EX-99.1 6 c73712_ex99-1.htm

Exhibit 99.1

 

AlphaMetrix WC

Diversified Fund —

MT0041

(A Cayman Islands Exempted Limited Liability

Company)

 

Financial Statements as of March 31, 2013 (unaudited)

and December 31, 2012 and for the Three Months

Ended March 31, 2013 and 2012 (Unaudited)


 

ALPHAMETRIX WC DIVERSIFIED FUND — MT0041

(A Cayman Islands Exempted Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2013 AND DECEMBER 31, 2012

(Expressed in U.S. dollars)
 

 

 

 

 

 

 

 

 

 

 

March 31, 2013
(Unaudited)

 

December 31, 2012

 

 

 

  

 

  

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity in commodity trading accounts at clearing brokers:

 

 

 

 

 

 

 

Cash

 

$

72,092,149

 

$

72,415,838

 

Investment in futures, at fair value (representing

 

 

 

 

 

 

 

unrealized appreciation on open contracts, net)

 

 

2,722,170

 

 

2,848,624

 

Investment in forward currency contracts, at fair value (representing unrealized appreciation on open contracts, net)

 

 

—

 

 

475,706

 

Cash at bank

 

 

2,000

 

 

29,260,417

 

 

 

    

 

    

 

Total Assets

 

$

74,816,319

 

$

105,000,585

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

LIABILITIES AND SHAREHOLDERS’ EQUITY (NET ASSETS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

 

Equity in commodity trading accounts at clearing brokers:

 

 

 

 

 

 

 

Investment in futures, at fair value (representing unrealized depreciation on open contracts, net)

 

$

44,222

 

$

—

 

Investment in forward currency contracts, at fair value (representing unrealized depreciation on open contracts, net)

 

 

104,857

 

 

—

 

Redemptions payable

 

 

1,331,488

 

 

4,582,486

 

 

 

    

 

    

 

Total Liabilities

 

 

1,480,567

 

 

4,582,486

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

SHAREHOLDERS’ EQUITY (NET ASSETS) (NOTE 9):

 

 

73,335,752

 

 

100,418,099

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Total Liabilities and Shareholders’ Equity (Net Assets)

 

$

74,816,319

 

$

105,000,585

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Net asset value per share

 

 

 

 

 

 

 

(26,980 and 42,917 shares issued and outstanding at March 31, 2013 and December 31, 2012, respectively; 4,999,802 shares authorized)

 

$

2,718.15

 

$

2,339.85

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

See notes to financial statements.

 

 

 

 

 

 

 

1


 

ALPHAMETRIX WC DIVERSIFIED FUND — MT0041

(A Cayman Islands Exempted Limited Liability Company)

 

CONDENSED SCHEDULE OF INVESTMENTS (Unaudited)

MARCH 31, 2013

(Expressed in U.S. dollars)
 

 

 

 

 

 

 

 

 

 

 

 

 

 

Number of
Contracts

 

Fair Value

 

Percent of
Shareholders’
Equity (Net Assets)

 

Long positions:

 

 

 

 

 

 

 

 

 

 

Domestic

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

129

 

$

64,727

 

 

0.09

%

Currency

 

 

912

 

 

501,771

 

 

0.68

 

Energy

 

 

242

 

 

672,787

 

 

0.92

 

Index

 

 

1,327

 

 

807,907

 

 

1.10

 

Interest

 

 

3,444

 

 

349,251

 

 

0.48

 

Metals

 

 

4

 

 

5,715

 

 

0.01

 

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

(204,550

)

 

(0.28

)

Foreign

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

32

 

 

1,740

 

 

—

 

Energy

 

 

39

 

 

33,930

 

 

0.05

 

Index

 

 

1,578

 

 

(367,018

)

 

(0.50

)

Interest

 

 

3,713

 

 

1,733,909

 

 

2.36

 

Metals

 

 

126

 

 

(597,811

)

 

(0.82

)

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

(2,166

)

 

—

 

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total long positions

 

 

 

 

 

3,000,192

 

 

4.09

 

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Short positions:

 

 

 

 

