(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
| Title of each class | Trading symbol(s) | Name of each exchange on which registered | ||
| N/A | N/A | N/A |
Large accelerated filer |
Accelerated filer |
Non-accelerated filerX | ||
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 |
||||||||
Net unrealized appreciation on open forward 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 futures contracts |
$ | $ | ||||||
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 |
||||||||
Incentive 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 D, |
||||||||
Limited Partners, Class Z, |
||||||||
Total partners’ capital (net asset value) |
||||||||
Total liabilities and partners’ capital |
$ | |
$ | |
||||
Net asset value per Redeemable Unit: |
||||||||
Class A |
$ | $ | ||||||
Class D |
$ | $ | ||||||
Class Z |
$ | $ | ||||||
(1) |
Defined in Note 1. |
Number of Contracts |
Fair Value |
% of Partners Capital | ||||||||||||||||
Futures Contracts Purchased |
||||||||||||||||||
Currencies |
$ | % | ||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||
Grains |
||||||||||||||||||
Livestock |
||||||||||||||||||
Metals |
||||||||||||||||||
Softs |
||||||||||||||||||
Total futures contracts purchased |
||||||||||||||||||
Futures Contracts Sold |
||||||||||||||||||
Currencies |
||||||||||||||||||
Energy |
|
|||||||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||
Softs |
( |
) | ( |
) | ||||||||||||||
Total futures contracts sold |
( |
) | ( |
) | ||||||||||||||
Net unrealized depreciation on open futures contracts |
$ | ( |
) | ( |
) | % | ||||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||||||||
Metals |
$ | |
% | |||||||||||||||
Total unrealized appreciation on open forward contracts |
||||||||||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||
Total unrealized depreciation on open forward contracts |
( |
) | ( |
) | ||||||||||||||
Net unrealized depreciation on open forward contracts |
$ | ( |
) | ( |
) | % | ||||||||||||
Options Purchased |
||||||||||||||||||
Calls |
||||||||||||||||||
Energy |
$ | % | ||||||||||||||||
Livestock |
||||||||||||||||||
Metals |
||||||||||||||||||
Softs |
||||||||||||||||||
Puts |
||||||||||||||||||
Grains |
||||||||||||||||||
Livestock |
||||||||||||||||||
Metals |
||||||||||||||||||
Softs |
||||||||||||||||||
Total options purchased (premiums paid $ |
$ | % | ||||||||||||||||
Options Written |
||||||||||||||||||
Calls |
||||||||||||||||||
Energy |
$ | ( |
) | ( |
) | % | ||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||||
Livestock |
( |
) | ( |
) | * | |||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||
Softs |
( |
) | ( |
) | ||||||||||||||
Puts |
||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||||
Softs |
( |
) | ( |
) | ||||||||||||||
Total options written (premiums received $ |
$ | ( |
) | ( |
) | % | ||||||||||||
Fair Value |
% of Partners Capital |
|||||||||||||||||
Investment in the Funds |
||||||||||||||||||
CMF NL Master Fund LLC |
$ | |
|
% | ||||||||||||||
CMF Drakewood Master Fund LLC |
||||||||||||||||||
Total investment in the Funds |
$ | % | ||||||||||||||||
| * | Due to rounding. |
Number of Contracts |
Fair Value |
% of Partners Capital | ||||||||||||||
Futures Contracts Purchased |
||||||||||||||||
Currencies |
$ | % | ||||||||||||||
Energy |
||||||||||||||||
BRENT CRUDE FUTR MAR24 |
( |
) | ( |
) | ||||||||||||
Other |
( |
) | ( |
) | ||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||
Metals |
||||||||||||||||
Softs |
( |
) | ( |
) | ||||||||||||
Total futures contracts purchased |
( |
) | ( |
) | ||||||||||||
Futures Contracts Sold |
||||||||||||||||
Currencies |
( |
) | ( |
) | ||||||||||||
Energy |
|
|
||||||||||||||
Grains |
||||||||||||||||
Livestock |
||||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||
Softs |
( |
) | ( |
) | ||||||||||||
Total futures contracts sold |
||||||||||||||||
Net unrealized appreciation on open futures contracts |
$ | % | ||||||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||||||
Metals |
$ | |
% | |||||||||||||
