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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM
10-K
(X) ANNUAL REPORT PURSUANT TO SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2024
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from
    
to
    
Commission File Number
000-50718
CERES TACTICAL SYSTEMATIC L.P.
 
(Exact name of registrant as specified in its charter)
 
New York
   
13-4224248
(State or other jurisdiction of    (I.R.S. Employer
incorporation or organization)    Identification No.)
c/o Ceres Managed Futures LLC
1585 Broadway
New York, NY 10036
 
(Address and Zip Code of principal executive offices)
(855)
672-4468
 
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None.
 
Title of each class    Trading symbol(s)    Name of each exchange on which registered
N/A    N/A    N/A
Securities registered pursuant to Section 12(g) of the Act:
Redeemable Units of Limited Partnership Interest
(Title of Class)
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
Yes
 
 No
X
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
Yes
 
 No
X
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes
X
 No
 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation
S-T
(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
Yes
X
 No
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated
filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule
12b-2
of the Exchange Act. (Check one):
 
Large accelerated filer 
 
  
  
   
Accelerated filer 
 
   
  
   
Non-accelerated
filer
X
   
Smaller reporting company 
 
 
     
Emerging growth company 
 
 
         
Table of Contents
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
 
Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☐
If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. ☐
Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to
§240.10D-1(b).
☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule
12b-2
of the Exchange Act).
Yes 
 
 No
X
Limited Partnership Redeemable Units with an aggregate value of $55,908,216 were outstanding and held by
non-affiliates
as of the last business day of the registrant’s most recently completed second fiscal quarter.
As of February 28, 2025, 51,982.6778 Limited Partnership Class A Redeemable Units were outstanding, 2,639.4900 Limited Partnership Class D Redeemable Units were outstanding and 95.3870 Limited Partnership Class Z Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]

PART I

Item 1. Business.

(a) General Development of Business. Ceres Tactical Systematic L.P. (formerly, Tactical Diversified Futures Fund L.P.) (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on December 3, 2002 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.

A Registration Statement on Form S-1 relating to the public offering of 300,000 redeemable units of limited partnership interest (“Redeemable Units”) became effective March 27, 2003. Between March 27, 2003 (commencement of the offering period) and April 30, 2003, 36,616 Redeemable Units were publicly offered at $1,000 per Redeemable Unit. The proceeds of the initial public offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading.

A second Registration Statement on Form S-1 relating to the public offering of 1,000,000 Redeemable Units (including the 300,000 Redeemable Units that had been previously registered) became effective on December 4, 2003. As of that date, 260,732.3028 Redeemable Units had been sold.

A third Registration Statement on Form S-1 relating to the public offering of 2,000,000 Redeemable Units (including the 1,000,000 Redeemable Units that had been previously registered) became effective on October 7, 2004. As of that date, 807,449.3782 Redeemable Units had been sold.

A fourth Registration Statement on Form S-1 relating to the public offering of 2,000,000 Redeemable Units previously registered became effective on June 30, 2005. As of that date, 1,027,701.7549 Redeemable Units had been sold. The public offering of Redeemable Units terminated on November 30, 2008. The Partnership currently privately and continuously offers Redeemable Units to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Subscriptions of additional Redeemable Units and additional General Partner contributions and redemptions of Redeemable Units for the years ended December 31, 2024, 2023 and 2022 are reported in the Statements of Changes in Partners’ Capital under “Item 8. Financial Statements and Supplementary Data.”

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is a wholly-owned subsidiary of Morgan Stanley Capital Management LLC (“MSCM”). MSCM is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.

During the years ended December 31, 2024, 2023 and 2022, the Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant.

As of December 31, 2024, all trading decisions were made for the Partnership by DCM Systematic Advisors SA (“DCM”), Drury Capital, Inc. (“Drury”), Episteme Capital Partners (UK) LLP, Episteme Capital Partners (US) LLC, and Episteme Capital Partners (Cayman) LTD (collectively, “Episteme”), and Millburn Ridgefield Corporation (“Millburn”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor, or has otherwise represented that it is exempt from registration as a commodity trading advisor. Effective December 31, 2022, the General Partner terminated ISAM Systematic Management (“ISAM SM”) as an Advisor to the Partnership. Reference herein to “Advisors” may include, as relevant, ISAM SM. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests or invested the portion of its assets allocated to each of the Advisors through individually managed accounts.

Effective January 1, 2020, Millburn directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Millburn’s Multi-Markets Program. The General Partner and Millburn have agreed that Millburn will trade the Partnership’s assets allocated to Millburn at a level that is up to 1 times the amount of assets allocated. The amount of leverage may be increased or decreased in the future, but it may not exceed 2 times the amount of assets allocated. Effective November 1, 2020, Episteme directly trades the Partnership’s assets allocated to them through a managed account in the name of the Partnership pursuant to Episteme’s Systematic Quest Program. The General Partner and Episteme have agreed that Episteme will trade the Partnership’s assets allocated to Episteme at a level that is up to 1.5 times the amount of assets allocated. The amount of leverage may be increased or decreased in the future, but it may not exceed 2 times the amount of assets allocated. Effective January 1, 2021, DCM directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to DCM’s Diversified Alpha Program. The General Partner and DCM have agreed that DCM will trade the Partnership’s assets allocated to DCM at a level that is 1.75 times the amount of assets allocated. The amount of leverage maybe increased or decreased in the future but may not exceed 2 times the amount of assets allocated. Effective February 1, 2023, Drury trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Drury Diversified Trend-Following Program.

Prior to its termination effective December 31, 2022, ISAM SM directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to ISAM SM’s Systematic Trend Programme.

The Partnership pays MS&Co. trading fees for clearing and, where applicable, execution of transactions.

The Partnership will be liquidated upon the first to occur of the following: (1) December 31, 2052; (2) the net asset value per Redeemable Unit decreases to less than $400 per Redeemable Unit as of the close of any business day; or (3) the occurrence of certain other circumstances as set forth in the limited partnership agreement of the Partnership (the “Limited Partnership Agreement”).

The General Partner is not aware of any material changes to the trading programs discussed above during the year ended December 31, 2024.

 

3

As of January 1, 2018, the Partnership began offering three classes of limited partnership interests, Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units. All Redeemable Units issued prior to January 1, 2018 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and non-U.S. investors. Class D Redeemable Units and Class Z Redeemable Units were first issued on January 1, 2018. Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the limited partner, although the General Partner may determine to offer any Class of Redeemable Units to investors at its discretion. Class D Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and non-U.S. investors. Class Z Redeemable Units are offered to certain employees of Morgan Stanley and its subsidiaries (and their family members). In the future, Class Z Redeemable Units may also be offered to certain limited partners who receive advisory services from Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”). Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units are identical, except that they are subject to different monthly ongoing selling agent fees. Class A Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the net assets of Class A Redeemable Units as of the end of each month. Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the net assets of Class D Redeemable Units as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee.

The Partnership’s trading of futures, forward and option contracts, as applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Partnership engages in such trading through commodity brokerage accounts maintained with MS&Co.

The Partnership pays clearing fees, ongoing selling agent fees, General Partner fees, management fees, incentive fees and professional fees.

For the period January 1, 2024 through December 31, 2024, the approximate average market sector distribution for the Partnership was as follows:

 

LOGO

The General Partner administers the business and affairs of the Partnership, including selecting one or more advisors to make trading decisions for the Partnership. The General Partner has agreed to make capital contributions, if necessary, so that its general partnership interest will be equal to the greater of (i) 1% of the partners’ contributions to the Partnership or (ii) $25,000. The Partnership pays the General Partner a monthly fee equal to 1/12 of 0.875% (0.875% per year) of month-end net assets of the Partnership. Month-end net assets, for purposes of calculating the General Partner fee, are net assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s management fees, incentive fee accruals, the General Partner fee and any redemptions or distributions as of the end of such month. The General Partner fee is allocated proportionately to each Class based on the net asset value of the respective Class.

The General Partner, on behalf of the Partnership, has entered into management agreements (each a “Management Agreement”) with the Advisors. The Advisors are not affiliated with one another, are not affiliated with the General Partner or MS&Co., and are not responsible for the organization or operation of the Partnership. Each Management Agreement may be terminated upon notice by either party.

 

4

Effective January 1, 2021, the Partnership pays to DCM a monthly management fee equal to 1/12 of 0.75% (0.75% per year) of month-end net assets of the Partnership allocated to DCM. Effective February 1, 2023, the Partnership pays to Drury a monthly management fee equal to 1/12 of 0.50% (0.50% per year) of month-end net assets of the Partnership allocated to Drury. Effective November 1, 2020, the Partnership pays to Episteme a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of month-end net assets of the Partnership allocated to Episteme. Effective January 1, 2020, the Partnership pays to Millburn a monthly management fee equal to 1/12 of 0.25%, 0.375% or 0.50% (0.25%, 0.375% or 0.5% per year), depending on account leverage, of month-end net assets of the Partnership allocated to Millburn. Month-end net assets, for purposes of calculating management fees, are net assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s incentive fee accruals, the monthly management fees, the General Partner fee and any redemptions or distributions as of the end of such month. An Advisor’s management fee is allocated proportionately to each Class based on the net asset value of the respective Class.

Prior to its termination effective December 31, 2022, the Partnership paid to ISAM SM a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of month end net assets of the Partnership allocated to ISAM SM.

In addition, effective January 1, 2021, the Partnership is obligated to pay DCM an incentive fee, payable quarterly, equal to 15% of the New Trading Profits, as defined in the Management Agreement, earned by DCM. Effective February 1, 2023, the Partnership is obligated to pay Drury an incentive fee, payable annually, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by Drury. Effective November 1, 2020, the Partnership is obligated to pay Episteme an incentive fee, payable quarterly, equal to 22.5% of the New Trading Profits, as defined in the Management Agreement, earned by Episteme. Effective January 1, 2020, the Partnership is obligated to pay Millburn an incentive fee, payable annually, equal to 28% of the New Trading Profits, as defined in the Management Agreement, earned by Millburn. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership. An Advisor’s incentive fee is allocated proportionately to each Class based on the net asset value of the respective Class.

Prior to its termination effective December 31, 2022, ISAM SM was eligible to receive an incentive fee, payable quarterly, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by ISAM SM.

The Partnership has entered into a customer agreement with MS&Co. (the “Partnership Customer Agreement”). Under the Partnership Customer Agreement and the foreign exchange brokerage account agreement, the Partnership pays trading fees for the clearing and, where applicable, execution of transactions, as well as exchange, user, give-up, floor brokerage and National Futures Association (“NFA”) fees (collectively, the “clearing fees”). Clearing fees will be paid for the life of the Partnership, although the rate at which such fees are paid may be changed. The Partnership’s cash deposited with MS&Co. were held in segregated bank accounts to the extent required by Commodity Futures Trading Commission (“CFTC”) regulations. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At December 31, 2024 and 2023, the amount of cash held by the Partnership for margin requirements was $7,990,887 and $9,285,004, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership receives monthly interest on 100% of the average daily equity maintained in cash in the Partnership’s brokerage account at MS&Co. during each month at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. For purposes of these interest credits, daily funds did not include monies due to futures, forward, or option contracts that had not been received. The Partnership Customer Agreement may generally be terminated upon notice by either party.

The Partnership has entered into a selling agreement with Morgan Stanley Wealth Management (the “Selling Agreement”). Under the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee equal to 0.75% per year of adjusted month-end net assets for Class A Redeemable Units. The Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee equal to 0.75% per year of the adjusted month-end net assets for Class D Redeemable Units. Morgan Stanley Wealth Management pays a portion of its ongoing selling agent fees to properly registered or exempted financial advisors who have sold Class A and Class D Redeemable Units. Class Z Redeemable Units are not subject to an ongoing selling agent fee. Month-end net assets, for the purpose of calculating ongoing selling agent fees are Net Assets, as defined in the Limited Partnership Agreement, for the Class, prior to the reduction of the current month’s ongoing selling agent fee, incentive fee accrual, management fee, General Partner fee and other expenses and any redemptions or distributions as of the end of such month.

As of November 1, 2018, the Partnership entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”) and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a non-exclusive selling agent and sub-selling agent, respectively, of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”), pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and for Harbor to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services to certain holders of Redeemable Units of the Partnership, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2025 unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, including by any party on thirty days’ prior written notice, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional one year periods. Pursuant to the Harbor Selling Agreement, the Partnership pays Harbor an ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the adjusted month-end net asset value per Redeemable Unit for certain holders of Class A Redeemable Units in the Partnership. The Partnership pays Harbor an ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the adjusted month-end net asset value per Redeemable Unit for certain holders of Class D Redeemable Units in the Partnership.

The General Partner has delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

(b) Financial Information about Segments. The Partnership’s business consists of only one segment, speculative trading of commodity interests. The Partnership does not engage in sales of goods or services. The Partnership’s capital as of December 31, 2024 was $48,049,570.

(c) Narrative Description of Business.

See Paragraphs (a) and (b) above.

 

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(i)  through (xii) — Not applicable.

(xiii) — The Partnership has no employees.

(d) Financial Information About Geographic Areas. The Partnership does not engage in the sale of goods or services or own any long lived assets, and therefore this item is not applicable.

(e) Available Information. The Partnership does not have an Internet address. The Partnership will provide paper copies of its Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and any amendments to these reports free of charge upon request.

(f) Reports to Security Holders. Not applicable.

(g) Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.

(h) Smaller Reporting Companies. Not applicable.

Item 1A. Risk Factors.

As a result of leverage, small changes in the price of the Partnership’s positions may result in major losses.

The trading of commodity interests is speculative, volatile and involves a high degree of leverage. A small change in the market price of a commodity interest contract can produce major losses for the Partnership. Market prices can be influenced by, among other things, changing supply and demand relationships, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, weather and climate conditions, insects and plant disease, purchases and sales by foreign countries, changing interest rates, pandemics, epidemics and other public health crises.

An investor may lose all of their investment.

Due to the speculative nature of trading commodity interests, an investor could lose all of their investment in the Partnership.

The Partnership will pay substantial fees and expenses regardless of profitability.

Regardless of its trading performance, the Partnership will incur fees and expenses, including but not limited to clearing fees, the General Partner fee, ongoing selling agent fees and management fees. Substantial incentive fees may be paid to one or more of the Advisors even if the Partnership experiences a net loss for the full year.

An investor’s ability to redeem or transfer Redeemable Units is limited.

An investor’s ability to redeem or transfer Redeemable Units is limited and no market exists for the Redeemable Units.

Conflicts of interest exist.

The Partnership is subject to numerous conflicts of interest including those that arise from the fact that:

 

  1.

The General Partner and the Partnership’s commodity brokers are affiliates;

 

  2.

Each of the Advisors, the Partnership’s commodity brokers, the General Partner and their respective principals and affiliates may trade in commodity interests for their own accounts;

 

  3.

An investor’s financial advisor will receive ongoing compensation for providing services to the investor’s account; and

 

  4.

The General Partner, on behalf of the Partnership, may purchase shares from money market mutual funds affiliated and/or unaffiliated with the General Partner.

Investing in Redeemable Units may not provide the desired diversification of an investor’s overall portfolio.

One of the Partnership’s objectives is to add an element of diversification to a traditional stock and bond portfolio, but any benefit of portfolio diversification is dependent upon the Partnership achieving positive returns and such returns being independent of stock and bond market returns.

Past performance is no assurance of future results.

The Advisors’ trading strategies may not perform as they have performed in the past and past performance does not necessarily predict future returns. The Advisors have from time to time incurred substantial losses in trading on behalf of clients.

An investor’s tax liability may exceed cash distributions.

Investors are taxed on their share of the Partnership’s income, even though the Partnership does not intend to make any distributions.

The General Partner may allocate the Partnership’s assets to undisclosed advisors.

The General Partner at any time may select and allocate the Partnership’s assets to undisclosed advisors. Investors may not be advised of such changes in advance or at all. Investors must rely on the ability of the General Partner to select commodity trading advisors and allocate assets among them.

 

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Regulatory changes could restrict the Partnership’s operations and increase its operational costs.
Regulatory costs or changes could adversely affect the Partnership by restricting its markets or activities, limiting its trading and/or increasing the costs or taxes to which investors are subject. Pursuant to the mandate of the Dodd-Frank Wall Street Reform and Consumer Protection Act, signed into law on July 21, 2010, the CFTC and the Securities and Exchange Commission (the “SEC”) have promulgated rules to regulate trading in swaps and swap dealers and to mandate additional reporting and disclosure requirements and continue to promulgate rules regarding capital and margin requirements, to require that certain swaps be traded on an exchange or a swap execution facility, to mandate additional reporting and disclosure requirements and to require that derivatives (such as those traded by the Partnership) be moved into central clearinghouses. The CFTC and the prudential regulators that oversee swap dealers have adopted rules regarding margin requirements for certain derivatives. In addition, the CFTC and such prudential regulators have adopted rules regarding capital requirements for swap dealers. These rules may negatively impact the manner in which swap contracts are traded and/or settled, increase the costs of such trades, and limit trading by speculators (such as the Partnership) in futures and
over-the-counter
(“OTC”) markets.
Speculative position and trading limits may reduce profitability.
The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or net short positions which any person or a group of persons may hold or control in particular futures and options on futures. In January 2021, the CFTC finalized new rules that impose position limits on certain futures and option contracts and physical commodity swaps that are “economically equivalent” to such contracts. In addition to speculative position limits, most commodity exchanges also limit fluctuations in futures contract prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Such regulations could have an adverse effect on an Advisor’s trading for the Partnership. The trading instructions of an Advisor may have to be modified, and positions held by the Partnership may have to be liquidated, in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and profitability of the Partnership by increasing transaction costs to liquidate positions and limiting potential profits on liquidated positions.
The General Partner, the Partnership and their respective service providers (including the Advisors) and operations are potentially vulnerable to cyber-security attacks or incidents.
Like other business enterprises, the use of the internet and other electronic media and technology exposes the General Partner, the Partnership and their respective service providers and operations, to potential risks from cyber-security attacks or incidents (collectively, “cyber events”). Cyber events may include, for example, unauthorized access to systems, networks or devices, infection from computer viruses or other malicious software code, mishandling or misuse of information and attacks which shut down, disable, slow or otherwise disrupt operations, business processes or website access or functionality. In addition to intentional cyber events, unintentional cyber events can occur. Unintentional cyber events may include, for example, the inadvertent release of confidential information, the mishandling or misuse of information and/or technological limitations or hardware failures (in the markets or otherwise) that constrain the Partnership’s ability to gather, process and communicate information efficiently and securely, without interruption.
Any cyber event could adversely affect the Partnership’s business, financial condition or results of operations and cause the Partnership to incur financial loss and expense, as well as face exposure to regulatory penalties or legal claims, reputational damage and additional costs associated with corrective measures. A cyber-security breach could also jeopardize a limited partner’s personal, confidential, proprietary or other information processed and stored in, and transmitted through, the General Partner’s or a service provider’s computer systems. A cyber event may cause the Partnership or its service providers to lose proprietary information, suffer data corruption, lose operational capacity (such as, for example, the loss of the ability to process transactions, calculate the Partnership’s net asset value, or allow investors to transact business) and/or fail to comply with applicable privacy and other laws. Among other potentially harmful effects, cyber events also may result in theft, unauthorized monitoring and failures in the physical infrastructure or operating systems that support the Partnership or its service providers.
The nature of malicious cyber-attacks is becoming increasingly sophisticated and neither the General Partner nor the Partnership can control whether a cyber event will adversely affect the cyber systems of the Advisors or other third-party service providers.
Tax laws are subject to change at any time.
Tax laws and court and Internal Revenue Service (“IRS”) interpretations thereof are subject to change at any time, possibly with retroactive effect.
Prospective investors are urged to consult with their tax advisors with respect to regulatory or administrative developments and proposals, and their potential effects on them based on their unique circumstances.
Beginning in February 2022, the United States, the United Kingdom, the European Union, and a number of other nations imposed sanctions against Russia in response to Russia’s invasion of Ukraine, and these and other governments around the world may impose additional sanctions in the future as the conflict develops. In addition, the armed conflict between Israel and Hamas and subsequent sanctions have created volatility in the price of various commodities and may lead to a deterioration in the political and trade relationships that exist between the countries involved and have a negative impact on business activity globally, and therefore could affect the performance of the Partnership’s investments. Furthermore, uncertainties regarding these conflicts and the varying involvement of the United States and other countries preclude prediction as to the ultimate impact on global economic and market conditions, and, as a result, presents material uncertainty and risk with respect to the Partnership and the performance of its investments or operations, and the ability of the Partnership to achieve its investment objectives. Additionally, to the extent that investors, service providers and/or other third parties have material operations or assets in Russia, Belarus, Ukraine or Israel, they may have their operations disrupted and/or suffer adverse consequences related to the ongoing conflicts.
Item 1C.
Cybersecurity
.
Risk management and strategy
The Partnership has no directors or executive officers and its affairs are managed by its General Partner. The General Partner is a wholly-owned subsidiary of MSCM. MSCM is ultimately owned by Morgan Stanley. Morgan Stanley, its businesses, the General Partner, the Partnership, and the broader financial services industry face an increasingly complex and evolving threat environment. Morgan Stanley has made and continues to make substantial investments in cybersecurity and fraud prevention technology, and employ experienced talent to lead its Cybersecurity and Information Security organizations and program under the oversight of the Morgan Stanley Board of Directors (the “Board”) and the Operations and Technology Committee of the Board (the “BOTC”). See “Risk Factors – The General Partner, the Partnership, the Funds and their respective service providers (including the Advisors) and operations are potentially vulnerable to cyber-security attacks or incidents” for information on risks to the Partnership from cybersecurity threats.
 