 

 

 

 

 

 

Domestic

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

(825

)

 

1,231,888

 

 

1.68

 

Currency

 

 

(1,261

)

 

(2,100,154

)

 

(2.87

)

Energy

 

 

(73

)

 

(162,714

)

 

(0.22

)

Index

 

 

(37

)

 

(1,565

)

 

—

 

Interest

 

 

(8

)

 

(19,031

)

 

(0.03

)

Metals

 

 

(175

)

 

253,563

 

 

0.35

 

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

211,910

 

 

0.29

 

Foreign

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

(59

)

 

(43,042

)

 

(0.06

)

Currency

 

 

(305

)

 

(17,332

)

 

(0.02

)

Energy

 

 

(2

)

 

428

 

 

—

 

Interest

 

 

(397

)

 

(65,948

)

 

(0.09

)

Metals

 

 

(128

)

 

394,947

 

 

0.54

 

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

(110,051

)

 

(0.15

)

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total short positions

 

 

 

 

 

(427,101

)

 

(0.58

)

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Investments - at fair value, net

 

 

 

 

$

2,573,091

 

 

3.51

%

 

 

 

 

 

    

 

    

 

See notes to financial statements.

2


 

ALPHAMETRIX WC DIVERSIFIED FUND — MT0041

(A Cayman Islands Exempted Limited Liability Company)

 

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2012

(Expressed in U.S. dollars)
 

 

 

 

 

 

 

 

 

 

 

 

 

 

Number of
Contracts

 

Fair Value

 

Percent of
Shareholders’
Equity (Net Assets)

 

Long positions:

 

 

 

 

 

 

 

 

 

 

Domestic

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

198

 

$

(329,610

)

 

(0.33

)%

Currency

 

 

1,906

 

 

(200,045

)

 

(0.20

)

Energy

 

 

56

 

 

136,806

 

 

0.14

 

Index

 

 

1,040

 

 

(557,293

)

 

(0.55

)

Interest

 

 

3,331

 

 

(240,790

)

 

(0.24

)

Metals

 

 

119

 

 

(1,038,764

)

 

(1.03

)

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

(107,956

)

 

(0.11

)

Foreign

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

8

 

 

(1,302

)

 

—

 

Energy

 

 

34

 

 

(2,507

)

 

—

 

Index

 

 

1,820

 

 

1,602,453

 

 

1.59

 

Interest

 

 

3,597

 

 

1,165,235

 

 

1.15

 

Metals

 

 

209

 

 

(313,152

)

 

(0.31

)

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

(32,575

)

 

(0.03

)

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total long positions

 

 

 

 

 

80,500

 

 

0.08

 

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Short positions:

 

 

 

 

 

 

 

 

 

 

Domestic

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

577

 

 

48,454

 

 

0.05

 

Currency

 

 

555

 

 

3,776,038

 

 

3.76

 

Energy

 

 

224

 

 

(374,758

)

 

(0.37

)

Index

 

 

12

 

 

(4,165

)

 

—

 

Interest

 

 

8

 

 

(279

)

 

—

 

Metals

 

 

13

 

 

(45,400

)

 

(0.05

)

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

611,526

 

 

0.61

 

Foreign

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

8

 

 

(273

)

 

—

 

Currency

 

 

420

 

 

8,278

 

 

0.01

 

Interest

 

 

138

 

 

(27,002

)

 

(0.03

)

Metals

 

 

150

 

 

(753,300

)

 

(0.75

)

Forward currency contracts

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

4,711

 

 

—

 

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total short positions

 

 

 

 

 

3,243,830

 

 

3.23

 

 

 

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Investments - at fair value, net

 

 

 

 

$

3,324,330

 

 

3.31

%

 

 

 

 

 

    

 

    

 

See notes to financial statements.