Total unrealized appreciation on open forward contracts |
||||||||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||
Total unrealized depreciation on open forward contracts |
( |
) | ( |
) | ||||||||||||
Net unrealized appreciation on open forward contracts |
$ | % | ||||||||||||||
Options Purchased |
||||||||||||||||
Calls |
||||||||||||||||
Energy |
$ | % | ||||||||||||||
Grains |
* | |||||||||||||||
Livestock |
||||||||||||||||
Metals |
* | |||||||||||||||
Puts |
||||||||||||||||
Grains |
||||||||||||||||
Metals |
||||||||||||||||
Softs |
||||||||||||||||
Total options purchased (premiums paid $ |
$ | % | ||||||||||||||
Options Written |
||||||||||||||||
Calls |
||||||||||||||||
Grains |
$ | ( |
) | ( |
) | % | ||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||
Metals |
( |
) | ( |
) | * | |||||||||||
Softs |
( |
) | ( |
) | ||||||||||||
Puts |
||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||
Grains |
( |
) | ( |
) | ||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||
Metals |
( |
) | ( |
) | ||||||||||||
Total options written (premiums received $ |
$ | ( |
) | ( |
) | % | ||||||||||
Fair Value |
% of Partners Capital | |||||||||||||||
Investment in the Funds |
||||||||||||||||
CMF NL Master Fund LLC |
$ | |
% | |||||||||||||
CMF Drakewood Master Fund LLC |
|
|||||||||||||||
Total investment in the Funds |
$ | % | ||||||||||||||
| * | Due to rounding. |
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||||||||||||||
2024 |
2023 |
2024 |
2023 | |||||||||||||||||||||||||
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 investments 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 income (loss) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||||||||||||||
Net income (loss) per Redeemable Unit: * |
||||||||||||||||||||||||||||
Class A |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||||||||||||||
Class D |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||||||||||||||
Class Z |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||||||||||||||
Weighted average Redeemable Units outstanding: |
||||||||||||||||||||||||||||
Class A |
|
|
|
|
||||||||||||||||||||||||
Class D |
||||||||||||||||||||||||||||
Class Z |
||||||||||||||||||||||||||||
| * | Represents the change in net asset value per Redeemable Unit during the period. |
Class A |
Class D |
Class Z |
Total | |||||||||||||||||||||||||||||
Amount |
Redeemable Units |
Amount |
Redeemable Units |
Amount |
Redeemable Units |
Amount |
Redeemable Units | |||||||||||||||||||||||||
Partners’ Capital, December 31, 2022 |
$ | $ | $ | $ | |
|||||||||||||||||||||||||||
Subscriptions - Limited Partners |
- | - | ||||||||||||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net income (loss) |
- | - | - | - | ||||||||||||||||||||||||||||
Partners’ Capital, September 30, 2023 |
$ | $ | $ | $ | ||||||||||||||||||||||||||||
Partners’ Capital, June 30, 2023 |
$ | $ | $ | |
$ | |||||||||||||||||||||||||||
Subscriptions - Limited Partners |
- | - | ||||||||||||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | - | - | ( |
) | ( |
) | ||||||||||||||||||
Net income (loss) |
- | - | - | - | ||||||||||||||||||||||||||||
Partners’ Capital, September 30, 2023 |
$ | |
|
$ | |
|
$ | |
$ | |
||||||||||||||||||||||
Class A |
Class D |
Class Z |
Total | |||||||||||||||||||||||||||||
Amount |
Redeemable Units |
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. |
Organization: |
2. |
Basis of Presentation and Summary of Significant Accounting Policies: |
3. |
Financial Highlights: |
Three Months Ended |
Three Months Ended |
Nine Months Ended |
Nine Months Ended |
|||||||||||||||||||||||||||||||||||||||||||||
September 30, 2024 |
September 30, 2023 |
September 30, 2024 |
September 30, 2023 |
|||||||||||||||||||||||||||||||||||||||||||||
Class A |
Class D |
Class Z |
Class A |
Class D |
Class Z |
Class A |
Class D |
Class Z |
Class A |
Class D |
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 |
Three Months Ended |
Nine Months Ended |
Nine Months Ended |
