short U.S. Futures Contracts | ||||||||||
| Agricultural commodities | ( | ) | ( | )% | ||||||
| Currencies | % | |||||||||
| Energy | % | |||||||||
| Equity indices | ( | ) | ( | )% | ||||||
| Interest rate instruments | % | |||||||||
| Metals2 | ( | ) | ( | )% | ||||||
| Net unrealized gain (loss) on open short U.S. futures contracts | ( | ) | ( | )% | ||||||
| Long Foreign Futures Contracts | ||||||||||
| Agricultural commodities | % | |||||||||
| Currencies | % | |||||||||
| Energy | ( | ) | % | |||||||
| Equity indices | % | |||||||||
| Interest rate instruments | % | |||||||||
| Metals | % | |||||||||
| Net unrealized gain (loss) on open long foreign futures contracts | % | |||||||||
| Short Foreign Futures Contracts | ||||||||||
| Agricultural commodities | ( | ) | ( | )% | ||||||
| Currencies | % | |||||||||
| Energy | % | |||||||||
| Equity indices | ( | ) | ( | )% | ||||||
| Interest rate instruments | ( | ) | ( | )% | ||||||
| Net unrealized gain (loss) on open short foreign futures contracts | ( | ) | ( | )% | ||||||
| Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | % | |||||||||
| Net unrealized gain (loss) on open futures contracts | $ | % | ||||||||
The accompanying notes are an integral part of these financial statements.
5
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2024 (unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||
| OPEN FUTURES OPTIONS CONTRACTS | ||||||||||
| Long U.S. Futures Options Contracts | ||||||||||
| Equity indices | $ | % | ||||||||
| Net open long U.S. futures options contracts (premium paid $ | $ | % | ||||||||
| OPEN FORWARD CURRENCY CONTRACTS | ||||||||||
| U.S. Forward Currency Contracts | ||||||||||
| Long2 | $ | ( | ) | ( | )% | |||||
| Short2 | % | |||||||||
| Net unrealized gain (loss) on open U.S. forward currency contracts | % | |||||||||
| Foreign Forward Currency Contracts | ||||||||||
| Long | % | |||||||||
| Short | % | |||||||||
| Net unrealized gain (loss) on open foreign forward currency contracts | % | |||||||||
| Net unrealized gain (loss) on open forward currency contracts | $ | % | ||||||||
| TOTAL RETURN SWAP CONTRACTS | ||||||||||
| Long | $ | % | ||||||||
| Short | % | |||||||||
| % | ||||||||||
| INVESTMENT IN PRIVATE INVESTMENT COMPANY3 | ||||||||||
| Investment in private investment company (cost: $ | $ | % | ||||||||
| 1 |
| 2 |
| 3 |
The accompanying notes are an integral part of these financial statements.
6
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2023
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| INVESTMENTS IN SECURITIES | ||||||||||||||||||
| U.S. Treasury Securities | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| $ | 1/31/24 | U.S. Treasury | % | $ | % | |||||||||||||
| 2/29/24 | U.S. Treasury | % | % | |||||||||||||||
| 3/31/24 | U.S. Treasury | % | % | |||||||||||||||
| 4/15/24 | U.S. Treasury | % | % | |||||||||||||||
| 6/30/24 | U.S. Treasury | % | % | |||||||||||||||
| 4/30/25 | U.S. Treasury | % | % | |||||||||||||||
| 5/31/25 | U.S. Treasury | % | % | |||||||||||||||
| 11/15/25 | U.S. Treasury | % | % | |||||||||||||||
| 4/15/26 | U.S. Treasury | % | % | |||||||||||||||
| Total U.S. Treasury securities (cost: $ | % | |||||||||||||||||
| U.S. Commercial Paper | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Automotive | ||||||||||||||||||
| $ | 2/23/24 | Toyota Motor Credit Corp. | % | $ | % | |||||||||||||
| 3/15/24 | Volvo Treasury NA LP | % | % | |||||||||||||||
| Banks | ||||||||||||||||||
| 1/5/24 | MUFG Bank, Ltd., New York Branch | % | % | |||||||||||||||
| Beverages | ||||||||||||||||||
| 1/4/24 | Brown-Forman Corporation | % | % | |||||||||||||||
| Diversified financial services | ||||||||||||||||||
| 1/26/24 | Cabot Trail Funding LLC | % | % | |||||||||||||||
| 1/22/24 | DCAT, LLC | % | % | |||||||||||||||
| 1/4/24 | Equitable Short Term Funding LLC | % | % | |||||||||||||||
| 3/4/24 | Fairway Finance Company LLC | % | % | |||||||||||||||
| 2/27/24 | Gotham Funding Corporation | % | % | |||||||||||||||
| 1/12/24 | Liberty Street Funding LLC | % | % | |||||||||||||||
| 1/2/24 | National Rural Utilities Cooperative Finance Corporation | % | % | |||||||||||||||
| 1/31/24 | Sheffield Receivables Company LLC | % | % | |||||||||||||||
| 2/6/24 | Thunder Bay Funding, LLC | % | % | |||||||||||||||
| Energy | ||||||||||||||||||
| 1/8/24 | Berkshire Hathaway Energy Company | % | % | |||||||||||||||
| Insurance | ||||||||||||||||||
| 2/9/24 | Pacific Life Short Term Funding LLC | % | % | |||||||||||||||
| Machinery | ||||||||||||||||||
| 1/16/24 | John Deere Capital Corporation | % | % | |||||||||||||||
| Total
U.S. commercial paper (cost: $ | % | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
7
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2023
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| Foreign Commercial Paper | ||||||||||||||||||
| Banks | ||||||||||||||||||
| $ | 1/22/24 | Bank of Montreal | % | % | ||||||||||||||
| 1/11/24 | Barclays Bank PLC | % | % | |||||||||||||||
| 1/25/24 | National Bank of Canada | % | % | |||||||||||||||
| 1/18/24 | Oversea-Chinese Banking Corporation Limited | % | % | |||||||||||||||
| Diversified financial services | ||||||||||||||||||
| 1/10/24 | Experian Finance plc | % | % | |||||||||||||||
| 1/2/24 | Longship Funding Designated Activity Company | % | % | |||||||||||||||
| Total
foreign commercial paper (cost: $ | % | |||||||||||||||||
| Total
commercial paper (cost: $ | % | |||||||||||||||||
| U.S. Corporate Notes | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Aerospace | ||||||||||||||||||
| $ | 5/1/25 | Boeing Company | % | % | ||||||||||||||
| Automotive | ||||||||||||||||||
| 6/14/24 | NVIDIA Corporation | % | % | |||||||||||||||
| Banks | ||||||||||||||||||
| 2/4/25 | Bank of America Corporation | % | % | |||||||||||||||
| 1/26/26 | KeyBank National Association | % | % | |||||||||||||||
| 12/6/24 | Truist Bank | % | % | |||||||||||||||
| 1/24/24 | Wells Fargo & Company | % | % | |||||||||||||||
| Diversified financial services | ||||||||||||||||||
| 8/18/24 | Air Lease Corporation | % | % | |||||||||||||||
| 1/8/24 | Athene Global Funding | % | % | |||||||||||||||
| 4/1/24 | Brookfield Finance LLC | % | % | |||||||||||||||
| Machinery | ||||||||||||||||||
| 1/10/25 | John Deere Capital Corp FXD | % | % | |||||||||||||||
| Telecommunications | ||||||||||||||||||
| 3/22/24 | Verizon Communications Inc. | % | % | |||||||||||||||
| Total
U.S. corporate notes (cost: $ | % | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
8
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2023
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| Foreign Corporate Notes | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Banks | ||||||||||||||||||
| $ | 12/11/26 | The Toronto-Dominion Bank | % | $ | % | |||||||||||||