3


 

ALPHAMETRIX WC DIVERSIFIED FUND — MT0041

(A Cayman Islands Exempted Limited Liability Company)

 

STATEMENTS OF OPERATIONS (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012

(Expressed in U.S. Dollars)
 

 

 

 

 

 

 

 

 

 

 

2013

 

2012

 

INVESTMENT INCOME

 

 

 

 

 

 

 

Interest income

 

$

5,806

 

$

7,426

 

 

 

    

 

    

 

Total income

 

 

5,806

 

 

7,426

 

 

 

    

 

    

 

EXPENSES:

 

 

 

 

 

 

 

Trading costs

 

 

77,452

 

 

85,884

 

Interest expense

 

 

6,952

 

 

3,174

 

 

 

    

 

    

 

Total expenses

 

 

84,404

 

 

89,058

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME/(LOSS)

 

 

(78,598

)

 

(81,632

)

 

 

    

 

    

 

REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:

 

 

 

 

 

 

 

Net realized gain/(loss) from:

 

 

 

 

 

 

 

Investments

 

 

14,489,382

 

 

5,454,238

 

Foreign currency transactions

 

 

88,577

 

 

(7,976

)

 

 

    

 

    

 

 

 

 

14,577,959

 

 

5,446,262

 

 

 

    

 

    

 

Net increase/(decrease) in unrealized appreciation/(depreciation) on:

 

 

 

 

 

 

 

Investments

 

 

(751,239

)

 

(7,512,826

)

Translation of assets and liabilities denominated in foreign currencies

 

 

(255,921

)

 

151,116

 

 

 

    

 

    

 

 

 

 

(1,007,160

)

 

(7,361,710

)

 

 

    

 

    

 

Net realized and unrealized gain/(loss) on investments and foreign currency

 

 

13,570,799

 

 

(1,915,448

)

 

 

    

 

    

 

Net increase/(decrease) in net assets resulting from operations

 

$

13,492,201

 

$

(1,997,080

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

See notes to financial statements.

 

 

 

 

 

 

 

4


 

ALPHAMETRIX WC DIVERSIFIED FUND — MT0041

(A Cayman Islands Exempted Limited Liability Company)

 

STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012

(Expressed in U.S. dollars)
 

 

 

 

 

 

 

 

 

 

 

2013

 

2012

 

Changes in net assets from operations:

 

 

 

 

 

 

 

Net investment income/(loss)

 

$

(78,598

)

$

(81,632

)

Net realized gain/(loss) from investments and foreign currency transactions

 

 

14,577,959

 

 

5,446,262

 

Net increase/(decrease) in unrealized appreciation/(depreciation) on investments and translation of assets and liabilities denominated in foreign currencies

 

 

(1,007,160

)

 

(7,361,710

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Net increase/(decrease) in net assets resulting from operations

 

 

13,492,201

 

 

(1,997,080

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Changes in net assets from capital transactions:

 

 

 

 

 

 

 

Proceeds from issuance of shares

 

 

994,483

 

 

14,344,276

 

Redemptions of shares

 

 

(41,569,031

)

 

(12,529,728

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Net increase/(decrease) in net assets resulting from capital transactions

 

 

(40,574,548

)

 

1,814,548

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Increase/(decrease) in net assets

 

 

(27,082,347

)

 

(182,532

)

 

 

 

 

 

 

 

 

 

 

 

100,418,099

 

 

106,075,212

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

NET ASSETS — End of period

 

$

73,335,752

 

$

105,892,680

 

 

 

    

 

    

 

See notes to financial statements.

- 5 -


 

ALPHAMETRIX WC DIVERSIFIED FUND — MT0041

(A Cayman Islands Exempted Limited Liability Company)

 

NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)

AS OF MARCH 31, 2013 AND DECEMBER 31, 2012 AND FOR THE THREE MONTHS ENDED

MARCH 31, 2013 AND 2012
 

 

 

1.

ORGANIZATION AND STRUCTURE

 

 

 

AlphaMetrix WC Diversified Fund — MT0041 (the “Master Fund”) was incorporated on December 22, 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 Winton Capital Management Ltd. (the “Trading Advisor”) pursuant to its Diversified Program (the “Program”). The Program is systematically trading over numerous futures markets including grains, metals, softs, energies, meats, and financials. Trend-following in nature, the Trading Advisor’s system uses technical analysis to identify market trends. The strategy consists of a multiple of systems – four long-term models and one short-term model.