|||||||||||||||||||||||||||||||||||||||||||||
September 30, 2024 |
September 30, 2023 |
September 30, 2024 |
September 30, 2023 |
|||||||||||||||||||||||||||||||||||||||||||||
Class A |
Class D |
Class Z |
Class A |
Class D |
Class Z |
Class A |
Class D |
Class Z |
Class A |
Class D |
Class Z |
|||||||||||||||||||||||||||||||||||||
Ratios to Average Limited Partners’ Capital: ** |
||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) *** |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||||||||||||||||
Operating expenses |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||||||||||||||||
Incentive fees |
( |
% |
( |
% |
( |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% | |||||||||||||||||||||||||||||||||
Total expenses |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||||||||||||||||
Total return: |
||||||||||||||||||||||||||||||||||||||||||||||||
Total return before incentive fees |
( |
% |
( |
% |
( |
% |
% |
% |
% |
( |
% |
( |
% |
( |
% |
% |
% |
% | ||||||||||||||||||||||||||||||
Incentive fees |
% |
% |
% |
( |
% |
( |
% |
( |
% |
( |
% |
( |
% |
( |
% |
( |
% |
( |
% |
( |
% | |||||||||||||||||||||||||||
Total return after incentive fees |
( |
% |
( |
% |
( |
% |
% |
% |
% |
( |
% |
( |
% |
( |
% |
% |
% |
% | ||||||||||||||||||||||||||||||
| * | 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 Offset in the |
Amounts Presented in the |
Gross Amounts Not Offset in the Statements of Financial Condition |
||||||||||||||||||||||||
September 30, 2024 |
Gross Amounts Recognized |
Statements of Financial Condition |
Statements of Financial Condition |
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount |
||||||||||||||||||||
Assets |
||||||||||||||||||||||||||
Futures |
$ | |
$ | ( |
) | $ | $ | |
$ | $ | ||||||||||||||||
Forwards |
( |
) | ||||||||||||||||||||||||
Total assets |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||||
Liabilities |
||||||||||||||||||||||||||
Futures |
$ | ( |
) | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||||
Forwards |
( |
) | ( |
) | ||||||||||||||||||||||
Total liabilities |
$ | ( |
) | $ | |
$ | ( |
) | $ | $ | |
$ | ||||||||||||||
Net fair value |
$ | |
* | |||||||||||||||||||||||
Gross Amounts Offset in the |
Amounts Presented in the |
Gross Amounts Not Offset in the Statements of Financial Condition |
||||||||||||||||||||||||
December 31, 2023 |
Gross Amounts Recognized |
Statements of Financial Condition |
Statements of Financial Condition |
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount |
||||||||||||||||||||
Assets |
||||||||||||||||||||||||||
Futures |
$ | |
$ | ( |
) | $ | $ | $ | $ | |||||||||||||||||
Forwards |
( |
) | ||||||||||||||||||||||||
Total assets |
$ | $ | ( |
) | $ | |
$ | |
$ | |
$ | |||||||||||||||
Liabilities |
||||||||||||||||||||||||||
Futures |
$ | ( |
) | $ | $ | $ | $ | $ | ||||||||||||||||||
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 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 |
||||||
Livestock |
||||||
Metals |
||||||
Softs |
||||||
Total unrealized appreciation on open futures contracts |
||||||
Liabilities |
||||||
Futures Contracts |
||||||
Currencies |
( |
) | ||||
Energy |
( |
) | ||||
Grains |
( |
) | ||||
Livestock |
( |
) | ||||
Metals |
( |
) | ||||
Softs |
( |
) | ||||
Total unrealized depreciation on open futures contracts |
( |
) | ||||
Net unrealized depreciation on open futures contracts |
$ | ( |
) | * | ||
Assets |
||||||
Forward Contracts |
||||||
Metals |
$ | |||||
Total unrealized appreciation on open forward contracts |
|
|||||
Liabilities |
||||||
Forward Contracts |
||||||
Metals |
( |
) | ||||
Total unrealized depreciation on open forward contracts |
( |
) | ||||
Net unrealized depreciation on open forward contracts |
$ | ( |
) | ** | ||
Assets |
||||||
Options Purchased |
||||||
Energy |
$ | |||||
Grains |
||||||
Livestock |
||||||
Metals |
||||||
Softs |
||||||
Total options purchased |
$ | *** | ||||
Liabilities |
||||||
Options Written |
||||||
Energy |
$ | ( |
) | |||
Grains |
( |
) | ||||
Livestock |
( |
) | ||||