| Diversified financial services | ||||||||||||||||||
| 1/13/25 | UBS AG | % | % | |||||||||||||||
| Total
foreign corporate notes (cost: $ | % | |||||||||||||||||
| Total corporate notes (cost: $ | % | |||||||||||||||||
| U.S. Asset Backed Securities | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Automotive | ||||||||||||||||||
| 9/15/26 | Capital One Prime Auto Receivables Trust 2021-1 | % | % | |||||||||||||||
| 2/17/26 | CarMax Auto Owner Trust 2021-2 | % | % | |||||||||||||||
| 6/15/26 | CarMax Auto Owner Trust 2021-3 | % | % | |||||||||||||||
| 4/15/33 | Chesapeake Funding II LLC - 2018 - 2 | % | % | |||||||||||||||
| 7/15/30 | Ford Credit Auto Owner Trust 2019-Rev1 | % | % | |||||||||||||||
| 6/15/26 | Ford Credit Auto Owner Trust 2022-A | % | % | |||||||||||||||
| 11/16/26 | Mercedes-Benz Auto Receivables Trust 2023-2 | % | % | |||||||||||||||
| 6/15/26 | Santander Consumer Auto Receivables Trust 2021-A | % | % | |||||||||||||||
| 1/15/26 | Santander Drive Auto Receivables Trust 2022-7 | % | % | |||||||||||||||
| 1/15/26 | Santander Drive Auto Receivables Trust 2023-2 | % | % | |||||||||||||||
| 2/16/27 | Santander Drive Auto Receivables Trust 2023-4 | % | % | |||||||||||||||
| 11/25/31 | Toyota Auto Loan Extended Note Trust 2019-1 | % | % | |||||||||||||||
| 10/15/25 | Toyota Auto Receivables 2020-C Owner Trust | % | % | |||||||||||||||
| 9/15/26 | Toyota Auto Receivables 2022-B Owner Trust | % | % | |||||||||||||||
| Credit cards | ||||||||||||||||||
| 11/16/26 | American Express Credit Account Master Trust, Series 2021-1 | % | % | |||||||||||||||
| 9/16/24 | Barclays Dryrock Issuance Trust, Series 2021-1 | % | % | |||||||||||||||
| 7/15/24 | Capital One Multi-Asset Execution Trust, Series 2021-1 | % | % | |||||||||||||||
| 4/22/24 | Citibank Credit Card Issuance Trust | % | % | |||||||||||||||
| 9/15/24 | Discover Card Execution Note Trust | % | % | |||||||||||||||
| Equipment | ||||||||||||||||||
| 3/14/29 | CCG Receivables Trust 2021-2 | % | % | |||||||||||||||
| 1/21/25 | Dllst 2022-1 Llc | % | % | |||||||||||||||
| 9/20/29 | HPEFS Equipment Trust 2022-2 | % | % | |||||||||||||||
| 6/13/28 | Mmaf Equipment Finance Llc 2021-A | % | % | |||||||||||||||
| 7/20/28 | Verizon Master Trust | % | % | |||||||||||||||
| Total
U.S. asset backed securities (cost: $ | % | |||||||||||||||||
| Total investments in securities (cost: $ | $ | % | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
9
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2023
| OPEN FUTURES CONTRACTS | |||||||||
| Long U.S. Futures Contracts | |||||||||
| Agricultural commodities | $ | ( | ) | ( | )% | ||||
| Currencies | % | ||||||||
| Energy | ( | ) | ( | )% | |||||
| Equity indices | % | ||||||||
| Interest rate instruments | % | ||||||||
| Metals | % | ||||||||
| Net unrealized gain (loss) on open long U.S. futures contracts | % | ||||||||
| Short U.S. Futures Contracts | |||||||||
| Agricultural commodities | % | ||||||||
| Energy | % | ||||||||
| Equity indices | ( | ) | ( | )% | |||||
| Interest rate instruments | ( | ) | ( | )% | |||||
| Metals | ( | ) | ( | )% | |||||
| Net unrealized gain (loss) on open short U.S. futures contracts | ( | ) | ( | )% | |||||
| Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | ( | ) | ( | )% | |||||
| Long Foreign Futures Contracts | |||||||||
| Agricultural commodities | % | ||||||||
| Currencies | ( | ) | ( | )% | |||||
| Equity indices | % | ||||||||
| Interest rate instruments | % | ||||||||
| Metals | ( | ) | ( | )% | |||||
| Net unrealized gain (loss) on open long foreign futures contracts | % | ||||||||
The accompanying notes are an integral part of these financial statements.
10
LoCorr Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2023
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||
| OPEN FUTURES CONTRACTS (continued) | |||||||||
| Short Foreign Futures Contracts | |||||||||
| Agricultural commodities | $ | % | |||||||
| Currencies | ( | ) | ( | )% | |||||
| Energy | ( | ) | ( | )% | |||||
| Equity indices | ( | ) | ( | )% | |||||
| Interest rate instruments | ( | ) | ( | )% | |||||
| Net unrealized gain (loss) on open short foreign futures contracts | ( | ) | ( | )% | |||||
| Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | % | ||||||||
| Net unrealized gain (loss) on open futures contracts | $ | ( | ) | ( | )% | ||||
| OPEN FORWARD CURRENCY CONTRACTS | |||||||||
| U.S. Forward Currency Contracts | |||||||||
| Long | $ | % | |||||||
| Short | ( | ) | ( | )% | |||||
| Net unrealized gain (loss) on open U.S. forward currency contracts | ( | ) | ( | )% | |||||
| Foreign Forward Currency Contracts | |||||||||
| Long | ( | ) | ( | )% | |||||
| Short | ( | ) | ( | )% | |||||
| Net unrealized gain (loss) on open foreign forward currency contracts | ( | ) | ( | )% | |||||
| Net unrealized gain (loss) on open forward currency contracts | $ | ( | ) | ( | )% | ||||
| TOTAL RETURN SWAP CONTRACTS | |||||||||
| Long | % | ||||||||
| Short | % | ||||||||
| % | |||||||||
| INVESTMENT IN PRIVATE INVESTMENT COMPANY3 | |||||||||
| Galaxy East Alpha (cost: $ | $ | % | |||||||
| 1 |
| 2 | No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented. |
| 3 |
The accompanying notes are an integral part of these financial statements.
11
LoCorr Futures Portfolio Fund, Limited Partnership
Statements of Operations
For the Three Months Ended March 31, 2024 and 2023
(Unaudited)
| Three Months Ended March 31, | ||||||||
| 2024 | 2023 | |||||||
| Realized and Change in Unrealized Gain (Loss) on Investments | ||||||||
| Net realized gain (loss) on: | ||||||||
| Futures, forward and swap contracts | $ | $ | ( | ) | ||||
| Investments in securities | ( | ) | ( | ) | ||||
| Net change in unrealized gain (loss) on: | ||||||||
| Futures, futures options, swaps and forward contracts | ( | ) | ||||||
| Investment in private investment company | ( | ) | ||||||
| Investments in securities | ||||||||
| Exchange membership | ( | ) | ||||||
| Brokerage commissions and trading expenses | ( | ) | ( | ) | ||||
| Net realized and change in unrealized gain (loss) on investments | ( | ) | ||||||
| Net Investment Income (Loss) | ||||||||
| Income | ||||||||
| Dividends and interest income | ||||||||
| Expenses | ||||||||
| Trading Advisor management fees | ||||||||
| Trading Advisor incentive fees | ||||||||
| Cash Managers fees | ||||||||
| General Partner management and performance fees | ||||||||
| Selling agent fees - General Partner | ||||||||
| Broker dealer servicing fees - General Partner | ||||||||
| General Partner | ( | ) | ||||||
| Administrative fee - General Partner | ||||||||
| Total expenses | ||||||||
| Net investment income (loss) | ( | ) | ( | ) | ||||
| Net Income (Loss) | $ | $ | ( | ) | ||||
The accompanying notes are an integral part of these financial statements.
