0001104659-18-051997.txt : 20180814 0001104659-18-051997.hdr.sgml : 20180814 20180814165923 ACCESSION NUMBER: 0001104659-18-051997 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 41 CONFORMED PERIOD OF REPORT: 20180630 FILED AS OF DATE: 20180814 DATE AS OF CHANGE: 20180814 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Cavendish Futures Fund LLC CENTRAL INDEX KEY: 0001562622 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 900887130 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-55213 FILM NUMBER: 181018576 BUSINESS ADDRESS: STREET 1: 1285 AVENUE OF THE AMERICAS STREET 2: 13TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: (800)580-2359 MAIL ADDRESS: STREET 1: 1285 AVENUE OF THE AMERICAS STREET 2: 13TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 10-Q 1 a18-14062_110q.htm 10-Q

Table of Contents

 

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

FORM 10-Q

 

x      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the quarterly period ended June 30, 2018

 

OR

 

o         TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the transition period from           to          .

 

Commission File Number 000-55213

 

CAVENDISH FUTURES FUND LLC

(Exact name of registrant as specified in its charter)

 

Delaware

 

38-3849454

(State or other jurisdiction of
incorporation or organization)

 

(I.R.S. Employer
Identification No.)

 

c/o UBS Alternatives LLC

1285 Avenue of the Americas, 20th Floor

New York, New York 10019

(Address of principal executive offices) (Zip Code)

 

(212) 713-3234

(Registrant’s telephone number, including area code)

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes  x  No  o

 

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 the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  Yes  x  No  o

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company.  See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

 

Large accelerated filer o

 

Accelerated filer o

 

 

 

Non-accelerated filer x

Emerging Growth companyo

 

Smaller reporting companyo

 

If an emerging growth company, indicate by checkmark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes o  No  x

 

As of July 31, 2018, 151,700.286 Limited Liability Company Redeemable Units were outstanding.

 

 

 



Table of Contents

 

CAVENDISH FUTURES FUND LLC

 

Form 10-Q

 

Index

 

 

 

Page

 

 

Number

 

 

 

PART I — Financial Information:

 

 

 

 

Item 1.

Financial Statements:

 

 

 

 

 

 

 

Statements of Financial Condition at June 30, 2018 (unaudited) and December 31, 2017

3

 

 

 

 

 

 

Statements of Operations and Changes in Members’ Capital for the three and six months ended June 30, 2018 and 2017 (unaudited)

4

 

 

 

 

 

 

Notes to Financial Statements, including the Financial Statements of Sydling WNT Master Fund LLC (unaudited)

5 – 18

 

 

 

 

 

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

19 – 22

 

 

 

 

 

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

23 – 24

 

 

 

 

 

Item 4.

Controls and Procedures

25

 

 

 

 

PART II — Other Information

26 – 28

 

Exhibits

 

 

Exhibit 31.1 — Certification

 

 

 

Exhibit 31.2 — Certification

 

 

 

Exhibit 32.1 — Certification

 

 

 

Exhibit 32.2 — Certification

 

 

 

Exhibit 101.INS — XBRL Instance Document

 

 

 

Exhibit 101.SCH — XBRL Taxonomy Extension Schema Document.

 

 

 

Exhibit 101.CAL — XBRL Taxonomy Extension Calculation Linkbase Document.

 

 

 

Exhibit 101.LAB — XBRL Taxonomy Extension Label Linkbase Document.

 

 

 

Exhibit 101.PRE — XBRL Taxonomy Extension Presentation Linkbase Document.

 

 

 

Exhibit 101.DEF — XBRL Taxonomy Extension Definition Document.

 



Table of Contents

 

PART I

 

Item 1.  Financial Statements

 

Cavendish Futures Fund LLC

Statements of Financial Condition

 

 

 

(Unaudited)

 

 

 

 

 

June 30, 2018

 

December 31, 2017

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

Investment in Sydling WNT Master Fund LLC, at fair value

 

$

180,434,341

 

$

183,350,875

 

Cash

 

450,343

 

1,269,067

 

Receivable from Sydling WNT Master Fund LLC

 

2,567,440

 

2,034,489

 

Total Assets

 

$

183,452,124

 

$

186,654,431

 

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

Subscriptions received in advance

 

$

385,500

 

$

1,165,000

 

Redemptions payable

 

2,217,246

 

1,689,784

 

Accrued expenses:

 

 

 

 

 

Advisory fees

 

228,696

 

231,687

 

Administrative fees

 

76,232

 

77,229

 

Professional fees and other expenses

 

110,109

 

139,856

 

Total Liabilities

 

3,017,783

 

3,303,556

 

 

 

 

 

 

 

MEMBERS’ CAPITAL

 

 

 

 

 

 

 

 

 

 

 

Member Designee (25.000 Redeemable Units)

 

29,399

 

29,634

 

Non-managing members (153,410.597 and 154,654.270 Redeemable Units)

 

180,404,942

 

183,321,241

 

 

 

 

 

 

 

Total Members’ Capital

 

180,434,341

 

183,350,875

 

Total Liabilities and Members’ Capital

 

$

183,452,124

 

$

186,654,431

 

Members’ Capital per Redeemable Unit (based on 153,435.597 and 154,679.270 Redeemable Units)

 

$

1,175.96

 

$

1,185.36

 

 

See accompanying notes to financial statements and attached financial statements of Sydling WNT Master Fund LLC.

 

3



Table of Contents

 

Cavendish Futures Fund LLC

Statements of Operations and Changes in Members’ Capital

(Unaudited)

 

 

 

Three Months Ended

 

Three Months Ended

 

Six Months Ended

 

Six Months Ended

 

 

 

June 30, 2018

 

June 30, 2017

 

June 30, 2018

 

June 30, 2017

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest allocated from Sydling WNT Master Fund LLC

 

$

755,897

 

$

370,585

 

$

1,425,433

 

$

636,901

 

 

 

 

 

 

 

 

 

 

 

EXPENSES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses allocated from Sydling WNT Master Fund LLC

 

1,638,849

 

1,739,710

 

3,344,237

 

3,492,808

 

Advisory fees

 

679,883

 

710,924

 

1,369,528

 

1,430,152

 

Administrative fees

 

226,627

 

236,974

 

456,509

 

476,717

 

Professional fees and other expenses

 

98,383

 

80,370

 

177,516

 

153,626

 

Total Expenses

 

2,643,742

 

2,767,978

 

5,347,790

 

5,553,303

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT (LOSS)

 

(1,887,845

)

(2,397,393

)

(3,922,357

)

(4,916,402

)

 

 

 

 

 

 

 

 

 

 

TRADING RESULTS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain/(loss) allocated from Sydling WNT Master Fund LLC

 

7,195,182

 

(2,324,292

)

2,900,931

 

2,549,536

 

Net change in unrealized appreciation/(depreciation) allocated from Sydling WNT Master Fund LLC

 

1,832,895

 

(3,531,893

)

(449,696

)

(5,937,029

)

Total Trading Results

 

9,028,077

 

(5,856,185

)

2,451,235

 

(3,387,493

)

 

 

 

 

 

 

 

 

 

 

Net income/(loss)

 

7,140,232

 

(8,253,578

)

(1,471,122

)

(8,303,895

)

 

 

 

 

 

 

 

 

 

 

Subscriptions — 3,354.074, 6,851.619, 7,899.976 and 13,457.672 units of non-managing member interest, respectively

 

3,826,200

 

7,652,600

 

9,254,600

 

15,024,078

 

Redemptions — 5,180.395, 3,348.773, 9,143.649 and 10,045.707 units of non-managing member interest, respectively

 

(6,005,279

)

(6,920,933

)

(10,700,012

)

(12,834,791

)

 

 

 

 

 

 

 

 

 

 

Net increase/(decrease) in Members’ Capital

 

4,961,153

 

(7,521,911

)

(2,916,534

)

(6,114,608

)

 

 

 

 

 

 

 

 

 

 

Members’ Capital, beginning of period

 

$

175,473,188

 

$

191,030,311

 

$

183,350,875

 

$

189,623,008

 

 

 

 

 

 

 

 

 

 

 

Members’ Capital, end of period

 

$

180,434,341

 

$

183,508,400

 

$

180,434,341

 

$

183,508,400

 

 

 

 

 

 

 

 

 

 

 

Net income/(loss) per Redeemable Unit*

 

$

45.78

 

$

(47.92

)

$

(9.40

)

$

(48.56

)

 

 

 

 

 

 

 

 

 

 

Weighted average Redeemable Units outstanding

 

154,791.601

 

169,943.977

 

154,747.405

 

169,380.175

 

 

See accompanying notes to financial statements and attached financial statements of Sydling WNT Master Fund LLC.