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As part of its enterprise risk management (“ERM”) framework, Morgan Stanley has implemented and maintains a program to assess, identify and manage risks arising from the cybersecurity threats (the “Cybersecurity Program”). The Cybersecurity Program has been adopted by the General Partner, and applies to its business, as relevant. The Cybersecurity Program helps protect Morgan Stanley’s clients, customers, employees, property, products, services and reputation by seeking to preserve the confidentiality, integrity and availability of information, enable the secure delivery of financial services, and protect the business and the safe operation of Morgan Stanley’s technology systems. Morgan Stanley continually adjusts the Cybersecurity Program to address the evolving cybersecurity threat landscape and comply with extensive legal and regulatory expectations.
Processes for assessing, identifying and managing material risks from cybersecurity threats
The Cybersecurity Program takes into account industry best practices and addresses risks from cybersecurity threats to Morgan Stanley’s network, infrastructure, computing environment and the third parties that Morgan Stanley, and its affiliates rely on. Morgan Stanley periodically assesses the design of its cybersecurity controls against the Cyber Risk Institute Cyber Profile, which is based on the National Institute of Standards and Technology (“NIST”) Cybersecurity Framework for Improving Critical Infrastructure Cybersecurity, as well as global cybersecurity regulations, and develops improvements to those controls in response to that assessment. The Cybersecurity Program also includes cybersecurity and information security policies, procedures and technologies that are designed to address regulatory requirements and to protect clients’, employees’ and Morgan Stanley’s own data against unauthorized disclosure, modification and misuse. These policies, procedures and technologies cover a broad range of areas, including: identification of internal and external threats, access control, data security, protective controls, detection of malicious or unauthorized activity, incident response, and recovery planning.
The threat intelligence function within the Cybersecurity Program actively engages in private and public information sharing communities and leverages both commercial and proprietary products to collect a wide variety of industry and governmental information regarding the latest cybersecurity threats, which informs the cybersecurity risk assessments and strategy. This information is also provided to an internal forensics team, which develops and implements technologies designed to help detect these cybersecurity threats. Where a potential threat is identified, an incident response team evaluates the potential impact, and coordinates remediation where required. These groups, as well as Morgan Stanley’s Operational Risk Department (the “Operational Risk Department”), review external cybersecurity incidents that may be relevant to Morgan Stanley and its affiliates, and the outcomes of these incidents further inform the design of the Cybersecurity Program. In addition, Morgan Stanley maintains a robust global training program on cybersecurity risks and requirements and conducts regular phishing email simulations for its employees and consultants.
The cybersecurity processes are designed to help oversee, identify and mitigate risks associated with Morgan Stanley’s use of third-party vendors. Morgan Stanley maintains a third-party risk management program that includes evaluation of, and response to, cybersecurity risks at its third-party vendors. Prior to engaging third-party vendors to provide services, Morgan Stanley conducts assessments of the third-party vendors’ cybersecurity programs to identify the impact of their services on the cybersecurity risks to Morgan Stanley. Once
on-boarded,
third-party vendors’ cybersecurity programs are subject to risk-based oversight, which may include security questionnaires, submission of independent security audit reports or an audit of the third-party vendor’s security program, and, with limited exceptions, third-party vendors are required to meet Morgan Stanley’s cybersecurity standards. Where a third-party vendor cannot meet those standards, its services, and the residual risk, are subject to review, challenge and escalation through Morgan Stanley’s risk management processes and ERM committees, which may ultimately result in requesting increased security measures or ceasing engagement with such third-party vendor.
The Cybersecurity Program is regularly assessed by Morgan Stanley’s Internal Audit Department (“IAD”) through various assurance activities, with the results reported to the Audit Committee of the Board (“BAC”) and the BOTC. Annually, certain elements of the Cybersecurity Program are subject to an audit by an independent consultant, as well as an assessment by a separate, independent third party, the results of which, including opportunities identified for improvement and related remediation plans, are reviewed with the BOTC. The Cybersecurity Program is also examined regularly by Morgan Stanley’s prudential and conduct regulators within the scope of their jurisdiction.
Governance
Morgan Stanley Management’s role in assessing and managing material risks from cybersecurity threats
The Cybersecurity Program is operated and maintained by management, including Morgan Stanley’s Chief Information Officer of Cyber, Data, Risk and Resilience (“CIO”) and Morgan Stanley’s Chief Information Security Officer (“CISO”). These senior officers are responsible for assessing and managing the Firm’s cybersecurity risks. The General Partner adheres to the Cybersecurity Program’s policies and participates in periodic testing. The Cybersecurity Program strategy, which is set by the CISO and overseen by the Head of the Operational Risk Department, is informed by various risk and control assessments, control testing, external assessments, threat intelligence, and public and private information sharing. The Cybersecurity Program also includes processes for escalating and considering the materiality of incidents that impact Morgan Stanley and its affiliates, including escalation to senior management and the Board, which are periodically tested through tabletop exercises.
The members of management that lead the Cybersecurity Program and strategy have extensive experience in technology, cybersecurity and information security. The CIO has over 30 years of experience in various engineering, IT, operations and information security roles. The CISO has over 25 years of experience leading cybersecurity teams at financial institutions, including in the areas of IT strategy, risk management and information security. The Head of the Operational Risk Department has over 20 years of experience in technology, security and compliance roles, including experience in government security agencies.
Risk levels and mitigating measures are presented to and monitored by dedicated management-level cybersecurity risk committees. These committees include representatives from management as well as business and control stakeholders who review, challenge and, where appropriate, consider exceptions to its policies and procedures. Significant cybersecurity risks are escalated from these committees to Morgan Stanley’s
non-financial
risk committee. The CIO and the Head of the Operational Risk Department report on the status of the Cybersecurity Program, including significant cybersecurity risks; review metrics related to the program; and discuss the status of regulatory and remedial actions and incidents to Morgan Stanley’s
non-financial
risk committee, the BOTC and the Board, as appropriate.
Item 2.
Properties
.
The Partnership does not own or lease any properties. The General Partner operates out of facilities provided by Morgan Stanley and/or one of its subsidiaries.
 
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Item 3. Legal Proceedings.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which Morgan Stanley & Co. LLC or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.” or “the Company”).

The Company is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, as amended (the “Exchange Act”) which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including the Company. As a consolidated subsidiary of Morgan Stanley, the Company does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2024, 2023, 2022, 2021, and 2020. In addition, the Company annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. We refer you to the Commitments, Guarantees and Contingencies – Legal section of the Company’s 2023 Audited Financial Statement.

In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and the Company has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the actual or threatened legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the third-party entities that are, or would otherwise be, the primary defendants in such cases are bankrupt, in financial distress, or may not honor applicable indemnification obligations. These actions have included, but are not limited to, antitrust claims, claims under various false claims act statutes, and matters arising from our sales and trading businesses and our activities in the capital markets.

Each of Morgan Stanley and the Company is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by governmental or other regulatory agencies regarding the Company’s business and involving, among other matters, sales, trading, financing, prime brokerage, market-making activities, investment banking advisory services, capital market activities, financial products or offerings sponsored, underwritten, or sold by the Company, wealth and investment management services, and accounting and operational matters, certain of which may result in adverse judgments, settlements, fines, penalties, disgorgement, restitution, forfeiture, injunctions, limitations on our ability to conduct certain business, or other relief.

The Company is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036. Among other registrations and memberships, the Company is registered as a futures commission merchant and is a member of the National Futures Association.

During the preceding five years, the following administrative, civil, or criminal actions pending, on appeal or concluded against the Company or any of its principals are material within the meaning of CFTC Rule 4.24(l)(2) or 4.34(k)(2):

Regulatory and Governmental Matters

On January 12, 2024, the U.S. Attorney’s Office for the Southern District of New York (“USAO”) and the SEC announced they had reached settlement agreements with the Company in connection with their investigations into the Company’s blocks business. Specifically, the Company entered into a three-year non-prosecution agreement (“NPA”) with the USAO that included the payment of forfeiture, restitution, and a criminal fine for making false statements in connection with the sale of certain block trades from 2018 through August 2021. The NPA required the Company to admit responsibility for certain acts of its employees and to continue to cooperate with and provide certain information to the USAO for the term of the agreement. Additionally, the SEC charged the Company with violations of Section 10(b) of the Exchange Act and Rule 10b-5(b) thereunder for the disclosure of confidential information about block trades and also violations of Section 15(g) of the Exchange Act for the failure to enforce its policies concerning the misuse of material non-public information related to block trades. As part of the SEC agreement, the Company paid disgorgement and a civil penalty. After the agreed-upon credits were applied, the Company paid a total amount of approximately $249 million under both settlements.

On September 30, 2020, the SEC entered into a settlement order with the Company settling an administrative action which relates to the Company’s violations of the order marking requirements of Regulation SHO of the Exchange Act resulting from its improper use of aggregation units in structuring the Company’s equity swaps business. The order found that the Company improperly operated its equity swaps business without netting certain “long” and “short” positions as required by Rule 200(c) of Regulation SHO. The order found that the long exposure to an equity security (the “Long Unit”) and the short exposure to an equity security (the “Short Unit”) were not independent from one another and did not have separate trading strategies or objectives without regard to each other, and that the Long and Short Units were not eligible for the exception in Rule 200(f) of Regulation SHO. The order found that the Company willfully violated Section 200(g) of Regulation SHO. The Company consented, without admitting or denying the findings and without adjudication of any issue of law or fact, to a censure; to cease and desist from committing or causing future violations; to pay a civil penalty of $5 million; and to comply with the undertaking enumerated in the order.

The Firm has reached agreements in principle with two regulatory agencies—the SEC for $125 million and the CFTC for $75 million— to resolve record-keeping related investigations by those agencies relating to business communications on messaging platforms that had not been approved by the Firm. The Company was one of the entities involved in these investigations, and has recognized a provision of $63 million in anticipation of concluding the settlement with the SEC. On September 27, 2022, the Firm’s settlements with the SEC and the CFTC became effective.

 

9

Civil Litigation

On May 17, 2013, the plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against the Company and certain affiliates in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint alleges that defendants made material misrepresentations and omissions in the sale to the plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by the Company to the plaintiff was approximately $133 million. The complaint alleges causes of action against the Company for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, inter alia, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part the Company’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by the Company or sold to the plaintiff by the Company was approximately $116 million. On August 11, 2016, the Appellate Division affirmed the trial court’s order denying in part the Company’s motion to dismiss the complaint. On July 15, 2022, the Company filed a motion for summary judgment on all remaining claims. On March 1, 2023, the court granted in part and denied in part the Company’s motion for summary judgment, narrowing the alleged misrepresentations at issue in the case. On March 26, 2024, the Appellate Division affirmed the trial court’s summary judgment order. On August 27, 2024, the plaintiff notified the court that in light of the court’s rulings to exclude certain evidence at trial, the plaintiff could not prove its claims at trial, and requested that the court dismiss the case, subject to its right to appeal the evidentiary rulings. On August 28, 2024, the court dismissed the case, and judgment was entered in the Company’s favor. The plaintiff has filed notices of appeal.

Beginning in February of 2016, the Company was named as a defendant in multiple purported antitrust class actions now consolidated into a single proceeding in the United States District Court for the Southern District of New York (“SDNY”) styled In Re: Interest Rate Swaps Antitrust Litigation. Plaintiffs allege, inter alia, that the Company, together with a number of other financial institution defendants, violated U.S. and New York state antitrust laws from 2008 through December of 2016 in connection with alleged efforts to prevent the development of electronic exchange-based platforms for interest rate swaps trading. Complaints were filed both on behalf of a purported class of investors who purchased interest rate swaps from defendants, as well as on behalf of three operators of swap execution facilities that allegedly were thwarted by the defendants in their efforts to develop such platforms. The consolidated complaints seek, inter alia, certification of the investor class of plaintiffs and treble damages. On July 28, 2017, the court granted in part and denied in part the defendants’ motion to dismiss the complaints. On December 15, 2023, the court denied the class plaintiffs’ motion for class certification. On December 29, 2023, the class plaintiffs petitioned the United States Court of Appeals for the Second Circuit for leave to appeal that decision. On February 28, 2024, the parties reached an agreement in principle to settle the class claims. On July 11, 2024, the court granted preliminary approval of the settlement.

On August 13, 2021, the plaintiff in Camelot Event Driven Fund, a Series of Frank Funds Trust v. Morgan Stanley & Co. LLC, et al. filed in the Supreme Court of NY a purported class action complaint alleging violations of federal securities laws against ViacomCBS (“Viacom”), certain of its officers and directors, and the underwriters, including the Company, of two March 2021 Viacom offerings: a $1,700 million Viacom Class B Common Stock offering and a $1,000 million offering of 5.75% Series A Mandatory Convertible Preferred Stock (collectively, the “Offerings”). The complaint seeks certification of the class of plaintiffs and unspecified compensatory damages and alleges, inter alia, that the Viacom offering documents for both issuances contained material misrepresentations and omissions because they did not disclose that certain of the underwriters, including the Company, had prime brokerage relationships and/or served as counterparties to certain derivative transactions with Archegos Capital Management LP (“Archegos”), a fund with significant exposure to Viacom securities across multiple prime brokers. The complaint also alleges that the offering documents did not adequately disclose the risks associated with Archegos’s concentrated Viacom positions at the various prime brokers, including that the unwind of those positions could have a deleterious impact on the stock price of Viacom. On November 5, 2021, the complaint was amended to add allegations that defendants failed to disclose that certain underwriters, including the Company, had intended to unwind Archegos’s Viacom positions while simultaneously distributing the Offerings. On February 6, 2023, the court issued a decision denying motions to dismiss as to the Company and the other underwriters, but granting the motion to dismiss as to Viacom and the Viacom individual defendants. On February 15, 2023, the underwriters, including the Company, filed their notices of appeal of the denial of their motions to dismiss. On March 10, 2023, the plaintiff appealed the dismissal of Viacom and the individual Viacom defendants. On April 4, 2024, the Appellate Division upheld the lower court’s decision as to the Company and other underwriter defendants that had prime brokerage relationships and/or served as counterparties to certain derivative transactions with Archegos, dismissed the remaining underwriters, and upheld the dismissal of Viacom and its officers and directors. On July 25, 2024, the Appellate Division denied the plaintiff’s and the Company’s respective motions for leave to reargue or appeal the April 4, 2024 decision. On January 4, 2024, the court granted the plaintiff’s motion for class certification, which the defendants have appealed.

The Company is a defendant in three antitrust class action complaints which have been consolidated into one proceeding in the United States District Court for the SDNY under the caption City of Philadelphia, et al. v. Bank of America Corporation, et al. Plaintiffs allege, inter alia, that the Company, together with a number of other financial institution defendants, violated U.S. antitrust laws and relevant state laws in connection with alleged efforts to artificially inflate interest rates for Variable Rate Demand Obligations (“VRDO”). The consolidated complaint seeks, inter alia, certification of the class of plaintiffs and treble damages. The complaint was filed on behalf of a class of municipal issuers of VRDO for which defendants served as remarketing agent. On November 2, 2020, the court granted in part and denied in part the defendants’ motion to dismiss the consolidated complaint, dismissing state law claims, but denying dismissal of the U.S. antitrust claims. On September 21, 2023, the court granted plaintiffs’ motion for class certification. On February 5, 2024, the United States Court of Appeals for the Second Circuit granted leave to appeal that decision.

On February 21, 2025, the U.K. Competition and Markets Authority announced a settlement with an affiliate of the Company, as well as other financial institutions, in connection with its investigation of suspected anti-competitive arrangements in the financial services sector, specifically regarding the affiliate’s activities concerning certain liquid fixed income products between 2009 and 2012. Separately, on June 16, 2023, the affiliate and the Company, together with a number of other financial institutions, were named as defendants in a purported antitrust class action in the United States District Court for the SDNY styled Oklahoma Firefighters Pension and Retirement System v. Deutsche Bank Aktiengesellschaft, et al., alleging, inter alia, that they violated U.S. antitrust laws in connection with their alleged effort to fix prices of gilts traded in the United States between 2009 and 2013. The complaint seeks, inter alia, certification of the class of plaintiffs and treble damages. On September 16, 2024, the court granted defendants’ joint motion to dismiss, and the complaint was dismissed without prejudice. The Firm and other defendants have reached an agreement in principle to settle the U.S. litigation.