 

 

 

The Master Fund and other separately incorporated offshore investment vehicles (“Other Master Funds”) are 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 funds 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.

 

 

 

AlphaMosaic (US) LLC, a Delaware Series Limited Liability Company (the “U.S. Platform”), and AlphaMosaic SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”), serve as the feeder funds for the Platform and invest substantially all of the assets of their respective segregated portfolios (each a “Fund”) in the Master Fund or Other Master Funds. AlphaMosaic (US) LLC — Cell No. 41 (“LLC41”), a separate series of the U.S. Platform and AlphaMosaic SPC — SP 41 Segregated Portfolio (“SPC41”), a segregated portfolio of the Offshore Platform, each invest in the Master Fund.

 

 

 

AlphaMetrix Managed Futures III LLC (AlphaMetrix WC Diversified Series), a Delaware Series Limited Liability Company (“AM III LLC”), and its two Sub-Series (B-0 and B-2), each a “Sub-Series”, also serves as a feeder fund and invests a portion of the assets of the Sub-Series in the Master Fund or Other Master Funds.

 

 

 

LLC41, SPC41, AM III LLC Sub-Series B-0 and AM III LLC Sub-Series B-2 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 the U.S. Platform, Offshore Platform, and AlphaMetrix Managed Futures III LLC’s respective Confidential Offering Memorandum.

 

 

 

The Master Fund is managed by its Board of Directors (“Directors”). The Directors have delegated the day-today 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.

- 6 -


 

 

 

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 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 paid by the Sponsor who in turn receives management and incentive fees calculated, recorded and allocated to the Investors by the Feeder Funds in accordance with the U. S. Platform, Offshore Platform, and AlphaMetrix Managed Futures III LLC’s respective Confidential Offering Memorandum.

 

 

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 the clearing brokers consists of either cash maintained in the custody of the brokers, a portion of which is required margin for open positions, or amounts due to/from the brokers for margin or unsettled trades. The Master Fund also holds cash in a non-interest bearing United States dollar (“USD”) commercial bank account. The Master Fund holds various currencies at the clearing brokers, of which approximately $62,925,303 and $62,385,447 is held in USD and $9,166,846 and $10,030,391 is held in foreign currency as of March 31, 2013 and December 31, 2012, respectively. The non-U.S. currencies fluctuate in value on a daily

- 7 -


 

 

 

 

basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing brokers included restricted cash for margin requirements of $29,801,410 and $34,058,099 as of March 31, 2013 and December 31, 2012, respectively. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated.

 

 

 

 

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. 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. An option contract requires the option writer to buy or sell that security or financial instrument at the same predetermined exercise price during the 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 currency 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 currency contracts is determined 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, forward currency 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 either 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 within 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 Statement 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.

- 8 -


 

 

 

Interest Income/Expense — Interest income and expense is recognized on an accrual basis.

 

 

 

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 currency contracts. Commissions are paid on each individual investment transaction.

 

 

 

Operating Costs — Operating costs consist of legal, compliance, regulatory, audit, tax, administration, and other costs. In accordance with each Feeder Fund’s respective Confidential Offering Memorandum, each Feeder Fund is responsible for and will bear its pro rata share of its corresponding 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. As of March 31, 2013 and December 31, 2012, 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.

 

 

 

Reclassifications — Certain amounts in the 2012 financial statements have been reclassified to conform to the 2013 presentation. Specifically, Investments in forward currency contracts in the amount of $475,706 have been separately stated from Investments in futures on the Statement of Financial Condition as of December 31, 2012. These accounts were previously combined. This reclassification had no effect on Shareholders’ equity (net assets) of the Master Fund.

 

 

 

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.

- 9 -


 

 

3.

FAIR VALUE MEASUREMENTS

 

 

 

Fair Value Measurements and Disclosures — The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurement (“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 an 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.

 

 

 

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 in the absence of readily ascertainable fair values.

 

 

 

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 over-the-counter (“OTC”) derivative contracts can include futures contracts, options on futures contracts, forward currency 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 reference, 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 three months ended March 31, 2013 and the year ended December 31, 2012.

