| (State or other jurisdiction of | (I.R.S. Employer | |
| incorporation or organization) | Identification No.) |
| Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
| N/A | N/A | N/A |
September 30, 2024 (Unaudited) |
December 31, 2023 | |||||||
Assets: |
||||||||
Investment in the Funds (1) , at fair value |
$ | $ | ||||||
Redemptions receivable from the Funds |
||||||||
Equity in trading account: |
||||||||
Unrestricted cash |
||||||||
Restricted cash |
||||||||
Foreign cash (cost $ |
||||||||
Net unrealized appreciation on open futures contracts |
||||||||
Options purchased, at fair value (premiums paid $ |
||||||||
Total equity in trading account |
||||||||
Interest receivable |
||||||||
Total assets |
$ | $ | ||||||
Liabilities and Partners’ Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open forward contracts |
$ | $ | ||||||
Options written, at fair value (premiums received $ |
||||||||
Accrued expenses: |
||||||||
Ongoing selling agent fees |
||||||||
Management fees |
||||||||
General Partner fees |
||||||||
Professional fees |
||||||||
Redemptions payable to General Partner |
||||||||
Redemptions payable to Limited Partners |
||||||||
Total liabilities |
||||||||
Partners’ Capital: |
||||||||
General Partner, Class Z, |
||||||||
Limited Partners, Class A, |
||||||||
Limited Partners, Class Z, |
||||||||
Total partners’ capital (net asset value) |
||||||||
Total liabilities and partners’ capital |
$ | |
$ | |
||||
Net asset value per Redeemable Unit: |
||||||||
Class A |
$ | $ | ||||||
Class Z |
$ | $ | ||||||
(1) |
Defined in Note 1. |
Number of Contracts |
Fair Value |
% of Partners’ Capital |
||||||||||||||||||||
Futures Contracts Purchased |
||||||||||||||||||||||
Currencies |
$ | % | ||||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||
Grains |
||||||||||||||||||||||
Indices |
||||||||||||||||||||||
Interest Rates U.S. |
||||||||||||||||||||||
Interest Rates Non-U.S. |
||||||||||||||||||||||
Livestock |
||||||||||||||||||||||
Metals |
||||||||||||||||||||||
Softs |
||||||||||||||||||||||
Total futures contracts purchased |
||||||||||||||||||||||
Futures Contracts Sold |
||||||||||||||||||||||
Currencies |
( |
) | ( |
) | ||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||||||||
Indices |
( |
) | ( |
) | ||||||||||||||||||
Interest Rates U.S. |
( |
) | ( |
) | ||||||||||||||||||
Interest Rates Non-U.S. |
( |
) | ( |
) | ||||||||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||||||
Softs |
( |
) | ( |
) | ||||||||||||||||||
Total futures contracts sold |
( |
) | ( |
) | ||||||||||||||||||
Net unrealized appreciation on open futures contracts |
$ | |
|
% | ||||||||||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||||||||||||
Currencies |
$ |
$ | % | |||||||||||||||||||
Metals |
||||||||||||||||||||||
Total unrealized appreciation on open forward contracts |
||||||||||||||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||||||||||||
Currencies |
$ |
$ | ( |
) | ( |
) | ||||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||||||
Total unrealized depreciation on open forward contracts |
( |
) | ( |
) | ||||||||||||||||||
Net unrealized depreciation on open forward contracts |
$ | ( |
) | ( |
) | % | ||||||||||||||||
Options Purchased |
||||||||||||||||||||||
Puts |
||||||||||||||||||||||
Grains |
$ | % | ||||||||||||||||||||
Indices |
||||||||||||||||||||||
Livestock |
||||||||||||||||||||||
Total options purchased (premiums paid $ |
$ | % | ||||||||||||||||||||
Options Written |
||||||||||||||||||||||
Puts |
||||||||||||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||||||||
Total options written (premiums received $ |
$ | ( |
) | ( |
) | % | ||||||||||||||||
Investment in the Funds |
||||||||||||||||||||||
CMF NL Master Fund LLC |
$ | % | ||||||||||||||||||||
CMF Drakewood Master Fund LLC |
||||||||||||||||||||||
Total investment in the Funds |
$ | % | ||||||||||||||||||||
Number of Contracts |
Fair Value |
% of Partners’ Capital |
||||||||||||||||||||
Futures Contracts Purchased |
||||||||||||||||||||||
Currencies |
$ | % | ||||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||
Grains |
||||||||||||||||||||||
Indices |
||||||||||||||||||||||
Interest Rates U.S. |
||||||||||||||||||||||
Interest Rates Non-U.S. |
||||||||||||||||||||||
Livestock |
||||||||||||||||||||||
Metals |
||||||||||||||||||||||
Softs |
||||||||||||||||||||||
Total futures contracts purchased |
||||||||||||||||||||||
Futures Contracts Sold |
||||||||||||||||||||||
Currencies |
( |
) | ( |
) | ||||||||||||||||||
Energy |
||||||||||||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||||||||
Indices |
( |
) | ( |
) | ||||||||||||||||||
Interest Rates U.S. |
( |
) | ( |
) | ||||||||||||||||||
Interest Rates Non-U.S. |
( |
) | ( |
) | ||||||||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||||||
Softs |
||||||||||||||||||||||
Total futures contracts sold |
( |
) | ( |
) | ||||||||||||||||||
Net unrealized appreciation on open futures contracts |
$ | |
|
% | ||||||||||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||||||||||||
Currencies |
$ |
$ | % | |||||||||||||||||||
Metals |
||||||||||||||||||||||
Total unrealized appreciation on open forward contracts |
||||||||||||||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||||||||||||
Currencies |
$ |
( |
) | ( |
) | |||||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||||||
Total unrealized depreciation on open forward contracts |
( |
) | ( |
) | ||||||||||||||||||
Net unrealized depreciation on open forward contracts |
$ | ( |
) | ( |
) | % | ||||||||||||||||
Options Purchased |
||||||||||||||||||||||
Puts |
||||||||||||||||||||||
Indices |
$ | % | ||||||||||||||||||||
Total options purchased (premiums paid $ |
$ | % | ||||||||||||||||||||
Investment in the Funds |
||||||||||||||||||||||
CMF NL Master Fund LLC |
$ | % | ||||||||||||||||||||
CMF Drakewood Master Fund LLC |
||||||||||||||||||||||
Total investment in the Funds |
$ | % | ||||||||||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
2024 |
2023 (1) |
2024 |