 

10

Settled Civil Litigation

On August 18, 2009, Relators Roger Hayes and C. Talbot Heppenstall, Jr., filed a qui tam action in New Jersey state court styled State of New Jersey ex. rel. Hayes v. Bank of America Corp., et al. The complaint, filed under seal pursuant to the New Jersey False Claims Act, alleged that the Company and several other underwriters of municipal bonds had defrauded New Jersey issuers by misrepresenting that they would achieve the best price or lowest cost of capital in connection with certain municipal bond issuances. On March 17, 2016, the court entered an order unsealing the complaint. On November 17, 2017, Relators filed an amended complaint to allege the Company mispriced certain bonds issued in twenty-three bond offerings between 2008 and 2017, having a total par amount of $6,900 million. The complaint sought, among other relief, treble damages. On February 22, 2018, the Company moved to dismiss the amended complaint, and on July 17, 2018, the court denied the Company’s motion. On October 13, 2021, following a series of voluntary and involuntary dismissals, Relators limited their claims to certain bonds issued in five offerings the Company underwrote between 2008 and 2011, having a total par amount of $3,900 million. On August 22, 2023, the Company reached an agreement in principle to settle the litigation. The final agreement became effective on January 30, 2024.

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against the Company, styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., in the Supreme Court of NY. The complaint related to a $275 million credit default swap (“CDS”) referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserted claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Company misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Company knew that the assets backing the CDO were of poor quality when it entered into the CDS with CDIB. On March 22, 2021, the parties entered into a settlement agreement. On April 16, 2021, the court entered a stipulation of voluntary discontinuance, with prejudice.

On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against the Company and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleged that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by the Company at issue in the action was approximately $203 million. The complaint sought, inter alia, to rescind the plaintiff’s purchase of such certificates. On November 4, 2021, the Company entered into an agreement to settle the litigation.

In August of 2017, the Company was named as a defendant in a purported antitrust class action in the United States District Court for the SDNY styled Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation et al. Plaintiffs alleged, inter alia, that the Company, together with a number of other financial institution defendants, violated U.S. antitrust laws and New York state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the defendants. The complaint sought, inter alia, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the complaint. Plaintiffs’ motion for class certification was referred by the District Court to a magistrate judge who, on June 30, 2022, issued a report and recommendation that the District Court certify a class. The motion for class certification and the parties’ objections to the report and recommendation are pending before the District Court. On May 20, 2023, the Company reached an agreement in principle to settle the litigation. On September 11, 2024, the court granted final approval of the settlement.

Beginning on March 25, 2019, the Company was named as a defendant in a series of putative class action complaints filed in the United States District Court for the SDNY, the first of which is styled Alaska Electrical Pension Fund v. BofA Secs., Inc., et al. Each complaint alleged a conspiracy to fix prices and restrain competition in the market for unsecured bonds issued by the following Government-Sponsored Enterprises: the Federal National Mortgage Association; the Federal Home Loan Mortgage Corporation; the Federal Farm Credit Banks Funding Corporation; and the Federal Home Loan Banks. The purported class period for each suit is from January 1, 2012 to June 1, 2018. Each complaint raised a claim under Section 1 of the Sherman Act and sought, inter alia, injunctive relief and treble compensatory damages. On May 23, 2019, plaintiffs filed a consolidated amended class action complaint styled In re GSE Bonds Antitrust Litigation, with a purported class period from January 1, 2009 to January 1, 2016. On June 13, 2019, the defendants filed a joint motion to dismiss the consolidated amended complaint. On August 29, 2019, the court denied the Company’s motion to dismiss. On December 15, 2019, the Company and certain other defendants entered into a stipulation of settlement to resolve the action as against each of them in its entirety. On June 16, 2020, the court granted final approval of the settlement.

Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, the Company, as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of the Company. The Company may establish reserves from time to time in connections with such actions.

Item 4. Mine Safety Disclosures. Not applicable.

 

11

PART II

Item 5. Market for Registrant’s Common Equity, Related Security Holder Matters and Issuer Purchase of Equity Securities.

 

  (a)

Market Information. The Partnership has issued no stock. There is no public market for the Redeemable Units.

 

  (b)

Holders. The number of holders of Redeemable Units as of February 28, 2025 was 2,499 for Class A Redeemable Units, 9 for Class D Redeemable Units and 5 for Class Z Redeemable Units.

 

  (c)

Dividends. The Partnership did not declare any distributions in 2024 or 2023. The Partnership does not intend to declare distributions in the foreseeable future.

 

  (d)

Securities Authorized for Issuance Under Equity Compensation Plans. None.

 

  (e)

Performance Graph. Not applicable.

 

  (f)

Recent Sales of Unregistered Securities-Use of Proceeds from Registered Securities. The public offering of Redeemable Units terminated on November 30, 2008. For the twelve months ended December 31, 2024, 2023 and 2022, there were no subscriptions.

Redeemable Units are issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. Redeemable Units are purchased by accredited investors, as described in Regulation D. In determining the applicability of the private offering exemption, the General Partner relies on the fact that Redeemable Units are purchased by accredited investors in a private offering.

Proceeds of the net offering are used for the trading of commodity interests including futures, option and forward contracts.

 

  (g)

Purchases of Equity Securities by the Issuer and Affiliated Purchasers.

The following chart sets forth the purchases of limited partner Redeemable Units for each Class by the Partnership.

 

                                             (d) Maximum  
                                  (c) Total        Number (or  
                                  Number of        Approximate  
                                  Redeemable        Dollar Value)  
                                  Units         of Redeemable    
      Class A         Class A         Class D         Class D         Purchased        Units that  
      (a) Total         (b) Average         (a) Total         (b) Average         as Part of        May Yet Be  
      Number of         Price Paid         Number of         Price Paid         Publicly        Purchased  
      Redeemable         per         Redeemable         per         Announced        Under the  
      Units         Redeemable         Units         Redeemable         Plans or        Plans or  
Period    Purchased*         Unit**         Purchased*         Unit**         Programs        Programs  

October 1, 2024 - October 31, 2024

     1,581.8760      $ 845.28        164.1760      $ 1,057.87        N/A         N/A   

November 1, 2024 - November 30, 2024

     1,066.8620      $ 835.67        N/A         N/A         N/A         N/A   

December 1, 2024 - December 31, 2024

     418.7960      $ 838.89        N/A         N/A         N/A         N/A   
      3,067.5340      $ 841.07        164.1760      $ 1,057.87                    

 

  *

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 end of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.

Item 6. Reserved.

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Overview

The Partnership aims to achieve substantial capital appreciation and permit investors to diversify a traditionally structured stock and bond portfolio. The Partnership attempts to accomplish its objectives through speculative trading in U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products and precious and base metals.

The General Partner manages all business of the Partnership. The General Partner has delegated its responsibility for the investment of the Partnership’s assets to the Advisors. The General Partner engages a team of approximately 9 professionals whose primary emphasis is on attempting to maintain quality control among the Advisors to the funds operated or managed by the General Partner. A full-time staff of due diligence professionals uses state-of-the-art technology and on-site evaluations to monitor new and existing futures money managers. The accounting and operations staff provides processing of subscriptions and redemptions and reporting to limited partners and regulatory authorities. The General Partner also engages staff involved in marketing and sales support.

 

12

Responsibilities of the General Partner include:

 

  •  

due diligence examinations of the Advisors;

 

  •  

selection, appointment and termination of the Advisors;

 

  •  

negotiation of the management agreements; and

 

  •  

monitoring the activity of the Advisors.

In addition, the General Partner prepares, or assists the Administrator in preparing, the books and records and provides, or assists the Administrator in providing, the administrative and compliance services that are required by law or regulation from time to time in connection with the operation of the Partnership.

While the Partnership has the right to seek lower commission rates from other commodity brokers at any time, the General Partner believes that the customer agreements and other arrangements with the commodity broker are fair, reasonable and competitive.

The programs traded by each Advisor on behalf of the Partnership as of December 31, 2024 and 2023 were: DCM — DCM’s Diversified Alpha Program, Drury — Drury Diversified Trend-Following Program, Episteme — Systematic Quest Program and Millburn — Multi-Markets Program.

As of December 31, 2024 and September 30, 2024, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:

 

Advisor

     December 31, 2024      December 31, 2024 
(percentage of
Partners’ Capital)		        September 30, 2024       September 30, 2024 
(percentage of
Partners’ Capital)		  

DCM

     $ 12,161,806        25%        $ 12,142,285        25%   

Drury

     $ 8,569,899        18%        $ 8,141,863        16%   

Episteme

     $ 12,591,023        26%        $ 13,536,853        27%   

Millburn

     $ 12,433,018        26%        $ 13,153,864        27%   

Unallocated

     $ 2,293,824        5%        $ 2,562,806        5%   

DCM Systematic Advisors SA

DCM directly trades a portion of the Partnership’s assets in accordance with its Diversified Alpha Strategy (the “Strategy”) utilizes a multi-model approach allowing the program to capture trading opportunities across three different model styles and further diversified through a wide spectrum of different time horizons. The average holding period for positions typically ranges from one week to a couple of months, depending on the sub-strategy. With this diversified return profile, the Strategy enjoys the flexibility that allows it to aim for positive returns as the market environment shifts and evolves. The majority of the Strategy’s exposure over the long-term is allocated to non-trend models that have historically proven to be uncorrelated to traditional asset classes, and is meant to provide an alternative to the trend-dominated CTA space. The Strategy is comprised of some forty products, future contract spanning across equities, volatility, bonds, interest rates, currencies, energy, metal, and agricultural markets.

Diversified Alpha Program is comprised of only quantitative models, which are categorized as behavioral, relative value, and macro models. The behavioral models anticipate the flows of large market participants to take advantage of their market impact. The relative value premia models focus on capturing relative-value opportunities derived from selected risk premia with a strong emphasis on tail-risk protection. The macro strategies use a broad range of statistical models derived from economic and technical principles.

Drury Diversified Trend-Following Program

Drury trades a portion of the Partnership’s assets in accordance with its Diversified Trend-Following Program. The Diversified Trend-Following Program is built on elements of trend following and diversification. The portfolio emphasizes diversification by trading metals, agricultural products, foreign exchange, stock index futures, energy products, financial instruments and tropical products (softs). Trading is based upon the premise that research can reveal pricing inefficiencies that can be exploited by a systematic disciplined approach to trading futures markets.

The Diversified Trend-Following Program trades approximately 70 portfolio instruments and is generally positioned in 40 of these instruments on average. Positions can be short as well as long. The Diversified Trend-Following Program has no market or sector bias, based on the belief that each instrument can produce long-term profits through the application of independent technical analysis and risk management. Numerous models are traded, but all are trend-following in nature.

Episteme Capital Partners (UK) LLP, Episteme Capital Partners (US) LLC, and Episteme Capital Partners (Cayman) LTD

Episteme trades a portion of the Partnership’s assets in accordance with their Systematic Quest Program. The Systematic Quest Program is a diversified systematic global macro program that seeks to maximize returns by pursuing a diversified portfolio of systematic strategies subject to the constraints of its risk management framework. The trading strategies are generally medium-term and aim to exploit a number of sources of alpha based upon fundamental, technical, and liquidity effects. This managed futures strategy consists of seven different model styles, which include carry, cross-market, idiosyncratic, liquidity, mean reversion, momentum, and value models. By applying each of these trading styles, across multiple time horizons, the strategy blends multiple alpha drivers seeking consistent returns, uncorrelated to traditional asset classes and the managed futures asset class.

 

13

Millburn Ridgefield Corporation

Millburn trades a portion of the Partnership’s assets in accordance with its Multi-Markets Program. The Multi-Markets Program implements a group of quantitative models that collectively trade futures, forward and spot contracts on currencies, interest rate instruments, stock indices, metals, energy and agricultural commodities. The aim of the Multi-Markets Program is to target opportunities in a wide range of global markets under a variety of conditions. The Multi-Markets Program’s trading strategies are based on the implementation of a multi-data input, statistical/machine learning framework, and are 100% systematic and quantitative in nature. This framework utilizes price, price-derivative, and non-price data sources or “features,” in an attempt to provide an informed, context-specific and continuous view of portfolio positioning (long or short, and to what extent) in a particular market. Millburn’s investment approach centers on the development of process-driven, measurable and risk-controlled methods to trade a universe of approximately 105 (which number may change from time to time) global currency spot and forward markets, and exchange-traded equity, fixed income and commodity futures markets.

ISAM Systematic Management/International Standard Asset Management

ISAM SM and ISAM directly traded, a managed account in the name of the Partnership pursuant to ISAM SM’s/ISAM’s Systematic Trend Programme. The Systematic Trend Programme’s investment objective was to achieve growth in the value of its assets, providing absolute returns with low correlations to the stock and bond markets through the implementation of systematic trading models. The system traded in the global futures markets covering stock indices, interest rates, currency, energy commodities, precious and base metals and agricultural products, OTC foreign exchange contracts (including currency spot contracts) and exchange-cleared swap and forward contracts.

The Advisor relied on the comprehensive quantitative analysis of historical data to develop trading strategies. These proprietary trading strategies were then implemented subject to strict risk management and controls. The Advisor’s guiding principle was that a disciplined trading approach combined with a broad diversification over a large number of markets, instruments and investment strategies was likely to lead to superior investment results, while maintaining risk at a level comparable to that associated with traditional asset classes. The target volatility of the portfolio was 15-20% annualized.

The Systematic Trend Programme’s investment strategy was to harness the performance of several systematic investment programs in a balanced portfolio, each program selected primarily for its methods of generating returns from global investments that were not highly correlated to the performance of traditional investment strategies such as the stock and bond markets. The goal remained to maximize diversification across various trading strategies and markets with the purpose of achieving capital appreciation objectives for investors while reducing overall portfolio volatility.

No assurance can be given that the Advisors’ strategies will be successful or that they will generate profits for the Partnership.

 

14

(a) Liquidity.

The Partnership does not engage in sales of goods or services. Its assets are its (i) equity in trading account, consisting of unrestricted and restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts and investment in U.S. Treasury bills at fair value, as applicable, and (ii) 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. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the year ended December 31, 2024.

To minimize the risk relating to low margin deposits, the Partnership follows certain trading policies, including:

 

  (i)

The Partnership invests its assets only in commodity interests that an Advisor believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that an Advisor believes will permit it to enter and exit trades without noticeably moving the market.

 

  (ii)

An Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66 2/3% of the Partnership’s net assets allocated to that Advisor.

 

  (iii)

The Partnership may occasionally accept physical delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position will be fully hedged.

 

  (iv)

The Partnership does not employ the trading technique commonly known as “pyramiding,” in which the speculator uses unrealized profits on existing positions as margin for the purchase or sale of additional positions in the same or related commodities.

 

  (v)

The Partnership does not utilize borrowings except if the Partnership purchases or takes delivery of commodities.

 

  (vi)

The Advisors may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership. “Spreads” and “straddles” describe commodity futures trading strategies involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets.

 

  (vii)

The Partnership will not permit the churning of its commodity trading account. The term “churning” refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, indicating the desire to generate commission income.

 

  (viii)

The Partnership will not purchase, sell, or trade securities (except securities approved by the CFTC for investment of customer funds).

 

  (ix)

The Advisors will trade only in those futures interests that have been approved by the General Partner.

 

  (x)

The Partnership will, except under extraordinary circumstances, maintain positions in futures interests in at least two market segments (i.e., agricultural items, industrial items (including energies), metals, currencies, and financial instruments (including stock, financial and economic indexes)) at any one time.

 

  (xi)

The Advisors will not generally take a position after the first notice day in any futures interest during the delivery month of the futures interest, except to match.

From January 1, 2024 through December 31, 2024, the Partnership’s average margin to equity ratio (i.e., the percentage of assets on deposit required for margin) was approximately 17.0%. The foregoing margin to equity ratio took into account cash held in the Partnership’s name, as well as the allocable value of the positions.

In the normal course of business, the Partnership are parties to financial instruments with off-balance-sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options, and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or OTC. Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.0% to 10.5% of the Partnership’s contracts are traded OTC.

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as MS&Co. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s counterparty is an exchange or clearing organization.

 

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The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

The General Partner monitors and attempts to mitigate the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions. (See also “Item 8. Financial Statements and Supplementary Data.” for further information on financial instrument risk included in the notes to financial statements.)

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s business, these instruments may not be or have been held to maturity.

Other than the risks inherent in U.S. Treasury bills, money market mutual fund securities, commodity futures, forward, option and swap contracts, the Partnership knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the Partnership shall cease trading operations and liquidate all open positions under certain circumstances including a decrease in net asset value per Redeemable Unit to less than $400 as of the close of business on any trading day.

 

  (b)

Capital Resources.

 

  (i)

The Partnership has made no material commitments for capital expenditures.

 

  (ii)

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market movements in commodities are dependent upon fundamental and technical factors which the Advisors may or may not be able to identify, such as changing supply and demand relationships, pandemics, epidemics and other public health crises, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. Partnership expenses consist of, among other things, clearing, ongoing selling agent, management and General Partner fees. The level of these expenses is dependent upon trading performance and the level of net assets maintained. In addition, the amount of interest income earned by the Partnership was dependent upon (1) the average daily equity maintained in cash in the Partnership’s accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and (3) interest rates over which none of the Partnership or MS&Co. had control.

No forecast can be made as to the level of redemptions in any given period. A limited partner may require the Partnership to redeem its Redeemable Units at the net asset value per Redeemable Unit as of the end of any month on three business days’ notice to the General Partner. There is no fee charged to limited partners in connection with redemptions. Redemptions are generally funded out of the Partnership’s cash holdings. For the year ended December 31, 2024, 8,304.7760 Class A limited partner Redeemable Units were redeemed totaling $7,119,902, 363.9070 Class D limited partner Redeemable Units were redeemed totaling $395,523 and 87.2200 Class Z General Partner Redeemable Units were redeemed totaling $100,184. For the year ended December 31, 2023, 5,919.1640 Class A limited partner Redeemable Units were redeemed totaling $5,090,648, 299.0970 Class D limited partner Redeemable Units were redeemed totaling $325,433 and 47.6100 Class Z General Partner Redeemable Units were redeemed totaling $50,000. For the year ended December 31, 2022, 8,164.3340 Class A limited partner Redeemable Units were redeemed totaling $7,266,578, 155.6940 Class D limited partner Redeemable Units were redeemed totaling $156,748, 43.2490 Class Z limited partner Redeemable Units were redeemed totaling $51,309 and 106.6270 Class Z General Partner Redeemable Units were redeemed totaling $125,000.

For the years ended December 31, 2024, 2023 and 2022, there were no subscriptions.

(c) Results of Operations.

For the year ended December 31, 2024, the Partnership’s net asset value per Class A Redeemable Unit increased 4.6% from $801.93 to $838.89, the Partnership’s net asset value per Class D Redeemable Unit increased 4.6% from $1,003.61 to $1,049.87, and the Partnership’s net asset value per Class Z Redeemable Unit increased 5.4% from $1,050.19 to $1,106.92. For the year ended December 31, 2023, the Partnership’s net asset value per Class A Redeemable Unit decreased 11.1% from $901.95 to $801.93, the Partnership’s net asset value per Class D Redeemable Unit decreased 11.1% from $1,128.79 to $1,003.61, and the Partnership’s net asset value per Class Z Redeemable Unit decreased 10.4% from $1,172.31 to $1,050.19. For the year ended December 31, 2022, the Partnership’s net asset value per Class A Redeemable Unit increased 13.8% from $792.73 to $901.95, the Partnership’s net asset value per Class D Redeemable Unit increased 13.8% from $992.10 to $1,128.79, and the Partnership’s net asset value per Class Z Redeemable Unit increased 14.6% from $1,022.54 to $1,172.31.