 


* Represents the changes in Members’ Capital per unit

 

4



Table of Contents

 

Cavendish Futures Fund LLC

Notes to Financial Statements

June 30, 2018

(Unaudited)

 

1.  General

 

Cavendish Futures Fund LLC (the “Fund”) is a Delaware limited liability company formed on August 7, 2012.  Trading operations of the Fund commenced on February 19, 2013.  The Fund’s investment objective is to achieve capital appreciation through speculative trading in U.S. and international futures, options on futures and forward markets.  The Fund may also engage in swap and other derivative transactions upon approval of Sydling Futures Management LLC (“Sydling”).  The Fund privately and continuously offers redeemable units of limited liability company interest in the Fund (“Redeemable Units”) to qualified investors and subscriptions are generally accepted monthly.  There is no maximum number of Redeemable Units that may be sold by the Fund.  The Fund invests substantially all of its assets in the Sydling WNT Master Fund LLC (“Master Fund”), also a Delaware limited liability company, which has the same investment objective as the Fund.  The Master Fund’s Statements of Financial Condition, including Condensed Schedules of Investments and Statements of Operations and Changes in Member’s Capital are included herein.  The percentage of the Master Fund’s capital owned by the Fund at June 30, 2018 and December 31, 2017 was 100%.  The performance of the Fund is directly affected by the performance of the Master Fund.

 

The Fund is member managed for purposes of Delaware law.  Pursuant to the Fund’s limited liability company agreement, as may be amended from time to time (the “LLC Agreement”), the members of the Fund (each, a “Member” and collectively, the “Members”) have appointed Sydling to act as the Fund’s commodity pool operator and trading manager.  Sydling is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and a commodity trading advisor and is a member of the National Futures Association (“NFA”) effective August 10, 2011.  Sydling, a wholly owned subsidiary of UBS Alternatives LLC, was formed on August 4, 2011.  UBS Alternatives LLC is a wholly owned subsidiary of UBS Americas Inc.

 

In the normal course of business, the Fund may enter into contracts that contain a variety of representations that provide indemnification for certain liabilities.  The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.  However, the Fund has not had any prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

 

Sydling, on behalf of the Fund, has entered into a selling agreement appointing UBS Financial Services Inc. (“UBS Financial Services”) as selling agent to the Fund.

 

The Master Fund has entered into a customer agreement appointing UBS Securities LLC (“UBS Securities”) as commodity broker to the Master Fund.

 

The Fund pays (or causes the Master Fund to pay on its behalf) an ongoing selling agent fee to UBS Financial Services equal to 3.5% per year of the adjusted month-end net assets of the Fund.

 

BNY Mellon Investment Servicing (US) Inc. serves as administrator of the Fund (the “Administrator”).

 

Winton Capital Management Limited (the “Advisor”) serves as the trading advisor to the Fund and the Master Fund.

 

Sydling and each Member share in the profits and losses of the Fund in proportion to the amount of limited liability company interest owned by each except that no Member shall be liable for obligations of the Fund in excess of such member’s capital contribution and profits, if any, net of distributions and losses, if any.

 

Management has evaluated relevant conditions and events, which are known and reasonable knowable, and has determined that there are no conditions and events that raise substantial doubt about the Fund’s ability to continue as a going concern.

 

The accompanying financial statements and notes are unaudited and are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”).  These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read in conjunction with the financial statements and notes included in the Fund’s Form 10-K for the year ended December 31, 2017 filed with the Securities and Exchange Commission (the “SEC”).

 

5



Table of Contents

 

The preparation of financial statements and accompanying notes in conformity with U.S. GAAP requires Sydling to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

 

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

 

The Master Fund’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2018 and December 31, 2017 and Statements of Operations and Changes in Member’s Capital for the three and six months ended June 30, 2018 and 2017 are presented below:

 

6



Table of Contents

 

Sydling WNT Master Fund LLC

Statements of Financial Condition

 

 

 

(Unaudited)

 

 

 

 

 

June 30, 2018

 

December 31, 2017

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

Cash (including restricted cash of $11,863,590 and $20,253,846, respectively)

 

$

178,022,507

 

$

180,260,068

 

Net unrealized appreciation on open futures contracts

 

4,777,704

 

5,227,400

 

Interest receivable

 

771,954

 

512,251

 

Total Assets

 

$

183,572,165

 

$

185,999,719

 

 

 

 

 

 

 

LIABILITIES AND MEMBER’S CAPITAL

 

 

 

 

 

 

 

 

 

 

 

Redemptions payable

 

$

2,567,440

 

$

2,034,489

 

Accrued expenses:

 

 

 

 

 

Selling agent fees

 

535,317

 

542,289

 

Professional fees and other expenses

 

35,067

 

72,066

 

Total Liabilities

 

3,137,824

 

2,648,844

 

 

 

 

 

 

 

MEMBER’S CAPITAL

 

 

 

 

 

 

 

 

 

 

 

Member’s Capital

 

180,434,341

 

183,350,875

 

Total Liabilities and Member’s Capital

 

$

183,572,165

 

$

185,999,719

 

 

7



Table of Contents

 

Sydling WNT Master Fund LLC

Condensed Schedule of Investments

June 30, 2018

(Unaudited)

 

 

 

 

 

 

 

Percent of

 

Number of

 

 

 

 

 

Member’s

 

Contracts

 

 

 

Fair Value

 

Capital

 

 

 

FUTURES CONTRACTS OWNED

 

 

 

 

 

182

 

CURRENCIES

 

$

97,616

 

0.05

%

639

 

ENERGY

 

1,757,434

 

0.97

%

2,589

 

FINANCIALS

 

799,635

 

0.44

%

45

 

GRAINS

 

21,900

 

0.01

%

177

 

INDEX

 

(239,700

)

(0.13

)%

2

 

INDUSTRIALS

 

5,291

 

%

35

 

MATERIALS

 

(44,800

)

(0.02

)%

266

 

METALS

 

(630,784

)

(0.35

)%

 

 

TOTAL FUTURES CONTRACTS OWNED

 

1,766,592

 

0.97

%

 

 

 

 

 

 

 

 

 

 

FUTURES CONTRACTS SOLD

 

 

 

 

 

(519

)

CURRENCIES

 

454,201

 

0.25

%

(1,580

)

FINANCIALS

 

442,532

 

0.25

%

(1,423

)

GRAINS

 

893,099

 

0.50

%

(51

)

INDEX

 

4,310

 

%

(188

)

MEATS

 

(289,858

)

(0.16

)%

(567

)

METALS

 

1,506,828

 

0.84

%

 

 

TOTAL FUTURES CONTRACTS SOLD

 

3,011,112

 

1.68

%

 

 

TOTAL FUTURES CONTRACTS

 

4,777,704

 

2.65

%

 

 

OTHER ASSETS IN EXCESS OF OTHER LIABILITIES

 

175,656,637

 

97.35

%

 

 

TOTAL MEMBER’S CAPITAL

 

$

180,434,341

 

100.00

%

 

Percentages shown represent a percentage of member’s capital as of June 30, 2018.