2023 (1) | |||||||||||||
Investment Income: |
||||||||||||||||
Interest income |
$ | $ | $ | $ | ||||||||||||
Interest income allocated from the Funds |
||||||||||||||||
Total investment income |
||||||||||||||||
Expenses: |
||||||||||||||||
Expenses allocated from the Funds |
||||||||||||||||
Clearing fees related to direct investments |
||||||||||||||||
Ongoing selling agent fees |
||||||||||||||||
Management fees |
||||||||||||||||
General Partner fees |
||||||||||||||||
Incentive fees |
||||||||||||||||
Professional fees |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ||||||||||||||
Trading Results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests and investment in: the Funds: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gains (losses) on closed contracts allocated from the Funds |
( |
) | ( |
) | ||||||||||||
Net change in unrealized gains (losses) on open contracts |
( |
) | ( |
) | ||||||||||||
Net change in unrealized gains (losses) on open contracts allocated from the Funds |
( |
) | ( |
) | ||||||||||||
Total trading results |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net loss |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Net income (loss) per Redeemable Unit*: |
||||||||||||||||
Class A |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Class Z |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ||||||
Weighted average Redeemable Units outstanding: |
||||||||||||||||
Class A |
|
|||||||||||||||
Class Z |
||||||||||||||||
(1) |
Not consolidated. |
| * | Represents the change in net asset value per Redeemable Unit during the period. |
Class A |
Class Z |
Total | ||||||||||||||||||||||
Amount |
Redeemable Units |
Amount |
Redeemable Units |
Amount |
Redeemable Units | |||||||||||||||||||
Partners’ Capital, December 31, 2022 (1) |
$ | |
$ | |
$ | |
||||||||||||||||||
Subscriptions - Limited Partners |
||||||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | - | - | ( |
) | - | |||||||||||||||||
Partners’ Capital, September 30, 2023 (1) |
$ | $ | $ | |||||||||||||||||||||
Partners’ Capital, June 30, 2023 (1) |
$ | $ | $ | |||||||||||||||||||||
Subscriptions - Limited Partners |
||||||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net income (loss) |
( |
) | - | ( |
) | - | ( |
) | - | |||||||||||||||
Partners’ Capital, September 30, 2023 (1) |
$ | $ | $ | |||||||||||||||||||||
Class A |
Class Z |
Total | ||||||||||||||||||||||
Amount |
Redeemable Units |
Amount |
Redeemable Units |
Amount |
Redeemable Units | |||||||||||||||||||
Partners’ Capital, December 31, 2023 |
$ | $ | $ | |||||||||||||||||||||
Subscriptions - Limited Partners |
||||||||||||||||||||||||
Redemptions - General Partner |
- | - | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | - | ( |
) | - | ( |
) | - | |||||||||||||||
Partners’ Capital, September 30, 2024 |
$ | $ | $ | |||||||||||||||||||||
Partners’ Capital, June 30, 2024 |
$ | $ | $ | |||||||||||||||||||||
Subscriptions - Limited Partners |
||||||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | - | ( |
) | - | ( |
) | - | |||||||||||||||
Partners’ Capital, September 30, 2024 |
$ | $ | $ | |||||||||||||||||||||
(1) |
Not consolidated. |
1. |
Organization: |
2. |
Basis of Presentation and Summary of Significant Accounting Policies: |
3. |
Financial Highlights: |
Three Months Ended September 30, 2024 |
Three Months Ended September 30, 2023 (1) |
Nine Months Ended September 30, 2024 |
Nine Months Ended September 30, 2023 (1) |
|||||||||||||||||||||||||||||||||||||||||||||
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
|||||||||||||||||||||||||||||||||||||||||
Per Redeemable Unit performance (for a unit outstanding throughout the period):* |
||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gains (losses) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||||||||||||||||||||||
Net investment income (loss) |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) for the period |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||
Net asset value per Redeemable Unit, beginning of period |
||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per Redeemable Unit, end of period |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2024 |
Three Months Ended September 30, 2023 (1) |
Nine Months Ended September 30, 2024 |
Nine Months Ended September 30, 2023 (1) |
|||||||||||||||||||||||||||||||||||||||||||||
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
|||||||||||||||||||||||||||||||||||||||||
Ratios to Average Limited Partners’ Capital:** |
||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income*** |
% | % | % | % | % | % | % | % | ||||||||||||||||||||||||||||||||||||||||
Operating expenses |
% | % | % | % | % | % | % | % | ||||||||||||||||||||||||||||||||||||||||
Incentive fees |
% | % | % | % | % | % | % | % | ||||||||||||||||||||||||||||||||||||||||
Total expenses |
% | % | % | % | % | % | % | % | ||||||||||||||||||||||||||||||||||||||||
Total return: |
||||||||||||||||||||||||||||||||||||||||||||||||
Total return before incentive fees |
( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | % | ||||||||||||||||||||||||||
Incentive fees |
% | % | % | % | ( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | ||||||||||||||||||||||||||||||||
Total return after incentive fees |
( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | ( |
) | % | % | ||||||||||||||||||||||||||
(1) |
Not consolidated. |
| * | Net investment income (loss) per Redeemable Unit is calculated by dividing the interest income less total expenses by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. |
| ** | Annualized (except for incentive fees). |
| *** | Interest income less total expenses. |
4. |
Trading Activities: |
Gross Amounts Recognized |
Gross Amounts Offset in the Consolidated Statements of Financial Condition |
Amounts Presented in the Consolidated Statements of Financial Condition |
Gross Amounts Not Offset in the Consolidated Statements of Financial Condition |
|||||||||||||||||||||
September 30, 2024 |