12
LoCorr Futures Portfolio Fund, Limited Partnership
Statements of Operations (continued)
For the Three Months Ended March 31, 2024 and 2023 (unaudited)
| Three Months Ended March 31, 2024 | ||||||||||||||||||||
| Class A | Class A2 | Class B | Class I | Class R | ||||||||||||||||
| Increase (decrease) in net asset value per unit | $ | $ | $ | $ | $ | |||||||||||||||
| Net income (loss) per unit† | $ | $ | $ | $ | $ | |||||||||||||||
| Weighted average number of units outstanding | ||||||||||||||||||||
| Three Months Ended March 31, 2023 | ||||||||||||||||||||
| Class A | Class A2 | Class B | Class I | Class R | ||||||||||||||||
| Increase (decrease) in net asset value per unit | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | |||||
| Net income (loss) per unit† | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | |||||
| Weighted average number of units outstanding | ||||||||||||||||||||
| † |
The accompanying notes are an integral part of these financial statements.
13
LoCorr Futures Portfolio Fund, Limited Partnership
Statements of Cash Flows
For the Three Months Ended March 31, 2024 and 2023
(Unaudited)
| Three Months Ended March 31, | ||||||||
| 2024 | 2023 | |||||||
| Cash flows from operating activities | ||||||||
| Net income (loss) | $ | $ | ( | ) | ||||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
| Net change in unrealized (gain) loss from futures, futures options, forward contracts and swap contracts | ( | ) | ||||||
| Net realized and change in unrealized (gain) loss on private investment company and securities | ( | ) | ( | ) | ||||
| Purchases of securities and private investment company | ( | ) | ( | ) | ||||
| Proceeds from disposition of private investment company and securities | ||||||||
| Changes in | ||||||||
| Exchange Membership | ( | ) | ||||||
| Dividend receivable | ||||||||
| Trading Advisor management fee payable | ( | ) | ||||||
| Trading Advisor incentive fee payable | ( | ) | ||||||
| Commissions and other trading fees payable on open contracts | ( | ) | ||||||
| Cash Manager fees Payable | ( | ) | ( | ) | ||||
| General Partner management and performance fees payable | ( | ) | ||||||
| General Partner | ( | ) | ||||||
| Selling Agent fees payable - General Partner | ( | ) | ||||||
| Broker dealer servicing fees payable - General Partner | ( | ) | ||||||
| Administrative fee payable – General Partner | ( | ) | ||||||
| Dividend and interest payable | ( | ) | ( | ) | ||||
| Net cash provided by (used in) operating activities | ( | ) | ||||||
| Cash flows from financing activities | ||||||||
| Subscriptions | ||||||||
| Subscriptions received in advance | ||||||||
| Redemptions | ( | ) | ( | ) | ||||
| Net cash used in financing activities | ( | ) | ( | ) | ||||
| Net increase (decrease) in cash and cash equivalents | ( | ) | ||||||
| Cash and cash equivalents, beginning of period | ||||||||
| Cash and cash equivalents, end of period | $ | $ | ||||||
| End of period cash and cash equivalents consists of | ||||||||
| Cash in broker trading accounts | $ | $ | ||||||
| Cash and cash equivalents | ||||||||
| Total end of period cash and cash equivalents | $ | $ | ||||||
| Supplemental disclosure of cash flow information | ||||||||
| Prior period redemptions paid | $ | $ | ||||||
| Prior period subscriptions received in advance | $ | $ | ||||||
| Supplemental schedule of non-cash financing activities | ||||||||
| Redemptions payable | $ | $ | ||||||
The accompanying notes are an integral part of these financial statements.
14
LoCorr Futures Portfolio Fund, Limited Partnership
Statements of Changes in Partners’ Capital (Net Asset Value)
For the Three Months Ended March 31, 2024 and 2023
(Unaudited)
| Class A | Class A2 | Class B | Class I | Class R | Total | ||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||
| March 31, 2024 | |||||||||||||||||||||||
| Balance at December 31, 2023 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
| Net income (loss) | |||||||||||||||||||||||
| Subscriptions | |||||||||||||||||||||||
| Redemptions | ( | ) | ( | ) | ( | ) | ( | ) | |||||||||||||||
| Transfers | ( | ) | |||||||||||||||||||||
| Balance at March 31, 2024 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||
| March 31, 2023 | |||||||||||||||||||||||
| Balance at December 31, 2022 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
| Net income (loss) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | |||||||||||
| Subscriptions | |||||||||||||||||||||||
| Redemptions | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | |||||||||||||
| Transfers | ( | ) | |||||||||||||||||||||
| Balance at March 31, 2023 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
| Units | |||||||||||||||||||||||
| Class A | Class A2 | Class B | Class I | Class R | |||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||
| March 31, 2024 | |||||||||||||||||||||||
| Balance at December 31, 2023 | $ | $ | $ | $ | $ | ||||||||||||||||||
| Subscriptions | |||||||||||||||||||||||
| Redemptions | ( | ) | ( | ) | ( | ) | |||||||||||||||||
| Transfers | ( | ) | |||||||||||||||||||||
| Balance at March 31, 2024 | $ | $ | $ | $ | $ | ||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||
| March 31, 2023 | |||||||||||||||||||||||
| Balance at December 31, 2022 | $ | $ | $ | $ | $ | ||||||||||||||||||
| Subscriptions | |||||||||||||||||||||||
| Redemptions | ( | ) | ( | ) | ( | ) | ( | ) | |||||||||||||||
| Transfers | ( | ) | |||||||||||||||||||||
| Balance at March 31, 2023 | $ | $ | $ | $ | $ | ||||||||||||||||||
| Net Asset Value per Unit | |||||||||||||||||||||||
| Class A | Class A2 | Class B | Class I | Class R | |||||||||||||||||||
| March 31, 2024 | $ | $ | $ | $ | $ | ||||||||||||||||||
| December 31, 2023 | |||||||||||||||||||||||
| March 31, 2023 | |||||||||||||||||||||||
| December 31, 2022 | |||||||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
15
LoCorr Futures Portfolio Fund, Limited Partnership
Notes to Financial Statements
| 1. | Organization and Summary of Significant Accounting Policies |
Description of the Fund
LoCorr Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in five classes, Class A, A2, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund.
The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally.
The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of the futures brokers and interbank market makers through which the Fund trades.
Steben & Company, LLC (“General Partner”), is the general partner of the Fund and a Maryland limited liability company registered with the CFTC as a commodity pool operator and is also registered with the SEC as a registered investment advisor. The General Partner is a member of the NFA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.
The
five classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a
Significant Accounting Policies
Accounting Principles
The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). Under GAAP, the Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946, Financial Services – Investment Companies.
Use of Estimates
Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
Revenue Recognition
Futures, forward currency contracts, investments in securities and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities are determined on a specific identification basis and are included in net realized gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities is reflected as unrealized gain or loss on investments in securities. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.