 

8



Table of Contents

 

Sydling WNT Master Fund LLC

Condensed Schedule of Investments

December 31, 2017

 

 

 

 

 

 

 

Percent of

 

Number of

 

 

 

 

 

Member’s

 

Contracts

 

 

 

Fair Value

 

Capital

 

 

 

FUTURES CONTRACTS OWNED

 

 

 

 

 

819

 

CURRENCIES

 

$

410,229

 

0.22

%

639

 

ENERGY

 

1,982,511

 

1.08

%

1,596

 

FINANCIALS

 

(738,847

)

(0.40

)%

75

 

GRAINS

 

(15,144

)

(0.01

)%

2,476

 

INDEX

 

1,022,279

 

0.56

%

3

 

INDUSTRIALS

 

4,642

 

%

53

 

MATERIALS

 

191,550

 

0.11

%

153

 

MEATS

 

(3,705

)

%

764

 

METALS

 

3,870,421

 

2.11

%

 

 

TOTAL FUTURES CONTRACTS OWNED

 

6,723,936

 

3.67

%

 

 

 

 

 

 

 

 

 

 

FUTURES CONTRACTS SOLD

 

 

 

 

 

(816

)

CURRENCIES

 

(584,626

)

(0.32

)%

(398

)

ENERGY

 

(766,380

)

(0.42

)%

(2,513

)

FINANCIALS

 

529,685

 

0.29

%

(1,549

)

GRAINS

 

390,480

 

0.21

%

(409

)

INDEX

 

(235,893

)

(0.13

)%

(183

)

METALS

 

(829,802

)

(0.45

)%

 

 

TOTAL FUTURES CONTRACTS SOLD

 

(1,496,536

)

(0.82

)%

 

 

TOTAL FUTURES CONTRACTS

 

5,227,400

 

2.85

%

 

 

OTHER ASSETS IN EXCESS OF OTHER LIABILITIES

 

178,123,475

 

97.15

%

 

 

TOTAL MEMBER’S CAPITAL

 

$

183,350,875

 

100.00

%

 

Percentages shown represent a percentage of member’s capital as of December 31, 2017.

 

9



Table of Contents

 

Sydling WNT Master Fund LLC

Statements of Operations and Changes in Member’s Capital

(Unaudited)

 

 

 

Three Months Ended

 

Three Months Ended

 

Six Months Ended

 

Six Months Ended

 

 

 

June 30, 2018

 

June 30, 2017

 

June 30, 2018

 

June 30, 2017

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

755,897

 

$

370,585

 

$

1,425,433

 

$

636,901

 

 

 

 

 

 

 

 

 

 

 

EXPENSES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage, clearing and transaction fees

 

23,652

 

51,176

 

91,054

 

96,326

 

Selling agent fees

 

1,591,322

 

1,663,909

 

3,205,433

 

3,347,232

 

Professional fees

 

23,875

 

24,625

 

47,750

 

49,250

 

Total Expenses

 

1,638,849

 

1,739,710

 

3,344,237

 

3,492,808

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT (LOSS)

 

(882,952

)

(1,369,125

)

(1,918,804

)

(2,855,907

)

 

 

 

 

 

 

 

 

 

 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM DERIVATIVE INSTRUMENTS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain/(loss) from futures and foreign currency

 

7,195,182

 

(2,324,292

)

2,900,931

 

2,549,536

 

Net change in unrealized appreciation/(depreciation) on futures and foreign currency

 

1,832,895

 

(3,531,893

)

(449,696

)

(5,937,029

)

Net Realized and Change in Unrealized Gain/(Loss) from Derivative Instruments

 

9,028,077

 

(5,856,185

)

2,451,235

 

(3,387,493

)

 

 

 

 

 

 

 

 

 

 

Net income/(loss)

 

8,145,125

 

(7,225,310

)

532,431

 

(6,243,400

)

 

 

 

 

 

 

 

 

 

 

INCREASE/(DECREASE) IN MEMBER’S CAPITAL FROM CAPITAL TRANSACTIONS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Subscriptions

 

3,826,200

 

7,652,600

 

9,254,600

 

15,024,078

 

Redemptions

 

(7,010,172

)

(7,949,201

)

(12,703,565

)

(14,895,286

)

 

 

 

 

 

 

 

 

 

 

Net Increase/(Decrease) in Member’s Capital Derived from Capital Transactions

 

(3,183,972

)

(296,601

)

(3,448,965

)

128,792

 

Net Increase/(Decrease) in Member’s Capital

 

4,961,153

 

(7,521,911

)

(2,916,534

)

(6,114,608

)

Member’s Capital, Beginning of Period

 

175,473,188

 

191,030,311

 

183,350,875

 

189,623,008

 

Member’s Capital, End of Period

 

$

180,434,341

 

$

183,508,400

 

$

180,434,341

 

$

183,508,400

 

 

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Table of Contents

 

2.              Financial Highlights

 

Changes in the net asset value per Redeemable Unit for the three and six months ended June 30, 2018 and 2017 are as follows:

 

Financial Highlights of the Fund:

 

 

 

Three
Months Ended
June 30, 2018

 

Three
Months Ended
June 30, 2017

 

Six
Months Ended
June 30, 2018

 

Six
Months Ended
June 30, 2017

 

Per share operating performance: (a)

 

 

 

 

 

 

 

 

 

Members’ capital per Redeemable Unit, beginning of period

 

$

1,130.18

 

$

1,126.37

 

$

1,185.36

 

$

1,127.01

 

Income/(loss) from investment operations:

 

 

 

 

 

 

 

 

 

Net investment (loss) including incentive fee

 

(12.09

)

(13.94

)

(25.13

)

(28.67

)

Net realized and unrealized gain/(loss) from investment activities

 

57.87

 

(33.98

)

15.73

 

(19.89

)

Total from investment operations

 

45.78

 

(47.92

)

(9.40

)

(48.56

)

Members’ capital per Redeemable Unit, end of period

 

$

1,175.96

 

$

1,078.45

 

$

1,175.96

 

$

1,078.45

 

 

 

 

 

 

 

 

 

 

 

Ratio/Supplemental Data: (b)

 

 

 

 

 

 

 

 

 

Ratio of net investment loss to average Members’ capital

 

(4.24

)%

(5.10

)%

(4.34

)%

(5.22

)%

Ratio of total expenses to average Members’ capital

 

5.94

%

5.89

%

5.92

%

5.89

%

Ratio of incentive fee to average Members’ capital

 

%

%

%

%

Ratio of total expenses and incentive fee to average Members’ capital

 

5.94

%

5.89

%

5.92

%

5.89

%

 

 

 

 

 

 

 

 

 

 

Total return before incentive fee (c)

 

4.05

%

(4.26

)%

(0.79

)%

(4.31

)%

Incentive fee

 

%

%

%

%

Total return after incentive fee

 

4.05

%

(4.26

)%

(0.79

)%

(4.31

)%

 

 

 

 

 

 

 

 

 

 

Members’ capital at end of period

 

$

180,434,341

 

$

183,508,400

 

$

180,434,341

 

$

183,508,400

 

 

Total return and the ratios to average Member’s capital are calculated for investor’s capital taken as a whole.  An individual investor’s capital may vary from these ratios and total return based on the timing of capital transactions.

 


(a)         Per share operating performance is calculated on a monthly basis by dividing each line item by the outstanding units at month-end prior to the reduction of redeemed units.

 

(b)         The ratios to average Members’ capital are annualized.  The average Members’ capital used in the above ratios is an average of each month-end Members’ capital during the period. Ratios include the Fund’s share of income and expense allocated from the Master Fund.

 

(c)          Total return assumes a purchase of an interest in the Fund at the beginning of the period and a sale of the interest on the last day of the period noted. Total return is reflected after all investment-related and operating expenses, including the Advisory and Administrative fees. Total return is not annualized.

 

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Table of Contents

 

Financial Highlights of the Master Fund:

 

 

 

Three
Months Ended
June 30, 2018

 

Three
Months Ended
June 30, 2017

 

Six
Months Ended
June 30, 2018

 

Six
Months Ended
June 30, 2017

 

 

 

 

 

 

 

 

 

 

 

Ratio/Supplemental Data: (a)

 

 

 

 

 

 

 

 

 

Ratio of net investment loss to average member’s capital

 

(1.98

)%

(2.91

)%

(2.12

)%

(3.03

)%

Ratio of total expenses to average member’s capital

 

3.68

%

3.70

%

3.70

%

3.71

%

Total return (b)

 

4.63

%

(3.73

)%

0.30

%

(3.27

)%

Member’s capital at end of period

 

$

180,434,341

 

$

183,508,400

 

$

180,434,341

 

$

183,508,400

 

 

Total return and the ratios to average Member’s capital are calculated for investor’s capital taken as a whole.  An individual investor’s capital may vary from these ratios and total return based on the timing of capital transactions.

 


(a)         The ratios to average Member’s capital are annualized.  The average Member’s capital used in the above ratios is an average of each month-end member’s capital during the period.