 

 

 

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 investments, by type, into the above hierarchy levels as of March 31, 2013. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

- 10 -


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements at Reporting Date Using

 

 

 

 

 

 

  

 

 

Description

 

Fair Value at
March 31, 2013

 

Quoted Prices in
Active Markets for
Identical Investments
(Level 1)

 

Significant Other
Observable Inputs
(Level 2)

 

Significant
Unobservable Inputs
(Level 3)

 
                 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

$

1,477,487

 

$

1,477,487

 

$

—

 

$

—

 

Currency

 

 

810,163

 

 

810,163

 

 

—

 

 

—

 

Energy

 

 

773,811

 

 

773,811

 

 

—

 

 

—

 

Index

 

 

1,996,003

 

 

1,996,003

 

 

—

 

 

—

 

Interest

 

 

2,304,566

 

 

2,304,566

 

 

—

 

 

—

 

Metals

 

 

697,826

 

 

697,826

 

 

—

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

684,953

 

 

—

 

 

684,953

 

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment assets at fair value

 

 

8,744,809

 

 

8,059,856

 

 

684,953

 

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

(222,174

)

 

(222,174

)

 

—

 

 

—

 

Currency

 

 

(2,425,878

)

 

(2,425,878

)

 

—

 

 

—

 

Energy

 

 

(229,380

)

 

(229,380

)

 

—

 

 

—

 

Index

 

 

(1,556,679

)

 

(1,556,679

)

 

—

 

 

—

 

Interest

 

 

(306,385

)

 

(306,385

)

 

—

 

 

—

 

Metals

 

 

(641,412

)

 

(641,412

)

 

—

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

(789,810

)

 

—

 

 

(789,810

)

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment liabilities at fair value

 

 

(6,171,718

)

 

(5,381,908

)

 

(789,810

)

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investments at fair value - net*

 

$

2,573,091

 

$

2,677,948

 

$

(104,857

)

$

—

 

 

 

    

 

    

 

    

 

    

 

* Located on the Statement of Financial Condition as Investments, at fair value.

- 11 -


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements at Reporting Date Using

 

 

 

 

 

 

  

 

 

Description

 

Fair Value at
December 31, 2012

 

Quoted Prices in
Active Markets for
Identical Investments
(Level 1)

 

Significant Other
Observable Inputs
(Level 2)

 

Significant
Unobservable Inputs
(Level 3)

 
                 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

$

309,385

 

$

309,385

 

$

—

 

$

—

 

Currency

 

 

4,600,247

 

 

4,600,247

 

 

—

 

 

—

 

Energy

 

 

235,703

 

 

235,703

 

 

—

 

 

—

 

Index

 

 

2,172,308

 

 

2,172,308

 

 

—

 

 

—

 

Interest

 

 

1,866,312

 

 

1,866,312

 

 

—

 

 

—

 

Metals

 

 

163,204

 

 

163,204

 

 

—

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

939,255

 

 

—

 

 

939,255

 

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment assets at fair value

 

 

10,286,414

 

 

9,347,159

 

 

939,255

 

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

 

(592,115

)

 

(592,115

)

 

—

 

 

—

 

Currency

 

 

(1,015,976

)

 

(1,015,976

)

 

—

 

 

—

 

Energy

 

 

(476,162

)

 

(476,162

)

 

—

 

 

—

 

Index

 

 

(1,131,313

)

 

(1,131,313

)

 

—

 

 

—

 

Interest

 

 

(969,149

)

 

(969,149

)

 

—

 

 

—

 

Metals

 

 

(2,313,820

)

 

(2,313,820

)

 

—

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

(463,549

)

 

—

 

 

(463,549

)

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment liabilities at fair value

 

 

(6,962,084

)

 

(6,498,535

)

 

(463,549

)

 

—

 

 

 

    

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investments at fair value - net*

 

$

3,324,330

 

$

2,848,624

 

$

475,706

 

$

—

 

 

 

    

 

    

 

    

 

    

 

* Located on the Statement of Financial Condition as Investments, at fair value.