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount |
|||||||||||||||||||||
Assets |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | $ | ( |
$ | $ | $ | $ | |||||||||||||||||
Forwards |
( |
|||||||||||||||||||||||
| ( |
||||||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
|||||||||||||||||||||||
Total assets |
$ | $ | ( |
$ | $ | |
$ | $ | ||||||||||||||||
Liabilities |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | ( |
$ | $ | $ | $ | $ | |||||||||||||||||
Forwards |
( |
( |
||||||||||||||||||||||
| ( |
( |
|||||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
|||||||||||||||||||||||
Total liabilities |
$ | ( |
$ | $ | ( |
$ | $ | |
$ | |||||||||||||||
Net fair value |
$ | |
* | |||||||||||||||||||||
Gross Amounts Recognized |
Gross Amounts Offset in the Consolidated Statements of Financial Condition |
Amounts Presented in the Consolidated Statements of Financial Condition |
Gross Amounts Not Offset in the Consolidated Statements of Financial Condition |
|||||||||||||||||||||
December 31, 2023 |
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount |
|||||||||||||||||||||
Assets |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | $ | ( |
$ | $ | $ | $ | |||||||||||||||||
Forwards |
( |
|||||||||||||||||||||||
| ( |
||||||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
|||||||||||||||||||||||
Total assets |
$ | $ | ( |
$ | $ | $ | $ | |||||||||||||||||
Liabilities |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | ( |
$ | $ | $ | $ | $ | |||||||||||||||||
Forwards |
( |
( |
||||||||||||||||||||||
| ( |
( |
|||||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
( |
||||||||||||||||||||||
Total liabilities |
$ | ( |
$ | $ | ( |
$ | $ | |
$ | |||||||||||||||
Net fair value |
$ | |
* | |||||||||||||||||||||
* |
In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Consolidated Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
September 30, 2024 |
||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | |||
Energy |
||||
Grains |
||||
Indices |
||||
Interest Rates U.S. |
||||
Interest Rates Non-U.S. |
||||
Livestock |
||||
Metals |
||||
Softs |
||||
Total unrealized appreciation on open futures contracts |
|
|||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
( |
|||
Energy |
( |
|||
Grains |
( |
|||
Indices |
( |
|||
Interest Rates U.S. |
( |
|||
Interest Rates Non-U.S. |
( |
|||
Livestock |
( |
|||
Metals |
( |
|||
Softs |
( |
|||
Total unrealized depreciation on open futures contracts |
( |
|||
Net unrealized appreciation on open futures contracts |
$ | * | ||
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | |||
Metals |
||||
Total unrealized appreciation on open forward contracts |
||||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
$ | ( |
||
Metals |
( |
|||
Total unrealized depreciation on open forward contracts |
( |
|||
Net unrealized depreciation on open forward contracts |
$ | ( |
** | |
Assets |
||||
Options Purchased |
||||
Grains |
$ | |||
Indices |
||||
Livestock |
||||
Total options purchased |
$ | *** | ||
Liabilities |
||||
Options Written |
||||
Grains |
$ | ( |
||
Livestock |
( |
|||
Total options written |
$ | ( |
**** | |
| * | This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition. |
| ** | This amount is in “Net unrealized depreciation on open forward contracts” in the Consolidated Statements of Financial Condition. |
| *** | This amount is in “Options purchased, at fair value” in the Consolidated Statements of Financial Condition. |
| **** | This amount is in “Options written, at fair value” in the Consolidated Statements of Financial Condition. |
December 31, 2023 |
||||
| Assets |
||||
| Futures Contracts |
||||
| Currencies |
$ | |||
| Energy |
||||
| Grains |
||||
| Indices |
||||
| Interest Rates U.S. |
||||
| Interest Rates Non-U.S. |
||||
| Livestock |
||||
| Metals |
||||
| Softs |
||||
| |
|
|||
| Total unrealized appreciation on open futures contracts |
|
|||
| |
|
|||
| Liabilities |
||||
| Futures Contracts |
||||
| Currencies |
( |
|||
| Energy |
( |
|||
| Grains |
( |
|||
| Indices |
( |
|||
| Interest Rates U.S. |
( |
|||
| Interest Rates Non-U.S. |
( |
|||
| Livestock |
( |
|||
| Metals |
( |
|||
| Softs |
( |
|||
| |
|
|||
| Total unrealized depreciation on open futures contracts |
( |
|||
| |
|
|||
| Net unrealized appreciation on open futures contracts |
$ | * | ||
| |
|
|||
| Assets |
||||
| Forward Contracts |
||||
| Currencies |
$ | |||
| Metals |
||||
| |
|
|||
| Total unrealized appreciation on open forward contracts |
||||
| |
|
|||
| Liabilities |
||||
| Forward Contracts |
||||
| Currencies |
$ | ( |
||
| Metals |
( |
|||
| |
|
|||
| Total unrealized depreciation on open forward contracts |
( |
|||
| |
|
|||
| Net unrealized depreciation on open forward contracts |
$ | ( |
** | |
| |
|
|||
| Assets |
||||
| Options Purchased |
||||
| Indices |
$ | |||
| |
|
|||
| Total options purchased |
$ | *** | ||
| |
|
|||
| * | This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition. |
| ** | This amount is in “Net unrealized depreciation on open forward contracts” in the Consolidated Statements of Financial Condition. |
| *** | This amount is in “Options purchased, at fair value” in the Consolidated Statements of Financial Condition. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
| Sector |
2024 |
2023 (1) |
2024 |
2023 (1) |
||||||||||||
| Currencies |
$ | ( |
$ | $ | ( |
$ | ||||||||||
| Energy |
( |
( |
( |
( |
||||||||||||
| Grains |
( |
( |
( |
( |
||||||||||||
| Indices |
( |
( |
||||||||||||||
| Interest Rates U.S. |
( |
|||||||||||||||
| Interest Rates Non-U.S. |
( |
( |
( |
|||||||||||||
| Livestock |
( |
( |
||||||||||||||
| Metals |
( |
( |
( |
|||||||||||||
| Softs |
|
|||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | ( |
***** | $ | ( |
***** | $ | ***** | $ | ( |
***** | |||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Not consolidated. |
| ***** | This amount is included in “Total trading results” in the Consolidated Statements of Income and Expenses. |
5. |
Fair Value Measurements: |