The Partnership experienced a net trading gain of $2,042,915 before fees and expenses for the year ended December 31, 2024. Gains were primarily attributable to the Partnership’s trading in currencies, grains, indices, U.S. interest rates, livestock, metals and softs and were partially offset by losses in energy and non-U.S. interest rates.

During the first quarter of 2024, the Partnership’s largest gains were achieved within the energy sector throughout the quarter from long futures positions in Brent crude oil and unleaded gasoline as prices advanced amid growing global demand and on concerns conflict and geopolitical tensions in the Middle East could curtail exports. In the global stock index sector, gains were recorded throughout the quarter from long positions in Asian, European, and U.S. equity index futures as prices advanced amid an outlook central banks would be aggressive in cutting interest rates. Gains within the agricultural markets were primarily recorded during January, February and March from long positions in cocoa futures as cocoa prices surged as extremely hot weather in key West African growing regions threatened to severely damage crops. Within currencies, gains were achieved during January from short positions in the euro versus the U.S. dollar and during February and March from short positions in the Japanese yen versus the U.S. dollar as the relative value of the dollar strengthened against its counterparts. Additional gains were recorded within the global fixed income sector primarily during February from short positions in U.S. and European fixed income futures as interest rates moved higher. A portion of the Partnership’s overall gains for the first quarter was offset by losses incurred within the metals markets during February from long positions in gold futures as a strengthening U.S. dollar diminished demand for precious metals.

 

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During the second quarter of 2024, the Partnership’s most meaningful gains were achieved within the currency markets during April and June from short positions in the Japanese yen versus the U.S. dollar as the relative value of the yen fell as the Bank of Japan remained committed to easy monetary policies. Gains in the global fixed income sector were recorded during April from short positions in U.S. and European fixed income futures as yields advanced amid persistent inflation. Further gains were achieved within the agriculutrals during April and June from short positions in soybean futures as prices fell amid reports of increasing South American grain exports. In the metals, gains were experienced during April and May from long positions in copper futures as dwindling global supplies and growing demand pushed prices to near record levels. A portion of the Partnership’s trading gains for the second quarter was offset by losses incurred in the energy markets during May from long positions in crude oil and its refined products as prices declined on concerns of slowing economic growth. Additional losses were recorded within the global stock index sector during April from long positions in Asian, U.S., and European equity index futures as prices fell amid a “risk-off” move by global investors.

During the third quarter of 2024, the Partnership’s most significant losses were incurred during July within the currency sector from short positions in the Japanese yen versus the U.S. dollar as the value of the yen surged amid speculation the Bank of Japan would enact policies to strengthen the nation’s currency. In the energies, losses were experienced throughout the third quarter from long positions in crude oil futures as prices declined on high global inventories. Within the global fixed income markets, losses were incurred during July from short positions in U.S. and European fixed income futures as yields dropped amid a strengthening outlook for global central bank interest rate cuts. Further losses were also incurred during July within the global stock index sector from long positions in Asian, U.S., and European equity index futures as prices fell in the latter half of the month amid a sell-off in technology stocks. Within the agriculturals, losses were experienced during September from short positions in soybean, wheat, and corn futures as grain prices reversed higher. A portion of the Partnership’s losses for the third quarter was offset by gains achieved within the metals markets during September from long positions in gold futures as demand for precious metals was spurred by weakness in the U.S. dollar.

During the fourth quarter of 2024, the most significant gains were achieved within the currency markets throughout the quarter from short positions on the euro, Japanese yen, and Swiss franc versus the U.S. dollar as the relative value of the dollar strengthened on persistent positive economic news in the U.S. Further gains were recorded in the agricultural markets during November and December from long positions in cocoa futures as prices surged higher amid supply concerns. A portion of the Partnership’s gains for the quarter was offset by losses incurred within the energies during November and December from short positions in natural gas futures as cold weather in the U.S. and Europe drove heating demand and prices higher. Losses in the metals were recorded during November and December from long positions in gold futures as demand for precious metals waned. In the global stock index sector, losses were experienced during November from long positions in U.S. Volatility Index (“VIX”) futures as equity volatility declined following the U.S. elections. Overall, performance within the global fixed income markets were relatively flat for quarter as gains from U.S. fixed income futures trading were offset by losses from trading in non-U.S. fixed income futures.

The Partnership experienced a net trading loss of $7,315,876 before fees and expenses for the year ended December 31, 2023. Losses were primarily attributable to the Partnership’s trading in currencies, energy, grains, non-U.S. interest rates and metals and were partially offset by gains in indices, U.S. interest rates, livestock and softs.

During the first quarter of 2023, the Partnership’s largest losses were experienced within the global fixed income markets during January from short positions in European and U.S. fixed income futures as an apparent slowing of inflation growth boosted bond prices. Further losses from short positions in U.S. and European fixed income futures were incurred during March as additional bond buying occurred. In the energy markets, losses were incurred from futures positions in Brent crude oil, heating oil, and gasoline as prices moved inconsistently throughout a majority of the quarter amid the lack of a consistent consensus regarding oil supply/demand. Further losses for the quarter were recorded in the currency markets from positions in the euro and Swiss franc as the values of these currencies experienced short-term volatility versus the U.S. dollar. A portion of the Partnership’s overall losses for the first quarter was offset by gains recorded in the global stock indices from long positions in European equity index futures during January and February as investor appetite for risk assets in the region boosted stock prices. In the agricultural markets, gains were achieved during January, February, and March from short positions in wheat futures as wheat prices declined amid easing drought conditions in key South American growing regions. In the metals markets, long positioning in gold futures profited during January and March as investors sought out precious metals as a store of value.

During the second quarter of 2023, the Partnership’s most meaningful gains were achieved in the global fixed income markets from short positions in European, U.S., and Canadian government debt futures during May and June as prices declined and yields rose amid ongoing concerns regarding inflation and expectations for hawkish central bank policy to continue. In global stock indices, long futures positions in Asian equity indices profited during April, May, and June as prices rose amid economic data supporting investors’ “risk-on” stance. In the currency markets, gains were achieved from short positions in the Japanese yen as the value of the yen declined against the U.S. dollar throughout the quarter. In the agricultural markets, gains were recorded during April from long positions in sugar futures as prices climbed to an 11-year high amid adverse weather in key growing regions and supply tightness. A portion of the Partnership’s trading gains for the second quarter was offset by losses incurred in the energy markets from positions in Brent and West Texas Intermediate crude oil futures as oil prices moved without consistent direction for a majority of the quarter. In the metals, losses were recorded from long positions in gold futures as prices reversed lower during May amid broad strength in the U.S. dollar.

During the third quarter of 2023, the Partnership’s most significant gains were recorded in the energy markets from long futures positions in crude oil, heating oil and unleaded gasoline as prices trended higher throughout the quarter amid supply related concerns. In the global fixed income markets, profits were achieved from short positions in U.S., Canadian, and European government debt futures as prices dropped amid expectations central banks would keep interest rates high. In the currency markets, gains were recorded from short positions in the Japanese yen versus the U.S. dollar as the value of the dollar strengthened versus the yen during August and September on expectations the Federal Reserve would continue to battle inflation. A portion of the Partnership’s gains for the third quarter was offset by losses incurred in the global stock indices from long futures positions in European equity indices as prices declined amid investor expectations for interest rates to remain higher for longer. In the metals sector, losses were experienced from short positions in copper during July and long positions in silver during September as the prices of these metals fluctuated. Net trading results in the agricultural were relatively flat and did not have a material impact on the Partnership’s performance for the quarter.

During the fourth quarter of 2023, the most significant losses were incurred during October from long positions in crude oil and its refined products as prices fell amid concerns of potential demand reduction. Losses in the global fixed income sector were incurred during November from short positions in European and U.S. government debt futures as investors speculated central banks would be moderating hawkish interest rate policies. During November and December, losses were incurred from short positions in the Swiss franc, Japanese yen, euro, and Canadian dollar versus the U.S. dollar as the relative value of the U.S. currency weakened. Metals losses were experienced throughout the quarter as both industrial and precious metals exhibited choppy price tendencies. Smaller losses were incurred during October from long positions in global stock indices. The Partnership’s losses for the fourth quarter were partially offset by gains achieved within the agricultural during December from short positions in sugar futures as prices reversed lower following a long bullish trend.

 

17

The results of operations for the twelve months ended 2022 is discussed under “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2022.

For the years ended December 31, 2024, 2023 and 2022, the Partnership received monthly interest on 100% of the average daily equity maintained in cash in the Partnership’s brokerage account at MS&Co. during each month 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 did not receive interest on amounts in the futures brokerage account that were committed to margin. Any interest earned on the Partnership’s cash account in excess of the amounts described above, if any, was 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 was retained by the Partnership, as applicable. Interest income for the three and twelve months ended December 31, 2024 decreased by $142,199 and $57,271, 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 twelve months ended December 31, 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 depended on (1) the average daily equity maintained in cash in the Partnership’s accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and (3) interest rates over which none of the Partnership or MS&Co. had control.

Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees for the three and twelve months ended December 31, 2024 decreased by $20,551 and $44,232, respectively, as compared to the corresponding periods in 2023. The decrease in these clearing fees was due to a decrease in the number of direct trades made by the Partnership during the three and twelve months ended December 31, 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 of Class A and Class D Redeemable Units on the last day 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. Ongoing selling agent fees for the three and twelve months ended December 31, 2024 decreased by $12,033 and $45,408, respectively, as compared to the corresponding periods in 2023. The decrease was primarily due to a decrease in average net assets attributable to Class A and Class D Redeemable Units during the three and twelve months ended December 31, 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. General Partner 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 compared in relation to the fluctuations in the monthly net asset values. General Partner fees for the three and twelve months ended December 31, 2024 decreased by $14,296 and $53,710, respectively, as compared to the corresponding periods in 2023. The decrease was primarily due to a decrease in average net assets during the three and twelve months ended December 31, 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 compared in relation to the fluctuations in the monthly net asset values. Management fees for the three and twelve months ended December 31, 2024 decreased by $9,002 and $44,963, respectively, as compared to the corresponding periods in 2023. The decrease was primarily due to a decrease in average net assets during the three and twelve months ended December 31, 2024 as compared to the corresponding periods in 2023.

Incentive fees are based on the New Trading Profits generated by each Advisor at the end of the quarter, half-year or year, as applicable, as defined in the respective Management Agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three and twelve months ended December 31, 2024 resulted in incentive fees of $0. Trading performance for the three and twelve months ended December 31, 2023 resulted in a reversal of incentive fees of $323,351 and incentive fees of $0, 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 by the Advisor and earns additional New Trading Profits for the Partnership.

The Partnership pays professional fees, which generally include certain offering costs and legal, accounting, administrative, filing, reporting and data processing fees. Professional fees for the years ended December 31, 2024 and 2023 were $307,240 and $314,389, respectively.

In the General Partner’s opinion, the Partnership’s Advisors continue to employ trading methods consistent with the objectives of the Partnership. The General Partner monitors the Advisors’ performance on a daily, weekly, monthly and annual basis to assure these objectives are met.

Commodity futures 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 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, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, changes in interest rates, pandemics, epidemics and other public health crises. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations.

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. Each Advisor’s percentage allocation and trading program is described in the “Overview” section of this Item 7.

(d) Off-Balance Sheet Arrangements. None.

(e) Contractual Obligations. None.

 

18

(f) Operational Risk.

The Partnership is exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace.

Such risks include:

Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership is subject to increased risks with respect to its trading activities in emerging market instruments, where clearance, settlement, and/or custodial risks are often greater than in more established markets.

Technological Risk — the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership’s ability to gather, process, and communicate information efficiently and securely, without interruption, to customers and in the markets where the Partnership participates. Additionally, the General Partner’s computer systems may be vulnerable to unauthorized access, mishandling or misuse, computer viruses or malware, cyber attacks and other events that could have a security impact on such systems. If one or more of such events occur, this potentially could jeopardize a limited partner’s personal, confidential, proprietary or other information processed and stored in, and transmitted through, the General Partner’s computer systems, and adversely affect the Partnership’s business, financial condition or results of operations.

Legal/Documentation Risk — the risk of loss attributable to deficiencies in the documentation of transactions (such as trade confirmations) and customer relationships (such as master netting agreements) or errors that result in non-compliance with applicable legal and regulatory requirements.

Financial Control Risk — the risk of loss attributable to limitations in financial systems and controls. Strong financial systems and controls ensure that assets are safeguarded, that transactions are executed in accordance with management’s authorization, and that financial information utilized by management and communicated to external parties, including the Partnership’s unit holders, creditors, and regulators, is free of material errors.

(g) Critical Accounting Policies.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“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 expenses during the reporting period. As a result, actual results could differ from these estimates. A summary of the Partnership’s significant accounting policies is described in Note 2 to the Partnership’s financial statements included in “Item 8. Financial Statements and Supplementary Data.”

The Partnership’s most significant accounting policy is the valuation of its investment in futures, option and forward contracts and U.S. Treasury bills, as applicable. The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

Item 7A. Quantitative and Qualitative Disclosures about Market Risk.

Introduction

The Partnership is a speculative commodity pool. The market sensitive instruments held by the Partnership are acquired for speculative trading purposes, and all or substantially all of the Partnership’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.

The limited partners will not be liable for losses exceeding the current net asset value of their investment. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

Market movements result in frequent changes in the fair value of the Partnership’s open positions and, consequently, in their earnings and cash balances. The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions and the liquidity of the markets in which they trade.

The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s past performance is not necessarily indicative of their future results.

“Value at Risk” is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculative trading and the recurrence in the markets traded by the Partnership 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 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 losses in any market sector will be limited to Value at Risk or by the Partnership’s attempts to manage their market risk.

Materiality as used in this section is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Partnership’s market sensitive instruments.

 

19

Quantifying the Partnership’s Trading Value at Risk

The following quantitative disclosures regarding the Partnership’s 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 accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s open positions is directly reflected in the Partnership’s earnings and cash flow.

The Partnership’s 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.

Exchange margin requirements have been used by the Partnership 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.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

The fair value of the Partnership’s futures and forward positions does not have any optionality component. However, the Advisors may trade commodity options. The Value at Risk associated with options is reflected in the following tables as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin, and where this instrument is a physical commodity, the futures- equivalent margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Partnership in almost all cases fluctuate to a lesser extent than those of the underlying instruments.

In quantifying the Partnership’s Value at Risk, a 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been added to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Partnership’s Trading Value at Risk in Different Market Sectors

DCM, Drury, Episteme and Millburn each directly trade managed accounts in the name of the Partnership. Prior to its termination effective December 31, 2022, ISAM SM directly traded managed accounts in the name of the Partnership. The 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 DCM, Drury, Episteme and Millburn, respectively) as of December 31, 2024 and 2023.

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments by market category as of December 31, 2024 and 2023, and the highest, lowest and average values during the applicable years. All open position trading risk exposures have been included in calculating the figures set forth below.

As of December 31, 2024, the Partnership’s total capitalization was $48,049,570.

 

            December 31, 2024                
                  Twelve Months Ended December 31, 2024  

 Market Sector

     Value at Risk       % of Total

 

 Capitalization 

     High

 

  Value at Risk  

      Low

 

  Value at Risk  

      Average

 

  Value at Risk*  

  

Currencies

     $ 834,335         1.74  %     $ 1,367,958        $ 266,957        $ 894,091   

Energy

      1,860,883         3.87        2,449,056         634,534         1,598,458   

Grains

      387,261         0.81        1,045,120         333,236         626,801   

Indices

      2,220,169         4.62        3,977,194         1,355,371         2,626,366   

Interest Rates U.S.

      312,813         0.65        993,850         121,506         497,230   

Interest Rates Non-U.S.

      1,073,318         2.23        2,614,534         1,005,249         1,630,233   

Livestock

      46,640         0.10        53,240         -           25,973   

Metals

      677,446         1.41        947,689         263,170         592,615   

Softs

      460,104         0.96        509,202         122,015         289,598   
  

 

 

     

 

 

          

Total

     $ 7,872,969         16.39  %         
  

 

 

     

 

 

          

 

*

Annual average of daily Values at Risk.

 

20

As of December 31, 2023, the Partnership’s total capitalization was $53,044,907.

 

            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

     $ 360,534         0.68  %     $ 4,391,514        $ 330,382        $ 1,628,951   

 Energy

      1,919,269         3.62        3,554,367         975,590         2,338,606   

 Grains

      498,429         0.94        984,221         136,835         523,764   

 Indices

      3,372,873         6.36        5,970,138         1,942,323         3,465,639   

 Interest Rates U.S.

      318,052         0.60        1,090,293         232,186         641,457   

 Interest Rates Non-U.S.

      1,453,716         2.74        3,669,229         1,208,241         2,302,372   

 Livestock

      2,695         0.01        11,440         -          4,212   

 Metals

      882,644         1.66        1,653,272         386,729         935,313   

 Softs

      443,392         0.84        619,237         176,895         437,031   
  

 

 

     

 

 

          

 Total

     $ 9,251,604         17.45  %         
  

 

 

     

 

 

          

 

*

Annual average of daily Values at Risk.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Partnership is typically many times the applicable margin requirement (margin requirements generally range between 1% and 15% of contract face value, although an exchange may increase margin requirement on short notice) as well as many times the capitalization of the Partnership. The magnitude of the Partnership’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of the Partnership’s positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Partnership to incur severe losses over a short period of time. The foregoing Value at Risk tables — as well as the past performance of the Partnership — give no indication of this “risk of ruin.”

Non-Trading Risk

The Partnership has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.

Materiality as used in this section is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Partnership’s market sensitive instruments.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by the General Partner and the Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, pandemics, epidemics, and other public health crises, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the management strategies of the Partnership. There can be no assurance that the Partnership’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long- term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.

The following were the primary trading risk exposures of the Partnership on December 31, 2024, by market sector. It may be anticipated, however, that these market exposures will vary materially over time.

Currencies. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The General Partner does not anticipate that the risk profile of the Partnership’s currency sector will change significantly in the future.

Equities. The Partnership’s primary equity exposure is to equity price risk in the G20 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. As of December 31, 2024, the Partnership’s primary exposures were in the CBOE VIX Volatility Index (U.S.), Nikkei 225 (Japan), NASDAQ 100 (U.S.), FTSE 100 (United Kingdom), SPI 200 (Australia), DAX (Germany), S&P/TSX 60 (Canada), Hang Seng (Hong Kong), TOPIX (Japan), SGX FTSE Taiwan (Taiwan), and S&P 500 (U.S.) stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major North American, European, and Pacific Rim indices, as well as emerging markets. (Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being “whipsawed” into numerous small losses.)

Interest Rates. Interest rate movements directly affect the price of the futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially affect the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G7 countries. However, the Partnership may also take futures positions on the government debt of smaller economies — e.g., Australia.