 

(b)         Total return is calculated based on a time-weighted rate of return methodology.  Monthly rates of return are compounded to derive the total return reflected above.  Total return is reflected after all investment-related and operating expenses. Total return is not annualized.

 

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Table of Contents

 

3.              Trading Activities

 

The Fund was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments.   The Fund invests substantially all of its assets through a “master/feeder” structure. The Fund’s pro rata share of the results of the Master Fund’s trading activities is shown in the Fund’s Statements of Operations and Changes in Member’s Capital.

 

The customer agreement between the Master Fund and UBS Securities gives the Master Fund the legal right to net unrealized gains and losses on open futures contracts.  Futures contracts are executed on exchanges and are typically liquidated by entering into offsetting contracts.  The Master Fund nets, for financial reporting purposes, the unrealized gains and losses on open futures contracts on the Master Fund’s Statements of Financial Condition.

 

All of the commodity interests owned by the Master Fund are held for trading purposes.  The average number of futures contracts traded for the three months ended June 30, 2018 and 2017, based on a monthly calculation, was 4,428 and 7,903, respectively. The average number of futures contracts traded for the six months ended June 30, 2018 and 2017, based on a monthly calculation, was 5,554 and 7,232, respectively.

 

The following tables indicate the gross fair values of derivative instruments of the Master Fund’s futures contracts as separate assets and liabilities as of June 30, 2018 and December 31, 2017.

 

 

 

(Unaudited)

 

 

 

 

 

June 30, 2018

 

December 31, 2017

 

ASSETS

 

 

 

 

 

Futures Contracts

 

 

 

 

 

Currencies

 

$

572,056

 

$

661,014

 

Energy

 

1,861,656

 

2,053,455

 

Financials

 

1,404,885

 

623,764

 

Grains

 

981,518

 

611,833

 

Index

 

28,847

 

1,897,815

 

Industrials

 

5,291

 

4,642

 

Materials

 

 

191,550

 

Meats

 

3,750

 

77,440

 

Metals

 

2,089,261

 

3,842,757

 

Total unrealized appreciation on open futures contracts

 

$

6,947,264

 

$

9,964,270

 

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

Futures Contracts

 

 

 

 

 

Currencies

 

$

(20,239

)

$

(835,411

)

Energy

 

(104,223

)

(837,324

)

Financials

 

(162,718

)

(832,926

)

Grains

 

(66,519

)

(236,497

)

Index

 

(264,237

)

(1,111,429

)

Materials

 

(44,800

)

 

Meats

 

(293,608

)

(81,145

)

Metals

 

(1,213,216

)

(802,138

)

Total unrealized depreciation on open futures contracts

 

$

(2,169,560

)

$

(4,736,870

)

 

 

 

 

 

 

Net unrealized appreciation (depreciation) on open futures contracts*

 

$

4,777,704

 

$

5,227,400

 

 


* These amounts are presented as Net unrealized appreciation or (depreciation) on open futures contracts on the Master Fund’s Statements of Financial Condition.

 

13



Table of Contents

 

The following table indicates the trading gains and losses, by market sector, on the Master Fund’s derivative instruments for the three and six months ended June 30, 2018 and 2017.

 

Sector

 

Three months ended
June 30, 2018
Gain/(loss) from
trading

 

Three months ended
June 30, 2017
Gain/(loss) from
trading

 

Six months ended
June 30, 2018
Gain/(loss) from
trading

 

Six months ended
June 30, 2017
Gain/(loss) from
trading

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(1,070,266

)

$

(4,347,059

)

$

(3,569,122

)

$

(7,189,068

)

Energy

 

5,944,921

 

(2,694,330

)

5,378,594

 

(4,637,610

)

Financials

 

1,342,404

 

(4,033,930

)

1,726,705

 

(5,866,302

)

Grains

 

1,404,484

 

1,018,627

 

623,821

 

348,163

 

Index

 

(214,018

)

5,250,495

 

(1,543,401

)

16,379,190

 

Industrials

 

34,287

 

(10,758

)

60,566

 

(7,491

)

Materials

 

154,230

 

(136,690

)

200,185

 

14,190

 

Meats

 

(410,861

)

565,335

 

(505,116

)

721,590

 

Metals

 

1,842,896

 

(1,467,875

)

79,003

 

(3,150,155

)

 

 

$

9,028,077

**

$

(5,856,185

)**

$

2,451,235

**

$

(3,387,493

)**

 


** These amounts are presented as “Net Realized and Change in Unrealized Gain/(Loss) from Derivative Instruments” on the Master Fund’s Statements of Operations and Changes in Member’s Capital.

 

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Table of Contents

 

4.              Fair Value Measurements

 

Fund’s Investments. The Fund values its investment in the Master Fund at fair value and is represented by the Fund’s proportionate interest in the member’s capital of the Master Fund.

 

Fund’s and Master Fund’s Fair Value Measurements. FASB Accounting Standards Codification (“ASC”) 820, “Fair Value Measurements” (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and establishes a fair value hierarchy which prioritizes the inputs to valuation techniques. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. Valuation techniques, as specified by ASC 820, are used to measure fair value.

 

All financial instruments at fair value are categorized into one of three fair value hierarchy levels, based upon the lowest level input that is significant to the financial instrument’s fair value measurement in its entirety:

 

Level 1—Quoted market prices (unadjusted) in active markets for identical assets or liabilities.

 

Level 2—Valuation techniques for which all significant inputs are market observable, either directly or indirectly.

 

Level 3—Valuation techniques which include significant inputs that are not based on observable market data.

 

The Master Fund recognizes transfers into and out of the levels indicated above at the end of the reporting period.  During the periods ended June 30, 2018 and December 31, 2017, there were no transfers amongst Levels 1, 2 and 3 of the valuation hierarchy.

 

U.S. GAAP provides guidance in determining whether there has been a significant decrease in the volume and level of activity for an asset or liability when compared with normal market activity for such asset or liability (or similar assets or liabilities).  U.S. GAAP also provides guidance on identifying circumstances that indicate a transaction with regards to such an asset or liability is not orderly.  In its consideration, the Master Fund must consider inputs and valuation techniques used for each class of assets and liabilities.  Judgment is used to determine the appropriate classes of assets and liabilities for which disclosures about fair value measurements are provided.

 

Fair value measurement disclosure for each class of assets and liabilities requires greater disaggregation than the Master Fund’s line items in the Statement of Financial Condition.  The Master Fund determines the appropriate classes for those disclosures on the basis of the nature and risks of the assets and liabilities and their classification in the fair value hierarchy (i.e., Level 1, Level 2, and Level 3).

 

For assets and liabilities measured at fair value on a recurring basis during the period, the Master Fund provides quantitative disclosures about the fair value measurements separately for each class of assets and liabilities, as well as a reconciliation of beginning and ending balances of Level 3 assets and liabilities broken down by class.

 

The Master Fund considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1).  The values of non-exchange-traded forward, swap and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) and for those contracts that are priced using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). As of and for the periods ended June 30, 2018 and December 31, 2017, the Master Fund did not hold any derivative instruments for which market quotations are not readily available and which are priced by broker-dealers who derive fair values for these assets from observable inputs (Level 2) or that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

 

15



Table of Contents

 

The following is a summary of the Master Fund’s investments at fair value.  The inputs or methodology used for valuing derivative instruments are not necessarily an indication of the risk associated with investing in those derivative instruments.

