UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
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(Mark One) |
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
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For the quarterly period ended June 30, 2012 |
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or |
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
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For the transition period from ______ to |
Commission file number: 000-52192
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ALPHAMETRIX MANAGED FUTURES LLC |
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(Exact name of registrant as specified in its charter) |
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Delaware |
03-0607985 |
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(State or other jurisdiction |
(I.R.S. Employer |
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c/o ALPHAMETRIX, LLC |
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181 West Madison |
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34th Floor |
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Chicago, Illinois 60602 |
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(Address of principal executive offices) |
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(312)267-8400 |
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(Registrant’s telephone number, including area code) |
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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. |
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Yes x No o |
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Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post such files). |
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Yes x No o |
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Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act: |
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Large accelerated filer o |
Accelerated filer o |
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Non-accelerated filer o (Do not check if a smaller reporting company) |
Smaller reporting company x |
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Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). |
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Yes o No x |
ii
ALPHAMETRIX MANAGED FUTURES LLC
QUARTERLY REPORT FOR PERIOD ENDED JUNE 30, 2012 ON FORM 10-Q
Table of Contents
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1 |
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Condensed Statements of Changes in Members’ Capital (unaudited) |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
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iii
PART I – FINANCIAL INFORMATION
See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.
- 1 -
See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.
- 2 -
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ALPHAMETRIX MANAGED FUTURES LLC |
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Aspect Series |
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AlphaMetrix Managed |
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Aspect Series |
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AlphaMetrix Managed |
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NET INVESTMENT INCOME/(LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001: |
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Interest income |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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Trading costs |
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(29,368 |
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(29,368 |
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(54,653 |
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(54,653 |
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Interest expense |
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(7,315 |
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(7,315 |
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(14,448 |
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(14,448 |
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Bank fees |
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— |
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— |
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(103 |
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(103 |
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Net investment income/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 |
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(36,683 |
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(36,683 |
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(69,204 |
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(69,204 |
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SERIES NET INVESTMENT INCOME/(LOSS): |
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Operating expenses |
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(104,854 |
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(104,854 |
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(207,908 |
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(207,908 |
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Management fee |
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(365,084 |
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(365,084 |
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(710,562 |
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(710,562 |
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Performance fee |
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(4,391 |
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(4,391 |
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(70,642 |
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(70,642 |
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Sales commissions |
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(364,468 |
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(364,468 |
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(709,260 |
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(709,260 |
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Sponsor fee |
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(91,117 |
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(91,117 |
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(177,315 |
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(177,315 |
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Net investment loss |
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(929,914 |
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(929,914 |
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(1,875,687 |
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(1,875,687 |
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Total net investment loss |
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(966,597 |
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(966,597 |
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(1,944,891 |
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(1,944,891 |
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REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001 |
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Net realized gain/(loss) |
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(788,718 |
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(788,718 |
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1,955,789 |
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1,955,789 |
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Net increase/(decrease) in unrealized appreciation/(depreciation) |
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(1,056,944 |
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(1,056,944 |
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(3,113,829 |
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(3,113,829 |
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Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 |
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(1,845,662 |
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(1,845,662 |
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(1,158,040 |
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(1,158,040 |
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Net increase/(decrease) in net assets resulting from operations |
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$ |
(2,812,259 |
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$ |
(2,812,259 |
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$ |
(3,102,931 |
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$ |
(3,102,931 |
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Weighted average number of units outstanding |
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57,148 |
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57,148 |
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55,402 |
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55,402 |
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Net income/(loss) per weighted average unit |
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$ |
(49.21 |
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$ |
(49.21 |
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(56.01 |
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$ |
(56.01 |
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(Concluded) |
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See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.
- 3 -
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For the six months ended June 30, 2011 |
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AlphaMetrix Managed Futures LLC (Aspect Series) |
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AlphaMetrix Managed |
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Members |
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Sponsor |
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Total |
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Amount |
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Units |
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Amount |
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Units |
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Amount |
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Units |
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Amount |
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Units |
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Members’ capital at January 1, 2011 |
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$ |
63,839,812 |
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50,277.92 |
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$ |
10,310 |
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8.12 |
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$ |
63,850,122 |
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50,286.04 |
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$ |
63,850,122 |
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50,286.04 |
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Members’ subscriptions |
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13,669,211 |
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10,758.32 |
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— |
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— |
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13,669,211 |
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10,758.32 |
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13,669,211 |
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10,758.32 |
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Members’ redemptions |
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(4,325,176 |
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(3,440.77 |
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— |
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— |
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(4,325,176 |
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(3,440.77 |
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(4,325,176 |
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(3,440.77 |
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Net investment income/(loss) |
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(1,944,607 |
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— |
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(284 |
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— |
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(1,944,891 |
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— |
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(1,944,891 |
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— |
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Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 |
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(1,157,893 |
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— |
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(147 |
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— |
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(1,158,040 |
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— |
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(1,158,040 |
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— |
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Members’ capital at June 30, 2011 |
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$ |
70,081,347 |
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57,595.47 |
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$ |
9,879 |
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8.12 |
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$ |
70,091,226 |
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57,603.59 |
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$ |
70,091,226 |
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57,603.59 |
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Net asset value per unit at January 1, 2011 |
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$ |
1,269.739 |
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$ |
1,269.739 |
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Change in net asset value per unit |
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(52.953 |
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(52.953 |
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Net asset value per unit at June 30, 2011 |
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$ |
1,216.786 |
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$ |
1,216.786 |
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See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.
- 4 -
ALPHAMETRIX MANAGED FUTURES LLC
NOTES TO CONDENSED FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 AND DECEMBER 31, 2011 AND
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011
(1) Organization
As of November 1, 2008, AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform” or the “Fund”). The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the U.S. Securities and Exchange Commission (“SEC”) as a Registered Investment Advisor (“RIA”) and Registered Transfer Agent (“RTA”), and is a member of the National Futures Association (“NFA”). The Platform was formed on July 25, 2006 as a Delaware series limited liability company pursuant to the Delaware Limited Liability Company Act. AlphaMetrix Managed Futures LLC (Aspect Series) (the “Aspect Series” or “Series”) is the only “segregated series” of the Platform. Since the Aspect Series is the Platform’s only segregated series, references to the Aspect Series also include the Platform unless otherwise noted. On November 1, 2008, the Sponsor was assigned sponsorship in the Platform and managerial interest in the Aspect Series from the former sponsor of the Platform, UBS Managed Fund Services, Inc. (“UBS MFS” or the “former sponsor”) and the name of the Platform and Aspect Series were changed from UBS Managed Futures LLC and UBS Managed Futures LLC (Aspect Series) to AlphaMetrix Managed Futures LLC and AlphaMetrix Managed Futures LLC (Aspect Series), respectively. The Platform and Aspect Series are governed in accordance with the Confidential Disclosure Document dated October 31, 2011 (the “Confidential Disclosure Document”). All capitalized terms used but not defined herein are defined in the Confidential Disclosure Document.
The Aspect Series invests substantially all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the “Trading Fund”). The Trading Fund then invests a substantial portion of its assets in AlphaMetrix Aspect Fund – MT0001 (the “Master Fund”) which is advised by Aspect Capital Limited (the “Trading Advisor”). On August 30, 2009, the Trading Fund ceased operations and as of September 1, 2009, the Aspect Series invested directly into the Master Fund. Prior to December 31, 2010, the Aspect Series and the Master Fund were consolidated in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 810, Consolidation (“ASC 810”). As of December 1, 2009, another fund operated by the Sponsor invested in the Master Fund. As of the year ended December 31, 2010, the Aspect Series and Master Fund are no longer consolidated. As of June 30, 2012 and December 31, 2011, the Aspect Series held an interest in the Master Fund of approximately 87%.
The Master Fund engages in the speculative trading of U.S. and foreign futures and options on futures contracts and forward currency contracts (collectively, “derivatives”) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. Until October 1, 2009, UBS Securities LLC was the Series’ futures clearing broker (the “Clearing Broker”) and until October 13, 2009, UBS AG was the foreign exchange clearing broker of the Master Fund, although the Master Fund may execute foreign exchange trades through other foreign exchange clearing brokers at any time. On and after October 1, 2009 for general futures clearing brokerage, excluding foreign currency, and on and after October 13, 2009 including foreign currency, Credit Suisse Securities (USA) LLC acts as the Master Fund’s clearing broker (reference to the “Clearing Broker” shall be UBS Securities LLC if involving matters prior to October 1, 2009 and to Credit Suisse Securities (USA) LLC for matters on or after October 1, 2009). The Sponsor, over time, intends to offer investors a selection of different trading advisors, each managing a different segregated series of the Platform. There can be no assurance, however, that any series other than the Series will be offered or that the Series will continue to be offered. The Series was organized on October 26, 2006 and commenced trading on March 16, 2007. The Series filed a Form 10, under the Securities Exchange Act of 1934, as amended, with the SEC to register the units of limited liability company interest (“Units”), which registration became effective October 17, 2006.
The accompanying unaudited condensed financial statements, in the opinion of management, include all adjustments necessary for a fair presentation of the Series’ financial condition as of June 30, 2012 (unaudited) and December 31, 2011 and the results of its operations and its changes in members’ capital for the three and six months ended June 30, 2012 and 2011 (unaudited). These condensed financial statements present the results of interim periods and do
- 5 -
not include all disclosures normally provided in annual financial statements. It is suggested that these unaudited condensed financial statements be read in conjunction with the audited financial statements and notes included in the Series’ annual report on Form 10-K filed with the SEC for the year ended December 31, 2011. The December 31, 2011 information has been derived from the audited financial statements as of December 31, 2011.
On March 16, 2007, the Series issued 5,000.00 Units to the Trading Advisor for $5,000,000 (the “Trading Advisor Investment”) and issued 2,760.62 Units for $2,760,620 to third parties. On April 1, 2007, the Series issued 9.94 Units to the former sponsor, UBS MFS, for $10,000. On December 31, 2007, the Trading Advisor redeemed the full value of the Trading Advisor Investment. On October 31, 2008, UBS MFS redeemed the full value of their Units in conjunction with the assignment of the Sponsor and on November 1, 2008, the Series issued 8.12 Units to the Sponsor for $10,000.
At the sole discretion of the Sponsor, the Series may terminate for any reason (for the avoidance of doubt, the Sponsor shall be entitled, without any violation of any contractual or fiduciary obligation to any investor in the Series (a “Member”), to dissolve the Series at any time).
Change in Accounting Methodology
Prior to December 31, 2010, the Aspect Series consolidated the Master Fund for financial reporting purposes. During the fourth quarter of 2010, the Sponsor concluded that a change in accounting principle was appropriate. Pursuant to this change, the Aspect Series no longer consolidates the non wholly owned Master Funds over which it has a controlling financial interest. Rather, Aspect Series applies investment company master-feeder financial statement presentation, as described in FASB ASC 946, Financial Services – Investment Companies (“ASC 946”), to its interest in the Master Fund, the only non wholly owned Master Fund over which it currently has a controlling financial interest.
(2) Summary of Significant Accounting Policies
The accounting records for the Platform and Series are maintained in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Following is a summary of significant accounting policies consistently followed in the preparation of the financial statements. The Platform includes the accounts of the Aspect Series.
Investment
The Series invests substantially all of its assets in the Master Fund. The Series’ investment in the Master Fund is carried at fair value and represents the Series’ pro rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. The Master Fund’s assets are carried at fair value. At each valuation date, the Master Fund’s income, expenses, net realized gain/(loss) and net increase/(decrease) in unrealized appreciation/(depreciation) are allocated to the Series based on the Series’ pro rata interest in the net assets of the Master Fund, and recorded in the Series’ Statements of Operations. The Master Fund provides the Series with daily estimated net asset valuations. The unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 and should be read in conjunction with the Series’ financial statements.
Basis of Presentation
Pursuant to rules and regulations of the SEC, financial statements are presented for the Platform as a whole and for the Aspect Series. The accompanying financial statements and notes thereto include financial statements and footnote totals for the Fund as a whole. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular segregated series shall be enforceable only against the assets of such series and not against the assets of the Platform generally or any other segregated series. Accordingly, the assets of one segregated series of the Platform include only those funds and other assets that are paid to, held by or distributed to the Platform on account of and for the benefit of that segregated series, including, without limitation, funds delivered to the Platform for the purchase of Units in that segregated series. As of June 30, 2012 and 2011, and December 31, 2011, the Aspect Series exists as the only segregated series on the Platform.
- 6 -
The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. In accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946 Financial Services – Investment Companies, the Series and the Master Fund are not consolidated.
Receivable from the Master Fund
Represents amounts due from the Master Fund for redemptions effective June 30, 2012 and December 31, 2011 but paid subsequent to that date. There were no such amounts receivable at June 30, 2012 or December 31, 2011.