 

21

Commodities:

Energy. The Partnership’s primary energy market exposure is to oil and natural gas price movements, often resulting from political developments in the Middle East, weather conditions, and other factors contributing to supply and demand. Further energy market exposure is to prices in the carbon emission allowances markets, which are subject to movements driven by geopolitical events, climate related regulation, and other supply/demand related factors, as well as in European electricity prices, which are subject to changes caused by weather related factors, availability of substitute power sources, and government imposed regulations in Europe. Energy prices can be volatile and substantial profits and losses, which have been experienced in the past, are expected to continue to be experienced in these markets in the future.

Metals. The Partnership’s primary metals exposure as of December 31, 2024, was to fluctuations in the prices of industrial metals (such as copper, lead, zinc, aluminum, iron, and nickel) and precious metals (such as gold, silver, platinum, and palladium). Price movement in both industrial and precious metals can be driven by fluctuation in the valuations between currency pairs, geopolitical events, economic conditions globally and regionally, trade policies, regulatory restrictions, as well as other supply and demand related factors.

Grains. The Partnership’s trading risk exposure in grains is primarily to agricultural-related price movements, which are often directly affected by severe or unexpected weather conditions. The soybean complex, wheat, and corn accounted for the Partnership’s primary grain exposure as of December 31, 2024.

Softs. The Partnership’s trading risk exposure in soft commodities is primarily to agricultural-related price movements, which are often directly affected by severe or unexpected weather conditions, as well as geopolitical events and other supply/demand related factors. Coffee, cocoa, cotton, and sugar accounted for the majority of the Partnership’s soft commodity exposure as of December 31, 2024.

Livestock. The Partnership’s primary risk exposure in livestock is to fluctuations in U.S. cattle and hog prices.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following was the only non-trading risk exposure of the Partnership as of December 31, 2024.

Foreign Currency Balances. The Partnership may hold various foreign balances. The Advisors regularly convert foreign currency balances to U.S. dollars in an attempt to manage the Partnership’s non-trading risk.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The General Partner monitors and attempts to mitigate the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The General Partner monitors the Partnership’s performance and the concentration of its open positions, and consults with the Advisors concerning the Partnership’s overall risk profile. If the General Partner felt it necessary to do so, the General Partner could require the Advisors to close out positions as well as enter positions traded on behalf of the Partnership. However, any such intervention would be a highly unusual event. The General Partner primarily relies on the Advisors’ own risk control policies while maintaining a general supervisory overview of the Partnership’s market risk exposures.

The Advisors apply their own risk management policies to their trading. The Advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The Advisors’ research of risk management often suggests ongoing modifications to their trading programs.

As part of the General Partner’s risk management, the General Partner periodically meets with each Advisor to discuss their risk management and to look for any material changes to the Advisors’ portfolio balance and trading techniques. The Advisors are required to notify the General Partner of any material changes to their programs.

 

22

2021 2022 2023 2024
Item 8.
Financial Statements and Supplementary Data
.
CERES TACTICAL SYSTEMATIC L.P.
The following financial statements and related items of the Partnership are filed under this Item 8: Oath or Affirmation, Management’s Report on Internal Control over Financial Reporting, Report of Independent Registered Public Accounting Firm (Ernst & Young LLP, Boston, MA, PCAOB ID:42), for the years ended December 31, 2024, 2023 and 2022; Statements of Financial Condition at December 31, 2024 and 2023; Condensed Schedules of Investments at December 31, 2024 and 2023; Statements of Income and Expenses for the years ended December 31, 2024, 2023 and 2022; Statements of Changes in Partners’ Capital for the years ended December 31, 2024, 2023 and 2022; and Notes to Financial Statements. Additional financial information has been filed as Exhibits to this Form
10-K.
 
23
Table of Contents
To the Limited Partners of
Ceres Tactical Systematic L.P.
To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.
 

 
By:
  
Patrick T. Egan
 
President and Director
 
Ceres Managed Futures LLC
General Partner,
 
Ceres Tactical Systematic L.P.
Ceres Managed Futures LLC
1585 Broadway
New York, NY 10036
(855)
672-4468
 
24
Table of Contents
Management’s Report on Internal Control Over
Financial Reporting
The management of Ceres Tactical Systematic L.P. (the “Partnership”), Ceres Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting as defined in Rules 13a – 15(f) and 15d – 15(f) under the Securities Exchange Act of 1934, as amended, and for our assessment of internal control over financial reporting. The Partnership’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States of America. The Partnership’s internal control over financial reporting includes those policies and procedures that:
 
  (i)
pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
 
  (ii)
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States of America, and that receipts and expenditures of the Partnership are being made only in accordance with authorizations of management and directors of the Partnership; and
 
  (iii)
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.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
The management of Ceres Tactical Systematic L.P. has assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2024. In making this assessment, management used the criteria set forth in the Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. Based on our assessment, management concluded that the Partnership maintained effective internal control over financial reporting as of December 31, 2024 based on the criteria referred to above.
 

 
   

 
Patrick T. Egan
   
Brooke Lambert
President and Director
   
Chief Financial Officer
Ceres Managed Futures LLC
   
Ceres Managed Futures LLC
General Partner,
   
General Partner,
Ceres Tactical Systematic L.P.
   
Ceres Tactical Systematic L.P.
 
25
Table of Contents

  
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
 
   
Tel:  +1 617 266 2000
Fax:   +1 617 266 5843
www.ey.com
 
Report of Independent Registered Public Accounting Firm
To the Partners of Ceres Tactical Systematic L.P.,
Opinion on the Financial Statements
We have audited the accompanying statements of financial condition of Ceres Tactical Systematic L.P. (the Partnership), including the condensed schedules of investments, as of December 31, 2024 and 2023, the related statements of income and expenses, and changes in partners’ capital for each of the three years in the period ended December 31, 2024, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Partnership at December 31, 2024 and 2023, and the results of its operations and changes in its partners’ capital for each of the three years in the period ended December 31, 2024, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the Partnership’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Partnership in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Critical Audit Matters
Critical audit matters are matters arising from the current period audit of the financial statements that were communicated or required to be communicated to those charged with governance and that: (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective or complex judgments. We determined that there are no critical audit matters.
 

We have served as the auditor of the Partnership since 2017.
Boston, MA
March 20, 2025
 
26
Table of Contents
Ceres Tactical Systematic L.P.
Statements of Financial Condition
December 31, 2024 and 2023
 
    
December 31,

2024
  
December 31,

2023
Assets:
     
Equity in trading account:
     
Unrestricted cash (Note 3c)
     $   39,535,231       $   43,582,526   
Restricted cash (Note 3c)
      7,990,887       9,285,004  
Foreign cash (cost $612,477 and $740,454
at December 31, 2024 and 2023, respectively)
      602,110       745,796  
Net unrealized appreciation on open futures contracts
      405,742       370,473  
  
 
 
 
  
 
 
 
Total equity in trading account
      48,533,970       53,983,799  
  
 
 
 
  
 
 
 
Interest receivable (Note 3c)
      153,487       206,971  
  
 
 
 
  
 
 
 
Total assets
     $ 48,687,457      $ 54,190,770  
  
 
 
 
  
 
 
 
Liabilities and Partners’ Capital:
     
Liabilities:
     
Net unrealized depreciation on open forward contracts
     $ 3,602      $ 337,766  
Accrued expenses:
     
Ongoing selling agent fees (Notes 3d and 3e)
      30,008       33,201  
Management fees (Note 3b)
      25,585       28,091  
General Partner fees (Note 3a)
      35,373       39,144  
Professional fees
      141,996       137,196  
Redemptions payable to General Partner (Note 7)
      49,999       50,000  
Redemptions payable to Limited Partners (Note 7)
      351,324       520,465  
  
 
 
 
  
 
 
 
Total liabilities
      637,887       1,145,863  
  
 
 
 
  
 
 
 
Partners’ Capital (Notes 1 and 7):
     
General Partner, Class Z, 463.0990 and 550.3190 Redeemable Units
outstanding at December 31, 2024 and 2023, respectively
      512,612       577,940  
Limited Partners, Class A, 53,003.6748 and 61,308.4508 Redeemable Units
outstanding at December 31, 2024 and 2023, respectively
      44,464,107       49,165,031  
Limited Partners, Class D, 2,826.3240 and 3,190.2310 Redeemable Units
outstanding at December 31, 2024 and 2023, respectively
      2,967,265       3,201,761  
Limited Partners, Class Z, 95.3870 Redeemable Units
outstanding at December 31, 2024 and 2023
      105,586       100,175  
  
 
 
 
  
 
 
 
Total partners’ capital (net asset value)
      48,049,570       53,044,907  
  
 
 
 
  
 
 
 
Total liabilities and partners’ capital
     $ 48,687,457      $ 54,190,770  
  
 
 
 
  
 
 
 
Net asset value per Redeemable Unit:
     
Class A
     $ 838.89      $ 801.93  
  
 
 
 
  
 
 
 
Class D
     $ 1,049.87      $ 1,003.61  
  
 
 
 
  
 
 
 
Class Z
     $ 1,106.92      $ 1,050.19  
  
 
 
 
  
 
 
 
See accompanying notes to financial statements.
 
27
Table of Contents
Ceres Tactical Systematic L.P.
Condensed Schedule of Investments
December 31, 2024
 
    
Notional ($)/

Number of

Contracts
       
Fair Value
       
% of Partners’

Capital
    
Futures Contracts Purchased
               
Currencies
      235         $ (348,440 )         (0.73 )    %
Energy
      293          450,227          0.94    
Grains
      250          3,452          0.01    
Indices
      276          (272,994 )         (0.57 )   
Interest Rates U.S.
      16          (70,188 )         (0.15 )   
Interest Rates
Non-U.S.
      198          (261,928 )         (0.55 )   
Livestock
      7          17,660          0.04    
Metals
      46          (182,287 )         (0.38 )   
Softs
      38          261,942          0.55    
       
 
 
 
     
 
 
 
  
Total futures contracts purchased
           (402,556 )         (0.84 )   
       
 
 
 
     
 
 
 
  
Futures Contracts Sold
               
Currencies
      456          708,952          1.47    
Energy
      163          (428,067 )         (0.89 )   
Grains
      235          (40,865 )         (0.09 )   
Indices
      152          36,693          0.08    
Interest Rates U.S.
      98          27,559          0.06    
Interest Rates
Non-U.S.
      439          341,024          0.71    
Livestock
      18          17,640          0.04    
Metals
      42          118,888          0.25    
Softs
      53          26,474          0.05    
       
 
 
 
     
 
 
 
  
Total futures contracts sold
           808,298          1.68    
       
 
 
 
     
 
 
 
  
Net unrealized appreciation on open futures contracts
          $        405,742                    0.84     %
       
 
 
 
     
 
 
 
  
Unrealized Appreciation on Open Forward Contracts
               
Currencies
    $      25,716,043         $ 472,601          0.99     %
Metals
      132          332,927          0.69    
       
 
 
 
     
 
 
 
  
Total unrealized appreciation on open forward contracts
           805,528          1.68    
       
 
 
 
     
 
 
 
  
Unrealized Depreciation on Open Forward Contracts
               
Currencies
    $ 19,806,662          (316,621 )         (0.66 )   
Metals
      119          (492,509 )         (1.03 )   
       
 
 
 
     
 
 
 
  
Total unrealized depreciation on open forward contracts
           (809,130 )         (1.69 )   
       
 
 
 
     
 
 
 
  
Net unrealized depreciation on open forward contracts
          $ (3,602 )         (0.01 )    %
       
 
 
 
     
 
 
 
  
See accompanying notes to financial statements.
 
28
Table of Contents
Ceres Tactical Systematic L.P.
Condensed Schedule of Investments
December 31, 2023
 
 
    
Notional ($)/

Number of

Contracts
   
Fair Value
  
% of Partners’
Capital
    
Futures Contracts Purchased
          
Currencies
      160       $ 138,274       0.26     %
Energy
      233        (875,142 )      (1.65 )   
Grains
      98        (156,597 )      (0.30 )   
Indices
      484                388,130       0.73    
Interest Rates U.S.
      62        126,367       0.24    
Interest Rates
Non-U.S.
      562        480,571       0.91    
Metals
      60        95,533       0.18    
Softs
      71        67,325       0.13    
     
 
 
 
  
 
 
 
  
Total futures contracts purchased
         264,461                   0.50    
     
 
 
 
  
 
 
 
  
Futures Contracts Sold
          
Currencies
      89        (230,673 )      (0.43 )   
Energy
      188        361,970       0.68    
Grains
      212        208,689       0.39    
Indices
      324        99,982       0.19    
Interest Rates U.S.
      97        (109,061 )      (0.21 )   
Interest Rates
Non-U.S.
      327        (593,600 )      (1.12 )   
Livestock
      1        220       0.00     *
Metals
      66        (64,723 )      (0.12 )   
Softs
      108        433,208       0.82    
     
 
 
 
  
 
 
 
  
Total futures contracts sold
         106,012       0.20    
     
 
 
 
  
 
 
 
  
Net unrealized appreciation on open futures contracts
        $ 370,473       0.70     %
     
 
 
 
  
 
 
 
  
Unrealized Appreciation on Open Forward Contracts
          
Currencies
    $       41,258,458       $ 562,573       1.06     %
Metals
      121        326,349       0.61    
     
 
 
 
  
 
 
 
  
Total unrealized appreciation on open forward contracts
         888,922       1.67    
     
 
 
 
  
 
 
 
  
Unrealized Depreciation on Open Forward Contracts
          
Currencies
    $      38,087,753        (691,946 )      (1.30 )   
Metals
      153        (534,742 )      (1.01 )   
     
 
 
 
  
 
 
 
  
Total unrealized depreciation on open forward contracts
         (1,226,688 )      (2.31 )   
     
 
 
 
  
 
 
 
  
Net unrealized depreciation on open forward contracts
        $ (337,766 )      (0.64 )    %
     
 
 
 
  
 
 
 
  
* Due to rounding.
See accompanying notes to financial statements.
 
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Ceres Tactical Systematic L.P.
Statements of Income and Expenses
For the Years Ended
December 31, 2024, 2023 and 2022
 
    
2024
  
2023
  
2022
Investment Income:
       
Interest income
     $ 2,319,012      $ 2,376,283      $ 922,272  
  
 
 
 
  
 
 
 
  
 
 
 
Expenses:
       
Clearing fees related to direct investments (Note 3c)
      215,518       259,750       257,932  
Ongoing selling agent fees (Notes 3d and 3e)
      401,326       446,734       514,934  
General Partner fees (Note 3a)
      472,673       526,383       607,560  
Management fees (Note 3b)
      344,898       389,861       539,370  
Incentive fees (Note 3b)
      -        -        2,432,924  
Professional fees
      307,240       314,389       237,008  
  
 
 
 
  
 
 
 
  
 
 
 
Total expenses
      1,741,655       1,937,117       4,589,728  
  
 
 
 
  
 
 
 
  
 
 
 
Net investment income (loss)
      577,357       439,166       (3,667,456 ) 
  
 
 
 
  
 
 
 
  
 
 
 
Trading Results:
       
Net gains (losses) on trading of commodity interests:
       
Net realized gains (losses) on closed contracts
      1,689,191       (4,941,109 )      10,914,072  
Net change in unrealized gains (losses) on open contracts
      353,724       (2,374,767 )      1,497,096  
  
 
 
 
  
 
 
 
  
 
 
 
Total trading results
      2,042,915       (7,315,876 )      12,411,168  
  
 
 
 
  
 
 
 
  
 
 
 
Net income (loss)
     $ 2,620,272      $ (6,876,710 )     $ 8,743,712  
  
 
 
 
  
 
 
 
  
 
 
 
Net income (loss) per Redeemable Unit (Note 8)*:
       
Class A
     $ 36.96      $ (100.02 )     $ 109.22  
  
 
 
 
  
 
 
 
  
 
 
 
Class D
     $ 46.26      $ (125.18 )     $ 136.69  
  
 
 
 
  
 
 
 
  
 
 
 
Class Z
     $ 56.73      $ (122.12 )     $ 149.77  
  
 
 
 
  
 
 
 
  
 
 
 
Weighted average Redeemable Units outstanding:
       
Class A
          57,795.8933           64,612.7001           71,181.0507  
  
 
 
 
  
 
 
 
  
 
 
 
Class D
      3,013.0701       3,339.7795       3,502.3025  
  
 
 
 
  
 
 
 
  
 
 
 
Class Z
      624.6810       693.3160       838.4930  
  
 
 
 
  
 
 
 
  
 
 
 
*  Represents the change in net asset value per Redeemable Unit.
See accompanying notes to financial statements.
 
30
Table of Contents
Ceres Tactical Systematic L.P.
Statements of Changes in Partners’ Capital
For the Years Ended
December 31, 2024, 2023 and 2022
 
   
Class A
  
Class D
  
Class Z
  
Total
       
Redeemable
      
Redeemable
      
Redeemable
      
Redeemable
   
Amount
  
Units
  
Amount
  
Units
  
Amount
  
Units
  
Amount
  
Units
Partners’ Capital, December 31, 2021
    $ 59,765,213       75,391.9488      $ 3,616,215       3,645.0220      $ 862,193       843.1920       64,243,621       79,880.1628  
Redemptions - General Partner
     -        -        -        -        (125,000 )      (106.6270 )      (125,000 )      (106.6270 ) 
Redemptions - Limited Partners
     (7,266,578 )      (8,164.3340 )      (156,748 )      (155.6940 )      (51,309 )      (43.2490 )      (7,474,635 )      (8,363.2770 ) 
Net income (loss)
     8,137,547       -        479,267       -        126,898       -        8,743,712       -   
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Partners’ Capital, December 31, 2022
     60,636,182       67,227.6148       3,938,734       3,489.3280       812,782       693.3160       65,387,698       71,410.2588  
Redemptions - General Partner
     -        -        -        -        (50,000 )      (47.6100 )      (50,000 )      (47.6100 ) 
Redemptions - Limited Partners
     (5,090,648 )      (5,919.1640 )      (325,433 )      (299.0970 )      -        -        (5,416,081 )      (6,218.2610 ) 
Net income (loss)
     (6,380,503 )      -        (411,540 )      -        (84,667 )      -        (6,876,710 )      -   
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Partners’ Capital, December 31, 2023
     49,165,031       61,308.4508       3,201,761       3,190.2310       678,115       645.7060       53,044,907       65,144.3878  
Redemptions - General Partner
     -        -        -        -        (100,184 )      (87.2200 )      (100,184 )      (87.2200 ) 
Redemptions - Limited Partners
     (7,119,902 )      (8,304.7760 )      (395,523 )      (363.9070 )      -        -        (7,515,425 )      (8,668.6830 ) 
Net income (loss)
     2,418,978       -        161,027       -        40,267       -        2,620,272       -   
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Partners’ Capital, December 31, 2024
    $   44,464,107          53,003.6748      $   2,967,265          2,826.3240      $     618,198          558.4860      $    48,049,570           56,388.4848  
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
    
Class A
   
Class D
   
Class Z
2022:
     $ 901.95       $ 1,128.79       $ 1,172.31  
  
 
 
 
   
 
 
 
   
 
 
 
2023:
     $ 801.93       $ 1,003.61       $ 1,050.19  
  
 
 
 
   
 
 
 
   
 
 
 
2024:
     $   838.89       $   1,049.87       $   1,106.92  
  
 
 
 
   
 
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
1.
Organization:
Ceres Tactical Systematic L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on December 3, 2002 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and
non-U.S.
interest rates, livestock, metals and softs. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.
Between March 27, 2003 (commencement of the public offering period) and April 30, 2003, 36,616 redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) were sold at $1,000 per Redeemable Unit. The proceeds of the initial public offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading. The Partnership was authorized to publicly offer 300,000 Redeemable Units during the initial public offering period. As of December 4, 2003, the Partnership was authorized to publicly offer an additional 700,000 Redeemable Units. As of October 7, 2004, the Partnership was authorized to publicly offer an additional 1,000,000 Redeemable Units. As of June 30, 2005, the Partnership was authorized to publicly offer Redeemable Units previously registered. The public offering of Redeemable Units terminated on November 30, 2008. The Partnership currently privately and continuously offers Redeemable Units to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is a wholly-owned subsidiary of Morgan Stanley Capital Management LLC (“MSCM”). MSCM is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.
During the periods covered by this report, the Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant.
As of January 1, 2018, the Partnership began offering three classes of limited partnership interests, Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units. All Redeemable Units issued prior to January 1, 2018 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and
non-U.S.
investors. Class D Redeemable Units and Class Z Redeemable Units were first issued on January 1, 2018. Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the limited partner, although the General Partner may determine to offer any Class of Redeemable Units to investors at its discretion. Class D Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and
non-U.S.
investors. Class Z Redeemable Units are offered to certain employees of Morgan Stanley and its subsidiaries (and their family members). In the future, Class Z Redeemable Units may also be offered to certain limited partners who receive advisory services from Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”). Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units are identical, except that they are subject to different monthly ongoing selling agent fees. Class A Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the net assets of Class A Redeemable Units as of the end of each month. Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the net assets of Class D Redeemable Units as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee.
 