 

ASSET TABLE (Unaudited)

 

Description

 

Total Fair Value at
June 30, 2018

 

Level 1

 

Level 2

 

Level 3

 

Future Contracts

 

$

6,947,264

 

$

6,947,264

 

$

 

$

 

Total Assets

 

$

6,947,264

 

$

6,947,264

 

$

 

$

 

 

LIABILITIES TABLE (Unaudited)

 

Description

 

Total Fair Value at
June 30, 2018

 

Level 1

 

Level 2

 

Level 3

 

Future Contracts

 

$

2,169,560

 

$

2,169,560

 

$

 

$

 

Total Liabilities

 

$

2,169,560

 

$

2,169,560

 

$

 

$

 

Net Assets and (Liabilities)

 

$

4,777,704

 

$

4,777,704

 

$

 

$

 

 

ASSET TABLE

 

Description

 

Total Fair Value at
December 31, 2017

 

Level 1

 

Level 2

 

Level 3

 

Futures Contracts

 

$

9,964,270

 

$

9,964,270

 

$

 

$

 

Total Assets

 

$

9,964,270

 

$

9,964,270

 

$

 

$

 

 

LIABILITIES TABLE

 

Description

 

Total Fair Value at
December 31, 2017

 

Level 1

 

Level 2

 

Level 3

 

Future Contracts

 

$

4,736,870

 

$

4,736,870

 

$

 

$

 

Total Liabilities

 

$

4,736,870

 

$

4,736,870

 

$

 

$

 

Net Assets and (Liabilities)

 

$

5,227,400

 

$

5,227,400

 

$

 

$

 

 

5.              Financial Instrument Risks

 

In the normal course of business, the Master Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments.  These financial instruments may include futures, forwards and options on futures whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument.  These instruments may be traded on an exchange, a swap execution facility (“SEF”), or over-the-counter (“OTC”).  Exchange-traded instruments are standardized and include futures and certain forward and options contracts.  OTC contracts are negotiated between contracting parties and include certain forward, option and swap contracts.  Certain swap contracts may also be traded on a SEF. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted.  The purchaser of an option may lose the entire premium paid for the option.  The writer, or seller, of an option has unlimited risk.  Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk.  In general, the risks associated with OTC contracts are greater than those associated

 

16



Table of Contents

 

with exchange-traded or SEF traded instruments because of the greater risk of default by the counterparty to an OTC contract.  For the six months ended June 30, 2018 and 2017 the Master Fund traded futures contracts only.

 

The risk to the Members that have purchased interests in the Master Fund is limited to the amount of their capital contributions to the Master Fund and their share of the Master Fund’s assets and undistributed profits.  This limited liability is a consequence of the organization of the Master Fund as a limited liability company under applicable law.

 

Market risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices.  Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded.  The Master Fund is exposed to a market risk equal to the value of futures 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.  The Master Fund’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments.  The Master Fund has credit risk and concentration risk because the sole counterparty or broker with respect to the Master Fund’s assets is UBS Securities or a UBS affiliate.  Credit risk with respect to exchange-traded instruments is reduced to the extent that through UBS Securities, the Master Fund’s counterparty is an exchange or clearing organization.  Futures contracts are conducted through regulated exchanges which have margin requirements, and are settled in cash on a daily basis, thereby minimizing credit risk.

 

6.              Significant Accounting Policies

 

The Fund’s and the Master Fund’s accounting policies are the same and are consistent with the accounting policies in the Fund’s financial statements on Form 10-K for the year ended December 31, 2017.

 

The Fund and the Master Fund have determined their status as investment companies and as such, follow the accounting and reporting requirements of Accounting Standards Codification (“ASC”) 946, Financial Services — Investment Companies.

 

Statement of Cash Flows. The Fund is not required to provide a Statement of Cash Flows in accordance with ASC 230 — Statement of Cash Flows.

 

Investment in Master Fund. The Fund records its investment in the Master Fund at fair value and is represented by the Fund’s proportionate interest in the capital of the Master Fund at June 30, 2018 and December 31, 2017.  Valuation of securities held by the Master Fund is discussed in the Notes to the Master Fund’s financial statements on Form 10-K for the year ended December 31, 2017.  The Fund records its pro rata share of the Master Fund’s income, expenses and realized and unrealized gains and losses.  The performance of the Fund is directly attributable to the performance of the Master Fund.  The Fund records its subscription and withdrawal of the capital account related to its investment in the Master Fund on the transaction date.   The Master Fund will adjust the capital account of the Fund.  Brokerage, clearing and transaction fees are incurred by the Master Fund and are reflected in the pro rata allocation received by the Fund from the Master Fund.

 

Subscriptions Received in Advance. Subscriptions received in advance represent amounts paid by the non-managing Members for a percentage ownership into the Fund which have not yet been added as Members’ capital as of June 30, 2018 and December 31, 2017. The amount paid is held as cash in the Fund’s escrow account and represents the cash on the Fund’s Statements of Financial Condition.

 

Redemptions Payable.  Pursuant to ASC Topic 480, Distinguishing Liabilities from Equity, capital withdrawals effective June 30, 2018 and December 31, 2017 have been reflected as redemptions payable in the Statements of Financial Condition.

 

Income Taxes. The Fund is classified as a partnership for U.S. federal income tax purposes, and the Fund will not pay U.S. federal income tax.  As a result, no income tax liability or expense has been recorded in the financial statements. Each member will be subject to taxation on its share of the Fund’s ordinary income, capital gains and losses.

 

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Master Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.

 

Tax positions with respect to tax at the Master Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Sydling has analyzed the Master Fund’s tax positions for the open tax period and has concluded that no provision is required in the Master Fund’s financial statements.  The Master Fund recognizes interest and penalties,

 

17



Table of Contents

 

if any, related to unrecognized tax benefits as income tax expense in its Statements of Operations and Changes in Member’s Capital.  For the periods ended June 30, 2018 and December 31, 2017, the Master Fund did not incur any interest or penalties.

 

The Master Fund earns interest income on 100% of the average daily equity in the Master Fund’s brokerage account at a rate equal to the monthly average 30-day U.S. Treasury bill rate.

 

7.              Subsequent Events

 

Sydling has evaluated the impact of all subsequent events on the Fund through the date of the filing.  Subsequent to June 30, 2018, additional subscriptions were received from the non-managing Members totaling $1,705,500.  Subsequent to June 30, 2018, redemptions of $2,424,400 will be paid to the non-managing Members.  Sydling has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements.

 

18



Table of Contents

 

Item 2.     Management’s Discussion and Analysis of Financial Condition and Results of Operations.

 

Liquidity and Capital Resources

 

The Fund does not engage in sales of goods or services. Its only assets are its investment in the Master Fund, cash and receivables from the Master Fund. The Master Fund does not engage in the sale of goods or services. The Master Fund’s only assets are its equity in its trading accounts, consisting of cash, net unrealized appreciation/(depreciation) on open futures contracts and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Fund, through its investment in the Master Fund. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the first quarter of 2018.

 

For the six months ended June 30, 2018 and 2017, the Master Fund’s average margin to equity ratio was 7.31% and 10.99%, respectively.

 

The Fund’s capital consists of the capital contributions of the Members as increased or decreased by income/(loss) from its investment in the Master Fund and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

 

For the six months ended June 30, 2018, the Fund’s capital decreased 1.59% from $183,350,875 to $180,434,341. This decrease was attributable to a net loss from operations of $1,471,122 coupled with redemptions of Redeemable Units resulting in an outflow of $10,700,012, which was partially offset by subscriptions for Redeemable Units totaling $9,254,600. Future redemptions from the Fund could impact the amount of funds available for investment in the Master Fund in subsequent periods.

 

The Master Fund’s capital consists of the capital contributions of the investors of the Master Fund as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, withdrawals of interest from the Master Fund and distributions of profits, if any.

 

For the six months ended June 30, 2018, the Master Fund’s capital decreased 1.59% from $183,350,875 to $180,434,341. This decrease was attributable to the withdrawal of interest in the Master Fund resulting in an outflow of $12,703,565, which was partially offset by a net gain from operations of $532,431 coupled with subscriptions for interest in the Master Fund totaling $9,254,600. Future withdrawals from the Master Fund can impact the amount of funds available for investments in commodity contract positions in subsequent periods.

 

Critical Accounting Policies

 

The preparation of financial statements in conformity with U.S. GAAP requires Sydling to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Sydling believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 6. “Significant Accounting Policies.”

 

The Fund records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains/(losses) and change in net unrealized gains/(losses) in the Statements of Operations and Changes in Members’ Capital.

 

Results of Operations

 

During the Fund’s second quarter of 2018, the net asset value per Redeemable Unit increased 4.05% from $1,130.18 to $1,175.96. The Fund, for its own account, through its investment in the Master Fund, experienced a net trading gain before brokerage fees and related fees in the second quarter of 2018 of $9,028,077. Gains were primarily attributable to the Master Fund’s trading of commodity futures in energy, metals, grains, U.S. and non-U.S. interest rates, softs and lumber and were partially offset by losses in currencies, livestock and indices.