| September 30, 2024 |
Total |
Level 1 |
Level 2 |
Level 3 | ||||||||||||
| Assets |
||||||||||||||||
| Futures |
$ | $ | $ | $ | ||||||||||||
| Forwards |
||||||||||||||||
| Options purchased |
||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
| Total assets |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
| Liabilities |
||||||||||||||||
| Futures |
$ | $ | $ | $ | ||||||||||||
| Forwards |
||||||||||||||||
| Options written |
||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
| Total liabilities |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
| December 31, 2023 |
Total |
Level 1 |
Level 2 |
Level 3 | ||||||||||||
| Assets |
||||||||||||||||
| Futures |
$ | $ | $ | $ | ||||||||||||
| Forwards |
||||||||||||||||
| Options purchased |
||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
| Total assets |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
| Liabilities |
||||||||||||||||
| Futures |
$ | $ | $ | $ | ||||||||||||
| Forwards |
||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
| Total liabilities |
$ | |
$ | |
$ | |
$ | |||||||||
| |
|
|
|
|
|
|
|
|
|
|
| |||||
6. |
Investment in the Funds: |
September 30, 2024 | ||||||||||||
Total Assets |
Total Liabilities |
Total Capital | ||||||||||
| Transtrend Master |
$ | $ | $ | |||||||||
| NL Master |
||||||||||||
| Drakewood Master |
||||||||||||
December 31, 2023 | ||||||||||||
Total Assets |
Total Liabilities |
Total Capital | ||||||||||
| Transtrend Master |
$ | |
$ | |
$ | |
||||||
| NL Master |
||||||||||||
| Drakewood Master |
||||||||||||
For the three months ended September 30, 2024 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | $ | ( |
$ | ( |
|||||||
NL Master |
( |
( |
||||||||||
Drakewood Master |
||||||||||||
For the nine months ended September 30, 2024 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | ( |
$ | $ | ||||||||
NL Master |
( |
( |
||||||||||
Drakewood Master |
|
|||||||||||
For the three months ended September 30, 2023 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | $ | ( |
$ | ||||||||
NL Master |
( |
( |
||||||||||
Drakewood Master |
( |
( |
||||||||||
For the nine months ended September 30, 2023 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | $ | |
$ | ||||||||
NL Master |
( |
( |
||||||||||
Drakewood Master |
( |
( |
||||||||||
September 30, 2024 |
For the three months ended September 30, 2024 |
|||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted |
||||||||||||||||||||||||||||||
Transtrend Master |
% | $ | $ | ( |
$ | $ | $ | $ | - | $ | ( |
|||||||||||||||||||||||||||||
NL Master |
% | ( |
- | - | ( |
|||||||||||||||||||||||||||||||||||
Drakewood Master |
% | - | - | |||||||||||||||||||||||||||||||||||||
Total |
$ | |
$ | ( |
$ | |
$ | |
$ | |
$ | - | $ | ( |
||||||||||||||||||||||||||
September 30, 2024 |
For the nine months ended September 30, 2024 |
|||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted |
||||||||||||||||||||||||||||||
Transtrend Master |
% | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
NL Master |
% | ( |
- | - | ( |
|||||||||||||||||||||||||||||||||||
Drakewood Master |
% | - | - | |||||||||||||||||||||||||||||||||||||
Total |
$ | $ | $ | $ | $ | $ | |
$ | ||||||||||||||||||||||||||||||||
December 31, 2023 |
For the three months ended September 30, 2023 |
|||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted |
||||||||||||||||||||||||||||||
Transtrend Master |
% | $ | $ | $ | $ | $ | $ | - | $ | |||||||||||||||||||||||||||||||
NL Master |
% | ( |
- | - | ( |
|||||||||||||||||||||||||||||||||||
Drakewood Master |
% | - | - | ( |
||||||||||||||||||||||||||||||||||||
Total |
$ | $ | ( |
$ | $ | $ | $ | - | $ | ( |
||||||||||||||||||||||||||||||
December 31, 2023 |
For the nine months ended September 30, 2023 |
|||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted |
||||||||||||||||||||||||||||||
Transtrend Master |
% | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
NL Master |
% | ( |
- | - | ( |
|||||||||||||||||||||||||||||||||||
Drakewood Master |
% | ( |
- | - | ( |
|||||||||||||||||||||||||||||||||||
Total |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||
7. |
Financial Instrument Risks: |
8. |
Subsequent Events: |
| Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Liquidity and Capital Resources
The Partnership does not have, nor does it expect to have, any capital assets. The Partnership does not engage in sales of goods or services. Its assets are its (i) investment in the Funds, (ii) redemptions receivable from the Funds, (iii) its equity in trading account, consisting of unrestricted cash, restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, options purchased at fair value and investment in U.S. Treasury bills at fair value, if applicable and (iv) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Funds and direct investments. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the third quarter of 2024.
The Partnership’s/Funds’ investment in futures, forwards and options may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or option contract has increased or decreased by an amount equal to the daily limit, positions in that futures or option contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Partnership and/or the Funds from promptly liquidating their futures or option contracts and result in restrictions on redemptions.
There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership and/or the Funds from trading in potentially profitable markets or prevent the Partnership and/or the Funds from promptly liquidating unfavorable positions in such markets, subjecting them to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s or the Funds’ assets.
Other than the risks inherent in commodity futures, forwards, options, swaps and other derivatives trading and U.S. Treasury bills and money market mutual fund securities, the Partnership and the Funds know of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnership’s or the Funds’ liquidity increasing or decreasing in any material way.