Cash
Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance.
Prepaid Assets
Prepaid assets represent insurance contracts that are maintained by the Series. Premiums paid are capitalized and expensed over the term of the contract. There were no prepaid assets at June 30, 2012 or December 31, 2011.
Subscriptions Received in Advance
Subscriptions received in advance are subscriptions for Units effective subsequent to period end.
Redemptions Payable
Redemptions payable are Unit redemptions effective June 30, 2012 and December 31, 2011 but paid subsequent to that date.
Income Taxes
The Platform follows the provisions of FASB ASC Topic 740, Income Taxes (“ASC 740”), related to accounting for uncertainty in income taxes. ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. ASC 740 requires the evaluation of tax positions taken in the course of preparing the tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current period. As of June 30, 2012 and December 31, 2011, no liability was recognized in connection with ASC 740. The Platform is subject to income tax examinations by tax authorities for all tax years since its inception date.
As the Series is a partnership for tax purposes, the Series’ Members are individually responsible for reporting income or loss based on such Investor’s share of the Series’ income and expenses as reported for income tax purposes.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
Interest Income/Expense
Interest income and expense is recognized on an accrual basis. Interest income or expense may include (1) the allocation from the Master Fund of the Master Fund’s interest income/expense from its broker, or (2) interest income from the Series’ bank account.
- 7 -
Fair Value Measurements and Disclosures
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:
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Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. |
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Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. |
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Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor or custodian in the absence of readily ascertainable market values. |
The Series invests its assets in the Master Fund. The classification of the Master Fund’s investments in accordance with ASC 820 is discussed in the notes to the financial statements of the Master Fund.
In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The ASU requires the following disclosures about fair value measurements of assets and liabilities classified as Level 3 within the fair value hierarchy: the valuation process used by the reporting entity, quantitative information about the unobservable inputs used in a fair value measurement, and the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs, if any. The ASU also requires disclosure about any transfers between Level 1 and Level 2. The disclosures are effective for fiscal years beginning after December 15, 2011. The Sponsor has determined that the adoption of ASU No. 2011-04 had no impact upon the financial statements.
Derivative Instruments
FASB ASC 815, Derivatives and Hedging (“ASC 815”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The Series invests substantially all of its assets in its Master Fund which engages in the speculative trading of U.S. and foreign futures contracts, options on futures contracts, and forward currency contracts (collectively, “derivatives”). The disclosures required by ASC 815 for the Master Fund are discussed in the notes to the financial statements of the Master Fund. The Series does not directly trade derivatives.
Distributions
The Sponsor does not intend to make any distributions. Consequently, in order to pay the taxes attributable to their investment in the Series, Members must either redeem Units or pay such taxes from other sources.
Subscriptions
Units are purchased generally at the beginning of each calendar month based on the net asset value per Unit for all other purposes (see Note 3) calculated for the prior month-end.
Completed Subscription Agreements relative to each series must be received by the appropriate Selling Agent no later than seven calendar days prior to the first day of any month in which a Member intends to invest. Members are initially issued units at $1,000 per unit as of the date of the commencement of operations and at the current Net Asset Value (“NAV”) for all dates thereafter.
- 8 -
Existing Members may make an additional investment by completing, and submitting to the Selling Agents, a short-form Subscription Agreement, as provided by the Sponsor.
The Sponsor, in its sole discretion and for any reason, may decline to accept the subscription of any prospective Member.
Redemptions
Units may be redeemed as of the end of any calendar month (each, a “Redemption Date”) at the Net Asset Value for all other purposes per Unit at such Redemption Date. Redemption requests must be received by the 15th day of the calendar month of such Redemption Date or the following business day if the 15th is not a business day. The Sponsor may permit redemptions at other times and on shorter notice.
The Net Asset Value of redeemed Units is determined as of the Redemption Date for purposes of determining the redemption proceeds due to Members. Members will remain subject to fluctuations in such Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date. The Net Asset Value of Units on the designated Redemption Date may differ materially from the Net Asset Value of such Units as of the date on which an irrevocable redemption request must be submitted.
When Units are redeemed (or exchanged), any accrued fees (including performance fees) and expenses reduce the redemption proceeds paid to members.
Indemnifications
In the normal course of business, the Series enters into contracts and agreements that contain a variety of representations and warranties and which would provide general indemnifications. The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series that have not yet occurred. The Series expects the risk of any future obligation under these indemnifications to be remote.
(3) Related Party Transactions
Each Member or Member-related account is subject to an upfront, waivable placement fee of 0%-2% of the subscription price of the Units, which will be paid once by the relevant Member (not by the Series or by the Sponsor) on each of such Member’s subscriptions to the Series to UBS Financial Services Inc. (“UBS FS”), an affiliate of the Clearing Broker and former sponsor (see Note 1). The placement fee payable on such initial subscription is deducted from the subscription amount by UBS FS. Upfront placement fees of $79,010 and $112,341 and $39,153 and $104,246 for the three and six months ended June 30, 2012 and 2011, respectively, were deducted from proceeds received from the Members.
Members are subject to an ongoing sales commission paid to UBS FS and Credit Suisse Securities LLC, equal to 2% per annum of the month-end net asset value for all other purposes (see below). The Series incurred sales commissions of $443,313 and $868,423 and $364,468 and $709,260 for the three and six months ended June 30, 2012 and 2011, respectively, and accrued $145,045 and $134,044 owed to UBS FS and Credit Suisse Securities LLC at June 30, 2012 and December 31, 2011, respectively. UBS FS or Credit Suisse Securities LLC, in consultation with the Sponsor, may waive or reduce the sales commission for certain Members without entitling any other Member to such waiver or reduction.
Additionally, effective January 1, 2008, 0.50% of the 2.0% management fee is shared by the Trading Advisor with UBS FS (refer to Note (4) for further details on the management fee).
The Sponsor receives a monthly sponsor fee of 0.04166 of 1% (a 0.50% annual rate) of the Series’ month-end net asset value for all other purposes, including interest income, of a Member’s investment in the Series for such month. The Sponsor reserves the right to waive or reduce the fee at its sole discretion. The Series incurred Sponsor’s fees of $110,828 and $217,106 and $91,117 and $177,315 for the three and six months ended June 30, 2012 and 2011, respectively, and accrued $5,059 and $11,402 payable to the Sponsor at June 30, 2012 and December 31, 2011, respectively.
- 9 -
The former sponsor paid all expenses incurred in connection with the organizational and initial offering of the Units at the Series level. As described in the Series’ current Confidential Disclosure Document, the Series reimbursed the former sponsor for these costs. For financial reporting purposes in conformity with GAAP, the Series expensed the total organizational costs of $208,820 when incurred and deducted the initial offering costs of $119,732 from Members’ capital as of March 16, 2007 (the date of commencement of operations of the Series) (“net asset value for financial reporting” or the “net asset value per Unit for financial reporting”). For all other purposes, including determining the net asset value per Unit for subscription and redemption purposes, the Series amortizes organizational and initial offering costs over a 60 month period (“net asset value for all other purposes” or the “net asset value per Unit for all other purposes”). Beginning March 31, 2012, all organizational costs have been amortized and as such, the net asset value for financial reporting mirrors the net asset value for all other purposes.
Aspect Series Net Asset Values
The quarterly net asset value and net asset value per Unit since commencement of operations are as follows:
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Net Asset Value |
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Net Asset Value per Unit |
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All
Other |
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Financial |
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Number
of |
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All
Other |
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Financial |
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|||||
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Price at Commencement* |
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|
|
|
|
$ |
1,000.000 |
|
$ |
1,000.000 |
|
|
March 31, 2007 |
|
$ |
7,805,411 |
|
$ |
7,479,686 |
|
|
7,760.62 |
|
|
1,005.772 |
|
|
963.801 |
|
|
June 30, 2007 |
|
|
13,409,546 |
|
|
13,100,248 |
|
|
11,988.08 |
|
|
1,118.573 |
|
|
1,092.773 |
|
|
September 30, 2007 |
|
|
18,932,687 |
|
|
18,639,817 |
|
|
18,241.85 |
|
|
1,037.871 |
|
|
1,021.816 |
|
|
December 31, 2007 |
|
|
16,034,264 |
|
|
15,757,821 |
|
|
14,700.02 |
|
|
1,090.765 |
|
|
1,071.959 |
|
|
March 31, 2008 |
|
|
20,507,363 |
|
|
20,247,348 |
|
|
17,025.49 |
|
|
1,204.509 |
|
|
1,189.237 |
|
|
June 30, 2008 |
|
|
50,168,558 |
|
|
49,924,971 |
|
|
40,063.82 |
|
|
1,252.216 |
|
|
1,246.136 |
|
|
September 30, 2008 |
|
|
59,013,279 |
|
|
58,786,119 |
|
|
52,463.77 |
|
|
1,124.839 |
|
|
1,120.509 |
|
|
December 31, 2008 |
|
|
71,216,262 |
|
|
71,005,529 |
|
|
53,002.45 |
|
|
1,343.641 |
|
|
1,339.665 |
|
|
March 31, 2009 |
|
|
66,062,490 |
|
|
65,868,185 |
|
|
50,663.64 |
|
|
1,303.950 |
|
|
1,300.108 |
|
|
June 30, 2009 |
|
|
48,597,098 |
|
|
48,419,221 |
|
|
43,344.52 |
|
|
1,121.182 |
|
|
1,117.074 |
|
|
September 30, 2009 |
|
|
65,446,804 |
|
|
65,285,354 |
|
|
55,797.55 |
|
|
1,172.933 |
|
|
1,170.040 |
|
|
December 31, 2009 |
|
|
59,653,082 |
|
|
59,508,061 |
|
|
52,355.78 |
|
|
1,139.379 |
|
|
1,136.609 |
|
|
March 31, 2010 |
|
|
61,712,630 |
|
|
61,584,035 |
|
|
52,710.17 |
|
|
1,170.792 |
|
|
1,168.352 |
|
|
June 30, 2010 |
|
|
58,685,934 |
|
|
58,573,769 |
|
|
50,598.99 |
|
|
1,159.824 |
|
|
1,157.607 |
|
|
September 30, 2010 |
|
|
62,864,771 |
|
|
62,769,033 |
|
|
51,344.51 |
|
|
1,224.372 |
|
|
1,222.507 |
|
|
December 31, 2010 |
|
|
63,929,433 |
|
|
63,850,122 |
|
|
50,286.04 |
|
|
1,271.316 |
|
|
1,269.739 |
|
|
March 31, 2011 |
|
|
69,735,670 |
|
|
69,672,788 |
|
|
55,107.50 |
|
|
1,265.448 |
|
|
1,264.307 |
|
|
June 30, 2011 |
|
|
70,137,681 |
|
|
70,091,226 |
|
|
57,603.59 |
|
|
1,217.592 |
|
|
1,216.786 |
|
|
September 30, 2011 |
|
|
75,178,811 |
|
|
75,148,782 |
|
|
56,985.40 |
|
|
1,319.265 |
|
|
1,318.738 |
|
|
December 31, 2011 |
|
|
80,107,270 |
|
|
80,093,668 |
|
|
61,662.64 |
|
|
1,299.122 |
|
|
1,298.901 |
|
|
March 31, 2012 |
|
|
85,002,471 |
|
|
85,002,471 |
|
|
65,074.13 |
|
|
1,306.241 |
|
|
1,306.241 |
|
|
|
|
|
* |
Commencement of operations of the Series was March 16, 2007 |
- 10 -
(4) Advisory Agreement
The Series will pay its own operating costs plus its proportionate share of the Master Fund’s expenses, including, without limitation: ongoing offering expenses; trading costs (including execution and clearing brokerage commissions); forward and other over-the-counter trading spreads; administrative, transfer, exchange and redemption processing, legal, regulatory, reporting, filing, tax, audit, escrow, accounting and printing fees and expenses, as well as extraordinary expenses. Such operating costs are allocated pro rata among the Units based on their respective net asset values for all other purposes. These expenses are paid in addition to the other expenses described below.
The Sponsor has retained outside service providers to supply certain services, including, without limitation, tax reporting, accounting, legal, and escrow services. Operating costs include the Series’ allocable share of the fees and expenses of such outside service providers.
Under signed agreement, the Trading Advisor for the Series receives a monthly Management Fee at the rate of 0.167% (a 2% annual rate) of the Series’ month-end net asset value for all other purposes (see Note 3) calculated before reduction for any Management Fees, Performance Fees, Sponsor’s Fees, Sales Commission or extraordinary fees accrued (including Performance Fees accrued in a prior month) as of such month-end and before giving effect to any capital contributions made as of the beginning of the month immediately following such month-end and before any distributions or redemptions accrued during or as of such month-end, but after all expenses as of such month-end. The Series incurred Management Fees of $444,058 and $870,163 and $365,084 and $710,562 for the three and six months ended June 30, 2012 and 2011, respectively, and accrued $0 owed to the Trading Advisor at June 30, 2012 and December 31, 2011, respectively.