 

Eight of the top ten contributors for the Fund during the second quarter were in commodities, led by crude oil, precious metals and grains. Gains from these winning markets were significantly larger than the losses from detractors, which were mostly in the foreign exchange sector.

 

Due to the U.S. proposal to pull out from the nuclear deal with Iran, stable refinery runs  and declining inventories in Cushing, Brent and WTI crude oil prices broke out of their respective trading ranges in the second quarter to reach their highest levels since 2014. Core OPEC members (Saudi Arabia, Kuwait and UAE) ramped up production, but those were offset by a sharp decline in Libyan

 

19



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output. Long Brent and WTI futures were the two top contributors for the Fund, while long positions in heating oil and gasoline were also profitable.

 

The retaliatory tariffs proposed by China on U.S. agricultural products drove grain futures sharply lower. An increase in Brazilian production also weighed on U.S. soybean and corn prices, which fell 17% and 12% respectively during June. The fund held sizable short positions in corn and quickly increased shorts in soybeans, which ranked among the top contributors for the period.

 

As the U.S. economic activity remained robust and trade tension escalated, the U.S. dollar strengthened against most developing and emerging market currencies. The Fund quickly adapted to a short positioning in the Euro and increased short positions in the Japanese Yen and Swiss Franc. The Yen and Franc were among the top contributors, while position reversal in the Euro generated losses.

 

Gold and silver prices weakened as the dollar strengthened during the quarter.  The Fund added to existing short positions in precious metals, which ranked among the top contributors for the quarter. On the other hand, there were mixed trading results from industrial metals, which were mostly driven by tariffs and quotas. Zinc and nickel were among the top contributors to the Fund, while copper and aluminum detracted.

 

U.S. equities ended the quarter higher while Asian and emerging market equities fell. The Fund generally maintained small exposures in the equity indices sector after the volatility spike earlier in February, resulting in de minimus attribution from equity index futures. The U.S. Fed hiked interest rates by 0.25% to a range of 1.75% to 2.0% and policymakers projected two additional hikes before the end of 2018. Short positions Eurodollar, U.S. 2 year and 5 year Treasury note futures were profitable during the quarter.

 

During the Fund’s second quarter of 2017, the net asset value per Redeemable Unit decreased 4.26% from $1,126.37 to $1,078.45. The Fund, for its own account, through its investment in the Master Fund, experienced a net trading loss before brokerage fees and related fees in the second quarter of 2017 of $5,856,185. Losses were primarily attributable to the Master Fund’s trading of commodity futures in currencies, energy, non-U.S and U.S. interest rates, metals and grains and were partially offset by gains in equity indices, softs and livestock.

 

It is notable that most of the losses came in the final week of the quarter. Managed futures strategies did not have time to recover from the sharp counter trend moves driven by hawkish central bankers’ remarks at the ECB’s Forum for Central Banking from June 26th-28th. While the strategy generated sizable gains from the equity indices sector, losses from fixed income and foreign exchange sectors were overwhelming during the quarter. Both trend and non-trend based strategies detracted during this period.

 

Six out of the ten best performing markets for the Fund during this period were in the equity indices sector. Gains came from equities around the world with S&P 500, Korean KOSPI, Nasdaq and Nikkei 225 index futures contributing the most. Market participants were generally optimistic about the outcome of the France election, improved economic outlook in Europe, and strength in the technology sector. The Fund continued to deftly manage the overall equity sector risk by balancing between high conviction momentum signals and a potentially large exposure to global equity risk factor.

 

Within fixed income, the Fund had small losses in several European and U.S. bond and interest rate futures contracts. As the bullish momentum in bond prices corrected sharply for the reasons mentioned earlier, the Fund quickly reduced long positions by about 20% during the week of June 26th. This highlights the adaptive nature of this investment strategy. The Fund ended the quarter with net long positioning in U.S. and European fixed income, with few short positions in the short maturities.

 

Foreign exchange was the worst sector for the Fund during this period. The U.S. Dollar continued to decline against most currencies as the Trump administration could not make progress in the U.S. Congress on its economic agenda. The Fund reversed its short positioning in Euro as regional growth improved and political conditions stabilized. There were losses during the transition from a short to long Euro. Mexican Peso was a notable positive contributor as the strategy maintained a high conviction long position during the quarter. Interest rates in Mexico increased as economic growth was stable and inflation was higher than the central bank’s target.

 

Commodities positions resulted in mixed performance during this period as there were gains in softs and livestock, while energy and metals sectors detracted. The Fund switched from long to short positions in crude products as OPEC-led supply cuts weren’t sufficient to curb feedstock levels. Crude products and natural gas were among the worst detractors for the period. Elsewhere, short sugar, coffee and long cattle positions were among the top contributors.

 

Commodity futures markets are highly volatile. Broad and rapid price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for profit or loss. The profitability of the Fund (and the Master Fund) depends on

 

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the existence of major price trends and the ability of the Advisor to correctly identify those price trends.  Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Fund (and the Master Fund) expects to increase capital through operations.

 

Clearing and transaction fees are based on the number of round turns made in the Master Fund’s account.  Clearing and transaction fees of the Master Fund for the three months ended June 30, 2018 and 2017 were $23,652 and $51,176.  The decrease in clearing and transaction fees for the three months ended June 30, 2018 as compared to the corresponding period in 2017 is a result of a decrease in the number of futures contracts traded in the second quarter of 2018 as compared to the corresponding period in 2017.

 

Clearing and transaction fees of the Master Fund for the six months ended June 30, 2018 and 2017 were $91,054 and $96,326.  The decrease in clearing and transaction fees for the three months ended June 30, 2018 as compared to the corresponding period in 2017 is a result of an decrease in the number of futures contracts traded in the six months ended June 30, 2018 as compared to the corresponding period in 2017.

 

Ongoing selling agent fees are calculated as a percentage of the Fund’s capital account balance at the Master Fund as of the end of each month and are affected by trading performance, subscriptions and redemptions.

 

Ongoing selling agent fees of the Fund for the three months ended June 30, 2018 and 2017 were $1,591,322 and $1,663,909, respectively.  The decrease in selling agent fees in the three months ended June 30, 2018 as compared to the corresponding period in 2017 is due to a decrease in the Fund’s average capital account balance at the Master Fund.

 

Ongoing selling agent fees of the Fund for the six months ended June 30, 2018 and 2017 were $3,205,433 and $3,347,232, respectively.  The decrease in selling agent fees in the six months ended June 30, 2018 as compared to the corresponding period in 2017 is due to a decrease in the Fund’s average capital account balance at the Master Fund.

 

Advisory fees are calculated as a percentage of the Fund’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions.

 

Advisory fees of the Fund for the three months ended June 30, 2018 and 2017 were $679,883 and $710,924, respectively.  The calculation of advisory fees for the three months ended June 30, 2018 and 2017 was based on a monthly average net asset value of $181,302,101 and $189,579,569, respectively.  The decrease in advisory fees for the three months ended June 30, 2018 as compared to the corresponding period in 2017 is due to a decrease in the average net assets.

 

Advisory fees of the Fund for the six months ended June 30, 2018 and 2017 were $1,369,528 and $1,430,152, respectively.  The calculation of advisory fees for the six months ended June 30, 2018 and 2017 was based on a monthly average net asset value of $182,603,756 and $190,686,914, respectively.  The decrease in advisory fees for the six months ended June 30, 2018 as compared to the corresponding period in 2017 is due to a decrease in the average net assets.

 

Administrative fees are paid to Sydling for administering the business and affairs of the Fund.  Sydling pays a portion of the administrative fee to the Administrator.  These fees are calculated as a percentage of the Fund’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions.

 

Administrative fees of the Fund for the three months ended June 30, 2018 and 2017 were $226,627 and $236,974, respectively.  The calculation of administrative fees for the three months ended June 30, 2018 and 2017 was based on a monthly average net asset value of $181,302,101 and $189,579,569, respectively.  The decrease in administrative fees for the three months ended June 30, 2018 as compared to the corresponding period in 2017 is due to a decrease in the average net assets.

 

Administrative fees of the Fund for the six months ended June 30, 2018 and 2017 were $456,509 and $476,717, respectively.  The calculation of administrative fees for the six months ended June 30, 2018 and 2017 was based on a monthly average net asset value of $182,603,756 and $190,686,914, respectively.  The decrease in administrative fees for the six months ended June 30, 2018 as compared to the corresponding period in 2017 is due to a decrease in the average net assets.