32
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
As of December 31, 2024, all trading decisions were made for the Partnership by DCM Systematic Advisors SA (“DCM”), Drury Capital, Inc. (“Drury”), Episteme Capital Partners (UK) LLP, Episteme Capital Partners (US) LLC, and Episteme Capital Partners (Cayman) LTD (collectively, “Episteme”), and Millburn Ridgefield Corporation (“Millburn”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Effective December 31, 2022, the General Partner terminated ISAM Systematic Management (“ISAM SM”) as an Advisor to the Partnership. Reference herein to “Advisors” may include, as relevant, ISAM SM. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors through individually managed accounts.
Effective January 1, 2020, Millburn trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Millburn’s Multi-Markets Program. The General Partner and Millburn have agreed that Millburn will trade the Partnership’s assets allocated to Millburn at a level that is up to 1 times the amount of assets allocated. The amount of leverage may be increased or decreased in the future, but it may not exceed 2 times the amount of assets allocated. Effective November 1, 2020, Episteme trades the Partnership’s assets allocated to them through a managed account in the name of the Partnership pursuant to Episteme’s Systematic Quest Program. The General Partner and Episteme have agreed that Episteme will trade the Partnership’s assets allocated to Episteme at a level that is up to 1.5 times the amount of assets allocated. The amount of leverage may be increased or decreased in the future, but it may not exceed 2 times the amount of assets allocated. Effective January 1, 2021, DCM trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to DCM’s Diversified Alpha Program. The General Partner and DCM have agreed that DCM will trade the Partnership’s assets allocated to DCM at a level that is 1.75 times the amount of assets allocated. The amount of leverage maybe increased or decreased in the future but may not exceed 2 times the amount of assets allocated. Effective February 1, 2023, Drury trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Drury Diversified Trend-Following Program.
Prior to its termination effective December 31, 2022, ISAM SM traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to ISAM SM’s Systematic Trend Programme.
The Partnership entered into futures brokerage account agreements and foreign exchange prime brokerage account agreements with MS&Co.
The Partnership will be liquidated upon the first to occur of the following: (1) December 31, 2052; (2) the net asset value per Redeemable Unit decreases to less than $400 per Redeemable Unit as of the close of any business day; or (3) the occurrence of certain other circumstances as set forth in the limited partnership agreement of the Partnership, as amended and restated from time to time (the “Limited Partnership Agreement”).
The General Partner has delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.
 
33
Table of Contents
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
2.
Basis of Presentation and Summary of Significant Accounting Policies:
 
  a.
Use of Estimates.
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material.
 
 
b.
Profit Allocation.
The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions, redemptions and losses, if any.
 
  c.
Statement of Cash Flows.
The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230,
“Statement of Cash Flows.”
The Statements of Changes in Partners’ Capital is included herein, and as of and for the years ended December 31, 2024, 2023 and 2022, the Partnership carried no debt, and all of the Partnership’s investments were carried at fair value and classified as Level 1 or Level 2 measurements.
 
  d.
Partnership’s Derivative Investments.
All commodity interests held by the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on the trade date, and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the
first-in,
first-out
method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are reported in the Partnership’s Statements of Income and Expenses.
The
Partnership
does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s Statements of Income and Expenses.
 
  e.
Partnership’s Cash.
The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $602,110 (cost of $612,477) and $745,796 (cost of $740,454) as of December 31, 2024 and 2023, respectively.
 
  f.
Income Taxes
. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740,
“Income Taxes,”
which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are
“more-likely-than-not”
of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the
more-likely-than-not
threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Partnership’s Statements of Income and Expenses in the years in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The
2021 through 2024
tax years remain subject to examination by U.S. federal and most state tax authorities.
 
34
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
  g.
Investment Company Status
. The Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Accounting Standards Update
2013-08
“Financial
Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”
and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.
 
  h.
Net Income (Loss) per Redeemable Unit.
Net income (loss) per Redeemable Unit is calculated in accordance with ASC 946,
“Financial Services - Investment Companies.”
See Note 7, “Financial Highlights.”
 
  i.
Segment Reporting
. During the year ended December 31, 2024, the Partnership adopted FASB Accounting Standards Update
No. 2023-07,
Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures
, (ASU
2023-07),
which requires incremental disclosures related to a public entity’s reportable segments. The Partnership operates as a single reportable segment, as the Chief Operating Decision Maker (CODM) monitors the operating results of the fund as a whole against its investment objective, which is included in Note 1. The Partnership’s President acts as the Partnership’s CODM and is responsible for assessing the performance of the Partnership’s single segment and deciding how to allocate the segment’s resources. To perform this function, the CODM reviews the total trading results as reflected in the accompanying statements of income and expenses and total return as reflected in the financial highlights as included in the notes to the Partnership’s Financial Statements. Additionally, segment assets are presented in the accompanying Statements of Financial Condition and significant segment expenses are reported in the accompanying Statements of Income and Expenses.
 
35
Table of Contents
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
3.
Agreements:
 
  a.
Limited Partnership Agreement:
The General Partner administers the business and affairs of the Partnership, including selecting one or more advisors to make trading decisions for the Partnership. The General Partner has agreed to make capital contributions, if necessary, so that its general partnership interest will be equal to the greater of (i) 1% of the partners’ contributions to the Partnership or (ii) $25,000. The Partnership pays the General Partner a monthly fee equal to 1/12 of 0.875% (0.875% per year) of
month-end
net assets of the Partnership.
Month-end
net assets, for purposes of calculating the General Partner fee, are net assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s management fees, incentive fee accruals, the General Partner fee and any redemptions or distributions as of the end of such month. The General Partner fee is allocated proportionately to each Class based on the net asset value of the respective Class.
 
  b.
Management Agreement:
The General Partner, on behalf of the Partnership, has entered into management agreements (each a “Management Agreement”) with the Advisors. The Advisors are not affiliated with one another, are not affiliated with the General Partner or MS&Co. and are not responsible for the organization or operation of the Partnership. Each Management Agreement may be terminated upon notice by either party.
Effective January 1, 2021, the Partnership pays to DCM a monthly management fee equal to 1/12 of 0.75% (0.75% per year) of
month-end
net assets of the Partnership allocated to DCM. Effective February 1, 2023, the Partnership pays to Drury a monthly management fee equal to 1/12 of 0.50% (0.50% per year) of
month-end
net assets of the Partnership allocated to Drury. Effective November 1, 2020, the Partnership pays to Episteme a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of
month-end
net assets of the Partnership allocated to Episteme. Effective January 1, 2020, the Partnership pays to Millburn a monthly management fee equal to 1/12 of 0.25%, 0.375% or 0.50% (0.25%, 0.375% or 0.5% per year), depending on the account leverage, of
month-end
net assets of the Partnership allocated to Millburn.
Month-end
net assets, for purposes of calculating management fees, are net assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s incentive fee accruals, the monthly management fees, the General Partner fee and any redemptions or distributions as of the end of such month. An Advisor’s management fee is allocated proportionately to each Class based on the net asset value of the respective Class.
Prior to its termination effective December 31, 2022, the Partnership paid to ISAM SM a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of month end net assets of the Partnership allocated to ISAM SM.
 
36
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
In addition, effective January 1, 2021, the Partnership is obligated to pay DCM an incentive fee, payable quarterly, equal to 15% of the New Trading Profits, as defined in the Management Agreement, earned by DCM. Effective February 1, 2023, the Partnership is obligated to pay Drury an incentive fee, payable annually, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by Drury. Effective November 1, 2020, the Partnership is obligated to pay Episteme an incentive fee, payable quarterly, equal to 22.5% of the New Trading Profits, as defined in the Management Agreement, earned by Episteme. Effective January 1, 2020, the Partnership is obligated to pay Millburn an incentive fee, payable annually, equal to 28% of the New Trading Profits, as defined in the Management Agreement, earned by Millburn. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership. An Advisor’s incentive fee is allocated proportionately to each Class based on the net asset value of the respective Class.
Prior to its termination effective December 31, 2022, ISAM SM was eligible to receive an incentive fee, payable quarterly, equal to 25% of the New Trading Profits, as defined in the Management Agreement, earned by ISAM SM.
In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, 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 trading advisors at any time.
 
  c.
Customer Agreement:
The Partnership has entered into a customer agreement with MS&Co. (the “Partnership Customer Agreement”). Under the Partnership Customer Agreement and the foreign exchange brokerage account agreement (described in Note 1, “Organization”), the Partnership pays trading fees for the clearing and, where applicable, execution of transactions, as well as exchange, user,
give-up,
floor brokerage and National Futures Association fees (collectively, the “clearing fees”). Clearing fees will be paid for the life of the Partnership, although the rate at which such fees are paid may be changed. The Partnership’s cash is deposited by MS&Co. in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At December 31, 2024 and 2023, the amount of cash held by the Partnership for margin requirements was $7,990,887 and $9,285,004, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. MS&Co. paid monthly interest on 100% of the average daily equity maintained in cash in the Partnership’s brokerage account at MS&Co. during each month at a rate equal to the monthly average of the
4-week
U.S. Treasury bill discount rate. The Partnership Customer Agreement may generally be terminated upon notice by either party.
 
  d.
Selling Agreement:
The Partnership has entered into a selling agreement with Morgan Stanley Wealth Management (the “Selling Agreement”). Under the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee equal to 0.75% per year of adjusted
month-end
net assets for Class A and Class D Redeemable Units. Morgan Stanley Wealth Management pays a portion of its ongoing selling agent fees to properly registered or exempted financial advisors who have sold Class A and Class D Redeemable Units. Class Z Redeemable Units are not subject to an ongoing selling agent fee.
Month-end
net assets, for the purpose of calculating ongoing selling agent fees are Net Assets, as defined in the Limited Partnership Agreement, for the Class, prior to the reduction of the current month’s ongoing selling agent fee, incentive fee accrual, management fee, General Partner fee and other expenses and any redemptions or distributions as of the end of such month.
 
37
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
  e.
Harbor Selling Agreement:
The Partnership has entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”) and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a
non-exclusive
selling agent and
sub-selling
agent, respectively, of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended, pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and for Harbor to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services to certain holders of Redeemable Units of the Partnership who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2025 unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, including by any party on thirty days’ prior written notice, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional
one-year
periods. Pursuant to the Harbor Selling Agreement, the Partnership pays Harbor an ongoing selling agent fee equal to 1/12 of 0.75% (a 0.75% annual rate) of the adjusted
month-end
net asset value per Redeemable Unit for certain holders of Class A and Class D Redeemable Units in the Partnership.
 
4.
Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses.
The Partnership Customer Agreement with MS&Co. and foreign exchange brokerage account agreements give the Partnership the legal right to net unrealized gains and losses on open futures contracts and open forward contracts in the Statements of Financial Condition. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures contracts and open forward contracts in the Statements of Financial Condition as the criteria under ASC
210-20,
“
Balance Sheet
,” have been met.
The Partnership’s trading of futures, forward and option contracts, as applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Partnership engages in such trading through commodity brokerage accounts maintained with MS&Co.
All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded by the Partnership during the years ended December 31, 2024 and 2023 were 3,558 and 3,984, respectively. The monthly average number of metals forward contracts traded by the Partnership during the years ended December 31, 2024 and 2023 were 310 and 201, respectively. The monthly average notional value of currency forward contracts traded by the Partnership during the years ended December 31, 2024 and 2023 were $97,516,762 and $123,209,511, respectively.
Trading and transaction fees are based on the number of trades executed by the Advisors.
All clearing fees paid to MS&Co. for the Partnership’s trading are borne by the Partnership.
 
38
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of December 31, 2024 and 2023, respectively.
 
         
Gross Amounts

Offset in the

Statements of

Financial

Condition
  
Net Amounts

Presented in the

Statements of

Financial

Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
        
December 31, 2024
  
Gross

Amounts

Recognized
    
Financial

Instruments
    
Cash Collateral
Received/

Pledged*
    
Net

Amount
  
Assets
            
Futures
    $ 2,528,139       $ (2,122,397)      $ 405,742       $ -       $ -       $ 405,742   
Forwards
     805,528        (805,528)       -        -        -        -   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Total assets
    $ 3,333,667       $ (2,927,925)      $ 405,742       $ -       $ -       $ 405,742   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Liabilities
            
Futures
    $ (2,122,397)      $ 2,122,397       $ -       $ -       $ -       $ -   
Forwards
     (809,130)       805,528        (3,602)       -        3,602        -   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Total liabilities
    $ (2,931,527)      $ 2,927,925       $ (3,602)      $ -       $ 3,602       $ -   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Net fair value
              $ 405,742  * 
           
 
 
  
         
 Gross Amounts 

Offset in the

Statements of

Financial

Condition
  
Net Amounts

 Presented in the 

Statements of

Financial

Condition
  
Gross Amounts Not Offset in the
 Statements of Financial Condition 
        
December 31, 2023
  
Gross

Amounts

 Recognized 
    
Financial

 Instruments 
    
Cash Collateral

Received/

Pledged*
    
Net

Amount
  
Assets
            
Futures
    $ 2,995,671       $ (2,625,198)      $ 370,473       $ -       $ -       $ 370,473   
Forwards
     888,922        (888,922)       -        -        -        -   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Total assets
    $ 3,884,593       $ (3,514,120)      $ 370,473       $ -       $ -       $ 370,473   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Liabilities
            
Futures
    $ (2,625,198)      $ 2,625,198       $ -       $ -       $ -       $ -   
Forwards
     (1,226,688)       888,922        (337,766)       -        337,766        -   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Total liabilities
    $ (3,851,886)      $ 3,514,120       $ (337,766)      $ -       $ 337,766       $ -   
 
 
 
    
 
 
 
  
 
 
 
  
 
 
    
 
 
    
 
 
  
Net fair value
              $    370,473  * 
           
 
 
  
 
*
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.
 
39
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts held by the Partnership as separate assets and liabilities as of December 31, 2024 and 2023, respectively.
 
    
    December 31,    

2024
  
Assets
   
Futures Contracts
   
Currencies
     $ 715,325   
Energy
      458,666   
Grains
      222,676   
Indices
      170,499   
Interest Rates U.S.
      40,160   
Interest Rates
Non-U.S.
      383,905   
Livestock
      35,300   
Metals
      123,798   
Softs
      377,810   
  
 
 
  
Total unrealized appreciation on open futures contracts
           2,528,139   
  
 
 
  
Liabilities
   
Futures Contracts
   
Currencies
      (354,813)  
Energy
      (436,506)  
Grains
      (260,089)  
Indices
      (406,800)  
Interest Rates U.S.
      (82,789)  
Interest Rates
Non-U.S.
      (304,809)  
Metals
      (187,197)  
Softs
      (89,394)  
  
 
 
  
Total unrealized depreciation on open futures contracts
      (2,122,397)  
  
 
 
  
Net unrealized appreciation on open futures contracts
     $ 405,742  * 
  
 
 
  
Assets
   
Forward Contracts
   
Currencies
     $ 472,601   
Metals
      332,927   
  
 
 
  
Total unrealized appreciation on open forward contracts
      805,528   
  
 
 
  
Liabilities
   
Forward Contracts
   
Currencies
      (316,621)  
Metals
      (492,509)  
  
 
 
  
Total unrealized depreciation on open forward contracts
      (809,130)  
  
 
 
  
Net unrealized depreciation on open forward contracts
     $ (3,602) ** 
  
 
 
  
 
*
This amount is in “Net unrealized appreciation 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.
 
40
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
    
    December 31,    

2023
  
Assets
   
Futures Contracts
   
Currencies
     $ 146,769   
Energy
      482,993   
Grains
      236,801   
Indices
      733,965   
Interest Rates U.S.
      130,664   
Interest Rates
Non-U.S.
      559,490   
Livestock
      220   
Metals
      156,905   
Softs
      547,864   
  
 
 
  
Total unrealized appreciation on open futures contracts
             2,995,671   
  
 
 
  
Liabilities
   
Futures Contracts
   
Currencies
      (239,168)  
Energy
      (996,165)  
Grains
      (184,709)  
Indices
      (245,853)  
Interest Rates U.S.
      (113,358)  
Interest Rates
Non-U.S.
      (672,519)  
Metals
      (126,095)  
Softs
      (47,331)  
  
 
 
  
Total unrealized depreciation on open futures contracts
      (2,625,198)  
  
 
 
  
Net unrealized appreciation on open futures contracts
     $ 370,473  * 
  
 
 
  
Assets
   
Forward Contracts
   
Currencies
     $ 562,573   
Metals
      326,349   
  
 
 
  
Total unrealized appreciation on open forward contracts
      888,922   
  
 
 
  
Liabilities
   
Forward Contracts
   
Currencies
      (691,946)  
Metals
      (534,742)  
  
 
 
  
Total unrealized depreciation on open forward contracts
      (1,226,688)  
  
 
 
  
Net unrealized depreciation on open forward contracts
     $ (337,766) ** 
  
 
 
  
 
*
This amount is in “Net unrealized appreciation 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.
 
41
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
The following table indicates the trading gains and losses, by market sector, on derivative instruments traded by the Partnership for the years ended December 31, 2024, 2023 and 2022, respectively.
 