The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemptions of Redeemable Units and distributions of profits, if any. The Partnership’s primary need for capital resources is for Futures Interests trading.
For the nine months ended September 30, 2024, the Partnership’s capital decreased 12.6% from $329,200,714 to $287,577,264. This decrease was attributable to redemptions of 11,110.3150 Class A limited partner Redeemable Units totaling $38,307,824, redemptions of 375.6590 Class Z limited partner Redeemable Units totaling $544,337, redemptions of 203.1170 Class Z General Partner Redeemable Units totaling $300,430 and a net loss of $5,465,539, which was partially offset by subscriptions of 872.9890 Class A limited partner Redeemable Units totaling $2,981,680 and subscriptions of 8.7890 Class Z limited partner Redeemable Units totaling $13,000. Future redemptions can impact the amount of funds available for investment in subsequent periods.
Other than as discussed above, there are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership’s capital resource arrangements at the present time.
Off-Balance Sheet Arrangements and Contractual Obligations
The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.
Critical Accounting Policies
The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting periods. The General Partner believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” of the Financial Statements.
The Partnership and the Funds record all investments at fair value in their financial statements, with changes in fair value reported as a component of net realized gains (losses) and net change in unrealized gains (losses) in the Consolidated Statements of Income and Expenses.
23
Results of Operations
During the Partnership’s third quarter of 2024, the net asset value per Redeemable Unit for Class A decreased 7.0% from $3,517.65 to $3,271.25, as compared to a decrease of 1.7% in the third quarter of 2023. During the Partnership’s third quarter of 2024, the net asset value per Redeemable Unit for Class Z decreased 6.8% from $1,479.10 to $1,378.08, as compared to a decrease of 1.5% in the third quarter of 2023. The Partnership experienced a net trading loss before fees and expenses in the third quarter of 2024 of $22,854,942. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, indices, livestock and metals and were partially offset by gains in U.S. and non-U.S. interest rates and softs. The Partnership experienced a net trading loss before fees and expenses in the third quarter of 2023 of $7,181,231. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, grains, indices, non-U.S. interest rates and metals and were partially offset by gains in energy, livestock, U.S. interest rates and softs.
During the third quarter, the Partnership’s most notable losses for the quarter were incurred within the currencies during July and August from short positions in the Japanese yen versus the U.S. dollar as the relative value of the yen surged higher as the Bank of Japan raised interest rates. Additional currency losses were experienced from trading in European cross rate positions during July. In the energies, losses were recorded from long positions in crude oil futures throughout the quarter as oil prices steadily declined amid high global inventories and concerns a slowdown in the global economy would limit energy demand. Losses in the global stock index sector were experienced primarily during August from long positions in Asian, European, and U.S. equity index futures as stock prices dropped early in the month after the Bank of Japan raised interest rates and a broad sell-off in technology stocks occurred. In the agricultural complex, losses were incurred during September from short positions in soybean, wheat, and corn futures as grain prices reversed higher amid a wave of global buying. Additional losses in the agricultural markets were recorded during August from long positions in live cattle futures. In the metals markets, losses were experienced during July from long positions in copper futures as prices declined amid a slowdown in industrial purchasing from China. A portion of the Partnership’s losses for the third quarter was offset by gains achieved within the global fixed income sector during September from long positions in U.S., Canadian, and European fixed income futures as interest rate yields across the globe fell and prices rose amid speculation central banks would be aggressive in rate cuts going into year-end. Additional gains were recorded July and September from long positions in shipping freight futures as prices rallied amid concerns growing tensions in the Middle East would disrupt key trade routes.
During the Partnership’s nine months ended September 30, 2024, the net asset value per Redeemable Unit for Class A decreased 2.2% from $3,346.39 to $3,271.25, as compared to a decrease of 0.3% during the nine months ended September 30, 2023. During the Partnership’s nine months ended September 30, 2024, the net asset value per Redeemable Unit for Class Z decreased 1.7% from $1,401.81 to $1,378.08, as compared to an increase of 0.3% during the nine months ended September 30, 2023. The Partnership experienced a net trading loss before fees and expenses for the nine months ended September 30, 2024 of $5,780,823. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, non-U.S. interest rates and livestock and were partially offset by gains in indices, metals, U.S. interest rates and softs. The Partnership experienced a net trading loss before fees and expenses for the nine months ended September 30, 2023 of $992,442. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, U.S. and non-U.S. interest rates and metals and were partially offset by gains in currencies, indices, livestock and softs.
During the first nine months of the year, the Partnership’s largest losses were incurred within the energy markets during much of the second and third quarters from long positions in crude oil futures as prices declined steadily amid high global inventories and concerns a slowdown in the global economy would limit energy demand. Further losses in the energies were experienced during June from long positions in European electrical power futures and during September from short positions in global natural gas futures. Losses in the currencies were primarily experienced during the second quarter from long positions in the Mexican peso as the value of peso reversed lower after proposed government reform spooked investors. Additional losses were incurred in the global fixed income sector during January and February from long positions in European fixed income futures amid a murky outlook regarding central bank actions in battling inflation. Further losses were experienced within the global fixed income futures markets from short positions in European fixed income futures during April and June. A portion of the Partnership’s overall losses for the first nine months of the year was offset by gains were achieved within the agricultural markets during the first four months of the year from long positions in cocoa futures as cocoa prices surged to record highs amid concerns extremely hot weather in key West African growing regions would severely damage crops. Further gains in the agriculturals were recorded from long positions in coffee futures throughout much of the first three quarters of the year. Gains were also achieved throughout the first nine months of the year from long positions in shipping freight index futures as turmoil and attacks on shipping tankers in the Red Sea pushed prices higher. Gains within the global stock index sector were achieved during each month of the first quarter from long positions in Asian, European, and U.S. equity index futures as the outlook for global central banks, most notably the Fed, to be aggressive in cutting interest rates in 2024 spurred investor demand for stock buying. In the metals, gains were experienced during March, April, and May from long positions in gold and silver futures as easing inflationary pressures boosted demand for precious metals.