 

Incentive fees to the Advisor are based on the new trading profits generated by the Advisor, paid at the end of each quarter, as defined in the Trading Advisory Agreement among the Master Fund, the Fund, Sydling and the Advisor. There were no incentive fees earned during the three and six months ended June 30, 2018 and 2017.

 

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In allocating substantially all of the assets of the Fund to the Master Fund, Sydling considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. Sydling may modify or terminate the allocation of assets to the Advisor at any time.

 

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Item 3.       Quantitative and Qualitative Disclosures about Market Risk

 

All of the Fund’s assets are subject to the risk of trading loss through its investment in the Master Fund.

 

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

 

The risk to the Members that have purchased Redeemable Units is limited to the amount of their capital contributions to the Fund and their share of Fund assets and undistributed profits.  This limited liability is a consequence of the organization of the Fund as a limited liability company under Delaware law.

 

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

 

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

 

Quantifying the Fund’s Trading Value at Risk

 

The following quantitative disclosures regarding the Master Fund’s and the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor except for statements of historical fact (such as the terms of particular contracts and the number of market risk sensitive instruments held during or at the end of the reporting period).

 

“Value at Risk” is a measure of the maximum amount which the Master Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master Fund’s speculative trading and the recurrence in the markets traded by the Master Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master Fund’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Master Fund’s losses in any market sector will be limited to Value at Risk or by the Master Fund’s attempts to manage its market risk.

 

Exchange maintenance margin requirements have been used by the Master Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

 

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master Fund’s open positions by market category as of June 30, 2018 and December 31, 2017, and the highest, lowest and average value during the three months ended June 30, 2018 and the twelve months ended December 31, 2017. All open position trading risk exposures of the Master Fund have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2017.

 

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As of June 30, 2018, the Master Fund’s total capitalization was $180,434,341, and the Fund owned 100% of the Master Fund. The Fund invests substantially all of its assets in the Master Fund. The Master Fund’s Value at Risk as of June 30, 2018 was as follows:

 

 

 

 

 

 

 

Three Months ended June 30, 2018 (unaudited)

 

Market Sector

 

Value
at Risk

 

% of Total
Capitalization

 

High Value
at Risk

 

Low Value
at Risk

 

Average Value
at Risk*

 

Currencies

 

$

1,258,521

 

0.70

%

$

1,555,120

 

$

1,184,196

 

$

1,350,351

 

Energy

 

$

1,128,591

 

0.63

%

$

1,557,772

 

$

989,936

 

$

1,310,942

 

Grains

 

$

1,377,510

 

0.76

%

$

1,389,214

 

$

958,643

 

$

1,166,208

 

Index

 

$

415,647

 

0.23

%

$

1,309,720

 

$

411,920

 

$

717,198

 

Interest Rate Non-U.S.

 

$

1,537,645

 

0.85

%

$

1,537,645

 

$

599,498

 

$

902,795

 

Interest Rate U.S.

 

$

3,009,147

 

1.67

%

$

3,392,333

 

$

2,729,180

 

$

3,110,783

 

Livestock

 

$

337,340

 

0.19

%

$

352,049

 

$

97,157

 

$

240,934

 

Lumber

 

$

3,589

 

% **

$

4,690

 

$

1,575

 

$

3,238

 

Metals

 

$

1,494,705

 

0.83

%

$

1,504,825

 

$

688,072

 

$

1,133,168

 

Softs

 

$

1,300,894

 

0.72

%

$

1,434,392

 

$

923,030

 

$

1,213,788

 

Total

 

$

11,863,589

 

6.58

%

 

 

 

 

 

 

 


*Average daily Value at Risk.

** Due to rounding

 

As of December 31, 2017, the Master Fund’s total capitalization was $183,350,875 and the Fund owned 100% of the Master Fund. The Fund invests substantially all of its assets in the Master Fund. The Master Fund’s Value at Risk as of December 31, 2017 was as follows:

 

December 31, 2017

(unaudited)

 

Market Sector

 

Value
at Risk

 

% of Total
Capitalization

 

High Value
at Risk

 

Low Value
at Risk

 

Average Value
at Risk*

 

Currencies

 

$

2,161,362

 

1.18

%

$

3,657,599

 

$

1,839,853

 

$

2,615,227

 

Energy

 

$

1,373,825

 

0.75

%

$

1,666,690

 

$

267,778

 

$

669,160

 

Grains

 

$

1,065,047

 

0.58

%

$

2,194,809

 

$

965,638

 

$

1,449,607

 

Index

 

$

6,684,197

 

3.64

%

$

9,454,778

 

$

5,875,155

 

$

7,356,467

 

Interest Rate Non-U.S.

 

$

3,002,317

 

1.64

%

$

4,442,928

 

$

1,646,699

 

$

3,419,674

 

Interest Rate U.S.

 

$

3,407,204

 

1.86

%

$

5,540,910

 

$

1,351,448

 

$

3,111,358

 

Livestock

 

$

202,212

 

0.11

%

$

437,374

 

$

193,346

 

$

285,659

 

Lumber

 

$

3,965

 

% **

$

7,162

 

$

 

$

4,416

 

Metals

 

$

1,167,014

 

0.64

%

$

1,345,515

 

$

290,344

 

$

658,990

 

Softs

 

$

1,186,704

 

0.65

%

$

1,547,314

 

$

427,606

 

$

810,577

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

20,253,847

 

11.05

%

 

 

 

 

 

 

 


*Average daily Value at Risk.

** Due to rounding

 

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Table of Contents

 

Item 4.       Controls and Procedures

 

The Fund’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Fund on the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Fund in the reports it files is accumulated and communicated to Sydling, including the President and Chief Financial Officer (“CFO”) of Sydling, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

 

Sydling is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Fund’s external disclosures.

 

Sydling’s President and CFO have evaluated the effectiveness of the Fund’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2018 and, based on that evaluation, Sydling’s President and CFO have concluded that, at that date, the Fund’s disclosure controls and procedures were effective.

 

The Fund’s internal control over financial reporting is a process under the supervision of Sydling’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with U.S. GAAP. These controls include policies and procedures that:

 

·                                          pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Fund;

 

·                                          provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with U.S. GAAP, and (ii) the Fund’s receipts are handled and expenditures are made only pursuant to authorizations of Sydling; and

 

·                                          provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Fund’s assets that could have a material effect on the financial statements.

 

There were no changes in the Fund’s internal control over financial reporting process during the fiscal quarter ended June 30, 2018 that materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

 

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PART II. OTHER INFORMATION

 

Item 1.       Legal Proceedings

 

There are no material changes to the discussion set forth under Item 3. “Legal Proceedings” in the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2017 as updated by the Fund’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2018. There are no material legal proceedings pending against the Fund and Sydling.

 

Item 1A.    Risk Factors

 

There have been no material changes to the risk factors set forth under Part 1, Item 1A. “Risk Factors” in the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2017 and under Part II, Item 1A. “Risk Factors” in the Fund’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2018.

 

Item 2.       Unregistered Sales of Equity Securities and Use of Proceeds

 

For the three months ended June 30, 2018, there were additional subscriptions of 3,354.074 Redeemable Units totaling $3,826,200. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. These Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, Sydling relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

 

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

 

The following chart sets forth the purchases of Redeemable Units by the Fund.

 

Period

 

(a) Total Number
of Redeemable
Units Purchased*

 

(b) Average Price
Paid per
Redeemable
Unit**

 

(c) Total Number
of Redeemable
Units Purchased as
Part of Publicly
Announced Plans
or Programs

 

(d) Maximum
Number (or
Approximate
Dollar Value) of
Redeemable Units
that May Yet Be
Purchased Under
the Plans or
Programs

 

April 1, 2018 — April 30, 2018

 

1,439.744

 

$

1,156.44

 

N/A

 

N/A

 

May 1, 2018 — May 31, 2018

 

1,855.173

 

$

1,144.40

 

N/A

 

N/A

 

June 1, 2018 — June 30, 2018

 

1,885.478

 

$

1,175.96

 

N/A

 

N/A

 

Total

 

5,180.395

 

$

1,158.93

 

 

 

 

 

 


* Generally, Members are permitted to redeem their Redeemable Units as of the end of each month on five business days’ notice to Sydling. Under certain circumstances, Sydling can compel redemption, although to date, it has not exercised this right. Purchases of Redeemable Units by the Fund reflected in the chart above were made in the ordinary course of the Fund’s business in connection with effecting redemptions for Members.