16
Fair Value of Financial Instruments
Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
Level 1 – Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, futures options contracts, U.S. Treasury securities and mutual funds.
Level 2 – Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, commercial paper, corporate notes, asset backed securities and the exchange membership.
Level 3 – Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment.
The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended March 31, 2024 and year ended December 31, 2023, there were no such transfers between levels.
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.
U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, corporate notes, asset backed securities, swaps and exchange memberships are classified within Level 2.
The investment in a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets and are classified within Level 1. The money market fund is included in cash and cash equivalents in the statements of financial condition. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. The Fund’s valuation policy for swaps is that fair value is based on the terms of the contracts (such as the notional amount and the contract maturity) and current market data and counterparty credit risk. Swaps are generally categorized as level 2 in the fair value hierarchy. The Fund’s investment in a private investment company is valued at net asset value as provided by the private fund’s administrator. This use of net asset value as the practical expedient to approximate fair value under ASC 820 is advisable due to the investment not having a readily determinable fair value. Investments measured at fair value using the new asset value practical expedient are not categorized in the fair value hierarchy.
17
Cash and Cash Equivalents
Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.
Exchange Membership
The Fund incurs reduced fees for transactions on the Chicago Mercantile Exchange (CME) due to a membership interest in the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations.
Brokerage Commissions and Trading Expenses
Brokerage commissions and trading expenses include brokerage and other trading fees and are charged to expense when contracts are opened and closed.
Redemptions Payable
Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.
Income Taxes
The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through March 31, 2024. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for the current and prior three years.
Foreign Currency Transactions
The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations.
Reclassification
Certain amounts reported in the 2023 financial statements may have been reclassified to conform to the 2024 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).
New Accounting Pronouncements
There are no relevant new accounting pronouncements to note for this period.
| 2. | Fair Value Disclosures |
The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:
| At March 31, 2024 | ||||||||||||||||
| Level 1 | Level 2 | Valued at NAV | Total | |||||||||||||
| Equity in broker trading accounts: | ||||||||||||||||
| Net unrealized gain (loss) on open futures contracts* | $ | $ | — | $ | — | $ | ||||||||||
| Net open futures options contracts* | — | — | ||||||||||||||
| Net unrealized gain (loss) on open forward currency contracts* | — | — | ||||||||||||||
| Net unrealized gain (loss) on swap contracts | — | — | ||||||||||||||
| Cash and cash equivalents: | ||||||||||||||||
| Money market funds | — | — | ||||||||||||||
| Investment in private investment company | ||||||||||||||||
| Investment in securities: | ||||||||||||||||
| U.S. Treasury securities* | — | — | ||||||||||||||
| Asset backed securities* | — | — | ||||||||||||||
| Commercial paper* | — | — | ||||||||||||||
| Corporate notes* | — | — | ||||||||||||||
| Exchange membership | — | — | ||||||||||||||
| Total | $ | $ | $ | $ | ||||||||||||
| * |
18
| At December 31, 2023 | ||||||||||||||||
| Level 1 | Level 2 | Valued at NAV | Total | |||||||||||||
| Equity in broker trading accounts: | ||||||||||||||||
| Net unrealized gain (loss) on open futures contracts* | $ | ( | ) | $ | — | $ | — | $ | ( | ) | ||||||
| Net unrealized gain (loss) on open forward currency contracts* | — | ( | ) | — | ( | ) | ||||||||||
| Net unrealized gain (loss) on swap contracts* | — | — | ||||||||||||||
| Cash and cash equivalents: | — | |||||||||||||||
| Money market funds | — | — | ||||||||||||||
| Investment in private investment company | — | — | ||||||||||||||
| Investment in securities: | ||||||||||||||||
| U.S. Treasury securities* | — | — | ||||||||||||||
| Asset backed securities* | — | — | ||||||||||||||
| Commercial paper* | — | — | ||||||||||||||
| Corporate notes* | — | — | ||||||||||||||
| Exchange membership | — | — | ||||||||||||||
| Total | $ | $ | $ | $ | ||||||||||||
| * |
There were no Level 3 holdings at March 31, 2024 and December 31, 2023, or during the periods then ended.
In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.
19
| 3. | Derivative Instruments Disclosures |
The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At March 31, 2024, the Fund’s derivative contracts had the following impact on the statement of financial condition:
| March 31, 2024 | ||||||||||||
| Derivative Assets and Liabilities, at fair value | ||||||||||||
| Statements of Financial Condition Location | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Financial Condition | Net Amount of Assets Presented in the Statement of Financial Condition | |||||||||
| Equity in broker trading accounts: | ||||||||||||
| Net unrealized gain (loss) on open futures contracts | ||||||||||||
| Agricultural commodities | $ | $ | ( | ) | $ | |||||||
| Currencies | ( | ) | ||||||||||
| Energy | ( | ) | ||||||||||
| Equity indices | ( | ) | ||||||||||
| Interest rate instruments | ( | ) | ||||||||||
| Metals | ( | ) | ||||||||||
| Net unrealized gain (loss) on open futures contracts | $ | $ | ( | ) | $ | |||||||
| Net unrealized gain (loss) on open futures options contracts | $ | $ | — | $ | ||||||||
| Net unrealized gain (loss) on open forward currency contracts | $ | $ | ( | ) | $ | |||||||
| Net unrealized gain (loss) on swap contract | $ | $ | $ | |||||||||
At
March 31, 2024, there were
The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at March 31, 2024 were:
| At March 31, 2024 | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
| Counterparty | Net Amount of Liabilities in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
| Deutsche Bank, AG | $ | $ | — | $ | — | $ | ||||||||||
| Deutsche Bank Securities, Inc | — | — | ||||||||||||||
| Goldman Sachs & Co. LLC | — | — | ||||||||||||||
| JP Morgan Securities, LLC | — | — | ||||||||||||||
| SG Americas Securities, LLC | — | — | ||||||||||||||
| Total | $ | $ | — | $ | — | $ | ||||||||||
20
For the three months ended March 31, 2024, the Fund’s derivative contracts had the following impact on the statements of operations:
| Three Months Ended March 31, 2024 | ||||||||
| Types of Exposure | Net realized gain (loss) | Net change in unrealized gain (loss) | ||||||
| Futures contracts | ||||||||
| Agricultural commodities | $ | $ | ||||||
| Currencies | ||||||||
| Energy | ||||||||
| Equity indices | ||||||||
| Interest rate instruments | ( | ) | ||||||
| Metals | ( | ) | ||||||
| Total futures contracts | ||||||||
| Futures options contracts | ||||||||
| Equity indices | ( | ) | ||||||
| Total futures options contracts | ( | ) | ||||||
| Forward currency contracts | ( | ) | ||||||
| Swap contracts | ||||||||
| Total futures, futures options and forward currency | $ | $ | ||||||
For
the three months ended March 31, 2024, the number of futures contracts closed was
At December 31, 2023, the Fund’s derivative contracts had the following impact on the statements of financial condition:
| December 31, 2023 | ||||||||||||
| Derivative Assets and Liabilities, at fair value | ||||||||||||
| Statements of Financial Condition Location | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Financial Condition | Net Amount of Assets Presented in the Statement of Financial Condition | |||||||||
| Equity in broker trading accounts | ||||||||||||
| Net unrealized gain (loss) on open futures contracts | ||||||||||||
| Agricultural commodities | $ | $ | ( | ) | $ | |||||||
| Currencies | ( | ) | ( | ) | ||||||||
| Energy | ( | ) | ( | ) | ||||||||
| Equity indices | ( | ) | ||||||||||
| Interest rate instruments | ( | ) | ( | ) | ||||||||