 

 

4.

DERIVATIVE FINANCIAL 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. Derivatives may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivatives are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

- 12 -


 

 

 

Market risk is the potential for changes in the fair 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 March 31, 2013 and December 31, 2012, the credit risk exposure for the Master Fund’s outstanding OTC derivatives is $0 and $475,706.

 

 

 

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.

- 13 -


 

 

 

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 March 31, 2013 and December 31, 2012, the Master Fund had open positions with the following notional values by sector:

 

 

 

March 31, 2013


 

 

 

 

 

 

 

 

Description

 

Quantity

 

Notional Value

 
           

Long

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

Agriculture

 

 

161

 

$

5,076,002

 

Currency

 

 

912

 

 

74,754,893

 

Energy

 

 

281

 

 

19,257,508

 

Index

 

 

2,905

 

 

202,876,301

 

Interest

 

 

7,157

 

 

1,659,995,616

 

Metals

 

 

130

 

 

7,229,595

 

 

 

 

 

 

 

 

 

Short

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

Agriculture

 

 

(884

)

 

(29,712,981

)

Currency

 

 

(1,566

)

 

(146,985,245

)

Energy

 

 

(75

)

 

(8,267,451

)

Index

 

 

(37

)

 

(423,280

)

Interest

 

 

(405

)

 

(172,314,358

)

Metals

 

 

(303

)

 

(38,002,145

)

December 31, 2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Quantity

 

Notional Value

 
               

Long

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

Agriculture

 

 

206

 

$

7,934,924

 

Currency

 

 

1,906

 

 

196,936,123

 

Energy

 

 

90

 

 

11,365,253

 

Index

 

 

2,860

 

 

192,932,539

 

Interest

 

 

6,928

 

 

1,720,012,429

 

Metals

 

 

328

 

 

36,380,526

 

 

 

 

 

 

 

 

 

Short

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

Agriculture

 

 

(585

)

 

(19,938,260

)

Currency

 

 

(975

)

 

(84,357,523

)

Energy

 

 

(224

)

 

(16,012,187

)

Index

 

 

(12

)

 

(99,960

)

Interest

 

 

(146

)

 

(54,271,555

)

Metals

 

 

(163

)

 

(18,446,656

)

 

 

 

During the three months ended March 31, 2013, the Master Fund participated in 1,473 forward currency and 19,488 futures contract transactions.

- 14 -

 

 

 

 

During 2012, the Master Fund participated in 5,301 forward currency, 88,648 futures and 74 options on futures contract transactions.

 

 

 

The effect of trading derivative contracts on the Statement of Operations for the three months ended March 31, 2013 and 2012 is detailed below:


 

 

 

 

 

 

 

 

 

 

Net Trading
Gain/(Loss)* Three
Months Ended
March 31, 2013

 

Net Trading
Gain/(Loss)* Three
Months Ended
March 31, 2012

 

 

 

  

 

  

 

Futures option contracts:

 

 

 

 

 

 

 

Index

 

$

—

 

$

31,815

 

Futures contracts:

 

 

 

 

 

 

 

Agriculture

 

 

1,266,085

 

 

(1,333,154

)

Currency

 

 

3,687,666

 

 

(7,784,422

)

Energy

 

 

(82,950

)

 

3,874,930

 

Index

 

 

12,008,242

 

 

7,802,455

 

Interest

 

 

(1,997,852

)

 

(2,131,514

)

Metals

 

 

(728,958

)

 

(1,850,324

)

 

 

    

 

    

 

Total futures contracts:

 

 

14,152,233

 

 

(1,390,214

)

 

 

 

 

 

 

 

 

Forward currency contracts:

 

 

(414,090

)

 

(668,374

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Total net trading gain/(loss)

 

$

13,738,143

 

$

(2,058,588

)

 

 

    

 

    

 

 

 

 

* Includes both realized gains/(losses) of $14,489,382 and $5,454,238 and unrealized appreciation/(depreciation) of ($751,239) and ($7,512,826) for the three months ended March 31, 2013 and 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.