Also, under signed agreement, the Trading Advisor receives a quarterly Performance Fee equal to 20% of the new net trading profits, if any, of the Series calculated before deducting the Administrative Fee, the Sponsor’s Fee and Sales Commission but after deducting the Management Fee. The Series incurred Performance Fees of $2,806 and $173,293 and $4,391 and $70,642 during the three and six months ended June 30, 2012 and 2011, respectively, no amounts were accrued and owed to the Trading Advisor at June 30, 2012 and December 31, 2011, respectively.
As the Management and Performance Fees are paid out of the Master Fund, via a redemption by the Series from the Master Fund, the amounts of Management and Performance Fees owed to the Trading Advisor as of June 30, 2012 and 2011 are reflected on the Master Fund’s Statements of Financial Condition as Payable to Trading Advisor.
(5) Financial Instruments with Off-balance sheet and Concentration of Credit Risk
At June 30, 2012 and December 31, 2011, the Series did not have direct commitments to buy or sell financial instruments, including derivative instruments. The Series has indirect commitments that arise through the positions held by the Master Fund in which the Series invests. However, as an investor in a Master Fund, the Series’ risk at June 30, 2012 and December 31, 2011 is limited to the fair value of its investment in the Master Fund.
(6) Administration
AlphaMetrix360, LLC (“AlphaMetrix360”) serves as Administrator (the “Administrator”) for the Platform and Series. The Administrator is responsible for certain clerical and administrative functions of the Platform and Series, including acting as registrar and transfer agent, calculation of the NAV based on valuations provided by the Trading Advisor and the Sponsor (although the Sponsor is ultimately responsible for determining the NAV).
(7) NAV Verification Agent
Beginning in November 2011, Custom House Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as the NAV Verification Agent and provide net asset value verifications for the Master Fund and the Series pursuant to a NAV Verification Agreement (the “Custom House Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator. Under the Custom House Agreement, Custom House performs certain net asset value verification procedures and communicates the results of those procedures to each investor.
- 11 -
(8) Financial Highlights
The following financial highlights show the Series’ financial performance for the six months ended June 30, 2012 and 2011, respectively, in the table below. All performance returns noted are calculated based on the net asset value per Unit for financial reporting, with organizational costs incurred prior to issuance of Units being expensed at the commencement of the operations of the Series. Total return is calculated as the change in a theoretical Member’s investment over the entire period-a percentage change in the Member’s capital value for the period. The information has been derived from information presented in the condensed financial statements.
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|
Regarding the information shown in the table below: |
|
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|
|
|
• |
Per Unit operating performance is computed based upon the weighted-average net Units for the periods ended June 30, 2012 and 2011. Total return is calculated as the change in the net asset value per Unit for the six months ended June 30, 2012 and 2011 and is not annualized. |
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|
|
|
• |
The net investment loss and total expense ratios are computed based upon the weighted average net assets for the six months ended June 30, 2012 and 2011. Weighted average net assets include the performance fee and are computed using month-end net assets. Net investment loss and expenses include the Series proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. Such ratios have been annualized, with the exception of the performance fee. |
An individual member’s total return and ratios may vary from those below based on the timing of capital transactions.
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|
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|
|
Six
Months Ended |
|
Six
Months Ended |
|
||
|
|
|
|
|
|
|
||
|
Members’ capital per Unit at beginning of period |
|
$ |
1,298.90 |
|
$ |
1,269.74 |
|
|
|
|
|
|
|
|
|
|
|
Per Unit data (for a unit outstanding throughout the period) |
|
|
|
|
|
|
|
|
Net investment loss |
|
|
(37.06 |
) |
|
(35.11 |
) |
|
Net realized and unrealized gain on investments |
|
|
(12.08 |
) |
|
(17.85 |
) |
|
|
|
|
|
|
|
|
|
|
Total from investment operations |
|
|
(49.14 |
) |
|
(52.96 |
) |
|
|
|
|
|
|
|
|
|
|
Members’ capital per Unit at end of period |
|
$ |
1,249.76 |
|
$ |
1,216.78 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return: |
|
|
|
|
|
|
|
|
Total return before performance fee |
|
|
(3.58 |
%) |
|
(4.07 |
%) |
|
Performance fee |
|
|
(0.20 |
%) |
|
(0.10 |
%) |
|
|
|
|
|
|
|
|
|
|
Total return after performance fee |
|
|
(3.78 |
%) |
|
(4.17 |
%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average Members’ capital Net investment loss |
|
|
(5.49 |
%) |
|
(5.46 |
%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
|
|
|
Expenses |
|
|
5.31 |
% |
|
5.36 |
% |
|
Performance fee |
|
|
0.20 |
% |
|
0.10 |
% |
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
5.51 |
% |
|
5.46 |
% |
|
|
|
|
|
|
|
|
|
- 12 -
(9) Subsequent Events
In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated and disclosed all subsequent events requiring recognition and disclosure in the financial statements through the date the financial statements are issued. Except for the matters discussed in the following paragraph, there are no material events that would require disclosure in or adjustment to the Series’ financial statements through this date.
Member Subscriptions and Redemptions
Subsequent to June 30, 2012, Members subscribed approximately $2,140,106 (of which $1,201,122 represents subscriptions received in advance as of June 30, 2012) and redeemed approximately $1,674,197 (of which $1,534,328 represents redemptions payable at June 30, 2012) through the issue date of the financial statements on August 14, 2012.
Item 2: Management’s Discussion and Analysis of Financial Condition and Results of Operations
Reference is made to Item 1 “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.
All figures and performance returns noted in this Item 2 are based on the net asset value and/or the net asset value per Unit for all other purposes, which complies with GAAP, except with respect to estimated organizational and initial offering costs (which are being amortized over 60 months) as described in the “Notes to Financial Statements – (3) Related Party Transactions.” All figures and performance returns communicated to investors are based on the net asset value and/or the net asset value per Unit for all other purposes.
In order to satisfy the Sponsor’s obligations under applicable anti-money laundering laws and regulations, investors will be required to make certain representations, warranties and covenants in the AlphaMetrix Managed Futures LLC Subscription Agreement concerning the nature of the investor, its investment in the Series and certain other related matters. In addition, the Sponsor reserves the right to request such additional information from investors as the Sponsor, in its sole discretion, requires in order to satisfy its anti-money laundering obligations. By subscribing for Units, each Member agrees to provide such information to the Sponsor upon its request.
Operational Overview
This performance summary describes the manner in which the Series has performed in the past and is not an indication of future performance. While certain market movements are attributable to various market factors, such factors may or may not have caused such movements but they may have simply occurred at or about the same time.
The Series is unlikely to be profitable in markets in which trends do not occur. Static or erratic prices are likely to result in losses. Similarly, sharp trend reversals, which can be caused by many unexpected events, can lead to major short-term losses, as well as gains.
While there is no assurance the Series will profit in any market condition, markets having substantial and sustainable price movements offer the best profit potential for the Series.
Liquidity
Virtually all of the Series’ capital is held in cash at a bank or invested in the Master Fund. The Series’ investment in the Master Fund is held as cash or investment at the Master Fund’s Clearing Broker and used to margin the futures and forward currency positions and is withdrawn, as necessary, to pay redemptions and expenses. The Series does not maintain any sources of financing other than that made available by the Master Fund’s Clearing Broker to fund foreign currency settlements for those instruments transacted and settled in foreign currencies. The Master Fund pays prevailing market rates for such borrowings.
A portion of the assets maintained at the Master Fund’s Clearing Broker is restricted cash required to meet maintenance margin requirements. Included in cash deposits with the Clearing Brokers as of June 30, 2012 and
- 13 -
December 31, 2011 was restricted cash for margin requirements of $10,156,369 and $10,298,501, respectively. This cash becomes unrestricted if the underlying positions it supports are liquidated.
Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures and forward currency trading, the Master Fund’s and the Series’ assets are highly liquid and are expected to remain so. Because the Master Fund’s assets are held in cash, it expects to be able to liquidate all of its open positions or holdings quickly and at prevailing market prices, except in unusual circumstances. This generally permits the Trading Advisor to enter and exit markets, leverage and deleverage in accordance with its strategy. From its commencement of operations on March 16, 2007 through June 30, 2012, the Master Fund experienced no meaningful periods of illiquidity in any of the markets in which it traded.
The Series processed redemptions on a monthly basis. The Series incurred redemptions of $3,940,996 (3,052.24 units) and $4,325,176 (3,440.77 units) for the six months ended June 30, 2012 and 2011, respectively, of which $1,534,328 remained unpaid and is included in redemptions payable to investors in the Series at June 30, 2012.
Capital Resources
The Series’ Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Series is not expected to have a significant impact on its operations, as the Series has no significant capital expenditures or working capital requirements other than for investment in the Master Fund and Member redemptions. The amount of capital invested in the Master Fund is not expected to have a significant impact on the Master Fund’s operations, as the Master Fund has no significant capital expenditures or working capital requirements other than for monies to pay trading losses, trading costs and expenses. Within broad ranges of capitalization, the Master Fund’s trading positions should increase or decrease in approximate proportion to the size of the Series’ investment in the Master Fund.
The Series raises additional capital only through the sale of Units and capital is increased through the Series’ pro rata share of the Master Fund’s trading profits (if any). The Series does not maintain any sources of financing. The Master Fund does not maintain any sources of financing other than that made available by the Clearing Brokers to fund foreign currency settlements for those instruments transacted and settled in foreign currencies.
The Master Fund may trade a variety of futures-related instruments, including (but not limited to) instruments related to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions (“OTC”), because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In OTC transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins that may be subject to loss in the event of a default are generally required in exchange trading, and counterparties may require margin or collateral in the OTC markets.
The Master Fund’s Trading Advisor attempts to control risk in all aspects of the investment process, although there can be no assurance that it will, in fact, succeed in doing so. The Master Fund is designed to take market risk on a systematic basis across a broad portfolio of liquid markets and to monitor and minimize exposure to all other risks, such as credit and liquidity risks. The trading systems used include various proprietary systems that are designed to control the risk taken at the individual position level as well as at the overall portfolio level. The Trading Advisor monitors and seeks to control market risk within limits at both sector and portfolio levels.
The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the fair market values of the futures and forward contracts or the satisfaction of the obligations may
- 14 -
exceed the amount recognized in the Master Fund’s Condensed Statement of Financial Condition, however, the Series exposure to such risk is limited to its investment in the Master Fund.
Due to the nature of the Series’ business, a substantial portion of the Series’ assets are represented by cash except for that portion of the Series’ assets invested in the Master Fund, while the Series maintains its market exposure, via its investment in the Master Fund, through open futures and forward contract positions.
Futures contracts are settled by offset and are generally cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.
The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Series’ profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, in which the Series is likely to suffer losses.
Results of Operations
General
The Trading Advisor manages the assets of the Series pursuant to its Aspect Diversified Program (the “Program”). The Program is a broadly diversified global trading system that deploys multiple trading strategies that seeks to identify and exploit directional moves in market behavior of a broad range of global financial instruments on a variety of underlying interests including but not limited to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. By maintaining comparatively small exposure to any individual market, the aim is to achieve real diversification. The Program seeks to maintain positions in a variety of markets. Market concentration varies according to the strength of signals, volatility and liquidity, among other factors.
The Program employs a fully automated system to collect, process and analyze market data (including current and historical price data) and identify and exploit directional moves, or “trends”, in market behavior, trading across a variety of frequencies to exploit trends over a range of timescales. Positions are taken according to the aggregate signal and are adjusted to control risk.
The investment objective of the Program is to generate significant medium term capital growth independent of overall movements in traditional stock and bond markets within a rigorous risk management framework. This investment objective is intended to be achieved via the investment policy for the Program, which is to trade relevant asset classes applying the Program.
The core objectives of the Program are:
(i) to produce strong medium-term capital appreciation (“medium-term” generally referring to a three- to five-year time period);
(ii) to seek and exploit profit opportunities in both rising and falling markets using a disciplined quantitative investment process;
(iii) to seek non-correlation with the broad bond and stock markets and thereby play a valuable role in enhancing the risk/return profile of traditional investment portfolios; and
(iv) to minimize risk by operating in a diverse range of markets and sectors using a consistent investment process that adheres to pre-defined and monitored risk limits and determines market exposure in accordance with factors including (but not limited to) market correlation, volatility, liquidity and the cost of market access.