| Metals | ( | ) | ( | ) | ||||||||
| Net unrealized gain (loss) on open futures contracts | $ | $ | ( | ) | $ | ( | ) | |||||
| Net unrealized gain (loss) on open forward currency contracts | $ | $ | ( | ) | $ | ( | ) | |||||
| Net unrealized gain (loss) on swap contracts | $ | $ | $ | |||||||||
21
At
December 31, 2023, there were
The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2023 were:
| At December 31, 2023 | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
| Counterparty | Net Amount of Liabilities in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
| Deutsche Bank, AG | $ | ( | ) | $ | — | $ | — | $ | ( | ) | ||||||
| Deutsche Bank Securities, Inc | ( | ) | — | — | ( | ) | ||||||||||
| SG Americas Securities, LLC | ( | ) | — | — | ( | ) | ||||||||||
| Goldman Sachs & Co. LLC | ( | ) | — | — | ( | ) | ||||||||||
| Total | $ | ( | ) | $ | — | $ | — | $ | ( | ) | ||||||
For the three months ended March 31, 2023, the Fund’s derivative contracts had the following impact on the statements of operations:
| Three Months Ended March 31, 2023 | ||||||||
| Types of Exposure | Net realized gain (loss) | Net change in unrealized gain (loss) | ||||||
| Futures contracts | ||||||||
| Agricultural commodities | $ | $ | ||||||
| Currencies | ( | ) | ||||||
| Energy | ( | ) | ( | ) | ||||
| Equity indices | ( | ) | ||||||
| Interest rate instruments | ( | ) | ( | ) | ||||
| Metals | ( | ) | ||||||
| Total futures contracts | ( | ) | ( | ) | ||||
| Forward currency contracts | ( | ) | ( | ) | ||||
| Swap contracts | ( | ) | ( | ) | ||||
| Total futures and forward currency | $ | ( | ) | $ | ( | ) | ||
For
the three months ended March 31, 2023, the number of futures contracts closed was
| 4. | General Partner |
The
General Partner does not maintain a capital balance in the Fund. Pursuant to the terms of the Partnership Agreement,
22
At March 31, 2024 and December 31, 2023, a Principal of the General Partner had the following investment balance in the Fund:
| March 31, 2024 | December 31, 2023 | |||||||
| Units Owned | ||||||||
| Value of Units | $ | $ | ||||||
The following fees are paid to the General Partner:
| ● | General
Partner Management Fee – the Fund incurs a monthly fee on Class A, A2, B and R
Units equal to 1/12th of |
| ● | General
Partner Performance Fee – the Fund incurs a monthly fee on Class I Units |
| ● | Selling
Agent Fees – the Class A Units incur a monthly fee |
| ● | Broker
Dealer Servicing Fees – the Class B Units incur a monthly fee |
| ● | Administrative
Expenses – the Fund incurs a monthly fee |
| 5. | Trading Advisors and Cash Manager |
The
Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly advisor management
fee that ranges from
Principal
Global Investors, LLC serves as the cash manager for the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Manager,
equal to approximately 1/12th of
| 6. | Deposits with Brokers |
To
meet margin requirements, the Fund maintains assets, including cash, equity in futures and forward currency contracts, and investments
in securities, with brokers, subject to CFTC regulations and various exchange and broker requirements. At March 31, 2024 and December
31, 2023, the Fund had assets totaling $
23
| 7. | Subscriptions, Distributions and Redemptions |
Investments
in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject
to acceptance by the General Partner. The minimum investment is $
The Fund is not required to make distributions but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Class A, A2, B, I or R Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner, and in certain circumstances, restrictions in the Partnership Agreement.
The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or other self-regulatory organization regulations.
| 8. | Trading Activities and Related Risks |
The Fund engages in the speculative trading of futures, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, and credit risk, the risk of failure by another party to perform according to the terms of a contract.
The Portfolios are subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters, which can all negatively impact the securities markets and cause a Portfolio to lose value. These events can also impair the technology and other operational systems upon which the Portfolios’ service providers rely and could otherwise disrupt the ability of the Portfolios’ service providers to perform essential tasks.
The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts, which may vary across asset classes, may adversely affect the performance of the Portfolios. In certain cases, an exchange or market may close or issue trading halts on specific securities or even the entire market, which may result in the Portfolios being, among other things, unable to buy or sell certain securities or financial instruments or to accurately price their investments.
Purchase and sale of futures contracts requires margin deposits with the futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than (or none of) the total cash and other property deposited. The Fund uses SG Americas Securities, LLC and Deutsche Bank Securities, Inc. as its futures brokers. The Fund uses Goldman Sachs & Company, LLC and Deutsche Bank AG as its forward currency counterparties.
For futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures and forward currency contracts purchased, and unlimited liability on such contracts sold short.
In addition to market risk, upon entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures and options on futures contracts traded in the U.S. and on most non-U.S. futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.
24
In the case of forward currency contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange-traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.
The Fund has a portion of its assets on deposit with interbank market makers and other financial institutions in connection with its trading of forward currency contracts and its cash management activities. In the event of an interbank market maker’s or financial institution’s insolvency, recovery of Fund assets on deposit may be limited to account insurance or other protection afforded such deposits.
Entering into swap agreements involves, to varying degrees, credit, market, and counterparty risk in excess of the amounts recognized on the statement of financial condition.
The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments.
Through its investments in debt securities, the Fund has exposure to U.S. and foreign enterprises.
The following table presents the exposure at March 31, 2024,
| Country or Region | U.S. Treasury Securities | Commercial Paper | Corporate Notes | Asset Backed Securities | Total | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||
| United States | $ | $ | $ | $ | $ | % | ||||||||||||||||||
| Canada | — | — | % | |||||||||||||||||||||
| Ireland | — | — | — | % | ||||||||||||||||||||
| United Kingdom | — | — | % | |||||||||||||||||||||
| France | — | — | — | % | ||||||||||||||||||||
| Total | $ | $ | $ | $ | $ | % | ||||||||||||||||||
The following table presents the exposure at December 31, 2023,
| Country or Region | U.S. Treasury Securities | Commercial Paper | Corporate Notes | Asset Backed Securities | Total | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||
| United States | $ | $ | $ | $ | $ | % | ||||||||||||||||||
| Ireland | — | — | — | % | ||||||||||||||||||||
| United Kingdom | — | — | % | |||||||||||||||||||||
| Canada | — | — | % | |||||||||||||||||||||
| Singapore | — | — | — | % | ||||||||||||||||||||
| Total | $ | $ | $ | $ | $ | % | ||||||||||||||||||
25
| 9. | Indemnifications |
In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be estimated. However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the financial statements for such indemnifications.
| 10. | Interim Financial Statements |
The statements of financial condition, including the condensed schedule of investments, at March 31, 2024, the statements of operations, the statements of cash flows, and statement of changes in partners’ capital (net asset value) for the three months ended March 31, 2024 and 2023, and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at March 31, 2024, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2024 and 2023. The results of operations for the three months ended March 31, 2024 and 2023 are not necessarily indicative of the results to be expected for the full year or any other period. These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.