Metals |
( |
) | ||||
Softs |
( |
) | ||||
Total options written |
$ | ( |
) | **** | ||
| * | This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. |
| ** | This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. |
| *** | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. |
| **** | This amount is in “Options written, at fair value” in the Statements of Financial Condition. |
December 31, |
||||||
2023 |
||||||
Assets |
||||||
Futures Contracts |
||||||
Currencies |
$ | |||||
Energy |
||||||
Grains |
||||||
Livestock |
||||||
Metals |
||||||
Softs |
||||||
Total unrealized appreciation on open futures contracts |
||||||
Liabilities |
||||||
Futures Contracts |
||||||
Currencies |
( |
) | ||||
Energy |
( |
) | ||||
Grains |
( |
) | ||||
Livestock |
( |
) | ||||
Metals |
( |
) | ||||
Softs |
( |
) | ||||
Total unrealized depreciation on open futures contracts |
( |
) | ||||
Net unrealized appreciation on open futures contracts |
$ | * | ||||
Assets |
||||||
Forward Contracts |
||||||
Metals |
$ | |
||||
Total unrealized appreciation on open forward contracts |
||||||
Liabilities |
||||||
Forward Contracts |
||||||
Metals |
( |
) | ||||
Total unrealized depreciation on open forward contracts |
( |
) | ||||
Net unrealized appreciation on open forward contracts |
$ | ** | ||||
Assets |
||||||
Options Purchased |
||||||
Energy |
$ | |||||
Grains |
||||||
Livestock |
||||||
Metals |
||||||
Softs |
||||||
Total options purchased |
$ | *** | ||||
Liabilities |
||||||
Options Written |
||||||
Energy |
$ | ( |
) | |||
Grains |
( |
) | ||||
Livestock |
( |
) | ||||
Metals |
( |
) | ||||
Softs |
( |
) | ||||
Total options written |
$ | ( |
) | **** | ||
| * | This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. |
| ** | This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. |
| *** | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. |
| **** | This amount is in “Options written, at fair value” in the Statements of Financial Condition. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||||||||||
Sector |
2024 |
2023 |
2024 |
2023 |
||||||||||||||||||||
Currencies |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||||
Grains |
( |
) | ||||||||||||||||||||||
Livestock |
( |
) | ( |
) | ||||||||||||||||||||
Metals |
( |
) | ||||||||||||||||||||||
Softs |
( |
) | ( |
) | ||||||||||||||||||||
Total |
$ | ( |
) | ***** |
$ | |
***** |
$ | ( |
) | ***** |
$ | |
***** | ||||||||||
| ***** | This amount is included in “Total trading results” in the 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 |
- | - | ||||||||||||||
Options written |
- | - | ||||||||||||||
Total liabilities |
$ | $ | $ | $ | - | |||||||||||
6. |
Investment in the Funds: |
September 30, 2024 | ||||||||||||
Total Assets |
Total Liabilities |
Total Capital | ||||||||||
NL Master |
$ | |
$ | |
$ | |
||||||
Drakewood Master |
||||||||||||
December 31, 2023 | ||||||||||||
Total Assets |
Total Liabilities |
Total Capital | ||||||||||
NL Master |
$ | |
$ | $ | |
|||||||
Drakewood Master |
|
|||||||||||
For the three months ended September 30, 2024 | ||||||||||||
Net Investment |
Total Trading |
|||||||||||
Income (Loss) |
Results |
Net Income (Loss) | ||||||||||
NL Master |
$ | |
$ | ( |
) | $ | ( |
) | ||||
Drakewood Master |
||||||||||||
For the nine months ended September 30, 2024 | ||||||||||||
Net Investment |
Total Trading |
|||||||||||
Income (Loss) |
Results |
Net Income (Loss) | ||||||||||
NL Master |
$ | |
$ | ( |
) | $ | ( |
) | ||||
Drakewood Master |
||||||||||||
For the three months ended September 30, 2023 | ||||||||||||
Net Investment |
Total Trading |
|||||||||||
Income (Loss) |
Results |
Net Income (Loss) | ||||||||||
NL Master |
$ | |
$ | ( |
) | $ | ( |
) | ||||
Drakewood Master |
( |
) | ( |
) | ||||||||
For the nine months ended September 30, 2023 | ||||||||||||
Net Investment |
Total Trading |
|||||||||||
Income (Loss) |
Results |
Net Income (Loss) | ||||||||||
NL Master |
$ | |
$ | ( |
) | $ | ( |
) | ||||
Drakewood Master |
( |
) | ( |
) | ||||||||
September 30, 2024 |