24
Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for profit. The profitability of the Partnership/Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, public health epidemics, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership/Funds expect to increase capital through operations.
As of September 30, 2024, interest income was earned on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s, except for Transtrend Master’s) brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. will pay monthly interest to Transtrend Master on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. For the avoidance of doubt, the Partnership/Funds will not receive interest on amounts in the futures brokerage account that are committed to margin. Any interest earned on the Partnership’s and/or each Fund’s cash account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Funds, as applicable. Any interest income earned on collateral or excess cash deposited by certain of the Funds and held by JPMorgan in its capacity as such Funds’ forward foreign currency counterparty will be retained by such Funds, and the Partnership will receive its allocable portion of such interest from the applicable Fund. Interest income earned by the Partnership for the three and nine months ended September 30, 2024 decreased by $830,660 and $606,066, respectively, as compared to the corresponding periods in 2023. The decrease in interest income was primarily due to lower 4-week U.S. Treasury bill discount rates during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on (1) the average daily equity maintained in cash in the Partnership’s and/or the Funds’ accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds, MS&Co. or JPMorgan has control.
Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three and nine months ended September 30, 2024 decreased by $11,254 and $88,238, respectively, as compared to the corresponding periods in 2023. The decrease in these clearing fees was primarily due to a decrease in the number of direct trades made by the Partnership during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023.
Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value for Class A Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Ongoing selling agent fees for the three and nine months ended September 30, 2024 decreased by $131,674 and $296,580, respectively, as compared to the corresponding periods in 2023. The decrease in ongoing selling agent fees was primarily due to lower average adjusted net assets during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023.
Management fees, except fees payable to Transtrend, are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Management fees payable to Transtrend are charged at the Transtrend Master level and are affected by trading performance, subscriptions and redemptions of Transtrend Master. Management fees for the three and nine months ended September 30, 2024 decreased by $61,569 and $3,492, respectively, as compared to the corresponding periods in 2023. The decrease in management fees was due to lower average adjusted net assets during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023.
Fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisors, (ii) allocating and reallocating the Partnership’s assets among the commodity trading advisors and (iii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. The General Partner fees for the three and nine months ended September 30, 2024 decreased by $133,918 and $302,324, respectively, as compared to the corresponding periods in 2023. The decrease in the General Partner fees was due to lower average adjusted net assets during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023.
25
Incentive fees paid by the Partnership are based on the new trading profits, as defined in the respective management agreements among the Partnership, the General Partner/Trading Manager and each Advisor, generated by each Advisor at the end of the quarter, calendar half year or annually, as applicable. Trading performance for the three and nine months ended September 30, 2024 resulted in incentive fees of $0 and $1,013,156. Trading performance for the three and nine months ended September 30, 2023 resulted in incentive fees of $0 and $172,212. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid an incentive fee until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.
In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, each Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the Advisors and may allocate assets to additional advisors at any time.
As of September 30, 2024 and June 30, 2024, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:
| Advisor |
September 30, 2024 | September 30, 2024 (percentage of Partners’ Capital) |
June 30, 2024 | June 30, 2024 (percentage of Partners’ Capital) |
||||||||||||
| Transtrend |
$ | 60,550,462 | 21 | % | $ | 77,089,682 | 24 | % | ||||||||
| Northlander |
$ | 16,025,947 | 6 | % | $ | 23,812,557 | 7 | % | ||||||||
| Drakewood |
$ | 28,650,630 | 10 | % | $ | 29,183,666 | 9 | % | ||||||||
| JSCL |
$ | 70,128,963 | 24 | % | $ | 105,885,596 | 32 | % | ||||||||
| Quantica |
$ | 49,636,942 | 17 | % | $ | 49,211,831 | 15 | % | ||||||||
| Breakout |
$ | 20,436,363 | 7 | % | $ | 25,641,077 | 8 | % | ||||||||
| Opus |
$ | 22,972,165 | 8 | % | $ | - | 0 | % | ||||||||
| Unallocated |
$ | 19,175,792 | 7 | % | $ | 15,863,946 | 5 | % | ||||||||
26
| Item 3. | Quantitative and Qualitative Disclosures about Market Risk. |
The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by the Partnership/Funds are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ 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 Partnership’s/Funds’ main line of business.
The limited partners will not be liable for losses exceeding the current net asset value of their investment.
Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open contracts and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors. These primarily include factors which affect energy price levels, including supply factors and weather conditions, but could also include the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.
The Partnership/Funds rapidly acquire and liquidate 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 Partnership’s/Funds’ past performances is not necessarily indicative of their future results.
Quantifying the Partnership’s and the Funds’ Trading Value at Risk
The following quantitative disclosures regarding the Partnership’s and the Funds’ market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act, and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). 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.
The Partnership and the Funds account for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s and each Fund’s open positions is directly reflected in the Partnership’s and each Fund’s earnings and cash flow.
The Partnership’s and the Funds’ risk exposure in the market sectors traded by the Advisors is estimated below in terms of Value at Risk. Please note that the Value at Risk model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either the General Partner or the Advisors in their daily risk management activities.
“Value at Risk” is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.
Exchange margin requirements have been used by the Partnership/Funds as the measure of their 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 (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. JSCL, Quantica, Breakout and Opus directly trade managed accounts in the name of the Partnership. As of September 30, 2024, Transtrend, Northlander and Drakewood traded the Partnership’s assets indirectly in master fund managed accounts established in the name of the master funds over which they had been granted limited authority to make trading decisions. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e. in the managed accounts in the Partnership’s name traded by JSCL, Quantica, Breakout and Opus) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2023.
27
The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2024 and December 31, 2023. As of September 30, 2024, the Partnership’s total capitalization was $287,577,264.