| 11. | Financial Highlights |
The following information presents per unit operating performance data and other ratios for the three months ended March 31, 2024 and 2023, assuming the unit was outstanding throughout the entire period:
| Three Months Ended March 31, 2024 | ||||||||||||||||||||
| Class A | Class A2 | Class B | Class I | Class R | ||||||||||||||||
| Per Unit Operating Performance | ||||||||||||||||||||
| Net asset value per unit, beginning of period | $ | $ | $ | $ | $ | |||||||||||||||
| Net realized and change in unrealized gain (loss) on investments (1) | ||||||||||||||||||||
| Net investment income (loss) (1) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||
| Total income (loss) from operations | ||||||||||||||||||||
| Net asset value per unit, end of period | $ | $ | $ | $ | $ | |||||||||||||||
| Total return | % | % | % | % | % | |||||||||||||||
| Other Financial Ratios | ||||||||||||||||||||
| Ratios to average net asset value | ||||||||||||||||||||
| Expenses prior to General Partner 1% allocation (2) | % | % | % | % | % | |||||||||||||||
| General Partner 1% allocation | % | % | % | % | % | |||||||||||||||
| Net total expenses | % | % | % | % | % | |||||||||||||||
| Net investment income (loss) (2) (3) | ( | )% | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||||
26
| Three Months Ended March 31, 2023 | ||||||||||||||||||||
| Class A | Class A2 | Class B | Class I | Class R | ||||||||||||||||
| Per Unit Operating Performance | ||||||||||||||||||||
| Net asset value per Unit, beginning of period | $ | $ | $ | $ | $ | |||||||||||||||
| Net realized and change in unrealized gain (loss) on investments (1) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||
| Net investment income (loss) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||
| Total income (loss) from operations | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||
| Net asset value per unit, end of period | $ | $ | $ | $ | $ | |||||||||||||||
| Total return | ( | )% | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||||
| Other Financial Ratios | ||||||||||||||||||||
| Ratios to average net asset value | ||||||||||||||||||||
| Expenses prior to General Partner 1% allocation (2) | % | % | % | % | % | |||||||||||||||
| General Partner 1% allocation | ( | )% | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||||
| Net total expenses | % | % | % | % | % | |||||||||||||||
| Net investment income (loss) (2) (3) | ( | )% | ( | )% | ( | )% | % | ( | )% | |||||||||||
Total returns are calculated based on the change in value of a Class A, A2, B, I or R Unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions.
| (1) |
| (2) |
| (3) |
| (4) | Ratios have not been annualized. |
| (5) | Ratio excludes General Partner 1% allocation. |
| 12. | Subsequent Events |
Subsequent
to quarter end, there were $
27
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
Current Positioning
Sector risk allocations and net positioning as of March 31, 2024 and first quarter 2024 gross performance contribution by sector was as follows:
| Risk Allocation | Net Position | Sector | Gross Performance Contribution | |||||||
| 12 | % | Long | Agriculture | 0.78 | % | |||||
| 16 | % | Long | Energy | 1.08 | % | |||||
| 7 | % | Long | Metals | 0.29 | % | |||||
| 28 | % | Long USD | Currencies | 1.58 | % | |||||
| 16 | % | Long | Equity indices | 2.01 | % | |||||
| 21 | % | Short | Interest rates | (0.27 | )% | |||||
Through the first week in March, the Fund’s trading advisers capitalized on the strong downward trend in global fixed income prices/rising yields; entering March with sizable gains from short positioning in this sector. These gains quickly evaporated, however, as bond yields collapsed. Though exposure shifted in response, given the magnitude and suddenness of the March reversal (the ~100 basis point decline over three days in the U.S. 2-Year Treasury yield was the largest drop since 1987), the Fund experienced losses. By the end of March, what had been the largest contributing asset class to the Fund’s performance through the end of February, had become the largest detractor for the quarter as a whole. The largest losses in March when the reversal took place were from short positions in the 2- and 5-year U.S. Treasuries along with the 3-Month SOFR (Secured Overnight Financing Rate).
Trading in commodities was the second largest detractor to Fund performance as losses in energy and, to a lesser extent, metals, more than offset modest gains in agricultural markets. In energy trading, losses in brent and West Texas Intermediate crude overshadowed gains made from bearish positioning in natural gas where prices continued to crater. In metals, trading in gold and silver drove the losses despite some recovery in March from bullish positioning. In agricultural markets, long sugar and short wheat positions were notable contributors.
Currency trading was a modest detractor to Fund performance as losses in March overwhelmed what had been a small year-to-date gain heading into the final month of the quarter. The Fund was primarily long USD during the quarter and was hurt by its relative weakness versus other currencies. The largest winner was trading in the Mexican Peso as strong appreciation versus the USD benefited the Fund’s bullish posture. Notable detractors included trading in the Euro along with the Australian and Canadian dollars.
Trading in equity indices was profitable during the quarter, though some gains were given up in March. Overall, long positioning in Europe drove the gains while trading in the U.S. proved more challenging. Higher equity prices in Europe benefitted bullish positions, particularly in the EURO STOXX 50, the German DAX, and the French CAC 40. In the U.S., exposure was more mixed and the Fund was hurt early in the quarter by a short position in the NASDAQ.
Positioning in commodity markets ended the quarter mixed with long metals exposure, agricultural markets largely flat, and energy exposure slightly short. Currencies finished the period mixed with long positions in Europe and Emerging Markets while Asia Pacific was short versus the USD. After being significantly short for much of the quarter, fixed income exposure was slashed during the banking meltdown and finished near flat (slightly short) at the end of March. Equity positioning ended the quarter long.
The portfolio’s positions tend to evolve dynamically based on tactical opportunities perceived by the Fund’s systematic trading programs. Should macroeconomic trends change course, we would expect the portfolio’s exposures to adapt accordingly.
Results of Operations
The returns for each Class of Units for the three months ended March 31, 2024 and 2023 were:
| Class of Units | 2024 | 2023 | ||||||
| Class A | 15.47 | % | (5.64 | )% | ||||
| Class A2 | 15.87 | % | (5.32 | )% | ||||
| Class B | 15.98 | % | (5.22 | )% | ||||
| Class I | 16.26 | % | (5.00 | )% | ||||
| Class R | 16.04 | % | (5.18 | )% | ||||
28
Results from past periods are not necessarily indicative of results that may be expected for any future period. Monthly analysis of the trading gains and losses is provided below.
2024
January
Equities continued their move to the upside in January, albeit at a moderated pace, as the S&P 500 Index hit an all-time high intra month and finished the period up +1.68%. Bonds did not fair the same as the Bloomberg U.S. Aggregate Bond Index finished modestly in negative territory, down -0.27%. Outside of traditional asset classes, commodities rose during the month, particularly oil, which gained over +5% after falling significantly in the fourth quarter of 2023. The U.S. Dollar moved upward against the backdrop of shifting investor sentiment surrounding Federal Reserve interest rate policy.
LoCorr Futures Portfolio Fund rose in January, a strong start to the year. The Fund was able to deliver positive returns while seeking to provide diversification, a benefit relative to traditional asset allocation strategies. The strong month was boosted by equities, agricultural commodities, and energies while interest rates and metals detracted. Foreign currency positioning was not a significant driver of returns in the month. The Fund finished with a net gain of 2.62%,2.74%,2.77%, 2.85% and 2.79% for Class A, A2, B, I, and R Units, respectively.
February
Equities continued their move to the upside in February at an accelerated cadence from the month prior, as the S&P 500 Index hit an all-time high intra-month and finished the period up +5.34%, bringing the YTD return to up +7.11%. Bonds did not fair the same as the Bloomberg U.S. Aggregate Bond Index finished in negative territory, down -1.41%, bringing its YTD return to down -1.68%. Outside of traditional asset classes, commodities fell during the month, despite a strong upward move for oil which has gained over +9% in 2024 after falling significantly in the fourth quarter of 2023. The U.S. Dollar moved upward against the backdrop of shifting investor perception on the timing of Federal Reserve interest rate cuts.