For the three months ended September 30, 2024 |
|||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||
Partners’ |
Fair |
Income |
Clearing |
Professional |
Income |
Investment |
Redemptions | |||||||||||||||||||||||
Funds |
Capital |
Value |
(Loss) |
Fees |
Fees |
(Loss) |
Objective |
Permitted | ||||||||||||||||||||||
NL Master |
% |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||
Drakewood Master |
% |
|||||||||||||||||||||||||||||
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||||
September 30, 2024 |
For the nine months ended September 30, 2024 |
|||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||
Partners’ |
Fair |
Income |
Clearing |
Professional |
Income |
Investment |
Redemptions | |||||||||||||||||||||||
Funds |
Capital |
Value |
(Loss) |
Fees |
Fees |
(Loss) |
Objective |
Permitted | ||||||||||||||||||||||
NL Master |
% |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||
Drakewood Master |
% |
|||||||||||||||||||||||||||||
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||||
December 31, 2023 |
For the three months ended September 30, 2023 |
|||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||
Partners’ |
Fair |
Income |
Clearing |
Professional |
Income |
Investment |
Redemptions | |||||||||||||||||||||||
Funds |
Capital |
Value |
(Loss) |
Fees |
Fees |
(Loss) |
Objective |
Permitted | ||||||||||||||||||||||
NL Master |
% |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||
Drakewood Master |
% |
( |
) |
|||||||||||||||||||||||||||
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||||
December 31, 2023 |
For the nine months ended September 30, 2023 |
|||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||
Partners’ |
Fair |
Income |
Clearing |
Professional |
Income |
Investment |
Redemptions | |||||||||||||||||||||||
Funds |
Capital |
Value |
(Loss) |
Fees |
Fees |
(Loss) |
Objective |
Permitted | ||||||||||||||||||||||
NL Master |
% |
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||
Drakewood Master |
% |
( |
) |
( |
) |
|||||||||||||||||||||||||
$ |
$ |
( |
) |
$ |
$ |
$ |
( |
) |
||||||||||||||||||||||
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) equity in trading account, consisting of unrestricted cash, restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts and options purchased 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 direct investments and investment in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in 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/Funds from promptly liquidating their futures or option contracts and result in restrictions on redemptions.
Other than the risks inherent in commodity futures, forwards, options and swaps trading, and U.S. Treasury bills and money market mutual fund securities, the General Partner/Trading Manager knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership’s/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 and 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, Partnership capital decreased 6.2% from $144,572,899 to $135,645,183. This decrease was attributable to redemptions of 3,203.6100 Class A limited partner Redeemable Units totaling $8,809,048, redemptions of 14.8820 Class Z limited partner Redeemable Units totaling $33,639, redemptions of 33.0400 Class Z general partner Redeemable Units totaling $75,097 and net loss of $3,502,432 which was partially offset by subscriptions of 1,223.8260 Class A limited partner Redeemable Units totaling $3,367,500 and subscriptions of 54.1850 Class Z limited partner Redeemable Units totaling $125,000. Future redemptions can impact the amount of funds available for direct investments and investment in the Funds 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 and assumptions utilized in preparing the financial statements are reasonable. As a result, actual results could differ from those estimates. A summary of the Partnership’s significant accounting policies is described in Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” of the Financial Statements.