September 30, 2024
| Market Sector |
Value at Risk | % of Total Capitalization |
||||||
| Currencies |
$ | 5,720,407 | 1.99 | % | ||||
| Energy |
9,797,458 | 3.41 | ||||||
| Grains |
3,623,520 | 1.26 | ||||||
| Indices |
8,867,800 | 3.08 | ||||||
| Interest Rates U.S. |
6,029,764 | 2.10 | ||||||
| Interest Rates Non-U.S. |
5,866,501 | 2.04 | ||||||
| Livestock |
909,757 | 0.32 | ||||||
| Metals |
7,531,807 | 2.62 | ||||||
| Softs |
2,990,478 | 1.04 | ||||||
|
|
|
|
|
|||||
| Total |
$ | 51,337,492 | 17.86 | % | ||||
|
|
|
|
|
|||||
As of December 31, 2023, the Partnership’s total capitalization was $329,200,714.
December 31, 2023
| Market Sector |
Value at Risk | % of Total Capitalization |
||||||
| Currencies |
$ | 8,417,014 | 2.56 | % | ||||
| Energy |
20,046,438 | 6.09 | ||||||
| Grains |
5,169,656 | 1.57 | ||||||
| Indices |
14,118,622 | 4.29 | ||||||
| Interest Rates U.S. |
3,341,889 | 1.02 | ||||||
| Interest Rates Non-U.S. |
5,382,386 | 1.63 | ||||||
| Livestock |
669,653 | 0.20 | ||||||
| Metals |
9,288,466 | 2.82 | ||||||
| Softs |
2,654,922 | 0.81 | ||||||
|
|
|
|
|
|||||
| Total |
$ | 69,089,046 | 20.99 | % | ||||
|
|
|
|
|
|||||
28
The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of September 30, 2024 and December 31, 2023, and the highest, lowest and average values during the three months ended September 30, 2024 and the twelve months ended December 31, 2023, as applicable. All open position trading risk exposures have been included in calculating the figures set forth below.
At September 30, 2024, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:
September 30, 2024
| Three Months Ended September 30, 2024 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Currencies |
$ 1,501,212 | 0.52 | % | $ 5,906,349 | $ 1,235,256 | $ 2,787,382 | ||||||||||||||
| Energy |
5,025,120 | 1.75 | 9,490,011 | 4,845,552 | 6,884,912 | |||||||||||||||
| Grains |
1,930,414 | 0.67 | 3,052,380 | 1,484,736 | 2,300,836 | |||||||||||||||
| Indices |
4,754,417 | 1.65 | 9,068,398 | 3,729,476 | 5,681,254 | |||||||||||||||
| Interest Rates U.S. |
3,711,062 | 1.29 | 3,711,460 | 912,707 | 2,289,269 | |||||||||||||||
| Interest Rates Non-U.S. |
3,353,767 | 1.17 | 3,407,293 | 2,214,434 | 2,880,071 | |||||||||||||||
| Livestock |
567,189 | 0.20 | 863,858 | 490,381 | 659,887 | |||||||||||||||
| Metals |
1,785,613 | 0.62 | 3,251,174 | 1,498,045 | 2,246,804 | |||||||||||||||
| Softs |
1,851,014 | 0.64 | 2,690,006 | 1,319,808 | 1,943,175 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ 24,479,808 | 8.51 | % | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| * | Average of daily Values at Risk. |
At December 31, 2023, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:
December 31, 2023
| Twelve Months Ended December 31, 2023 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Currencies |
$ 3,685,615 | 1.12 | % | $ 9,642,187 | $ 3,145,564 | $ 5,387,331 | ||||||||||||||
| Energy |
16,471,138 | 5.00 | 17,355,253 | 4,908,703 | 9,738,993 | |||||||||||||||
| Grains |
1,761,099 | 0.53 | 4,524,557 | 1,276,438 | 2,559,094 | |||||||||||||||
| Indices |
10,022,931 | 3.04 | 19,578,791 | 3,769,917 | 8,061,401 | |||||||||||||||
| Interest Rates U.S. |
1,779,309 | 0.54 | 5,873,265 | 373,928 | 2,414,140 | |||||||||||||||
| Interest Rates Non-U.S. |
2,460,006 | 0.75 | 6,606,019 | 1,029,342 | 2,929,148 | |||||||||||||||
| Livestock |
269,170 | 0.08 | 1,044,560 | 156,478 | 651,607 | |||||||||||||||
| Metals |
4,634,724 | 1.41 | 8,601,091 | 1,558,883 | 4,065,094 | |||||||||||||||
| Softs |
1,443,017 | 0.44 | 4,281,104 | 1,353,582 | 2,083,574 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ 42,527,009 | 12.91 | % | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| * | Annual average of daily Values at Risk. |
29
At September 30, 2024, Transtrend Master’s total capitalization was $60,550,760 and the Partnership owned 100.0% of Transtrend Master. As of September 30, 2024, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:
September 30, 2024
| Three Months Ended September 30, 2024 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Currencies |
$ | 4,171,713 | 6.89 | % | $ | 11,495,430 | $ | 3,731,646 | $ | 7,301,812 | ||||||||||
| Energy |
2,211,020 | 3.65 | 2,211,020 | 1,064,530 | 1,543,312 | |||||||||||||||
| Grains |
1,693,106 | 2.80 | 2,801,047 | 1,693,106 | 2,279,319 | |||||||||||||||
| Indices |
4,113,383 | 6.79 | 4,808,032 | 3,080,463 | 4,009,397 | |||||||||||||||
| Interest Rates U.S. |
2,318,702 | 3.83 | 2,376,606 | 744,179 | 1,419,123 | |||||||||||||||
| Interest Rates Non-U.S. |
2,512,734 | 4.15 | 2,584,116 | 1,730,704 | 2,189,076 | |||||||||||||||
| Livestock |
342,568 | 0.57 | 342,568 | 80,075 | 237,135 | |||||||||||||||
| Metals |
1,634,951 | 2.70 | 1,640,189 | 1,179,103 | 1,382,029 | |||||||||||||||
| Softs |
1,139,464 | 1.88 | 1,622,665 | 1,008,643 | 1,272,210 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 20,137,641 | 33.26 | % | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| * | Average of daily Values at Risk. |
At December 31, 2023, Transtrend Master’s total capitalization was $68,745,931 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2023, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:
December 31, 2023
| Twelve Months Ended December 31, 2023 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Currencies |
$ | 4,632,920 | 6.74 | % | $ | 7,669,295 | $ | 3,414,047 | $ | 5,796,343 | ||||||||||
| Energy |
1,942,649 | 2.83 | 2,464,257 | 506,523 | 1,480,316 | |||||||||||||||
| Grains |
3,408,557 | 4.96 | 3,547,377 | 735,363 | 2,311,443 | |||||||||||||||
| Indices |
4,095,691 | 5.96 | 4,404,360 | 2,369,487 | 3,442,180 | |||||||||||||||
| Interest Rates U.S. |
1,562,580 | 2.27 | 2,803,620 | 608,998 | 1,397,228 | |||||||||||||||
| Interest Rates Non-U.S. |