- 15 -
The Master Fund’s account traded pursuant to the Program may experience
returns that differ from other Trading Advisor accounts traded pursuant to the
same Program due to, among other factors: (a) regulatory constraints on the
ability of the Series to have exposure to certain contracts; (b) the Series’
selection of the Clearing Broker, which affects access to markets; (c) the
effect of intra-month adjustments to the trading level of the account; (d) the
manner in which the account’s cash reserves are invested; (e) the size of the
Series’ account; (f) the Series’ functional currency, the U.S. Dollars (“USD”);
and (g) the particular futures contracts traded by the Series’ account.
Additionally, certain markets may not be liquid enough to be traded for the
Series’ account.
The investment approach that underpins the Program is
proprietary. The Trading Advisor’s investment philosophy has remained
consistent and involves a scientific approach to investment driven by the
Trading Advisor’s belief that market behavior is not random but rather contains
statistically measurable and predictable price movements and anomalies which,
through sophisticated quantitative research and a disciplined approach, can be
successfully identified and exploited for profit.
The Program is proprietary and highly confidential to the Trading Advisor. Accordingly, the description of the Program as contained herein is general only and is not intended to be exhaustive or absolute.
The Trading Advisor was established in 1997 by Anthony Todd, Dr. Eugene Lambert, Martin Lueck and Michael Adam, all of whom were involved in the development of Adam, Harding and Lueck Limited (“AHL”), now part of Man Group plc, where they advanced the application of systematic quantitative techniques in managed futures investment. The Trading Advisor has grown to a team of over 131 employees and manages approximately $5.9 billion as of March, 2012. The Trading Advisor is a limited liability company registered in England and Wales, which is regulated in the United Kingdom by the Financial Services Authority. Since October 1999, the Trading Advisor has been a member of NFA and has been registered with the CFTC as a commodity trading advisor and commodity pool operator. The Trading Advisor has also been registered with NFA as a principal of its commodity trading advisor subsidiary Aspect Capital Inc. since August 2004. The Trading Advisor has also been registered with the SEC as an investment adviser since October 2003.
The Series commenced trading activities March 16, 2007 with an initial capitalization of $7,760,620, of which $5,000,000 was contributed by the Trading Advisor as seed capital. On December 31, 2007 the Trading Advisor redeemed the full value of its seed capital. As of June 30, 2012, the Series had a capitalization of $85,311,103 based on the net asset value for all other purposes, as defined.
Performance Summary
Quarter ended June 30, 2012
This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2012, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.
The Series ended June 30, 2012 with a year-to-date loss of (3.80%), based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).
April 1, 2012 to June 30, 2012
The Series posted a (5.04%) loss for the month ending June 30, 2012, a loss of (4.32%) and (3.80%) for the three and six months ended June 30, 2012 and an overall gain of 24.98% for the Series from the inception of trading on March 16, 2007 through June 30, 2012 (not annualized and based on net asset value per unit for all other purposes).
The Series saw a (5.04%) loss in June. The majority of the month’s losses occurred on the last trading day as European leaders agreed to ease repayment rules for Spanish banks and help reduce Italy’s borrowing costs. Broadly, the month was characterised by a return of risk appetite amid expectations that central banks would act to help spur growth. Most stock indices, metals and agriculturals prices rose over the month, while fixed income and the US Dollar declined, resulting in losses for the Series. In currencies, losses came from the Series’ short Euro position
- 16 -
against the US Dollar. However gains were made from other Euro based cross pairs as currencies such as the Swedish Krona, Polish Zloty and Hungarian Forint continued to be supported by Eurozone uncertainty. Fixed income sectors contributed negatively with losses dominated by long positions in German government bonds. US Treasuries also declined following the Federal Reserve’s decision to extend ‘Operation Twist’ rather than provide a more aggressive form of easing. The Series’ long position in Short Sterling performed well following the Bank of England’s plans to ease credit conditions. In energies, natural gas prices surged following reports of smaller than expected inventories and above average temperatures in the US. The Series’ losses from natural gas were slightly offset by gains from short positions in crude oil as prices declined following weak US and European employment data. Finally, in agriculturals, losses sustained from the net short position in the sector were lessened by long positions held in the soy complex which gained as news of low soil-moisture levels in the US drove grain prices higher.
The Series posted a 0.36% return for the month ending May 31, 2012, a 1.31% gain for the year to date as of May 31, 2012 and an overall gain of 31.61% for the Series from the inception of trading on March 16, 2007 to May 31, 2012 (not annualized).
The Series returned 0.36% in May. Risk aversion dominated markets following poor US labor market data at the start of the month, increasing concerns about Greece exiting the Euro and the health of banks in Spain. Against this backdrop, equity and energy markets sold off and the US Dollar strengthened. The Series responded to these sharp reversals and switched to a net short position in stock indices and energies by the middle of the month. In currencies, the short US Dollar exposure was significantly reduced and switched to long towards the end of the month. Notably, reduced expectations of an interest rate hike in Canada and a reduction of growth forecast by the Bank of England placed further downward pressure on their currencies, resulting in losses for the Series. However, the Series’ short positioning in the Euro helped offset this somewhat. Safe haven appeal pushed fixed income yields to new lows. In addition, central bank action also drove the Series’ positive performance in fixed income. The Reserve Bank of Australia signaled the possibility of further rate cuts, thus driving the prices of Australian fixed income higher and benefiting the Series’ long positioning. In energies, oil prices were further pushed downwards by increasing inventories in the US and a potential increase in supply by Saudi Arabia. Natural gas experienced a strong rally following short covering to the detriment of the Series’ short positioning. Lastly, metals contributed positively to performance, with gains being derived from short positions across both industrial and precious metals as prices declined with the general selloff in risky assets.
The Series posted a 0.40% return for the month ending April 30, 2012, a 0.95% gain for the year to date as of April 30, 2012 and an overall gain of 31.14% for the Series from the inception of trading on March 16, 2007 to April 30, 2012 (not annualized).
The Series returned 0.40% in April. Economic and political uncertainty in Europe, concerns about slowing growth in China and some disappointing US data releases combined to create risk aversion in markets. Fixed income advanced, leading to gains from the Series’ long bond and interest rate positions, while losses came from the Series’ mainly long positions in stock indices. Nevertheless, one of the top performers was the Series’ short position in the IBEX, which fell to a three-year low amid concerns about the Spanish economy. The Japanese markets were also of particular note. Japanese stock indices fell sharply, and in an effort to boost the country’s economy the Bank of Japan expanded its asset purchase program. Meanwhile the Series’ long position in USD/JPY made losses as the US Dollar fell following a weaker-than-expected US GDP growth figure towards the end of the month. Oil markets fell as the International Energy Agency gave signs that the oil supply and demand imbalance has started to ease, while talks between Iran and the West progressed, resulting in losses from the energies sector. However, agricultural sector was positive, with gains coming in particular from long positions in the soy complex as news of strong demand, combined with poor weather in South America, pushed prices higher.
Quarter ended March 31, 2012
This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2012, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.
- 17 -
The Series ended March 31, 2012 with a year-to-date gain of 0.55%, based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).
January 1, 2012 to March 31, 2012
The Series posted a (1.95%) loss for the month ending March 31, 2012, a gain of 0.55% for the three months ended March 31, 2012 and an overall gain of 30.62% for the Series from the inception of trading on March 16, 2007 through March 31, 2012 (not annualized and based on net asset value per unit for all other purposes).
The Series returned (1.95%) in March. As US labor data continued to surprise on the upside the US dollar strengthened, in particular against commodity currencies, leading to losses for the Series. Mid-month, the Fed upwardly revised the economic outlook for the US leading to a global sell-off in bonds which amounted to losses from the Series’ fixed income exposures. However, against this optimistic economic background, the Series made gains from its long stock index exposures. In Australia, as interest rates were left unchanged with rhetoric suggesting potential monetary easing in the near future, the Australian Dollar fell making it the Series’ worst performer. In commodities, the Series’ short position in natural gas made gains as continued warm weather and reports of high supplies pushed prices lower. This made energies the top sector for the month despite WTI crude falling following weak Chinese data and expectations of a coordinated release of strategic reserves. In agriculturals, the Series’ short position in coffee made gains as prices fell on signs that output from Brazil and Vietnam will increase.
The Series posted a 1.60% return for the month ending February 29, 2012, a 2.55% gain for the year to date as of February 29, 2012 and an overall gain of 33.22% for the Series from the inception of trading on March 16, 2007 to February 29, 2012 (not annualized).
The Series returned positive 1.60% gain in February. The energies sector was the outstanding performer this month as increased global demand and Iranian-induced supply-stresses meant the oil complex rallied strongly. In financial markets, better than expected US labour data, lessening fears of European systemic risk and further liquidity provision by central banks created a bullish sentiment amongst market participants. In Europe, the Bank of England provided yet more quantitative easing with rhetoric suggesting the potential for further rounds. Meanwhile, the European Central Bank’s long-term refinancing operation was much anticipated and over-subscribed when it finally occurred. As a result, world equity markets rallied to the Series’ benefit. However, bonds traded lower incurring losses from the Series’ reducing long exposures. The Reserve Bank of Australia surprised markets by not cutting rates, leading to the Series making losses from its Australian bond exposures. However, gains were made from the Series’ short exposure to the Australian Bank Bills. Elsewhere in Asia, the Bank of Japan also began a liquidity operation, focusing on purchasing longer maturity Japanese government bonds in an effort to bring about some much needed inflation. This led the Yen to weaken sharply against its longer term trend making it the Series’ worst performer. However, higher yielding currencies contributed to making the currencies sector a positive performer overall despite reversals in the Yen and Euro.
The Series posted a 0.93% gain for the month of January 2012 and an overall gain of 31.13% for the Series from the inception of trading on March 16, 2007 to January 31, 2012 (not annualized).
The Series returned a positive 0.93% in January. Attempts to resolve the Eurozone sovereign debt situation drove market sentiment for most of the month. Uncertainty stemming from the struggle by European leaders to reach agreement was punctuated by successful debt auctions, better than expected earnings from US banks and encouraging global economic data. Towards the end of the month the Federal Reserve forecast that US interest rates would remain low until the end of 2014, boosting US Treasuries, stock indices and gold. The US Dollar fell in response, to the benefit of the Series’ positions. Gains were also made on long fixed income positions. In particular, Euribor futures rose amid the prospect of further liquidity injections by the ECB. The rise in global stock markets resulted in losses from short positions, especially in Asian indices. Notably, Chinese indices were also driven upwards by speculation of further monetary easing by The People’s Bank of China. In commodities, losses were made from short positions in agriculturals and metals. Cocoa and wheat prices rose amid forecasts of unfavorable weather, while zinc and aluminium prices rallied following encouraging Chinese trade data and the prospect of output reductions. Natural gas meanwhile continued to trend lower, making the Series’ short position the top performer. Additional gains in energies came from the Series’ long position in Reformulated Gasoline, the price of which rallied on reports of US refinery shutdowns.
- 18 -
Quarter ended June 30, 2011
This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.
The Series ended June 30, 2011 with a year-to-date loss of (4.23%), based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).
April 1, 2011 to June 30, 2011
The Series posted a (3.12%) loss for the month ended June 30, 2011, a loss of (3.78%) and (4.23%) for the three and six months ended June 30, 2011 and an overall gain of 21.76% for the Series from the inception of trading on March 16, 2007 through June 30, 2011 (not annualized and based on net asset value per unit for all other purposes).
The Series lost 3.12% in June. Greek sovereign debt concerns combined with the US Federal Reserve’s downward revision of growth forecasts led to broad risk aversion towards the middle of the month. Disappointing European and Chinese data further added to bearish market sentiment. Against this backdrop the Series made losses as stock markets and commodities declined and the US Dollar strengthened. The losses were partly offset by gains from the Series’ long positions in fixed income markets, particularly German, US and Japanese government bonds, as prices rallied. In the UK, the most recent minutes of the Monetary Policy Committee reinforced the Bank of England’s commitment to a low interest rate environment. Consequently, Sterling fell against the US Dollar while Short Sterling rallied. The International Energy Agency’s decision to release strategic oil reserves added to the downward pressure on oil prices. In agriculturals, the worst performer was corn as prices fell following reports of an unexpectedly large planting season in the US. Towards the end of the month, the Series gave back some of its gains from its long fixed income positions as optimism returned to the markets following the avoidance of default by Greece and the release of strong economic data from the US and Asia.
The Series posted a (4.52%) loss for the month ended May 31, 2011, a (1.14%) loss for the year to date as of May 31, 2011 and an overall gain of 25.68% for the Series from the inception of trading on March 16, 2007 to May 31, 2011 (not annualized).