The Partnership/Funds record all investments at fair value in their respective 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 respective Statements of Income and Expenses.
21
Results of Operations
During the Partnership’s third quarter of 2024, the net asset value per Redeemable Unit for Class A decreased 2.9% from $2,739.56 to $2,660.96 as compared to an increase of 4.5% in the third quarter of 2023. During the Partnership’s third quarter of 2024, the net asset value per Redeemable Unit for Class D decreased 2.9% from $2,172.39 to $2,110.06 as compared to an increase of 4.5% 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 2.7% from $2,272.91 to $2,211.88 as compared to an increase of 4.7% in the third quarter of 2023. The Partnership experienced a net trading loss before fees and expenses during the third quarter of 2024 of $4,356,034. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, livestock, and softs and were partially offset by gains in metals. The Partnership experienced a net trading gain before fees and expenses during the third quarter of 2023 of $6,532,374. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains and softs and were partially offset by losses in livestock and metals.
During the third quarter, Partnership’s most significant losses were incurred within the energy sector throughout the quarter from long positions in crude oil futures as prices steadily declined amid high global inventories and concerns a potential slowdown in the global economy could curtail energy demand. Within the soft commodities markets, losses were recorded during August and September from short positions in coffee futures as prices rallied as drought conditions in key growing regions in Vietnam and South America threatened crops. Additional losses were incurred during July from currency hedging positions in the Australian dollar and New Zealand dollar. Within the grains, losses were experienced during September from short positions in soybean and corn futures as grain prices surged higher amid increased global commodity purchasing. Elsewhere, short positions in live cattle futures recorded losses during September as prices advanced on increased buying demand. A portion of the Partnership’s losses for the third quarter was offset by gains achieved within the metals sector during September from long positions in gold futures as a falling U.S. dollar and an outlook for further interest rate cuts boosted demand for precious metals. Additional gains in the metals were experienced during September from long positions in copper and aluminum futures as industrial metals prices rose after China announced economic stimulus measures.
During the Partnership’s nine months ended September 30, 2024, the net asset value per Redeemable Unit for Class A decreased 2.6% from $2,730.63 to $2,660.96 as compared to an increase of 3.1% 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 D decreased 2.6% from $2,165.30 to $2,110.06 as compared to an increase of 3.1% 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 2.0% from $2,256.96 to $2,211.88 as compared to an increase of 3.7% 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 $4,084,238. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, livestock, metals and softs and were partially offset by gains in grains. The Partnership experienced a net trading gain before fees and expenses for the nine months ended September 30, 2023 of $4,669,920. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, livestock and softs and were partially offset by losses in currencies and metals.
During the first nine months of the year, the most notable trading losses were incurred within the soft commodities sector during March and April from short positions in coffee and cocoa futures as prices rallied as adverse weather conditions in key growing regions threatened crop supplies, pushing prices sharply higher. Additional losses in the soft commodities sector were experienced during January, August, and September from short positions in coffee, as well as during January from short positions in sugar futures. In the energies, losses were incurred within the energy sector throughout the third quarter from long positions in crude oil futures as prices steadily declined amid high global inventories and concerns a potential slowdown in the global economy could curtail energy demand. Further losses in the energies were recorded from positions in European carbon emission allowances futures as prices moved without consistent direction for the majority of the first nine months of the year. Losses in the currencies were experienced during July from currency hedging positions in the Australian dollar and New Zealand dollar. In the metals, losses were incurred from March through June from long positions in iron ore futures as prices weakened on reduced Chinese demand. Losses in the metals were also recorded during June from long positions in copper futures as prices reversed lower following a prolonged bullish trend as reports of tepid economic growth in China could potentially curtail Chinese copper demand. A portion of the Partnership’s losses for the first nine months of the year was offset by gains achieved within the grains sector during January and February from short positions in soybean and corn futures as prices fell to near three-year lows amid reports of growing grain production in the U.S. and South America. Further gains in the sector were recorded from short positions in soybean and wheat futures as prices also fell during June, July, and August on expectations for strong crops during harvest season. Trading results within the livestock markets were relatively flat during the first nine months of the year.