2,922,380 | 4.25 | 4,004,932 | 1,453,313 | 2,486,104 | |||||||||||||||
| Livestock |
400,483 | 0.58 | 612,425 | 207,433 | 335,917 | |||||||||||||||
| Metals |
1,280,032 | 1.86 | 1,533,528 | 382,213 | 1,016,166 | |||||||||||||||
| Softs |
1,211,905 | 1.76 | 1,988,310 | 982,191 | 1,489,521 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 21,457,197 | 31.21 | % | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| * | Annual average of daily Values at Risk. |
30
At September 30, 2024, NL Master’s total capitalization was $23,745,344 and the Partnership owned approximately 67.3% of NL Master. As of September 30, 2024, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:
September 30, 2024
| Three Months Ended September 30, 2024 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Energy |
$ 3,805,821 | 16.03 | % | $ 4,072,518 | $ 3,129,141 | $ 3,519,758 | ||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ 3,805,821 | 16.03 | % | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
* Average of daily Values at Risk.
At December 31, 2023, NL Master’s total capitalization was $40,737,626 and the Partnership owned approximately 71.7% of NL Master. As of December 31, 2023, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:
December 31, 2023
| Twelve Months Ended December 31, 2023 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Energy |
$ 2,277,059 | 5.59 | % | $ 4,647,914 | $ 832,520 | $ 2,281,544 | ||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ 2,277,059 | 5.59 | % | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
* Annual average of daily Values at Risk.
31
At September 30, 2024, Drakewood Master’s total capitalization was $49,583,224 and the Partnership owned approximately 57.6% of Drakewood Master. As of September 30, 2024, Drakewood Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drakewood for trading) was as follows:
September 30, 2024
| Three Months Ended September 30, 2024 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Currencies |
$ | 82,434 | 0.17 | % | $ | 204,050 | $ | 50,859 | $ | 101,271 | ||||||||||
| Metals |
7,137,575 | 14.40 | 8,403,488 | 5,820,049 | 7,023,254 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 7,220,009 | 14.57 | % | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| * | Average of daily Values at Risk. |
At December 31, 2023, Drakewood Master’s total capitalization was $46,153,273 and the Partnership owned approximately 64.5% of Drakewood Master. As of December 31, 2023, Drakewood Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drakewood for trading) was as follows:
December 31, 2023
| Twelve Months Ended December 31, 2023 | ||||||||||||||||||||
| Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
| Currencies |
$ | 152,680 | 0.33 | % | $ | 355,410 | $ | 108,130 | $ | 205,414 | ||||||||||
| Metals |
5,230,558 | 11.33 | 7,224,155 | 2,376,417 | 4,343,085 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 5,383,238 | 11.66 | % | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| * | Annual average of daily Values at Risk. |
32
| Item 4. | Controls and Procedures. |
The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2024 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.
The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
| • | pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
| • | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
| • | provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements. |
There were no changes in the Partnership’s internal control over the financial reporting process during the fiscal quarter ended September 30, 2024, that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.
33
Item 1. |
Legal Proceedings . |
Item lA. |
Risk Factors . |
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds . |
Period |
Class A (a) Total Number of Redeemable Units Purchased* |
Class A (b) Average Price Paid per Redeemable Unit** |
Class Z (a) Total Number of Redeemable Units Purchased* |
Class Z (b) Average Price Paid per Redeemable Unit** |
(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs |
||||||||||||||||||
July 1, 2024 - July 31, 2024 |
2,771.9070 | $ | 3,414.69 | 298.8760 | $ | 1,436.71 | N/A | N/A | ||||||||||||||||
August 1, 2024 - August 31, 2024 |
2,051.9970 | $ | 3,270.19 | N/A | N/A | N/A | N/A | |||||||||||||||||
September 1, 2024 - September 30, 2024 |
739.0520 | $ | 3,271.25 | 22.2920 | $ | 1,378.08 | N/A | N/A | ||||||||||||||||
| 5,562.9560 | $ | 3,342.33 | 321.1680 | $ | 1,432.64 | |||||||||||||||||||
| * | Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner may compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners. |
| ** | Redemptions of Redeemable Units are effected as of the end of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions. |
Item 3. |
Defaults Upon Senior Securities . — None. |
Item 4. |
Mine Safety Disclosures . — Not Applicable. |
Item 5. |
Other Information . |
| Item 6. | Exhibits. |
101.INS Inline XBRL Instance Document.
101.SCH Inline XBRL Taxonomy Extension Schema Document.
101.CAL Inline XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB Inline XBRL Taxonomy Extension Label Linkbase Document.
101.PRE Inline XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF Inline XBRL Taxonomy Extension Definition Document.
104 Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).
41
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| CERES ORION L.P. | ||
| By: | Ceres Managed Futures LLC | |
| (General Partner) | ||
| By: | /s/ Patrick T. Egan | |
| Patrick T. Egan | ||
| President and Director | ||
| Date: November 12, 2024 | ||
| By: | /s/ Brooke Lambert | |
| Brooke Lambert | ||
| Chief Financial Officer | ||
| (Principal Accounting Officer) | ||
| Date: November 12, 2024 | ||
The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.
42