The Series lost 4.52% in May. Key themes for the month were sell-offs in the commodity markets and continued concerns surrounding Eurozone sovereign debt and global growth. The Series made losses from its long positions in risk-seeking assets with gains coming from the fixed income sectors. Oil prices fell from their recent highs following the release of bearish inventory statistics at the start of the month and moves by investors to take profits in the commodity sector. Agriculturals and metals markets also retraced from their previous highs. Global equities meanwhile declined amid poor global growth data, to the detriment of the Series’ long positions. Risk aversion boosted demand for the US Dollar, to the detriment of the Series’ net short exposure. The Euro fell due to the Eurozone worries, resulting in losses from the Series’ long EUR/USD position. In fixed income, global bond and interest rate futures rose due to safe-haven appeal, to the benefit of the Series’ growing long bond positions. Positive performance from the interest rates sector was driven by profits from the Series’ long Eurodollar position.
The Series posted a 4.02% return for the month ended April 30, 2011, a 3.54% gain for the year to date as of April 30, 2011 and an overall gain of 31.63% for the Series from the inception of trading on March 16, 2007 to April 30, 2011 (not annualized).
The Series returned 4.02% in April, driven by a combination of US Dollar weakness and robust performance from energies and precious metals. The US Dollar fell against major currencies, benefiting the Series’ net short positioning, amid continued expectations that the US Federal Reserve will keep interest rates low. Long positions in oil and its products made gains at the start of the month as military action in Libya and the civil unrest in the wider region continued. Events on both sides of the Atlantic prompted investors to switch to safe haven assets. Standard & Poor’s cut its outlook on US sovereign debt from stable to negative, driving investors to precious metals, which rallied as a result. Concerns about peripheral European debt boosted the prices of core European fixed income, resulting in losses from the Series’ short positions in Euro Bund and Euribor. Towards the end of the month a series
- 19 -
of positive US earnings announcements and successful European government bond auctions helped increase risk appetite. As a result the Series made strong gains from risky assets despite a temporary mid-month energy price correction. Performance from agriculturals was mixed. Cotton futures fell amid uncertainty over demand, while the Series made gains from its long position in coffee as the cost of Arabica rose to a 34-year high following increased demand from developing countries.
Quarter ended March 31, 2011
This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.
The Series ended March 31, 2011 with a year-to-date loss of (0.46%), based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).
January 1, 2011 to March 31, 2011
The Series posted a (1.15%) loss for the month ending March 31, 2011, a loss of (0.46%) for the three months ended March 31, 2011 and an overall gain of 26.54% for the Series from the inception of trading on March 16, 2007 through March 31, 2011 (not annualized and based on net asset value per unit for all other purposes).
The Series returned (1.15%) in March. The month began positively with long positions in oil and the products making gains as the Libyan turmoil continued. However, sentiment turned bearish following European sovereign downgrades and weak Chinese trade and inflation data. On March 11, 2011, the worst earthquake and tsunami in Japanese history devastated the country. Japanese equities sold off sharply, resulting in the Series’ long positions in the Nikkei and Topix being the month’s worst performers. The sell-off in equities spread across the globe on worries about the implications for global growth. In response to these events, positions in the portfolio were systematically reduced. Agricultural markets also sold off to the detriment of the Series’ long positions. Signs that the political turmoil in Ivory Coast may be easing caused the cocoa price to tumble from near 33-year highs. Strong US economic data released later in the month enabled the Series to recoup some of its earlier losses from stock indices and commodities. Expectations of an interest rate increase by the European Central Bank resulted in the Euro strengthening against the USD, to the benefit of the Series. These expectations also resulted in gains from the Series’ short position in Euribor, which were partly offset by losses from long exposure to Eurodollar after the US Federal Reserve announced that they would begin unwinding some stimulus measures.
The Series posted a 2.28% return for the month ending February 28, 2011, a 0.70% gain for the year to date as of February 28, 2011 and an overall gain of 28.02% for the Series from the inception of trading on March 16, 2007 to February 28, 2011 (not annualized).
The Series returned 2.28% in February. Following robust economic and earnings data, global stock markets rose at the start of the month with the S&P 500 pushing above the 1,300 level and doubling the low achieved in March 2009. However, tension in North Africa and the Middle East increased towards the end of the month, causing the oil price to soar. The Series made gains from its long positions in oil and its products, making energies the top sector for the month. In response to the geopolitical concerns, stock markets sold off and the Series gave back some of its earlier profits from stock indices. Metals prices generally increased during the month. Some industrial metals rose due to supply concerns and rising global demand, while precious metals rose as safe-haven appeal returned to the market, with silver hitting a 30-year high. Gains were partly offset by losses from the fixed income sectors. Bonds rallied amid the flight to safety, to the detriment of the Series’ short positions in the sector. Commodity-linked currencies found support as the political turmoil boosted raw materials prices. Profits were also seen from the Series’ net short exposure to the USD as it lost ground against several currencies including Sterling, which was supported by speculation that the Bank of England may raise interest rates earlier than the US Federal Reserve.
The Series posted a (1.55%) loss for the month of January 2011 and an overall gain of 25.16% for the Series from the inception of trading on March 16, 2007 to January 31, 2011 (not annualized).
- 20 -
The Series returned (1.55%) in January. There were two main themes that drove markets during the month: civil unrest in North Africa and increased concerns about inflation. The People’s Bank of China raised its reserve ratio requirement for the fourth time in two months in an effort to prevent its economy from overheating. Meanwhile, in Europe, ECB President Jean-Claude Trichet signaled a potential for interest rate increases in the Eurozone after inflation data exceeded forecasts. The Series incurred losses from its long Euribor and Schatz holdings but benefited from a weaker Euro. In addition, the bonds sector saw losses from the short positions in Australian instruments as the severe flooding saw prices rally on safe haven demand. In commodities, the main losses came from silver and gold which were both affected by profit-taking after silver hit multi-decade highs and gold reached all-time highs, reinforced by some stronger economic news during the month. By contrast, the energies sector was the month’s best performer. Concerns about the Egyptian crisis drove Brent crude, gas oil and heating oil higher, to the benefit of the Series’ long positions across the oils complex. In agriculturals, the Series’ long positions continued to generate positive performance as prices in grains and softs moved upwards, further fuelling the inflation debate.
Off-balance Sheet Arrangements
The Series has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.
Item 3: Quantitative and Qualitative Disclosures About Market Risk
Not applicable; the Series is a smaller reporting company.
Item 4: Controls and Procedures
The Sponsor, with the participation of the Sponsor’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Platform and the Series as of the end of the fiscal quarter for which this Quarterly Report on Form 10-Q is being filed, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended June 30, 2012 that has materially affected, or is reasonably likely to materially affect, the Platform’s and the Series’ internal control over financial reporting.
The Sponsor is not aware of any pending legal proceedings to which the Series is a party or to which any of its assets are subject.
Not required.
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds
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(a) |
Not applicable; previously filed on Forms 8-K |
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(b) |
Not applicable. |
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(c) |
Pursuant to the Platform’s Limited Liability Company Agreement and the Series’ Separate Series Agreement, Members may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit for all other purposes (i.e. including the amortization of organizational and initial offering costs). The redemption of Units has no impact on the value of Units that remain |
- 21 -
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outstanding, and Units are not reissued once redeemed. The following table summarizes the redemptions by Members during the second quarter of 2012: |
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Month |
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Units Redeemed |
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Redemption
Date Net Asset Value per Unit for |
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April 30, 2012 |
|
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335.24 |
|
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1,311.41 |
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|
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May 31, 2012 |
|
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515.42 |
|
|
1,316.13 |
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June 30, 2012 |
|
|
1,227.70 |
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1,249.76 |
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Total |
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2,078.36 |
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Item 3: Defaults Upon Senior Securities
Item 4: (Removed and Reserved)
- 22 -
The following exhibits are included herewith.
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Exhibit Number |
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Description of Document |
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**1.1 |
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Selling Agreement. |
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***2.1 |
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Assignment Agreement |
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*3.1 |
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Certificate of Formation of AlphaMetrix Managed Futures LLC. |
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****3.2 |
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Amended and Restated Limited Liability Company Operating Agreement |
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****3.3 |
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Amended and Restated Separate Series Agreement for the Series. |
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****10.13 |
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Advisory Agreement. |
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*10.5 |
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Form of Customer Agreement. |
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**10.6 |
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Form of Subscription Agreement. |
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****10.12 |
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General Assignment and Assumption Agreement |
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****10.15 |
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Representation Letter. |
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31.1 |
|
Certification of Principal Executive Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934. |
|
|
|
|
|
31. 2 |
|
Certification of Principal Financial Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934. |
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|
32.1 |
|
Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
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|
|
32.2 |
|
Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
|
|
|
|
|
99.1 |
|
Financial Statements of AlphaMetrix Aspect Fund – MT0001 (Master Fund) as of June 30, 2012 (unaudited) and December 31, 2011 and for the three and six months ended June 30, 2012 and 2011 (unaudited). |
|
|
|
|
|
*****101.INS |
|
XBRL Instance Document |
|
*****101.SCH |
|
XBRL Taxonomy Extension Schema |
|
*****101.CAL |
|
XBRL Taxonomy Extension Calculation Linkbase |
|
*****101.DEF |
|
XBRL Taxonomy Extension Definition Linkbase |
|
*****101.LAB |
|
XBRL Taxonomy Extension Label Linkbase |
|
*****101.PRE |
|
XBRL Taxonomy Extension Presentation Linkbase |
* Incorporated
by reference to the Series’ Form 10/A previously filed on November 2, 2006.
** Incorporated by reference to the Series’ Form 10/A previously filed on
January 30, 2007.
*** Incorporated by reference to the Series’ Form 8-K previously filed on
October 1, 2008.
**** Incorporated by reference to the Series’ Form 8-K previously filed on
November 6, 2008.
***** Pursuant to Rule 406T of
Regulation S-T, the Interactive Data Files on Exhibit 101 hereto are deemed not
filed or part of a registration statement or prospectus for purposes of
Sections 11 or 12 of the Securities Act of 1933, as amended, are deemed not
filed for purposes of Section 18 of the Securities and Exchange Act of 1934, as
amended, and otherwise are not subject to liability under those sections.
- 23 -
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on behalf of AlphaMetrix Managed Futures LLC on behalf of itself and its series, Aspect Series, by the undersigned thereunto duly authorized.
Dated: August 14, 2012
|
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|
ALPHAMETRIX MANAGED FUTURES LLC |
|
|
|
|
|
|
|
By: AlphaMetrix, LLC |
|
|
|
Sponsor |
|
|
|
|
|
|
|
By: /s/ Aleks Kins |
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|
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Name: Aleks Kins |
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Title: President and Chief Executive Officer |
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- 24 -
Exhibit 31.1
CERTIFICATION
I, Aleks Kins, President and Chief Executive Officer of AlphaMetrix, LLC, the sponsor of AlphaMetrix Managed Futures LLC (Aspect Series), certify that:
1. I have reviewed this quarterly report on Form 10-Q of AlphaMetrix Managed Futures LLC (Aspect Series) for the period ending June 30, 2012;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 14, 2012
|
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|
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By: |
/s/ Aleks Kins |
|
|
|
|
|
|
Aleks Kins |
|
|
|
President and Chief Executive Officer |
|
|
|
AlphaMetrix, LLC |
|
|
2
EXHIBIT 31.2
CERTIFICATION
I, George Brown, Chief Financial Officer of AlphaMetrix, LLC, the sponsor of AlphaMetrix Managed Futures LLC (Aspect Series), certify that:
1. I have reviewed this quarterly report on Form 10-Q of AlphaMetrix Managed Futures LLC (Aspect Series) for the period ending June 30, 2012;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 14, 2012
|
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|
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By: |
/s/ George Brown |
|
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|
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|
|
George Brown |
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|
|
|
|
|
Chief Financial Officer |
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AlphaMetrix, LLC |
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2
EXHIBIT 32.1
CERTIFICATION
PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE
I, Aleks Kins, the President and Chief Executive Officer of AlphaMetrix, LLC, the Sponsor of AlphaMetrix Managed Futures LLC (Aspect Series) (the “Series”), certify that (i) the Quarterly Report of the Series on Form 10-Q for the period ending June 30, 2012 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Annual Report fairly presents, in all material respects, the financial condition and results of operations of the Series.
Date: August 14, 2012
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By: |
/s/ Aleks Kins |
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|
|
|
|
Aleks Kins |
|
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|
|
|
President and Chief Executive Officer |
|
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|
AlphaMetrix, LLC |
|
|
EXHIBIT 32.2
CERTIFICATION
PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF
THE UNITED STATES CODE
I, George Brown, the Chief Financial Officer of AlphaMetrix, LLC, the Sponsor of AlphaMetrix Managed Futures LLC (Aspect Series) (the “Series”), certify that (i) the Quarterly Report of the Series on Form 10-Q for the period ending June 30, 2012 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in such Annual Report fairly presents, in all material respects, the financial condition and results of operations of the Series.