 

 

5.

BALANCE SHEET OFFSETTING

 

 

 

In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities and ASU No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for recognized derivative instruments and financial instruments that are either offset in the Statement of Financial Condition or subject to an enforceable master netting arrangement or similar agreement.

 

 

 

The following tables summarize the Master Fund’s netting arrangements:

- 15 -


 

 

 

 

 

 

 

 

 

 

 

March 31, 2013:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Gross Amounts of
Recognized Assets

 

Gross Amounts Offset in
the Statement of Financial
Position

 

Net amount of Assets in
the Statement of Financial
Condition

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Futures

 

$

8,059,856

 

$

(5,337,686

)

$

2,722,170

 

Forward Currency

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

684,953

 

 

(684,953

)

 

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

8,744,809

 

$

(6,022,639

)

$

2,722,170

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net amount of Assets in
the Statement of Financial
Condition

 

Cash Collateral Received by Counterparty

 

Net Amount

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Counterparty A

 

$

—

 

$

—

 

$

—

 

Counterparty B

 

 

—

 

 

—

 

 

—

 

Counterparty C

 

 

2,722,170

 

 

(22,004,044

)

 

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

2,722,170

 

$

(22,004,044

)

$

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Gross Amounts of
Recognized Liabilities

 

Gross Amounts Offset in
the Statement of Financial
Position

 

Net amount of Liabilities
in the Statement of
Financial Condition

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Futures

 

$

(5,381,908

)

$

5,337,686

 

$

(44,222

)

Forward Currency

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

(789,810

)

 

684,953

 

 

(104,857

)

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

(6,215,940

)

$

6,066,861

 

$

(149,079

)

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net amount of Liabilities
in the Statement of
Financial Condition

 

Cash Collateral Pledged by Counterparty

 

Net Amount

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Counterparty A

 

$

(44,222

)

$

(785,079

)

$

—

 

Counterparty B

 

 

(104,857

)

 

(7,012,287

)

$

—

 

Counterparty C

 

 

—

 

 

—

 

 

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

(149,079

)

$

(7,797,366

)

$

—

 

 

 

    

 

    

 

    

 

- 16 -


 

 

 

 

 

 

 

 

 

 

 

December 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Gross Amounts of
Recognized Assets

 

Gross Amounts Offset in
the Statement of Financial
Position

 

Net amount of Assets in
the Statement of Financial
Condition

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Futures

 

$

9,347,159

 

$

(6,498,535

)

$

2,848,624

 

Forward Currency

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

939,255

 

 

(463,549

)

 

475,706

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

10,286,414

 

$

(6,962,084

)

$

3,324,330

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net amount of Assets in
the Statement of Financial
Condition

 

Cash Collateral Received by Counterparty

 

Net Amount

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Counterparty A

 

$

42,930

 

$

(765,512

)

$

—

 

Counterparty B

 

 

475,706

 

 

(6,401,409

)

 

—

 

Counterparty C

 

 

2,805,694

 

 

(26,891,178

)

 

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

3,324,330

 

$

(34,058,099

)

$

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Gross Amounts of
Recognized Liabilities

 

Gross Amounts Offset in
the Statement of Financial
Position

 

Net amount of Liabilities
in the Statement of
Financial Condition

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Futures

 

$

(6,498,535

)

$

6,498,535

 

$

—

 

Forward Currency

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

(463,549

)

 

463,549

 

 

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

(6,962,084

)

$

6,962,084

 

$

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net amount of Liabilities
in the Statement of
Financial Condition

 

Cash Collateral Pledged by Counterparty

 

Net Amount

 

 

 

  

 

  

 

  

 

 

 

 

 

 

 

 

 

Counterparty A

 

$

—

 

$

—

 

$

—

 

Counterparty B

 

 

—

 

 

—

 

 

—

 

Counterparty C

 

 

—

 

 

—

 

 

—

 

 

 

    

 

    

 

    

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

—

 

$

—

 

$

—

 

 

 

    

 

    

 

    

 

 

 

6.

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.

- 17 -


 

 

7.