 Sector
   
2024
    
2023
    
2022
  
 Currencies
      $ 768,562         $ (763,584)         $ 1,868,856    
 Energy
      (2,007,080)         (3,025,817)         4,221,030    
 Grains
      872,902         (351,578)         193,707    
 Indices
      558,669         124,217         225,406    
 Interest Rates U.S.
      546,362         253,640         (2,062,820)    
 Interest Rates
Non-U.S.
      (59,503)         (3,144,974)         8,906,493    
 Livestock
      113,379         10,170         (462,710)    
 Metals
      230,212         (1,860,735)         906,913    
 Softs
      1,019,412            1,442,785         (1,385,707)    
  
 
 
    
 
 
    
 
 
  
 Total
      $    2,042,915   ***      $ (7,315,876)   ***      $   12,411,168   *** 
  
 
 
    
 
 
    
 
 
  
 
***
 This amount is included in “Total trading results” in the Statements of Income and Expenses.
 
5.
Fair Value Measurements:
Partnership’s Fair Value Measurements
. Fair value is defined as the value that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of
non-exchange-traded
foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.
The Partnership considers prices for commodity futures, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills,
non-exchange-traded
forward, swap and certain option contracts for which market quotations are not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the years ended December 31, 2024 and 2023, the Partnership did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).
 
42
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
December 31, 2024
        
     Total     
       
     Level 1     
       
     Level 2     
       
     Level 3     
Assets
                     
Futures
        $ 2,528,139          $ 2,528,139         $ -            $
     -
   
Forwards
         805,528          -             805,528          -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
Total Assets
        $ 3,333,667         $ 2,528,139         $ 805,528         $ -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
Liabilities
                     
Futures
        $ 2,122,397         $ 2,122,397         $ -           $ -  
Forwards
         809,130          -            809,130          -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
Total Liabilities
        $ 2,931,527         $ 2,122,397         $ 809,130         $ -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
December 31, 2023
        
Total
       
Level 1
       
Level 2
       
Level 3
Assets
                     
Futures
        $ 2,995,671         $ 2,995,671         $ -           $ -  
Forwards
         888,922          -            888,922          -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
Total Assets
        $ 3,884,593         $ 2,995,671         $ 888,922         $ -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
Liabilities
                     
Futures
        $ 2,625,198         $ 2,625,198         $ -           $ -  
Forwards
         1,226,688          -            1,226,688          -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
Total Liabilities
        $    3,851,886         $ 2,625,198         $ 1,226,688         $     -  
     
 
 
 
     
 
 
 
     
 
 
 
     
 
 
 
 
6.
Subscriptions, Distributions and Redemptions:
Subscriptions are accepted monthly from investors who become limited partners on the f
irs
t day of the month after their subscriptions are processed. Distributions are made on a
pro-rata
basis at the sole discretion of the General Partner. No distributions have been made to date. The General Partner does not intend to make any distributions of the Partnership’s profits. A limited partner may require the Partnership to redeem its Redeemable Units at their net asset value as of the end of each month on three business days’ notice to the General Partner. There is no fee charged to limited partners in connection with redemptions.
 
43
Table of Contents
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
7.
Financial Highlights:
Financial highlights for the limited partner Classes as a whole for the years ended December 31, 2024, 2023 and 2022 were as follows:
 
    
2024
    
2023
    
2022
  
    
 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 year):*
                   
Net realized and unrealized gains (losses)
     $ 27.79        $ 34.86        $ 36.22        $ (106.24)      $ (132.89)      $ (138.95)      $ 157.24        $ 195.30        $ 201.95    
Net investment income (loss)
      9.17         11.40         20.51         6.22         7.71         16.83         (48.02)       (58.61)       (52.18)  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Increase (decrease) for the year
      36.96         46.26         56.73         (100.02)       (125.18)       (122.12)       109.22         136.69         149.77    
Net asset value per Redeemable Unit, beginning of year
      801.93         1,003.61         1,050.19         901.95         1,128.79         1,172.31         792.73         992.10         1,022.54    
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Net asset value per Redeemable Unit, end of year
     $  838.89        $  1,049.87        $  1,106.92        $  801.93        $  1,003.61        $  1,050.19        $  901.95        $  1,128.79        $  1,172.31    
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
    
2024
    
2023
    
2022
  
    
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)**
      1.1    %      1.1    %      1.9    %      0.7    %      0.7    %      1.5    %      (5.4)   %      (5.3)   %      (4.8)   % 
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Operating expenses
      3.3    %      3.3    %      2.5    %      3.2    %      3.2    %      2.5    %      3.2    %      3.2    %      2.5    % 
Incentive fees
      0.0    %      0.0    %      0.0    %      0.0    %      0.0    %      0.0    %      3.5    %      3.5    %      3.7    % 
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total expenses
      3.3    %      3.3    %      2.5    %      3.2    %      3.2    %      2.5    %      6.7    %      6.7    %      6.2    % 
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total return:
                   
Total return before incentive fees
      4.6    %      4.6    %      5.4    %      (11.1)   %      (11.1)   %      (10.4)   %      17.8    %      17.8    %      18.8    % 
Incentive fees
      0.0    %      0.0    %      0.0    %      0.0   %      0.0    %      0.0    %      (4.0)   %      (4.0)   %      (4.2)   % 
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total return after incentive fees
      4.6    %      4.6    %      5.4    %      (11.1)   %      (11.1)   %      (10.4)   %      13.8    %      13.8    %      14.6    % 
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
*
Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses by the average number of Redeemable Units outstanding during the year. 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.
 
**
Interest income less total expenses.
The above ratios and total return may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets of the Partnership.
 
8.
Financial Instrument Risks:
In the normal course of business, the Partnership is party to financial instruments with
off-balance-sheet
risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options, and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or
over-the-counter
(“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.0% to 10.5% of the Partnership’s contracts are traded OTC.
 
44
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
Futures Contracts
. The Partnership trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Partnership’s Statements of Income and Expenses.
Forward Foreign Currency Contracts.
Forward foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily, and the Partnership’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward foreign exchange rates at the reporting date, is included in the Partnership’s Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Partnership’s Statements of Income and Expenses.
London Metal Exchange Forward Contracts.
Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc and other metals. LME contracts traded by the Partnership are cash-settled based on prompt dates published by the LME. Variation margin may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Partnership’s Statements of Income and Expenses.
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is (was) not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as MS&Co. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s counterparty is or was an exchange or clearing organization.
The General Partner monitors and attempts to mitigate the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has or had effective procedures for evaluating and limiting the credit and market risks to which the Partnership may or may have been subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.
 
45
Ceres Tactical Systematic L.P.
Notes to Financial Statements
 
The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s business, these instruments may not be or have not been held to maturity.
The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.
In the ordinary course of business, the Partnership enters into contracts and agreements that contain various representations and warranties and which provide or provided general indemnifications. The Partnership’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership. The General Partner consider the risk of any future obligation relating to these indemnifications to be remote.
Beginning in February 2022, the United States, the United Ki
ngd
om, the European Union, and a number of other nations imposed sanctions against Russia in response to Russia’s invasion of Ukraine, and these and other governments around the world may impose additional sanctions in the future as the conflict develops. In addition, the armed conflict between Israel and Hamas and subsequent sanctions have created volatility in the price of various commodities and may lead to a deterioration in the political and trade relationships that exist between the countries involved and have a negative impact on business activity globally, and therefore could affect the performance of the Partnership’s investments. Furthermore, uncertainties regarding these conflicts and the varying involvement of the United States and other countries preclude prediction as to the ultimate impact on global economic and market conditions, and, as a result, presents material uncertainty and risk with respect to the Partnership and the performance of its investments or operations, and the ability of the Partnership to achieve its investment objectives. Additionally, to the extent that investors, service providers and/or other third parties have material operations or assets in Russia, Belarus, Ukraine or Israel, they may have their operations disrupted and/or suffer adverse consequences related to the ongoing conflicts.
 
9.
Subsequent Events:
The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements.
 
46
Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2024 and 2023 are summarized below:
 
    
  For the period from  

October 1, 2024 to

December 31, 2024
    
 
   
  For the period from  
July 1, 2024 to

September 30, 2024
    
 
   
  For the period from  
April 1, 2024 to

June 30, 2024
    
 
   
  For the period from  
January 1, 2024 to

March 31, 2024
  
Total investment income
     $ 492,046           $ 592,362           $ 632,409           $ 602,195    
Total expenses
      (385,533)           (149,591)           (496,392)           (710,139)   
Total trading results
      1,209,059            (6,056,958)           1,178,792            5,712,022    
  
 
 
       
 
 
       
 
 
       
 
 
  
Net income (loss)
     $ 1,315,572           $ (5,614,187)          $ 1,314,809           $ 5,604,078    
  
 
 
       
 
 
       
 
 
       
 
 
  
Increase (decrease) in Net Asset Value per Redeemable Unit:
                  
Class A
     $ 21.56           $ (90.57)          $ 20.39           $ 85.58    
  
 
 
       
 
 
       
 
 
       
 
 
  
Class D
     $ 26.98           $ (113.35)          $ 25.52           $ 107.11    
  
 
 
       
 
 
       
 
 
       
 
 
  
Class Z
     $ 30.47           $ (117.02)          $ 29.01           $ 114.27    
  
 
 
       
 
 
       
 
 
       
 
 
  
    
For the period from

October 1, 2023 to

December 31, 2023
         
For the period from

July 1, 2023 to

September 30, 2023
         
For the period from

April 1, 2023 to

June 30, 2023
         
For the period from

January 1, 2023 to
March 31, 2023
  
Total investment income
     $ 634,245           $ 619,065           $ 588,873           $ 534,100    
Total expenses
      (128,034)           (729,465)           (553,120)           (526,498)   
Total trading results
      (7,327,508)           2,417,602            2,012,484            (4,418,454)   
  
 
 
       
 
 
       
 
 
       
 
 
  
Net income (loss)
     $ (6,821,297)          $ 2,307,202           $ 2,048,237           $ (4,410,852)   
  
 
 
       
 
 
       
 
 
       
 
 
  
Increase (decrease) in Net Asset Value per Redeemable Unit:
                  
Class A
     $ (101.44)          $ 33.97           $ 28.78           $ (61.33)   
  
 
 
       
 
 
       
 
 
       
 
 
  
Class D
     $ (126.96)          $ 42.52           $ 36.01           $ (76.75)   
  
 
 
       
 
 
       
 
 
       
 
 
  
Class Z
     $ (130.62)          $ 46.55           $ 39.60           $ (77.65)   
  
 
 
       
 
 
       
 
 
       
 
 
  
 
47
Item 9.
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
.
Not applicable.
Item 9A.
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
Rules13a-15(e)
and
15d-15(e)
under the Exchange Act) as of December 31, 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.
The report included in “Item 8.
Financial Statements and Supplementary Data
.” includes the General Partner’s report on internal control over financial reporting (“Management’s Report”).
There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended December 31, 2024 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.
Item 9B.
Other Information
.
10b5-1
Trading Plans
The Partnership has no directors or executive officers and its affairs are managed by its General Partner. The General Partner is managed by a board of directors. During the fiscal quarter ended December 31, 2024, no officers or directors of the General Partner adopted, modified or terminated a “Rule
10b5-1
trading arrangement” (as defined in Item 408 of Regulation
S-K
of the Exchange Act).
There were no
“non-Rule
10b5-1
trading arrangements” (as defined in Item 408 of Regulation
S-K
of the Exchange Act) adopted, modified or terminated during the fiscal quarter ended December 31, 2024 by the directors and officers of the General Partner.
 
48
Table of Contents
PART III
Item 10.
Directors, Executive Officers and Corporate Governance
.
The Partnership has no directors or executive officers and its affairs are managed by its General Partner. Investment decisions are made by the Advisors.
The directors and executive officers of the General Partner are Patrick T. Egan (President and Chairman of the Board of Directors of the General Partner), Brooke Lambert (Chief Financial Officer), Victoria Eckstein (Director) and Tatiana Segal (Director). Each director holds office until the earlier of his or her death, resignation or removal. Vacancies on the board of directors may be filled by either (i) the majority vote of the remaining directors or (ii) MSCM, as the sole member of the General Partner. The officers of the General Partner are designated by the General Partner’s board of directors. Each officer will hold office until his or her successor is designated and qualified or until his or her death, resignation or removal.
Directors of the General Partner are responsible for overall corporate governance of the General Partner and meet periodically to consider strategic decisions regarding the General Partner’s activities. Under CFTC rules, each Director of the General Partner is deemed to be a principal of the General Partner and, as a result, is listed as such with the NFA. Patrick T. Egan serves on the General Partner’s Investment Committee and are the trading principals responsible for allocation decisions (or responsible for supervising those who are).
Patrick T. Egan
, age 55, has been a Director of the General Partner since December 2010. Since December 2010, Mr. Egan has been a principal and registered as an associated person of the General Partner, and is an associate member of NFA. Since October 2014, Mr. Egan has served as President and Chairman of the Board of Directors of the General Partner. Since August 2013, Mr. Egan has been registered as a swap associated person of the General Partner. In addition, from May 2021 to February 2022, Mr. Egan was a branch manager, principal and registered as an associated person of Morgan Stanley Investment Management Inc., (“MSIM”), and was an associate member of the NFA. From September 2013 to May 2014, Mr. Egan served as a Vice President of Morgan Stanley Strategies LLC, (formerly, Morgan Stanley GWM Feeder Strategies LLC), which acts as a general partner to multiple alternative investment entities, and Morgan Stanley AI GP LLC, (formerly, Morgan Stanley HedgePremier GP LLC), which acts as a general partner and administrative agent to numerous hedge fund feeder funds. From September 2013 to May 2014, Mr. Egan was registered as an associated person and listed as a principal of each such entity. Since January 2013, each such entity has been registered as a commodity pool operator with the CFTC. Mr. Egan was responsible for overseeing the implementation of certain CFTC and NFA regulatory requirements applicable to such entities. From June 2009 to December 2014, Mr. Egan was employed by Morgan Stanley Smith Barney LLC, a financial services firm, where his responsibilities included serving as Executive Director and as Co-Chief Investment Officer for Morgan Stanley Managed Futures from June 2009 through June 2011 and as Chief Risk Officer for Morgan Stanley Managed Futures from June 2011 through October 2014. Since October 2014, Mr. Egan has been responsible for management of the
day-to-day
operations of Morgan Stanley Managed Futures. Since January 2015, Mr. Egan has been employed by the General Partner. From November 2010 to October 2014, Mr. Egan was registered as an associated person of Morgan Stanley Smith Barney LLC. From April 2007 through June 2009, Mr. Egan was employed by MS & Co., a financial services firm, where his responsibilities included serving as Head of Due Diligence and Manager Research for Morgan Stanley’s Managed Futures Department. From April 2007 through June 2009, Mr. Egan was registered as an associated person of MS & Co. From March 1993 through April 2007, Mr. Egan was employed by Morgan Stanley DW Inc., a financial services firm, where his initial responsibilities included serving as an analyst and manager within the Managed Futures Department (with primary responsibilities for product development, due diligence, investment analysis and risk management of the firm’s commodity pools) and later included serving as Head of Due Diligence and Manager Research for Morgan Stanley’s Managed Futures Department. From February 1998 through April 2007, Mr. Egan was registered as an associated person of Morgan Stanley DW Inc. From August 1991 through March 1993, Mr. Egan was employed by Dean Witter Intercapital, the asset management arm of Dean Witter Reynolds, Inc., where his responsibilities included serving as a mutual fund administration associate. Mr. Egan also served as a Director from November 2004 through October 2006, and from November 2006 through October 2008 of the Managed Funds Association’s Board of Directors, a position he was elected to by industry peers for two consecutive two-year terms. Mr. Egan earned his Bachelor of Business Administration degree with a concentration in Finance in May 1991 from the University of Notre Dame.
Brooke Lambert
, age 41, has been the Chief Financial Officer, Treasurer and a principal of the General Partner since May 2022. Ms. Lambert has been employed by Morgan Stanley Investment Management, a financial services firm, since July 2014, where her responsibilities include serving as a Vice President and managing the accounting, financial reporting and regulatory reporting of the commodity pools operated by the General Partner. From July 2009 to July 2014, Ms. Lambert was employed by Morgan Stanley Smith Barney, a financial services firm, where her responsibilities included serving as a Vice President responsible for the accounting, financial reporting and regulatory reporting of the commodity pools operated by the General Partner. Before joining Morgan Stanley, Ms. Lambert was employed by Citigroup Alternative Investments, a financial services firm, from January 2006 through July 2009, where her responsibilities included serving as an Assistant Vice President responsible for the accounting, financial reporting and regulatory reporting of Citigroup Alternative Investments’ managed futures funds. Ms. Lambert earned her Bachelor of Science in Finance in May 2005 from Towson University.
Victoria Eckstein,
age 43, has been a Director of the General Partner since June 30, 2022, and a principal of the General Partner since July 14, 2022. Since November 2022, Ms. Eckstein has served as Chief Operating Officer of Calvert Research and Management, an investment management company focused on responsible investments. Calvert is a wholly-owned subsidiary of Morgan Stanley and an affiliate of the General Partner. Since December 2020, Ms. Eckstein has served as a Managing Director of Morgan Stanley Investment Management Inc. (“MSIM”), and from December 2020 to November 2022 served as Chief Operating Officer of the Solutions & Multi-Asset Group at MSIM, a collection of business units offering alpha-centric, multi-asset or multi-manager investment solutions. From December 2016 to December 2020, Ms. Eckstein served as an Executive Director of MSIM and from April 2010 to December 2016, Ms. Eckstein served as a Vice President of MSIM. From April 2010 to December 2020, Ms. Eckstein primarily managed the
day-to-day
non-investment
functions of the Portfolio Solutions Group, a business unit offering multi-asset, multi-manager managed portfolios. From January 2007 to April 2010, Ms. Eckstein was employed by Morgan Stanley Smith Barney LLC, a financial services firm, where her responsibilities included trade execution, portfolio analysis, external manager selection and research coverage. Ms. Eckstein received her Juris Doctorate from the Benjamin N. Cardozo School of Law in 2006 and her Bachelor of Arts, magna cum laude, from Brandeis University in 2003.
Tatiana Segal
, age 56, has been a Director of the General Partner since June 30, 2022, and a principal of the General Partner since July 1, 2022. She has also been a principal of MSIM since October 31, 2019. Ms. Segal joined MSIM as a Managing Director and Head of Risk Management in August 2019. She is responsible for risk management across MSIM business units and risk categories, including investment, operational, and franchise risk, and is a member of the Investment Management Operating Committee and a chair of the Investment Management Risk Committee. In June 2022, in addition to her original role, Ms. Segal was appointed as Global Head of
Non-Financial
Risk for Investment Management to manage existing and emergent
non-financial
risks across the division. She has since been appointed a member of Morgan Stanley’s NFR Steering Committee and Enterprise Controls Committee. From August 2011 to August 2019, Ms. Segal was a partner and Head of Risk Management at SkyBridge Capital Management, a global alternative investments firm, where she was also a member of the Manager Selection, Portfolio Allocation and Real Estate Investment Committees. Prior to joining SkyBridge in August 2011, she was a Managing Director and Chief Risk Officer at Cerberus Capital Management, LLC from January 2009 through July 2011. Before joining Cerberus, Ms.
 