22
Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase not only the risks involved in commodity trading, but also the possibility of 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 factors, changing supply and demand relationships, weather, pandemics, epidemics and other health crises, 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.
Interest income on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Funds’) brokerage account during each month is earned at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. 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 the Funds’ 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 income earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Funds, as applicable. Interest income earned for the three and nine months ended September 30, 2024 decreased by $165,360 and increased by $176,309, respectively, as compared to the corresponding periods in 2023. The decrease in interest income was primarily due to lower interest rates during the three months ended September 30, 2024 as compared to the corresponding periods in 2023. The increase in interest income was primarily due to higher interest rates during the 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 applicable 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 or MS&Co. 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 increased by $107,544 and $165,086, respectively, as compared to the corresponding periods in 2023. The increase in these clearing fees was primarily due to an increase 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 Assets of Class A Redeemable Units and Class D Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three and nine months ended September 30, 2024 decreased by $23,332 and $47,853, respectively, as compared to the corresponding periods in 2023. The decrease 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.
Management fees are calculated as a percentage of the Partnership’s adjusted Net Assets as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Management fees for the three and nine months ended September 30, 2024 decreased by $49,630 and $90,097, respectively, as compared to the corresponding periods in 2023. The decrease was due to lower average net assets during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023.
General Partner 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 assets as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. General Partner fees for the three and nine months ended September 30, 2024 decreased by $23,227 and $52,284, respectively, as compared to the corresponding periods in 2023. This decrease was due to lower average net assets during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023.
Incentive fees are based on the Net Trading Profits (as defined in the respective management agreements between the Partnership, the General Partner and each Advisor) generated by each Advisor at the end of each quarter, half year or year, as applicable. Trading performance for the three and nine months ended September 30, 2024 resulted a reversal of incentive fees of $88,508 and incentive fees of $372,049, respectively. Trading performance for the three and nine months ended September 30, 2023 resulted in incentive fees of $242,826 and $927,773, respectively. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred and earns additional new trading profits for the Partnership.
23
In allocating substantially all of the assets of the Partnership among the Advisors, the General Partner considers, among other factors, the Advisors’ past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisors and 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) |
||||||||||||
| Millburn |
$ | 42,701,892 | 31% | $ | 44,817,613 | 32% | ||||||||||
| Ospraie |
26,368,425 | 19% | 29,011,170 | 21% | ||||||||||||
| Northlander |
7,800,511 | 6% | 9,109,534 | 6% | ||||||||||||
| Drakewood |
21,075,139 | 16% | 20,734,643 | 15% | ||||||||||||
| EMC |
5,022,120 | 4% | 6,813,051 | 5% | ||||||||||||
| Opus |
30,122,954 | 22% | 28,502,449 | 20% | ||||||||||||
| Unallocated |
2,554,142 | 2% | 1,606,444 | 1% | ||||||||||||
24
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 positions and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open positions 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 performance 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/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 of 1933, as amended (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/Funds account for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s/Funds’ open positions is directly reflected in the Partnership’s/Funds’ earnings and cash flow.
The Partnership’s/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 sensitive instruments. Northlander and Drakewood trade the Partnership’s assets indirectly in master fund managed accounts established in the name of the master funds over which they have or had been granted limited authority to make trading decisions. Millburn, Ospraie, EMC and Opus directly trade managed accounts in the name of the Partnership. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investments 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 certain Advisors) and indirectly by each Fund separately. There have been no material changes 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.
25
The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2024. As of September 30, 2024, the Partnership’s total capitalization was $135,645,183.
September 30, 2024
| Market Sector |
Value at Risk | % of Total Capitalization |
||||||
| Currencies |
$ | 229,157 | 0.17 % | |||||
| Energy |
2,671,629 | 1.97 | ||||||
| Grains |
2,695,777 | 1.99 | ||||||
| Livestock |
170,005 | 0.13 | ||||||
| Metals |
4,221,205 | 3.11 | ||||||
| Softs |
2,498,211 | 1.84 | ||||||
|
|
|
|
|
|||||
| Total |
$ | 12,485,984 | 9.21 % | |||||
|
|
|
|
|
|||||
The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2023. As of December 31, 2023, the Partnership’s total capitalization was $144,572,899.