Date: August 14, 2012
|
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|
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By: |
/s/ George Brown |
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|
|
George Brown |
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|
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Chief Financial Officer |
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AlphaMetrix, LLC |
|
|
Exhibit 99.1
|
|
|
AlphaMetrix Aspect |
|
(A
Cayman Islands Exempted Limited |
|
|
|
Financial
Statements as of June 30, 2012 (Unaudited) |
|
|
|
ALPHAMETRIX ASPECT FUND — MT0001 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
STATEMENTS OF FINANCIAL CONDITION |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2012 |
|
December 31, 2011 |
|
||
|
|
|
|
|
|
|
||
|
ASSETS |
|
|
|
|
|
||
|
Equity in commodity trading account at clearing broker: |
|
|
|
|
|
|
|
|
Cash |
|
$ |
76,825,707 |
|
$ |
72,220,727 |
|
|
Investments, at fair value (representing unrealized appeciation on open contracts, net) |
|
|
— |
|
|
2,015,072 |
|
|
Interest receivable |
|
|
442 |
|
|
— |
|
|
Cash at bank |
|
|
6,086,674 |
|
|
5,289,957 |
|
|
|
|
|
|
|
|
|
|
|
Total Assets |
|
$ |
82,912,823 |
|
$ |
79,525,756 |
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND SHAREHOLDERS’ EQUITY (NET ASSETS) |
|
|
|
|
|
|
|
|
LIABILITIES: |
|
|
|
|
|
|
|
|
Investments, at fair value (representing unrealized appeciation on open contracts, net) |
|
$ |
2,441,975 |
|
$ |
— |
|
|
Accrued expenses |
|
|
— |
|
|
3,765 |
|
|
Payable to trading advisor |
|
|
170,216 |
|
|
154,218 |
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities |
|
|
2,612,191 |
|
|
157,983 |
|
|
|
|
|
|
|
|
|
|
|
SHAREHOLDERS’ EQUITY (NET ASSETS) (NOTE 8): |
|
|
80,300,632 |
|
|
79,367,773 |
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities and Shareholders’ Equity (Net Assets) |
|
$ |
82,912,823 |
|
$ |
79,525,756 |
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
$ |
— |
|
|
|
|
|
(67,913 and 66,028 shares issued and outstanding at June 30, 2012 and December 31, 2011, respectively; 4,999,802 shares authorized) |
|
$ |
1,182.40 |
|
$ |
1,202.03 |
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
- 2 -
|
|
|
ALPHAMETRIX ASPECT FUND — MT0001 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
CONDENSED SCHEDULE OF INVESTMENTS (UNAUDITED) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number |
|
Fair Value |
|
Percentage of |
|
|||
|
|
|
|
|
|
|
|
|
|||
|
Long contracts: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
84 |
|
$ |
216,710 |
|
|
0.27 |
% |
|
Indices |
|
|
39 |
|
|
35,186 |
|
|
0.04 |
|
|
Interest |
|
|
1,013 |
|
|
135,209 |
|
|
0.17 |
|
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
42 |
|
|
33,590 |
|
|
0.04 |
|
|
Indices |
|
|
9 |
|
|
(5,811 |
) |
|
(0.01 |
) |
|
Interest |
|
|
2,748 |
|
|
(11,262 |
) |
|
(0.01 |
) |
|
Metals |
|
|
24 |
|
|
(27,364 |
) |
|
(0.03 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long contracts |
|
|
|
|
|
376,258 |
|
|
0.47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short contracts: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
297 |
|
|
(626,546 |
) |
|
(0.78 |
) |
|
Currency |
|
|
26 |
|
|
(41,353 |
) |
|
(0.05 |
) |
|
Energy |
|
|
277 |
|
|
(989,651 |
) |
|
(1.23 |
) |
|
Indices |
|
|
104 |
|
|
(94,480 |
) |
|
(0.12 |
) |
|
Metals |
|
|
120 |
|
|
(312,695 |
) |
|
(0.39 |
) |
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
15 |
|
|
(19,332 |
) |
|
(0.02 |
) |
|
Indices |
|
|
192 |
|
|
(655,252 |
) |
|
(0.83 |
) |
|
Metals |
|
|
250 |
|
|
(19,821 |
) |
|
(0.02 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total short contracts |
|
|
|
|
|
(2,759,130 |
) |
|
(3.44 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FORWARD CURRENCY CONTRACTS: |
|
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts - long |
|
|
|
|
|
(91,970 |
) |
|
(0.11 |
) |
|
Total forward currency contracts - short |
|
|
|
|
|
32,867 |
|
|
0.04 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts |
|
|
|
|
|
(59,103 |
) |
|
(0.07 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments - at fair value |
|
|
|
|
$ |
(2,441,975 |
) |
|
(3.04 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
- 3 -
|
|
|
ALPHAMETRIX ASPECT FUND — MT0001 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
CONDENSED SCHEDULE OF INVESTMENTS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number |
|
Fair Value |
|
Percentage of |
|
|||
|
|
|
|
|
|
|
|
|
|||
|
Long contracts: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
7 |
|
$ |
2,530 |
|
|
0.00 |
% |
|
Currency |
|
|
5 |
|
|
7,143 |
|
|
0.01 |
|
|
Indices |
|
|
71 |
|
|
41,321 |
|
|
0.05 |
|
|
Interest |
|
|
556 |
|
|
205,619 |
|
|
0.26 |
|
|
Metals |
|
|
24 |
|
|
(300,495 |
) |
|
(0.38 |
) |
|
Energy |
|
|
74 |
|
|
48,616 |
|
|
0.06 |
|
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Indices |
|
|
16 |
|
|
(2,126 |
) |
|
0.00 |
|
|
Interest |
|
|
2,586 |
|
|
1,221,108 |
|
|
1.54 |
|
|
Metals |
|
|
30 |
|
|
(67,243 |
) |
|
(0.08 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long contracts |
|
|
|
|
|
1,156,473 |
|
|
1.46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short contracts: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
341 |
|
|
(124,316 |
) |
|
(0.16 |
) |
|
Currency |
|
|
15 |
|
|
4,204 |
|
|
0.01 |
|
|
Energy |
|
|
221 |
|
|
560,595 |
|
|
0.71 |
|
|
Indices |
|
|
199 |
|
|
63,713 |
|
|
0.08 |
|
|
Interest |
|
|
56 |
|
|
(4,263 |
) |
|
(0.01 |
) |
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
87 |
|
|
143,047 |
|
|
0.18 |
|
|
Indices |
|
|
162 |
|
|
90,998 |
|
|
0.11 |
|
|
Interest |
|
|
45 |
|
|
(1,731 |
) |
|
0.00 |
|
|
Metals |
|
|
141 |
|
|
39,959 |
|
|
0.05 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total short contracts |
|
|
|
|
|
772,206 |
|
|
0.97 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts |
|
|
|
|
|
1,928,679 |
|
|
2.43 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FORWARD CURRENCY CONTRACTS: |
|
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts - long |
|
|
|
|
|
(100,983 |
) |
|
(0.13 |
) |
|
Total forward currency contracts - short |
|
|
|
|
|
187,376 |
|
|
0.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts |
|
|
|
|
|
86,393 |
|
|
0.11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments - at fair value |
|
|
|
|
$ |
2,015,072 |
|
|
2.54 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
- 4 -
|
|
|
ALPHAMETRIX ASPECT FUND — MT0001 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
STATEMENTS OF OPERATIONS (UNAUDITED) |
|
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 and 2011 |
|
(Expressed in U.S. dollars) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months |
|
Six Months |
|
Three Months |
|
Six Months |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income |
|
$ |
10,776 |
|
$ |
12,852 |
|
$ |
— |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXPENSES: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading costs |
|
|
45,002 |
|
|
84,077 |
|
|
33,638 |
|
|
62,407 |
|
|
Interest expense |
|
|
11,621 |
|
|
27,386 |
|
|
8,378 |
|
|
16,494 |
|
|
Bank fees |
|
|
— |
|
|
— |
|
|
— |
|
|
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Expenses |
|
|
56,623 |
|
|
111,463 |
|
|
42,016 |
|
|
79,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INVESTMENT LOSS |
|
|
(45,847 |
) |
|
(98,611 |
) |
|
(42,016 |
) |
|
(79,018 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain/(loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(232,273 |
) |
|
3,185,171 |
|
|
(906,564 |
) |
|
2,223,352 |
|
|
Foreign currency transactions |
|
|
29,114 |
|
|
24,106 |
|
|
5,491 |
|
|
(2,167 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(203,159 |
) |
|
3,209,277 |
|
|
(901,073 |
) |
|
2,221,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in unrealized appreciation/(depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(3,012,328 |
) |
|
(4,457,047 |
) |
|
(1,206,988 |
) |
|
(3,548,814 |
) |
|
Translation of assets and liabilities denominated in foreign currencies |
|
|
(1,455 |
) |
|
(1,479 |
) |
|
(882 |
) |
|
(769 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,013,783 |
) |
|
(4,458,526 |
) |
|
(1,207,870 |
) |
|
(3,549,583 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain/(loss) on investments and foreign currency |
|
|
(3,216,942 |
) |
|
(1,249,249 |
) |
|
(2,108,943 |
) |
|
(1,328,398 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in net assets resulting from operations |
|
$ |
(3,262,789 |
) |
$ |
(1,347,860 |
) |
$ |
(2,150,959 |
) |
$ |
(1,407,416 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
- 5 -
|
|
|
ALPHAMETRIX ASPECT FUND — MT0001 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) |
|
FOR THE SIX MONTHS ENDED JUNE 30, 2012 and 2011 |
|
(Expressed in U.S. dollars) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months |
|
Six Months |
|
||
|
|
|
|
|
|
|
||
|
Changes in net assets from operations: |
|
|
|
|
|
|
|
|
Net investment loss |
|
$ |
(98,611 |
) |
$ |
(79,018 |
) |
|
Net realized gain/(loss) from investments and foreign currency transactions |
|
|
3,209,277 |
|
|
2,221,185 |
|
|
Net increase/(decrease) in unrealized appreciation/(depreciation) on investments and translation of assets and liabilities denominated in foreign currencies |
|
|
(4,458,526 |
) |
|
(3,549,583 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in net assets resulting from operations |
|
|
(1,347,860 |
) |
|
(1,407,416 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in net assets from capital transactions: |
|
|
|
|
|
|
|
|
Proceeds from issuance of shares |
|
|
3,479,900 |
|
|
2,123,500 |
|
|
Redemptions of shares |
|
|
(1,199,181 |
) |
|
(890,182 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in net assets resulting from capital transactions |
|
|
2,280,719 |
|
|
1,233,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase/(decrease) in net assets |
|
|
932,859 |
|
|
(174,098 |
) |
|
|
|
|
|
|
|
|
|
|
NET ASSETS — Beginning of Period |
|
|
79,367,773 |
|
|
67,683,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS — End of Period |
|
$ |
80,300,632 |
|
$ |
67,509,173 |
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
- 6 -
|
|
|
ALPHAMETRIX ASPECT FUND — MT0001 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) |
|
AS OF AND FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011 |
|
|
|
|
1. |
ORGANIZATION AND STRUCTURE |
|
|
|
|
|
AlphaMetrix Aspect Fund — MT0001 (the “Master Fund”) was incorporated on November 1, 2008 in the Cayman Islands as an exempted company with limited liability. The Master Fund was created to serve as the trading entity managed by Aspect Capital Limited (the “Trading Advisor”) pursuant to its Aspect Diversified Program (the “Program”). The Program applies a fully systematic and broadly diversified global trading system, which deploys multiple trading strategies that seek to identify and exploit directional moves in market behavior of a broad range of global financial futures, commodity futures and over-the-counter (“OTC”) derivative contracts including (but not limited to) bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities. The Master Fund began trading November 3, 2008. |
|
|
|
|
|
The Master Fund and other separately incorporated offshore investment vehicles (“Other Master Funds”), is one of the investment vehicles available under the AlphaMetrix Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) as a means of making available to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”) a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. |
|
|
|
|
|
AlphaMetrix Managed Futures LLC is a Delaware series limited liability company (“LLC”) that currently has one series, the Aspect Series (“Public Feeder”) which is a public commodity pool. The Public Feeder was organized in October 2006, commenced operations in March 2007, and invests substantially all of its assets in the Master Fund. Neither the Master Fund nor the Public Feeder are registered under the Investment Company Act of 1940. In December 2009, the series of another newly organized Delaware series LLC, AlphaMetrix Managed Futures II LLC (the “Private Feeder”), began investing in the Master Fund. At June 30, 2012 and December 31, 2011, approximately 87% of the Master Fund is owned by the Public Feeder and approximately 13% is owned by the Private Feeder. |
|
|
|
|
|
The Public Feeder and Private Feeder are collectively hereafter referred to as the “Feeder Funds.” Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by each Feeder Fund’s respective Confidential Offering Memorandum. |
|
|
|
|
|
The Master Fund is managed by its Board of Directors (“Directors”). The Directors have delegated the day-to-day operations of the Master Fund to service providers, including the Sponsor and the Master Fund’s administrator. There are no service contracts, existing or proposed, between the Master Fund and any Director, aside from the fiduciary responsibility that each Director serves in fulfillment of his or her respective role as Director of the Master Fund. |
|
|
|
|
|
The Sponsor was formed in May 2005 and its principal office is located in Chicago, Illinois. The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the Securities and Exchange |
- 7 -
|
|
|
|
|
Commission (“SEC”) as a Registered Investment Advisor (“RIA”), and registered transfer agent (“RTA”) and is a member of the National Futures Association (“NFA”). |