LoCorr Futures Portfolio Fund rose in February, adding to a strong start for the year. The Fund delivered a positive return while providing diversification relative to traditional asset classes. The strong month was boosted by equities, agricultural commodities, interest rates, and FX, while metals were a modest detractor. The Fund finished with a net gain of 7.20%, 7.32%, 7.36%, 7.44% and 7.37% for Class A, A2, B, I, and R Units, respectively.
March
Equities continued their move to the upside in March as the S&P 500 Index hit an all-time high intra month and finished the period up +3.22%, bringing its YTD return to up +10.56%. Bonds had their first positive month of the year, as the Bloomberg U.S. Aggregate Bond Index was up +0.92%, but still in negative territory YTD, down -0.78%. Outside of traditional asset classes, commodities rose in March, boosted by higher oil prices. The U.S Dollar was relatively flat as U.S. Treasury yields stabilized amid investors seeking additional clarification on the Federal Reserve’s next steps.
The LoCorr Futures Portfolio Fund rose in March, adding to its strong start for the year. The positive month was boosted by equities, currencies, energy products, and agricultural commodities while modest gains in metals trading were offset by losses in interest rates. The Fund finished with a net gain of 4.97%, 5.09%, 5.12%, 5.21% and 5.14% for Class A, A2, B, I, and R Units, respectively.
2023
January
Risk markets rebounded to start the new year, with the S&P 500 Index rising +6.28%. Investor confidence was sparked by hopes of a slowdown in the Federal Reserve’s interest rate hike campaign and optimism that a “hard landing” can be avoided. Bonds also rallied during the period, moving in tandem with equities, up +3.08%, after capping off the Bloomberg U.S. Aggregate Bond Index’s worst year since its inception in 1980. The U.S. Dollar, which had seen gains for much of 2022, continued its slide from its fourth quarter weakness, down over -1.3% in January.
LoCorr Futures Portfolio Fund (the “Fund”) fell modestly in January as low volatility provided limited trading opportunities for the Fund’s managers. While a majority of the Fund’s sectors detracted from performance, the Fund was profitable in equity index and energy trading. Despite the negative performance, this month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices in 2022. The Fund finished with a net loss of (0.93)%, (0.81)%, (0.78)%, (0.70)% and (0.76)% for Class A, A2, B, I, and R Units, respectively
29
February
After a brief recovery in January, the S&P 500 Index resumed its downward trend in February, losing -2.44% and dropping its year-to-date return to +3.69%. At the same time, bonds again failed to protect investor capital, selling off -2.59% and leaving the Bloomberg U.S. Aggregate Bond Index up just +0.41% YTD. Negatively impacting equity and fixed income markets was a concern that elevated inflation would last longer than expected and therefore prevent the Federal Reserve from cutting interest rates. The U.S. Dollar, which slid in the fourth quarter of 2022, rebounded in February, up +2.72%. The strength in the Dollar, however, proved to be a headwind for commodities, as the Bloomberg Commodity TR USD Index fell -4.70% during the period.
LoCorr Futures Portfolio Fund’s (the “Fund”) positive return in February was overwhelmingly driven by short bond positioning and, to a lesser extent, long U.S. Dollar positioning. While energy, metals, and equity trading were modest detractors, the strong month highlighted the Fund’s ability to be sizably invested in different themes, helping to provide positive returns against the losses suffered by major bond and equity indices. The Fund finished with a net gain of 2.35%, 2.47%, 2.50%, 2.58% and 2.52% for Class A, A2, B, I, and R Units, respectively
March
Amid heightened volatility related to stress in the banking sector, stocks and bonds both recovered some of February’s losses in the month of March, with the S&P 500 Index up +7.50% YTD and the Bloomberg U.S. Aggregate Bond Index up +2.96%. Positively impacting both equity and fixed income markets was optimism surrounding a possible pause in rate hikes by the Federal Reserve. As a result, the short end of the U.S. Treasury yield curve (2-year Treasury) experienced its largest move since 1987.
LoCorr Futures Portfolio Fund (the “Fund”) fell in March, as the short fixed income trend, which had heavily contributed year-to-date and in 2022, sharply reversed course. While a majority of other sectors detracted, the Fund’s managers were able to adjust for heightened market volatility and adjust position sizing accordingly. March performance was overwhelmingly driven by the aforementioned short bond positioning. This nimble approach, inherent in managing risk, allowed the Fund to mitigate losses. The Fund finished with a net loss of (6.95)%, (6.84)%, (6.81)%, (6.74)% and (6.79)% for Class A, A2, B, I, and R Units, respectively.
Liquidity
There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.
Capital Resources
The Fund intends to raise additional capital through the continued sale of Units and does not intend to raise capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. The Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investment in futures contracts, etc. in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows funds related to the sale and redemption of Units. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Fund’s capital resource arrangements at the present time.
Contractual Obligations
The Fund does not have any contractual obligations of the type contemplated by Item 303(a)(5) of Regulation S-K. The Fund’s sole business is trading futures and forward currency contracts, both long (contracts to buy) and short (contracts to sell).
Off-Balance Sheet Risk
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio allocations to multiple trading advisors, and maintenance of a margin-to-equity ratio that rarely exceeds 35%.
30
In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk. In cases where the clearinghouse is not backed by the clearing members, as is the case with some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward currency contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions, thus there may be a greater counterparty risk. The General Partner utilized only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance, however, that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
The Fund may invest in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, asset backed securities and corporate notes. Should an issuing entity default on its obligation to the Fund and such entity is not backed by the full faith and credit of the U.S. government, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities of firms with high quality debt ratings.
Significant Accounting Policies
A summary of the Fund’s significant accounting policies is included in Note 1 to the financial statements.
The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures and forward currency contracts, fixed income instruments and investments in private investment companies. The Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair values of non-exchange-traded contracts, such as forward currency contracts, are based on third-party quoted dealer values on the interbank market. The fair value of money market funds is based on quoted market prices for identical shares. U.S. Treasury securities are stated at fair value based on quoted market prices for identical assets in an active market. Notes of U.S. and foreign government sponsored enterprises, as well as commercial paper, asset backed securities and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions. The Fund’s investment in a private investment company is valued at net asset value as provided by the private fund’s administrator. This use of net asset value as the practical expedient to approximate fair value under ASC 820 is advisable due to the investment not having a readily determinable fair value.
Item 3. Quantitative and Qualitative Disclosures about Market Risk
Introduction
The Fund is a speculative commodity pool. The market-sensitive instruments held by the Fund are acquired for speculative trading purposes, and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.
Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.
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The Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance cannot be relied on as indicative of its future results.
Standard of Materiality
Materiality as used in this section, Quantitative and Qualitative Disclosures about Market Risk, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Fund’s market sensitive instruments.
Quantifying the Fund’s Trading Value at Risk
The following quantitative disclosures regarding the Fund’s market risk exposures contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund to market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). Risk of ruin is defined to be no more than a 5% chance of losing 20% or more on a monthly basis. In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.
The Fund’s risk exposure in the various market sectors traded by the Fund’s Trading Advisors is quantified below in terms of Value at Risk. Due to mark-to-market accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings.
Exchange margin requirements have been used by the Fund as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
In the case of market sensitive instruments that are not exchange-traded (includes currencies, certain energy products and metals), the margin requirements required by the forward counterparty is used as Value at Risk.