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, Ltd. (“AlphaMetrix360 Cayman”), an affiliate of the Sponsor, serves as administrator (“Administrator”) for the Master Fund.

 

 

8.

NAV VERIFICATION AGENT

 

 

 

Custom House Fund Services (Chicago) LLC (“Custom House”), has been retained by the Platform to serve as a NAV Verification Agent and perform certain net asset value verification procedures for each Master Fund pursuant to a NAV Verification Agreement (the “NAV Verification Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator. Under the terms of the NAV Verification Agreement, Custom House communicates the results of its procedures to each investor.

 

 

9.

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. A Management Share was allotted and issued to the subscriber to the Memorandum of Association and has been transferred to the Sponsor. The remaining Management Share has been allotted and issued to the Sponsor at par and both are fully paid. Subscriptions and redemptions into the Master Fund are allowed on a bimonthly basis and transacted at the current net asset value at the time of the subscription or redemption.

 

 

 

The analysis of changes in shares (rounded to the nearest whole share) for the three months ended March 31, 2013 and 2012 is as follows:

 

 

 

 

 

 

 

 

 

 

2013

 

2012

 

 

 

 

 

 

 

 

 

Shares outstanding — Beginning of Period

 

 

42,917

 

 

41,639

 

 

 

 

 

 

 

 

 

Shares subscribed

 

 

399

 

 

5,596

 

Shares redeemed

 

 

(16,336

)

 

(4,890

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Shares outstanding — End of Period

 

 

26,980

 

 

42,345

 

 

 

    

 

    

 

 

 

10.

FINANCIAL HIGHLIGHTS

 

 

 

Financial highlights of the Master Fund for the three months ended March 31, 2013 and 2012, are presented in the table below. The information has been derived from information presented in the financial statements.

- 18 -


 

 

 

 

Regarding the information shown in the table below:

 

 

 

 

•

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 three months ended March 31, 2013 and 2012. Weighted average shares are computed using the month-end and mid-month shares outstanding.

 

 

 

 

•

Total return is calculated as the change in the net asset value per share for the three months ended March 31, 2013 and 2012, and is not annualized.

 

 

 

 

•

The net investment loss and total expense ratios are computed based upon the weighted average net assets for the three months ended March 31, 2013 and 2012, and are annualized. Weighted average net assets are computed using the average of month-end and mid-month net assets.

 

 

 

 

An individual shareholder’s total return and ratios may vary from those below based on the timing of capital transactions.

 

 

 

 

 

 

 

 

 

 

Three Months
Ended
March 31, 2013

 

Three Months
Ended
March 31, 2012

 

 

 

  

 

  

 

Net asset value — Beginning of Period

 

$

2,339.85

 

$

2,547.51

 

 

 

 

 

 

 

 

 

Per share data (for a share outstanding throughout the period):

 

 

 

 

 

 

 

Net investment loss

 

 

(2.28

)

 

(1.84

)

Total realized and unrealized gain on investments and foreign currency

 

 

380.58

 

 

(44.99

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Total from investment operations

 

 

378.30

 

 

(46.83

)

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Net asset value — End of Period

 

$

2,718.15

 

$

2,500.68

 

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Total return

 

 

16.17

%

 

(1.84

)%

 

 

    

 

    

 

 

 

 

 

 

 

 

 

Ratio to average net assets:

 

 

 

 

 

 

 

Net investment loss

 

 

(0.36

)%

 

(0.29

)%

 

 

    

 

    

 

Total expenses

 

 

0.39

%

 

0.31

%

 

 

    

 

    

 

 

 

11.

SUBSEQUENT EVENTS

 

 

 

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 May 15, 2013, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

 

 

* * * * * *

- 19 -


 

ALPHAMETRIX WC DIVERSIFIED FUND — MT0041

(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 March 31, 2013 (unaudited) and December 31, 2012 and for the three months ended March 31, 2013 and 2012 (unaudited), is accurate and complete.

 

 

/s/ Aleks Kins

 

Aleks Kins, President and Chief Executive Officer

 

AlphaMetrix, LLC — Sponsor

 

- 20 -