December 31, 2023
| Market Sector |
Value at Risk | % of Total Capitalization |
||||||
| Currencies |
$ | 125,591 | 0.09 % | |||||
| Energy |
4,276,350 | 2.96 | ||||||
| Grains |
2,154,822 | 1.49 | ||||||
| Livestock |
280,803 | 0.19 | ||||||
| Metals |
3,249,408 | 2.25 | ||||||
| Softs |
2,330,742 | 1.61 | ||||||
|
|
|
|
|
|||||
| Total |
$ | 12,417,716 | 8.59 % | |||||
|
|
|
|
|
|||||
The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investment in the Funds 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. All open contracts trading risk exposures have been included in calculating the figures set forth below.
26
As of September 30, 2024 and December 31, 2023, 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 |
$ | 194,205 | 0.14 % | $ | 197,340 | $ | 94,754 | $ | 155,677 | |||||||||||
| Energy |
1,427,126 | 1.05 | 2,305,041 | 709,932 | 1,463,273 | |||||||||||||||
| Grains |
2,695,777 | 1.99 | 3,884,134 | 1,031,048 | 2,087,823 | |||||||||||||||
| Livestock |
170,005 | 0.13 | 351,789 | 137,882 | 226,149 | |||||||||||||||
| Metals |
1,194,873 | 0.88 | 1,831,451 | 960,646 | 1,386,648 | |||||||||||||||
| Softs |
2,498,211 | 1.84 | 3,794,828 | 2,433,387 | 3,100,053 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 8,180,197 | 6.03 % | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
|
* Average of daily Values at Risk.
|
| |||||||||||||||||||
| 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 |
$ | 71,390 | 0.05 % | $ | 811,963 | $ | 71,390 | $ | 340,211 | |||||||||||
| Energy |
3,631,942 | 2.51 | 4,668,801 | 1,173,780 | 2,658,518 | |||||||||||||||
| Grains |
2,154,822 | 1.49 | 6,213,199 | 634,659 | 2,688,416 | |||||||||||||||
| Livestock |
280,803 | 0.19 | 754,930 | 47,059 | 250,322 | |||||||||||||||
| Metals |
1,392,560 | 0.96 | 3,078,026 | 1,151,668 | 1,763,373 | |||||||||||||||
| Softs |
2,330,742 | 1.61 | 2,869,817 | 454,252 | 1,449,734 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 9,862,259 | 6.81 % | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
|
* Annual average of daily Values at Risk.
As of September 30, 2024, NL Master’s total capitalization was $23,745,344, and the Partnership owned approximately 32.7% 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 NL Master 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. |
27
As of December 31, 2023, NL Master’s total capitalization was $40,737,626, and the Partnership owned approximately 28.3% 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 NL Master 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. |
As of September 30, 2024, Drakewood Master’s total capitalization was $49,583,224, and the Partnership owned approximately 42.4% 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 Master 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. |
As of December 31, 2023, Drakewood Master’s total capitalization was $46,153,273, and the Partnership owned approximately 35.5% 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 Master 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. |
28
| 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 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.
29
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 |
134.3630 |
$ |
2,737.17 |
N/A |
N/A |
N/A |
N/A |
|||||||||||||||
August 1, 2024 - August 31, 2024 |
505.7130 |
$ |
2,720.99 |
14.8820 |
$ |
2,260.35 |
N/A |
N/A |
||||||||||||||
September 1, 2024 - September 30, 2024 |
472.9320 |
$ |
2,660.96 |
N/A |
N/A |
N/A |
N/A |
|||||||||||||||
1,113.0080 |
$ |
2,697.44 |
14.8820 |
$ |
2,260.35 |
N/A |
||||||||||||||||
* |
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 can 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 last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions. |
| 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 Linkbase Document. | |
| 104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). |
37
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 TACTICAL COMMODITY 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.
38