In quantifying the Fund’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated, have not been reflected.
Value at Risk as calculated herein may not be comparable to similarly titled measures used by others
The Fund’s Trading Value at Risk in Different Market Sectors
The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at March 31, 2024 and December 31, 2023. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.
| March 31, 2024 | December 31, 2023 | |||||||||||||||
| Market Sector | Value at Risk | % of Total Capitalization | Value at Risk | % of Total Capitalization | ||||||||||||
| Agricultural commodities | $ | 895,774 | 0.66 | % | $ | 981,266 | 0.81 | % | ||||||||
| Currencies | 2,153,948 | 1.59 | % | 1,516,199 | 1.25 | % | ||||||||||
| Energy | 1,223,598 | 0.90 | % | 788,670 | 0.65 | % | ||||||||||
| Equity indices | 1,189,562 | 0.88 | % | 1,033,972 | 0.86 | % | ||||||||||
| Interest rate instruments | 1,604,538 | 1.18 | % | 1,231,302 | 1.02 | % | ||||||||||
| Metals | 557,031 | 0.41 | % | 347,474 | 0.29 | % | ||||||||||
| Total | $ | 7,624,451 | 5.62 | % | $ | 5,898,882 | 4.88 | % | ||||||||
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Material Limitations on Value at Risk as an Assessment of Market Risk.
The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table – as well as the past performance of the Fund – gives no indication of this “risk of ruin.”
Non-Trading Risk
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury securities, U.S. government sponsored enterprise notes, commercial paper, asset backed securities and corporate notes. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.
Qualitative Disclosures Regarding Primary Trading Risk Exposures.
The following qualitative disclosures regarding the Fund’s market risk exposures - except for those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”). The Fund’s primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of March 31, 2024, by market sector.
Agricultural Commodities
The Fund takes positions in a broad range of agricultural futures, including soybeans, wheat, corn, sugar, and cotton among others. Prices in these markets can be affected by changes in demand, as well changes in supply factors such as weather and inventory levels.
Currencies
The Fund trades in foreign exchange markets by taking positions in currency futures and forward contracts for a large number of developed and emerging market currencies. Exposures may take the form of direct exchange rates against the U.S. dollar, or cross-rates between two foreign currencies. Exchange rates can be impacted by economic differences between regions (such as interest rate differentials or economic growth differentials), political events, as well as investor risk sentiment.
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Energy
The Fund gains trading exposure in energy markets through oil and gas futures, which include WTI crude oil, Brent crude oil, distillates such as heating oil, and natural gas. Prices have historically been highly volatile, driven by demand side factors such as global economic growth and weather conditions, as well as supply side factors such as Middle East conflicts, OPEC production agreements, and shale production.
Equity Indices
The Fund has exposure to major stock market indices around the world through equity index futures. Primary exposures are in developed markets such as the U.S., the UK, Germany, Japan, Hong Kong and Australia, but there can also be exposure to smaller developing market stock indices. Equity index price movements can be affected by microeconomic factors such as corporate earnings, by macroeconomic factors such as government fiscal and monetary policy, as well as by investor sentiment.
Interest Rate Instruments
The Fund has exposure to global fixed income markets through bond futures and interest rate futures in countries such as the U.S., the UK, Germany, Japan and Australia. The Fund has exposure across the yield curve with positions in the futures for both short term and long-term instruments. The yield curve (and futures prices) can be affected by economic growth, inflation expectations, monetary policy and investor risk aversion.
Metals
The Fund has exposure to metals futures, including both precious metals such as gold, silver and platinum, as well as industrial metals such as copper, aluminum and zinc. Metals prices can be volatile. Precious metals prices are often driven by inflation expectations, risk aversion, and mining output. Industrial metals prices tend to be impacted by industrial demand relative to production.
Single Stock Futures
The Fund may have a small exposure to single stock futures, with positions primarily in companies that trade on U.S. exchanges. The price drivers here tend to be more microeconomic with corporate earnings and industry trends being important. However, macroeconomic and market-wide factors can also affect single stock futures prices.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Fund as of March 31, 2024.
Foreign Currency Balances
The Fund’s primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than once a week).
U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes, Asset Backed Securities
Monies in excess of margin requirements are invested in fixed income instruments, including U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities. Fluctuations in prevailing interest rates could cause mark-to-market gains or losses on the Fund’s investments; although substantially all of these investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Fund and the Fund’s trading advisors, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market sectors traded. The Fund’s trading advisors apply risk management policies to their respective trading which generally limit the total exposure that may be taken. In addition, the trading advisors generally follow proprietary diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups).
The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally will use a small percentage of assets as margin, the Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.
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Item 4. Controls and Procedures
The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at March 31, 2024 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.
Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.
PART II: OTHER INFORMATION
Item 1. Legal Proceedings.
None.
Item 1A. Risk Factors.
There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2023.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
There were no sales of unregistered securities of the Fund during the three months ended March 31, 2024. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended March 31, 2024 were as follows:
| January | February | March | Total | |||||||||||||
| A Units | ||||||||||||||||
| Units redeemed | (196.0027 | ) | (82.4067 | ) | (364.2930 | ) | (642.7024 | ) | ||||||||
| Average net asset value per unit | $ | 4,158.64 | $ | 4,457.91 | $ | 4,679.34 | $ | 4,492.15 | ||||||||
| A2 Units | ||||||||||||||||
| Units redeemed | — | — | — | — | ||||||||||||
| Average net asset value per unit | $ | — | $ | — | $ | — | $ | — | ||||||||
B Units | ||||||||||||||||
| Units redeemed | (108.0794 | ) | (12.9987 | ) | (59.6005 | ) | (180.6786 | ) | ||||||||
| Average net asset value per unit | $ | 7,005.90 | $ | 7,521.26 | $ | 7,906.62 | $ | 7,340.10 | ||||||||
| I Units | ||||||||||||||||
| Units redeemed | — | — | — | — | ||||||||||||
| Average net asset value per unit | $ | — | $ | — | $ | — | $ | — | ||||||||
| R Units | ||||||||||||||||
| Units redeemed | — | — | (27.3293 | ) | (27.3293 | ) | ||||||||||
| Average net asset value per unit | $ | — | $ | — | $ | 36,238.00 | $ | 36,238.00 | ||||||||
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Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
None.
Item 6. Exhibit
The following exhibits are filed herewith of incorporated by reference.
| Exhibit No. | Description of Exhibit |
| 1,1(a) | Form of Selling Agreement |
| 3,1(a) | Maryland Certificate of Limited Partnership |
| 4,1(a) | Limited Partnership Agreement |
| 10,1(a) | Form of Subscription Agreement |
| 31,01 | Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002 |
| 31,02 | Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002 |
| 32,01 | Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002 |
| 32,02 |
| (a) | Incorporated by reference to the corresponding exhibit to the Registrant’s registration statement (File no, 000-50728) filed on April 29, 2004 on Form 10 under the 1934 Act, as amended. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.
| Dated: | May 15, 2024 | LoCorr Futures Portfolio Fund, Limited Partnership | ||
| By: | Steben & Company, LLC | |||
| General Partner | ||||
| By: | /s/ Kevin M, Kinzie | |||
| Name: | Kevin M. Kinzie | |||
| Title: | President, Chief Executive Officer and Director of the General Partner | |||
| (Principal Executive Officer) | ||||
| By: | /s/ Jon C, Essen | |||
| Name: | Jon C. Essen | |||
| Title: | Chief Financial Officer | |||
| (Principal Financial and Accounting Officer) | ||||
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