|
|
|
|
|
The Master Fund has appointed the Sponsor, under the terms of a trading management agreement (the “Trading Management Agreement”), to manage, with wide discretionary powers, the portfolio of the Master Fund. Under the Trading Management Agreement, the Directors have delegated to the Sponsor full authority in respect of all matters relating to the investment and portfolio management of the Master Fund. |
|
|
|
|
|
Pursuant to the Trading Management Agreement, the Directors have also delegated to the Sponsor authority to select the administrator for the Master Fund. The Trading Management Agreement will continue and remain in force until terminated by either the Sponsor or the Master Fund upon not less than thirty (30) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Master Fund by the Trading Advisor is suspended), the Trading Management Agreement may be terminated immediately by either party. |
|
|
|
|
|
The Master Fund and the Sponsor have entered into a contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with its Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provides prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisor (or its affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Platform’s Trading Advisors (or their affiliates) are aggregated for the purposes of applying speculative position limits. The management and incentive fees due to the Trading Advisor, in accordance with the Trading Agreement, are calculated, recorded and allocated to the Investors by the Feeder Funds in accordance with the each Feeder Fund’s Confidential Offering Memorandum. These fees are paid by the Master Fund via redemptions by the Feeder Funds from the Master Fund. |
|
|
|
|
2. |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
|
|
|
|
|
The accounting records of the Master Fund are maintained in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. |
|
|
|
|
|
Cash — Cash held in the commodity trading account at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund also holds cash in a non-interest bearing United States dollars (“USD”) commercial bank account. The Master Fund holds various currencies at the clearing broker, of which approximately $77,303,263 and $72,340,809 is held in USD and ($477,556) and ($120,082) in foreign currencies as of June 30, 2012 and December 31, 2011, respectively. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of June 30, 2012 and December 31, 2011 included restricted cash for margin requirements of $10,156,369 and $10,298,501, respectively. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. |
- 8 -
|
|
|
|
|
|
Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies: |
|
|
|
|
|
|
|
Valuation and Revenue Recognition — |
|
|
|
|
|
|
|
|
Futures and Options on Futures Contracts — The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the first-in-first-out (“FIFO”) method. |
|
|
|
|
|
|
|
Forward Currency Contracts — Forward currency contracts, agreements to exchange one currency for another at a future date and at a specified price, are recorded on the trade date. The difference between the original contract amount and fair value of the open forward contract is reflected as unrealized appreciation/(depreciation) on open contracts. Realized gain or loss is recognized when the open contract is closed on its settlement date. Fair value of forward contracts is priced daily at closing and based on broker quotes received from interbank foreign currency markets. |
|
|
|
|
|
|
|
Foreign Currency Transactions — The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation on open contracts, net. The Master Fund does not separate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in the fair value of investments held on the Statements of Operations. Net realized foreign exchange gains or losses arise from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities resulting from changes in exchange rates. |
|
|
|
|
|
|
Trading Costs — Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, and transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual investment transaction. |
|
|
|
|
|
|
|
Interest Income/Expense — Interest income and expense is recognized on an accrual basis. |
|
|
|
|
|
|
|
Operating Costs — Operating costs consist of legal, compliance, regulatory, audit, tax, administration, and other costs. In accordance with each Feeder Fund’s respective Confidential |
|
- 9 -
|
|
|
|
|
Offering Memorandum, each Feeder Fund is responsible for and will bear its pro rata share of the Master Fund’s operating costs. |
|
|
|
|
|
Income Taxes — The Master Fund follows the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 740, Income Taxes (“ASC 740”), related to accounting for uncertainty in income taxes. ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. ASC 740 requires the evaluation of tax positions taken in the course of preparing the tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. For the six months ended June 30, 2012 and the year ended December 31, 2011, the Master Fund recognized no liability in connection with ASC 740. The Master Fund is subject to U.S. Federal, state and local or non-US income tax examinations by tax authorities for all tax years since inception. |
|
|
|
|
|
As the Master Fund is a partnership for tax purposes, the Master Fund’s investors are individually responsible for reporting income or loss based on each investor’s share of the Master Fund’s income and expenses as reported for income tax purposes. |
|
|
|
|
|
Use of Estimates — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. |
|
|
|
|
|
Indemnifications — The Sponsor and Directors are indemnified against certain liabilities arising out of the performance of their duties for the Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. |
|
|
|
|
3. |
FAIR VALUE MEASUREMENTS |
|
|
|
|
|
The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: |
|
|
|
|
|
Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. |
|
|
|
|
|
Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. |
- 10 -
|
|
|
|
|
Level 3 — Values for securities categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. |
|
|
|
|
|
In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The ASU requires the following disclosures about fair value measurements of assets and liabilities classified as Level 3 within the fair value hierarchy: the valuation process used by the reporting entity, quantitative information about the unobservable inputs used in a fair value measurement, and the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs, if any. The ASU also requires disclosure about any transfers between Level 1 and Level 2. The disclosures are effective for fiscal years beginning after December 15, 2011. The Sponsor has determined that the adoption of ASU No. 2011-04 in the current period has no impact upon the Master Fund’s financial statements. |
|
|
|
|
|
A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund are observable. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. |
|
|
|
|
|
Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and OTC derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying reference such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. |
|
|
|
|
|
There were no transfers between levels for the six months ended June 30, 2012 and year ended December 31, 2011. |
|
|
|
|
|
The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. |
|
|
|
|
|
The following tables present the classification of derivatives, by type, into the above hierarchy levels as of June 30, 2012 and December 31, 2011. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. |
- 11 -
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at Reporting Date Using |
|
||||||||
|
|
|
|
|
|
|
||||||||
|
Description |
|
Fair Value at |
|
Quoted Prices
in |
|
Significant
Other |
|
Significant |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
$ |
251,190 |
|
$ |
251,190 |
|
$ |
— |
|
$ |
— |
|
|
Indices |
|
|
49,248 |
|
|
49,248 |
|
|
— |
|
|
— |
|
|
Interest |
|
|
875,456 |
|
|
875,456 |
|
|
— |
|
|
— |
|
|
Metals |
|
|
119,369 |
|
|
119,369 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
521,733 |
|
|
— |
|
|
521,733 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment assets at fair value |
|
|
1,816,996 |
|
|
1,295,263 |
|
|
521,733 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
(646,768 |
) |
|
(646,768 |
) |
|
— |
|
|
— |
|
|
Currency |
|
|
(41,353 |
) |
|
(41,353 |
) |
|
— |
|
|
— |
|
|
Energy |
|
|
(989,651 |
) |
|
(989,651 |
) |
|
— |
|
|
— |
|
|
Indices |
|
|
(769,605 |
) |
|
(769,605 |
) |
|
— |
|
|
— |
|
|
Interest |
|
|
(751,509 |
) |
|
(751,509 |
) |
|
— |
|
|
— |
|
|
Metals |
|
|
(479,249 |
) |
|
(479,249 |
) |
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
(580,836 |
) |
|
— |
|
|
(580,836 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment liabilities at fair value |
|
|
(4,258,971 |
) |
|
(3,678,135 |
) |
|
(580,836 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments at fair value - net* |
|
$ |
(2,441,975 |
) |
$ |
(2,382,872 |
) |
$ |
(59,103 |
) |
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Located on the Statement of Financial Condition as Investments, at fair value. |
|||||||||||||
- 12 -
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at Reporting Date Using |
|
||||||||
|
|
|
|
|
|
|
||||||||
|
Description |
|
Fair Value at |
|
Quoted Prices
in |
|
Significant
Other |
|
Significant |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy |
|
$ |
634,611 |
|
$ |
634,611 |
|
$ |
— |
|
$ |
— |
|
|
Metals |
|
|
93,336 |
|
|
93,336 |
|
|
— |
|
|
— |
|
|
Interest |
|
|
1,594,655 |
|
|
1,594,655 |
|
|
— |
|
|
— |
|
|
Indices |
|
|
229,592 |
|
|
229,592 |
|
|
— |
|
|
— |
|
|
Currency |
|
|
13,706 |
|
|
13,706 |
|
|
— |
|
|
— |
|
|
Agriculture |
|
|
351,958 |
|
|
351,958 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
268,640 |
|
|
— |
|
|
268,640 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment assets at fair value |
|
|
3,186,498 |
|
|
2,917,858 |
|
|
268,640 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy |
|
|
(25,400 |
) |
|
(25,400 |
) |
|
— |
|
|
— |
|
|
Metals |
|
|
(421,115 |
) |
|
(421,115 |
) |
|
— |
|
|
— |
|
|
Interest |
|
|
(173,922 |
) |
|
(173,922 |
) |
|
— |
|
|
— |
|
|
Indices |
|
|
(35,686 |
) |
|
(35,686 |
) |
|
— |
|
|
— |
|
|
Currency |
|
|
(2,359 |
) |
|
(2,359 |
) |
|
— |
|
|
— |
|
|
Agriculture |
|
|
(330,697 |
) |
|
(330,697 |
) |
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
(182,247 |
) |
|
— |
|
|
(182,247 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment liabilities at fair value |
|
|
(1,171,426 |
) |
|
(989,179 |
) |
|
(182,247 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments at fair value - net* |
|
$ |
2,015,072 |
|
$ |
1,928,679 |
|
$ |
86,393 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Located on the Statement of Financial Condition as Investments, at fair value. |
|||||||||||||
|
|
|
|
4. |
DERIVATIVE INSTRUMENTS |
|
|
|
|
|
Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures and options on futures contracts and forward currency contracts (collectively, “derivatives”) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency |
- 13 -
|
|
|
|
|
contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. |
|
|
|
|
|
Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisor according to its Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased 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. Credit risk due to exchange traded financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. As of June 30, 2012 and December 31, 2011, the credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 and $86,393, respectively. |
|
|
|
|
|
Purchase and sale of futures contracts requires margin deposits with a broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. |
|
|
|
|
|
The Master Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement. |
|
|
|
|
|
The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. |
|
|
|
|
|
To evaluate and monitor counterparty risk for each counterparty, the AlphaMetrix Risk Department initially evaluates the credit ratings from the major agencies: Moody’s, Standard & Poor’s and Fitch Ratings. Credit ratings and outlooks are monitored daily for downgrades whereby an investigation is initiated upon an adverse occurrence. Further, any large decline in the daily stock price also triggers an investigation. Lastly, quarterly reports on earnings and future outlooks from counterparties are reviewed and analyzed for unfavorable results by the AlphaMetrix Risk Department. |
|
|
|
|
|
FASB ASC 815, Derivatives and Hedging (“ASC 815”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. |
- 14 -
|
|
|
|
|
Pursuant to the Program, the Master Fund engages in the speculative trading of derivatives. These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Master Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk with the clearing broker, the risk of failure by another party to perform according to the terms of a contract. |
|
|
|
|
|
At June 30, 2012 and December 31, 2011, the Master Fund had open futures positions with the following notional values by sector: |
|
|
|
|
|
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Quantity |
|
Notional Value |
|
||
|
|
|
|
|
|
|
|
||
|
|
Long |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Metals |
|
|
24 |
|
$ |
2,036,271 |
|
|
|
Agriculture |
|
|
126 |