49
Table of Contents
Segal was Managing Director and Chief Risk Officer for Diamond Lake Investment Group from February 2008 through September 2008. From May 2006 through January 2008, Ms. Segal was a Senior Risk Manager at Citigroup Alternative Investments, where she was responsible for independent risk oversight of a multi-billion hedge fund and fund of funds portfolio. From October 2000 through April 2006, Ms. Segal was a Director of Market Risk at Nomura Securities, Inc. Prior to joining Nomura Securities, she was Risk Manager at BNP Paribas from January 1999 through October 2000 and a Risk Manager at Goldman, Sachs & Co., Ltd. from October 1995 through January 1999. Ms. Segal started her career at BlackRock Financial Management, Inc. from January 1993 through September 1995, as a portfolio analyst within BlackRock’s Institutional Accounts Division. Ms. Segal graduated from Columbia University in January 1993 with a Bachelor’s Degree in Economics. Ms. Segal is a
Co-Chair
of Risk Peer Advisory Group NY for 100 Women in Finance, as well as a contributing member of the council of The Directors and Chief Risk Officers. She serves as a board member of the Tenement Museum.
The Partnership has not adopted a code of ethics that applies to officers because it has no officers. In addition, the Partnership has not adopted any procedures by which investors may recommend nominees to the Partnership’s board of directors and has not established an audit committee because it has no board of directors.
The Partnership has no directors or executive officers and its affairs are managed by its General Partner. The General Partner is managed by a board of directors. The General Partner is a wholly-owned subsidiary of Morgan Stanley Capital Management LLC (“MSCM”). MSCM is ultimately owned by Morgan Stanley. Morgan Stanley has adopted insider trading policies and procedures applicable to its investment affiliates, including the General Partner, that it believes are reasonably designed to promote compliance with insider trading laws, rules and regulations. Morgan Stanley’s insider trading policy is filed as Exhibit 19.1 to this Annual Report on Form
10-K.
Item 11.
Executive Compensation
.
The Partnership has no directors or executive officers. As a limited partnership, the business of the Partnership is managed by the General Partner, which is responsible for the administration of the business affairs of the Partnership. The Partnership pays the General Partner a monthly fee equal to 1/12 of 0.875% of the adjusted
month-end
net assets.
Item 12.
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
.
(a)
Security ownership of certain beneficial owners
. As of February 28, 2025, the Partnership knows of no person who beneficially owns more than 5% of the Redeemable Units outstanding.
(b)
Security ownership of management
. Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by the General Partner.
The following table indicates securities owned by management as of December 31, 2024:
 
 (1) Title of Class
   
(2) Name of

   Beneficial Owner   
   
(3) Amount and Nature

   of Beneficial Ownership   
     
    (4) Percent of    

Class
 Class Z Redeemable Units
    General Partner      463.0990       82.92%
 
 Principals of the General Partner who own Redeemable Units:*  
* Patrick T. Egan          
    8.3490 Redeemable Units     
* No one principal owns more than 1% of the Redeemable Units.
(c)
Changes in control
. None.
Item 13.
Certain Relationships and Related Transactions and Director Independence
.
(a)
Transactions with related persons.
None.
(b)
Review, approval or ratification of transactions with related persons.
Not applicable.
(c)
Promoters and certain control persons
. MS&Co., Morgan Stanley Wealth Management and the General Partner could be considered promoters for purposes of Item 404(c) of Regulation
S-K.
The nature and the amounts of compensation each promoter received or will receive, if any, from the Partnership are set forth under “Item 1.
Business,
” “Item 8.
Financial Statements and Supplementary Data
.” and “Item 11.
Executive Compensation
.”
Item 14.
Principal Accountant Fees and Services
.
(1)
Audit Fees
. The aggregate fees billed for each of the last two fiscal years ended December 31, 2024 and 2023 for professional services rendered by Ernst & Young LLP (“EY”) for the audit of the Partnership’s annual financial statements, review of financial statements included in the Partnership’s Forms 10-Q and 10-K and other services normally provided in connection with regulatory filings or engagements were:
 
           
2024
     $89,925
2023
     $94,300
(2)
Audit-Related Fees
. None.
(3) Tax Fees. The Partnership did not pay EY any amounts in 2024 and 2023 for professional services in connection with tax compliance, tax advice, and tax planning.
(4)
All Other Fees
. None.
(5) Not Applicable.
(6) Not Applicable.
 
50

PART IV

Item 15. Exhibits and Financial Statement Schedules.

(1) Financial Statements:

Statements of Financial Condition at December 31, 2024 and 2023.

Condensed Schedules of Investments at December 31, 2024 and 2023.

Statements of Income and Expenses for the years ended December 31, 2024, 2023 and 2022.

Statements of Changes in Partners’ Capital for the years ended December 31, 2024, 2023 and 2022.

Notes to Financial Statements.

(2) Exhibits:

 

3.1

   

Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on December 20, 2002 and incorporated herein by reference).

(a)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 99.2 to the Current Report on Form 8-K filed on November 3, 2009 and incorporated herein by reference).

(b)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 99.3 to the Current Report on Form 8-K filed on November 3, 2009 and incorporated herein by reference).

(c)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 99.4 to the Current Report on Form 8-K filed on November 3, 2009 and incorporated herein by reference).

(d)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).

(e)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(e) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).

(f)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference).

(g)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 7, 2013 (filed as Exhibit 3.1(g) to the Quarterly Report on Form 10-Q filed on August 14, 2013 and incorporated herein by reference).

(h)

   

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 13, 2017 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 18, 2017 and incorporated herein by reference).

3.2

   

Limited Partnership Agreement (filed as Exhibit A to the Post-Effective Amendment No. 5 to the Registration Statement on Form S-1 filed on April 22, 2008 and incorporated herein by reference).

(a)

   

Amendment No. 1 to the Limited Partnership Agreement, dated May 31, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on November 3, 2009 and incorporated herein by reference).

(b)

   

Amendment No. 2 to the Limited Partnership Agreement dated as of August 8, 2014 and effective October 1, 2014 (filed as Exhibit 3.2(b) to the Quarterly Report on Form 10-Q filed August 13, 2014 and incorporated herein by reference).

(c)

   

Amendment No. 3 to the Limited Partnership Agreement dated as of December 30, 2015 and effective January 1, 2016 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on January 5, 2016 and incorporated herein by reference).

3.3

   

Amended and Restated Limited Partnership Agreement dated November 22, 2017 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on November 22, 2017 and incorporated herein by reference).

4.1

   

Description of Securities (filed as Exhibit 4.1 to the Annual Report on Form 10-K filed on March 25, 2021 and incorporated herein by reference).

10.1

   

Amended & Restated Commodity Futures Customer Agreement between the Partnership and MS&Co., effective September 24, 2013 (filed as Exhibit 10.1(b) to the Quarterly Report on Form 10-Q filed on November 14, 2013 and incorporated herein by reference).

(a)

   

U.S. Treasury Securities Purchase Authorization Agreement between the Partnership and MS&Co., effective June 1, 2015 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on November 4, 2015 and incorporated herein by reference).

(b)

   

Supplement to the Amended & Restated Commodity Futures Customer Agreement among the Partnership, Aspect Master, Cambridge Master, Willowbridge Master, Boronia I, LLC, Graham Master and MS&Co., dated July 25, 2017 (filed as Exhibit 10.1(b) to the Current Report on Form 8-K filed on July 28, 2017 and incorporated herein by reference).

 

51

10.2

   

Subscription Escrow Agreement among the General Partner, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.2 to the Annual Report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).

(a)

   

Amendment No. 5 to the Escrow Agreement among The Bank of New York, the General Partner and Morgan Stanley Smith Barney LLC (filed as Exhibit 10.2(a) to the Annual Report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).

10.3

   

Escrow Agreement among the Partnership, the General Partner, UMB Fund Services, Inc. and UMB Bank, N.A. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on September 11, 2017 and incorporated herein by reference).

10.4

   

Transfer Agency Agreement among the Partnership, the General Partner and UMB Fund Services, Inc. (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on September 11, 2017 and incorporated herein by reference).

10.5

   

Management Agreement among the Partnership, the General Partner and Graham (filed as Exhibit 10.5 to the Registration Statement on Form S- 1 filed on December 20, 2002 and incorporated herein by reference).

(a)

   

Amendment No. 1 to the Management Agreement among the Partnership, the General Partner and Graham, effective April 1, 2014 (filed as Exhibit 10.3(b) to the Quarterly Report on Form 10-Q filed on May 14, 2014 and incorporated herein by reference).

10.6

   

Management Agreement among the Partnership, the General Partner and Willowbridge (filed as Exhibit 10.7 to the Registration Statement on Form S-1 filed on December 20, 2002 and incorporated herein by reference).

(a)

   

Amendment to the Management Agreement among the Partnership, the General Partner and Willowbridge, effective January 1, 2013 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 7, 2013 and incorporated herein by reference).

10.7

   

Management Agreement among the Partnership, the General Partner and Aspect (filed as Exhibit 10.4 to the Annual Report on Form 10-K filed on March 16, 2005 and incorporated herein by reference).

10.8

   

Management Agreement among the Partnership, the General Partner and Altis (filed as Exhibit 10.13 to the Current Report on Form 8-K filed on May 3, 2011 and incorporated herein by reference).

(a)

   

Amendment to the Management Agreement among the Partnership, the General Partner and Altis, effective August 1, 2015 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 6, 2015 and incorporated herein by reference).

10.9

   

Amended and Restated Alternative Investment Selling Agent Agreement between the Partnership, the General Partner and Morgan Stanley Wealth Management, dated March 3, 2016 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on March 8, 2016 and incorporated herein by reference).

(a)

   

Amendment to the Amended and Restated Alternative Investment Selling Agent Agreement by and among the Partnership, the General Partner, and Morgan Stanley Wealth Management (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on July 8, 2020 and incorporated herein by reference).

(b)

   

Amendment to the Amended and Restated Alternative Investment Selling Agent Agreement by and among the Partnership, the General Partner, and Morgan Stanley Wealth Management (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on January 7, 2021 and incorporated herein by reference).

10.10

   

Form of Subscription Agreement (filed as Exhibit 10.12 to the Quarterly Report on Form 10-Q filed on November 14, 2012 and incorporated herein by reference).

10.11

   

Management Agreement among the Partnership, the General Partner, and JE Moody (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 1, 2013 and incorporated herein by reference).

(a)

   

Amendment to the Management Agreement among the Partnership, the General Partner, and JE Moody, effective January 1, 2016 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 5, 2016 and incorporated herein by reference).

10.12

   

Amended & Restated Master Services Agreement by and among the Partnership, the General Partner and SS&C Technologies, Inc. (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on August 6, 2015 and incorporated herein by reference).

10.13

   

Management Agreement among the Partnership, the General Partner and Cambridge (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on December 3, 2015 and incorporated herein by reference).

(a)   

Amendment No. 1 to Management Agreement among the Partnership, the General Partner and Cambridge (filed as Exhibit 10.3 to the Current Report on Form 8-K filed on January 5, 2018 and incorporated herein by reference).

(b)   

Novation Agreement by and among the Partnership, the General Partner, Cambridge and Mesirow (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on October 4, 2018 and incorporated herein by reference).

10.14

   

Management Agreement among the Partnership, the General Partner and ISAM (filed as Exhibit 10.12 to the Quarterly Report on Form 10-Q filed on May 12, 2016 and incorporated herein by reference).

(a)

   

Novation Agreement by and among the Partnership, the General Partner, ISAM, ISAM (USA) LLC, ISAM Europe LLP and ISAM Funds (UK) Limited (filed as Exhibit 10.12 to the Current Report on Form 8-K filed on September 5, 2017 and incorporated herein by reference).

(b)

   

Amended and Restated Management Agreement among the Partnership, the General Partner and ISAM (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on November 6, 2017 and incorporated herein by reference).

 

52

(c)

   

Novation Agreement by and among the Partnership, the General Partner, ISAM (USA) LLC, ISAM Funds (UK) Limited, ISAM SM and ISAM (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on October 31, 2018 and incorporated herein by reference).

(d)

   

Amendment to the Management Agreement among the Partnership, the General Partner, ISAM (USA) LLC, ISAM Funds (UK) Limited and ISAM SM (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on December 30, 2021 and incorporated herein by reference).

10.15

   

Management Agreement among the Partnership, the General Partner and SECOR (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 5, 2018 and incorporated herein by reference).

10.16

   

Management Agreement among the Partnership, the General Partner and FORT (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on January 5, 2018 and incorporated herein by reference).

10.17

   

Management Agreement among the Partnership, the General Partner and AE Capital (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 25, 2018 and incorporated herein by reference).

10.18

   

Alternative Investment Selling Agent Agreement among the Partnership, the General Partner, Morgan Stanley Distribution Inc., and Harbor Investment Advisory LLC (filed as Exhibit 10.1 to the Quarterly Report on Form 10-Q filed on November 8, 2018 and incorporated herein by reference).

(a)

   

Amendment to the Alternative Investment Selling Agent Agreement by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. and Harbor Investment Advisory LLC (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on July 8, 2020 and incorporated herein by reference).

(b)

   

Amendment to the Alternative Investment Selling Agent Agreement by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. and Harbor Investment Advisory LLC (filed as Exhibit 10.3 to the Current Report on Form 8-K filed on January 7, 2021 and incorporated herein by reference).

10.19

   

Foreign Exchange and Bullion Authorization Agreement between Aspect Master and JPMorgan (filed as Exhibit 11.1 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.20

   

International Swap Dealers Association, Inc. Master Agreement between Aspect Master and JPMorgan (filed as Exhibit 11.2 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.21

   

Schedule to International Swap Dealers Association, Inc. Master Agreement between Aspect Master and JPMorgan (filed as Exhibit 11.3 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.22

   

2016 Credit Support Annex for Variation Margin to the Schedule to the International Swap Dealers Association, Inc. Master Agreement between Aspect Master and JPMorgan (filed as Exhibit 11.4 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.23

   

Institutional Account Agreement between Aspect Master and JPMorgan (filed as Exhibit 11.5 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.24

   

Foreign Exchange and Bullion Authorization Agreement among Cambridge, Cambridge Master and JPMorgan (filed as Exhibit 11.6 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

(a)

   

Amendment and Assignment of Foreign Exchange and Bullion Authorization Agreement by and among Cambridge, Mesirow, Cambridge Master Fund and JPMorgan (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on October 16, 2018 and incorporated herein by reference).

10.25

   

International Swap Dealers Association, Inc. Master Agreement between Cambridge Master and JPMorgan (filed as Exhibit 11.7 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

(a)

   

Amendment to the International Swap Dealers Association, Inc. Master Agreement between Cambridge Master and JPMorgan (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on October 16, 2018 and incorporated herein by reference).

10.26

   

Schedule to International Swap Dealers Association, Inc. Master Agreement between Cambridge Master and JPMorgan (filed as Exhibit 11.8 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.27

   

2016 Credit Support Annex for Variation Margin to the Schedule to the International Swap Dealers Association, Inc. Master Agreement between Cambridge Master and JPMorgan (filed as Exhibit 11.9 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.28

   

Institutional Account Agreement between Cambridge Master and JPMorgan (filed as Exhibit 11.10 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.29

   

Foreign Exchange and Bullion Authorization Agreement between Graham Master and JPMorgan (filed as Exhibit 11.11 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.30

   

International Swap Dealers Association, Inc. Master Agreement between Graham Master and JPMorgan (filed as Exhibit 11.12 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

 

53

10.31

   

Schedule to International Swap Dealers Association, Inc. Master Agreement between Graham Master and JPMorgan (filed as Exhibit 11.13 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.32

   

2016 Credit Support Annex for Variation Margin to the Schedule to the International Swap Dealers Association, Inc. Master Agreement between Graham Master and JPMorgan (filed as Exhibit 11.14 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.33

   

Institutional Account Agreement between Graham Master and JPMorgan (filed as Exhibit 11.15 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.34

   

Foreign Exchange and Bullion Authorization Agreement among Willowbridge, Willowbridge Master and JPMorgan (filed as Exhibit 11.16 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.35

   

International Swap Dealers Association, Inc. Master Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.17 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.36

   

Schedule to International Swap Dealers Association, Inc. Master Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.18 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.37

   

2016 Credit Support Annex for Variation Margin to the Schedule to the International Swap Dealers Association, Inc. Master Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.19 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.38

   

Institutional Account Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.20 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).

10.39

   

Management Agreement among the Partnership, the General Partner, and ADG (filed as Exhibit 10.1 to the Current Report on Form 8- K filed on February 6, 2019 and incorporated herein by reference).

(a)

   

Amendment to the Management Agreement among the Partnership, the General Partner, and ADG, effective January 1, 2020 (filed as Exhibit 10.39(a) to the Annual Report on Form 10-K filed on March 26, 2020 and incorporated herein by reference).

10.40

   

Management Agreement among the Partnership, the General Partner, and Aquantum (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on June 5, 2019 and incorporated herein by reference).

10.41

   

Management Agreement among the Partnership, the General Partner, and Millburn (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 3, 2020 and incorporated herein by reference).

10.42

   

Management Agreement among the Partnership, the General Partner, and Episteme (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on November 5, 2020 and incorporated herein by reference).

10.43

   

Management Agreement among the Partnership, the General Partner, and DCM (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 7, 2021 and incorporated herein by reference).

10.44

   

Management Agreement among the Partnership, the General Partner, and Drury (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 9, 2023 and incorporated herein by reference).

 19.1

   

Investment Management Insider Trading Policy (filed herewith).

The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference:

31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).

31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) (filed herewith).

32.1 — Section 1350 Certification (Certification of President and Director) (filed herewith).

32.2 — Section 1350 Certification (Certification of Chief Financial Officer) (filed herewith).

101.INS   XBRL Instance Document.

101.SCH XBRL Taxonomy Extension Schema Document.

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB XBRL Taxonomy Extension Label Linkbase Document.

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF XBRL Taxonomy Extension Definition Linkbase Document.

104. Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

 

54

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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 SYSTEMATIC L.P.

By:

  

Ceres Managed Futures LLC

 

(General Partner)

By:

  

/s/ Patrick T. Egan

 

Patrick T. Egan

 

President and Director

 

Date: March 20, 2025

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the date indicated.

 

/s/ Patrick T. Egan

      

/s/ Tatiana Segal

  

Patrick T. Egan

      

Tatiana Segal

  

President and Director

      

Director

  

Ceres Managed Futures LLC

      

Ceres Managed Futures LLC

  

Date: March 20, 2025

      

Date: March 20, 2025

  

/s/ Brooke Lambert

      

/s/ Victoria Eckstein

  

Brooke Lambert

      

Victoria Eckstein

  

Chief Financial Officer

      

Director

  

(Principal Accounting Officer)

      

Ceres Managed Futures LLC

  

Ceres Managed Futures LLC

      

Date: March 20, 2025

  

Date: March 20, 2025

        

Supplemental Information to be Furnished With Reports Filed Pursuant To Section 15(d) of the Act by Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Act.

Annual Report to Limited Partners.

No proxy material has been sent to limited partners.

 

55