|
|
4,500,826 |
|
|
|
Interest |
|
|
3,761 |
|
|
1,017,638,104 |
|
|
|
Indices |
|
|
48 |
|
|
2,537,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Energy |
|
|
277 |
|
|
(18,305,074 |
) |
|
|
Metals |
|
|
370 |
|
|
(27,752,225 |
) |
|
|
Agriculture |
|
|
312 |
|
|
(10,715,804 |
) |
|
|
Currency |
|
|
26 |
|
|
(2,257,245 |
) |
|
|
Indices |
|
|
296 |
|
|
(17,000,813 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2011 |
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Quantity |
|
Notional Value |
|
||
|
|
|
|
|
|
|
|
||
|
|
Long |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Energy |
|
|
74 |
|
$ |
7,690,001 |
|
|
|
Metals |
|
|
54 |
|
|
5,431,774 |
|
|
|
Agriculture |
|
|
7 |
|
|
252,795 |
|
|
|
Currency |
|
|
5 |
|
|
722,960 |
|
|
|
Interest |
|
|
3,142 |
|
|
862,085,081 |
|
|
|
Indices |
|
|
87 |
|
|
5,143,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Energy |
|
|
221 |
|
|
(6,698,196 |
) |
|
|
Metals |
|
|
141 |
|
|
(7,880,431 |
) |
|
|
Agriculture |
|
|
428 |
|
|
(13,184,259 |
) |
|
|
Currency |
|
|
15 |
|
|
(1,157,845 |
) |
|
|
Interest |
|
|
101 |
|
|
(59,474,444 |
) |
|
|
Indices |
|
|
361 |
|
|
(13,638,554 |
) |
|
|
|
|
|
During the six months ended June 30, 2012, the Master Fund participated in 6,544 forward currency and 32,226 futures contract transactions. |
|
|
|
|
|
During 2011, the Master Fund participated in 11,575 forward currency and 46,553 futures contract transactions. |
- 15 -
|
|
|
|
|
The effect of trading derivative contracts on the Statements of Operations for the three and six months ended June 30, 2012 is detailed below: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
Trading |
|
Net
Trading |
|
||
|
|
|
|
|
|
|
|
||
|
|
Futures contracts: |
|
|
|
|
|
|
|
|
|
Agriculture |
|
$ |
32,291 |
|
$ |
(105,074 |
) |
|
|
Currencies |
|
|
(106,434 |
) |
|
(183,224 |
) |
|
|
Energy |
|
|
(2,827,389 |
) |
|
1,282,775 |
|
|
|
Indices |
|
|
(3,048,174 |
) |
|
(2,510,107 |
) |
|
|
Interest |
|
|
5,296,443 |
|
|
3,704,968 |
|
|
|
Metals |
|
|
68,950 |
|
|
(676,359 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures contracts: |
|
|
(584,313 |
) |
|
1,512,979 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts: |
|
|
(2,660,288 |
) |
|
(2,784,855 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net trading gain/(loss) |
|
$ |
(3,244,601 |
) |
$ |
(1,271,876 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
* Includes both realized gains/(losses) of ($232,273) and $3,185,171 and net change in unrealized appreciation (depreciation) of ($3,012,328) and ($4,457,047) for the three and six months ended June 30, 2012, respectively, and is located in Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency in the Statements of Operations. Amounts exclude foreign currency transactions and translation. |
|||||||
- 16 -
|
|
|
|
|
The effect of trading derivative contracts on the Statements of Operations for the three and six months ended June 30, 2011 is detailed below: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
Trading |
|
Net
Trading |
|
||
|
|
|
|
|
|
|
|
||
|
|
Futures contracts: |
|
|
|
|
|
|
|
|
|
Agriculture |
|
$ |
(1,055,273 |
) |
$ |
(1,025,816 |
) |
|
|
Currencies |
|
|
86,490 |
|
|
143,018 |
|
|
|
Energy |
|
|
(1,564,582 |
) |
|
1,251,162 |
|
|
|
Indices |
|
|
(931,847 |
) |
|
(1,513,036 |
) |
|
|
Interest |
|
|
688,435 |
|
|
(1,123,659 |
) |
|
|
Metals |
|
|
(298,902 |
) |
|
(417,321 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures contracts: |
|
|
(3,075,679 |
) |
|
(2,685,652 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts: |
|
|
962,127 |
|
|
1,360,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net trading gain/(loss) |
|
$ |
(2,113,552 |
) |
$ |
(1,325,462 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Includes both realized gains/(losses) of ($906,564) and $2,223,352 and net change in unrealized appreciation (depreciation) of ($1,206,988) and ($3,548,814) for the three and six months ended June 30, 2011, respectively, and is located in Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency in the Statements of Operations. Amounts exclude foreign currency transactions and translation. |
|||||||
|
|
|
|
5. |
ALLOCATION OF MASTER FUND’S INCOME AND GAINS AND LOSSES |
|
|
|
|
|
Profits and losses of the Master Fund are allocated pro-rata among the participating shareholders (Feeder Funds) holding interests in the Master Fund. |
|
|
|
|
6. |
RELATED PARTIES |
|
|
|
|
|
AlphaMetrix Alternative Investment Advisors, LLC (“AlphaMetrix AIA”), an independent research affiliate of the Sponsor, was formed in August 2007. AlphaMetrix AIA is a registered CFTC commodity trading advisor and member of the NFA. AlphaMetrix AIA is responsible for the initial due diligence of the Trading Advisors that are being considered for the Platform. While AlphaMetrix AIA conducts due diligence and recommends Trading Advisors for the Platform, the Sponsor is ultimately responsible for the selection of all Trading Advisors to be added to the Platform. Currently, AlphaMetrix AIA receives no direct compensation for the services provided. |
|
|
|
|
|
AlphaMetrix360 Cayman, LLC (“AlphaMetrix360 Cayman”), an affiliate of the Sponsor, provides administration services for the Master Fund. |
|
|
|
|
7. |
NAV VERIFICATION AGENT |
|
|
|
|
|
Beginning in November 2011, Custom House Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as the NAV Verification Agent and provide net asset value verifications for the Master Fund and the Public and Private Feeders pursuant to a NAV Verification |
- 17 -
|
|
|
|
|
Agreement (the “Custom House Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator. Under the Custom House Agreement, Custom House performs certain net asset value verification procedures and communicates the results of those procedures to each investor. |
|
|
|
|
8. |
CAPITAL STRUCTURE |
|
|
|
|
|
The Share capital of the Master Fund is US$50,000 divided into (i) 2 voting, non-participating Management Shares of a nominal or par value of US$1.00 each and (ii) 4,999,800 non-voting, participating Portfolio Shares each being a non-voting share each of a nominal or par value of US$0.01 each. Subscriptions and redemptions into the Master Fund are transacted at the current net asset value at the time of the subscription or redemption. |
|
|
|
|
|
The analysis of changes in shares (rounded to nearest whole share) for the six months ended June 30, 2012 and 2011 are as follows: |
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|
|
|
|
|
|
|
|
|
|
|
2012 |
|
2011 |
|
||
|
|
|
|
|
|
|
||
|
Shares outstanding — Beginning of Period |
|
|
66,028 |
|
|
62,478 |
|
|
|
|
|
|
|
|
|
|
|
Shares subscribed |
|
|
2,858 |
|
|
1,931 |
|
|
Shares redeemed |
|
|
(973 |
) |
|
(810 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding — End of Period |
|
|
67,913 |
|
|
63,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9. |
FINANCIAL HIGHLIGHTS |
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|
|
|
|
|
|
Financial highlights of the Master Fund for the six months ended June 30, 2012 and 2011 are presented in the table below. The information has been derived from information presented in the financial statements. |
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|
|
|
Regarding the information shown in the table below: |
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|
|
|
• |
Per share operating performance is computed based upon either actual number of shares outstanding at the beginning and end of the period or the weighted-average net shares for the six months ended June 30, 2012 and 2011. Weighted average shares are computed using the month-end shares outstanding. |
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|
|
|
|
|
• |
Total return is calculated as the change in the net asset value per share for the six months ended June 30, 2012 and 2011, and is not annualized. |
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|
|
|
|
|
• |
The net investment loss and total expense ratios are computed based upon the weighted average net assets for the six months ended June 30, 2012 and 2011, and are annualized. Weighted average net assets are computed using the average of month-end net assets. |
- 18 -
|
|
|
|
|
An individual shareholder’s total return and ratios may vary from those below based on the timing of capital transactions. |
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|
|
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|
|
|
|
|
Six |
|
Six |
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||
|
|
|
|
|
|
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||
|
Net asset value — Beginning of Period |
|
$ |
1,202.03 |
|
$ |
1,083.31 |
|
|
|
|
|
|
|
|
|
|
|
Per share data (for a share outstanding throughout the period): |
|
|
|
|
|
|
|
|
Net investment loss |
|
|
(1.46 |
) |
|
(1.25 |
) |
|
Total realized and unrealized gain/(loss) on investments |
|
|
(18.17 |
) |
|
(20.58 |
) |
|
|
|
|
|
|
|
|
|
|
Total from investment operations |
|
|
(19.63 |
) |
|
(21.83 |
) |
|
|
|
|
|
|
|
|
|
|
Net asset value — End of Period |
|
$ |
1,182.40 |
|
$ |
1,061.48 |
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(1.63 |
)% |
|
(2.02 |
)% |
|
|
|
|
|
|
|
|
|
|
Ratio to average net assets: |
|
|
|
|
|
|
|
|
Net investment loss |
|
|
(0.24 |
)% |
|
(0.23 |
)% |
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
0.27 |
% |
|
0.23 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
10. |
SUBSEQUENT EVENTS |
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|
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|
|
In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through August 14, 2012, the date the financial statements were available for issuance. The Sponsor has determined that except for the matters discussed in the following paragraph, there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date. |
|
|
|
|
|
Between July 1, 2012 and August 14, 2012, the Master Fund had subscriptions of $295,200 and redemptions of $172,656. |
* * * * * *
- 19 -
|
|
|
ALPHAMETRIX ASPECT FUND — MT0001 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
OATH OF AFFIRMATION OF THE COMMODITY POOL OPERATOR |
|
|
To the best of the knowledge and belief of the undersigned, the information contained in the report as of June 30, 2012 and for the three and six months ended June 30, 2012 and 2011 (unaudited), is accurate and complete.
|
|
|
|
/s/ Aleks Kins |
|
|
|
|
|
Aleks Kins, President and Chief Executive Officer |
|
|
AlphaMetrix, LLC — Sponsor |
|
- 20 -
|
Advisory Agreement
|
6 Months Ended |
|---|---|
|
Jun. 30, 2012
|
|
| Advisory Agreement Disclosure [Text Block] | (4) Advisory Agreement The Series will pay its own operating costs plus its proportionate share of the Master Fund’s expenses, including, without limitation: ongoing offering expenses; trading costs (including execution and clearing brokerage commissions); forward and other over-the-counter trading spreads; administrative, transfer, exchange and redemption processing, legal, regulatory, reporting, filing, tax, audit, escrow, accounting and printing fees and expenses, as well as extraordinary expenses. Such operating costs are allocated pro rata among the Units based on their respective net asset values for all other purposes. These expenses are paid in addition to the other expenses described below. The Sponsor has retained outside service providers to supply certain services, including, without limitation, tax reporting, accounting, legal, and escrow services. Operating costs include the Series’ allocable share of the fees and expenses of such outside service providers. Under signed agreement, the Trading Advisor for the Series receives a monthly Management Fee at the rate of 0.167% (a 2% annual rate) of the Series’ month-end net asset value for all other purposes (see Note 3) calculated before reduction for any Management Fees, Performance Fees, Sponsor’s Fees, Sales Commission or extraordinary fees accrued (including Performance Fees accrued in a prior month) as of such month-end and before giving effect to any capital contributions made as of the beginning of the month immediately following such month-end and before any distributions or redemptions accrued during or as of such month-end, but after all expenses as of such month-end. The Series incurred Management Fees of $444,058 and $870,163 and $365,084 and $710,562 for the three and six months ended June 30, 2012 and 2011, respectively, and accrued $0 owed to the Trading Advisor at June 30, 2012 and December 31, 2011, respectively. Also, under signed agreement, the Trading Advisor receives a quarterly Performance Fee equal to 20% of the new net trading profits, if any, of the Series calculated before deducting the Administrative Fee, the Sponsor’s Fee and Sales Commission but after deducting the Management Fee. The Series incurred Performance Fees of $2,806 and $173,293 and $4,391 and $70,642 during the three and six months ended June 30, 2012 and 2011, respectively, no amounts were accrued and owed to the Trading Advisor at June 30, 2012 and December 31, 2011, respectively. As the Management and Performance Fees are paid out of the Master Fund, via a redemption by the Series from the Master Fund, the amounts of Management and Performance Fees owed to the Trading Advisor as of June 30, 2012 and 2011 are reflected on the Master Fund’s Statements of Financial Condition as Payable to Trading Advisor. |