** Redemptions of Redeemable Units are effected as of the end of each month at the net asset value per Redeemable Unit as of that day.

 

Item 3.       Defaults Upon Senior Securities — None

 

Item 4.       Mine Safety Disclosures — Not Applicable

 

Item 5.       Other Information — None

 

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Item 6.       Exhibits

 

Exhibit 3.1

 

Certificate of Formation (filed as Exhibit 3.1 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

 

(a)

Certificate of Amendment of the Certificate of Formation (filed as Exhibit 3.1(a) to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

Exhibit 3.2

 

Application for Authority (filed as Exhibit 3.2 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

Exhibit 3.3

 

Limited Liability Company Agreement (filed as Exhibit 3.3 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

 

(a)

Amended and Restated Limited Liability Company Agreement (filed as Exhibit 3.3 to the Current Report on Form 8-K filed on July 9, 2018 and incorporated herein by reference).

 

 

 

Exhibit 10.1

 

Customer Agreement between the Master Fund and UBS Securities (filed as Exhibit 10.1 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

Exhibit 10.2

 

Selling Agent Agreement between the Fund and UBS Financial Services (filed as Exhibit 10.2 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

 

(a)

Amended and Restated Selling Agent Agreement between the Fund and UBS Financial Services (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on July 12, 2016 and incorporated herein by reference).

 

 

 

 

(b)

Second Amended and Restated Selling Agent Agreement between the Fund and UBS Financial Services (filed as exhibit 10.2(b) to the Form 10-Q filed on November 14, 2016 and incorporated herein by reference).

 

 

 

Exhibit 10.3

 

Trading Manager Agreement among the Fund, the Master Fund and Sydling (filed as Exhibit 10.3 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

Exhibit 10.4

 

Trading Advisory Agreement among the Master Fund, the Fund, Sydling and the Advisor (filed as Exhibit 10.4 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

 

(a)

Letter from Sydling extending the Trading Advisory Agreement until June 30, 2015, dated June 29, 2014 (filed as Exhibit 10.4(a) to the Form 10-Q filed on August 14, 2014 and incorporated herein by reference).

 

 

 

 

(b)

Letter from Sydling extending the Trading Advisory Agreement until June 30, 2016, dated June 26, 2015 (filed as Exhibit 10.4(b) to the Form 10-Q filed on August 14, 2015 and incorporated herein by reference).

 

 

 

 

(c)

Letter from Sydling extending the Trading Advisory Agreement until June 30, 2017, dated June 16, 2016 (filed as Exhibit 10.4(c) to the Form 10-Q filed on November 14, 2016 and incorporated herein by reference).

 

 

 

 

(d)

Letter from Sydling extending the Trading Advisory Agreement until June 30, 2018, dated July 6, 2017 (filed as Exhibit 10.4(d) to the Form 10-Q filed on November 14, 2017 and incorporated herein by reference).

 

 

 

Exhibit 10.5

 

Fee Arrangement Agreement among Sydling, the Master Fund and UBS Securities (filed as Exhibit 10.5 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

 

(a)

First Amended and Restated Fee Arrangement Agreement among Sydling, the Master Fund and UBS Securities (filed as Exhibit 10.5 to the Form 10-Q filed on August 15, 2016 and incorporated herein by reference).

 

 

 

Exhibit 31.1

 

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

 

 

 

Exhibit 31.2

 

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

 

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Exhibit 32.1

 

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

 

 

 

Exhibit 32.2

 

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

 

 

 

Exhibit 99.1

 

Annual Report of the Fund for the period ended December 31, 2013 (filed as Exhibit 99.1 to the general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

Exhibit 99.2

 

Organization Chart (filed as Exhibit 99.2 to the amended general form for registration of securities on Form 10 filed on May 29, 2014 and incorporated herein by reference).

 

 

 

Exhibit 101.INS

 

XBRL Instance Document.

 

 

 

Exhibit 101.SCH

 

XBRL Taxonomy Extension Schema Document.

 

 

 

Exhibit 101.CAL

 

XBRL Taxonomy Extension Calculation Linkbase Document.

 

 

 

Exhibit 101.LAB

 

XBRL Taxonomy Extension Label Linkbase Document.

 

 

 

Exhibit 101.PRE

 

XBRL Taxonomy Extension Presentation Linkbase Document.

 

 

 

Exhibit 101.DEF

 

XBRL Taxonomy Extension Definition Document.

 

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SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

CAVENDISH FUTURES FUND LLC

 

(Registrant)

 

 

 

 

By:

Sydling Futures Management LLC

 

 

 

 

 

 

 

By:

/s/ Jerry Pascucci

 

 

Jerry Pascucci

 

 

President and Director

 

 

 

 

Date:

August 14, 2018

 

 

29


EX-31.1 2 a18-14062_1ex31d1.htm EX-31.1

Exhibit 31.1

 

CERTIFICATION

 

I, Jerry Pascucci, certify that:

 

1.     I have reviewed this Quarterly Report on Form 10-Q of Cavendish Futures Fund LLC;

 

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 the 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, 2018

 

 

/s/ Jerry Pascucci

 

Jerry Pascucci

 

Sydling Futures Management LLC

 

President and Director

 


EX-31.2 3 a18-14062_1ex31d2.htm EX-31.2

Exhibit 31.2

 

CERTIFICATION

 

I, Jennifer Magro, certify that:

 

1.              I have reviewed this Quarterly Report on Form 10-Q of Cavendish Futures Fund LLC;

 

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 the 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, 2018

 

 

/s/ Jennifer Magro

 

Jennifer Magro

 

Sydling Futures Management LLC

 

Chief Financial Officer

(Principal Accounting Officer)

 


EX-32.1 4 a18-14062_1ex32d1.htm EX-32.1

Exhibit 32.1

 

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

 

In connection with the Quarterly Report of Cavendish Futures Fund LLC (the “Fund”) on Form 10-Q for the period ended June 30, 2018 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Jerry Pascucci, President and Director of Sydling Futures Management LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

 

(1)         The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

(2)         The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund.

 

/s/ Jerry Pascucci

 

Jerry Pascucci

 

Sydling Futures Management LLC

 

President and Director

 

 

Date: August 14, 2018

 


EX-32.2 5 a18-14062_1ex32d2.htm EX-32.2

Exhibit 32.2

 

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

 

In connection with the Quarterly Report of Cavendish Futures Fund LLC (the “Fund”) on Form 10-Q for the period ended June 30, 2018 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Jennifer Magro, Chief Financial Officer of Sydling Futures Management LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

 

(1)         The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

(2)         The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund.

 

/s/ Jennifer Magro

 

Jennifer Magro

 

Sydling Futures Management LLC

 

Chief Financial Officer

(Principal Accounting Officer)

 

 

Date: August 14, 2018

 


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which have not yet been added as Members&#x2019; capital as of June&nbsp;30, 2018 and December&nbsp;31, 2017. The amount paid is held as cash in the Fund&#x2019;s escrow account and represents the cash on the Fund&#x2019;s Statements of Financial Condition.</font> </p> <p style="margin:0pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">&nbsp;</font> </p><div /></div> </div> 0.035 0.0589 0.0589 0.0592 0.0594 0.0589 0.0371 0.0589 0.0370 0.0592 0.0370 0.0594 0.0368 -6114608 -6114608 -7521911 -7521911 -2916534 -2916534 4961153 4961153 128792 -296601 -3448965 -3183972 180260068 178022507 2549536 -2324292 2900931 7195182 7232 7903 5554 4428 3492808 1739710 3344237 1638849 0 0 <div> <div> <p style="margin:0pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">&nbsp;</font> </p> <p style="margin:0pt 0pt 0pt 18pt;text-indent: -18pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-weight:bold;font-size:10pt;">2.<font style="display:inline;font-weight:bold;font-size:10pt;;font-size: 10pt;font-family:Times New Roman,Times,serif;text-indent:0pt;margin-left:0pt;padding:0pt 12pt 0pt 0pt;"></font></font><font style="display:inline;font-size:3pt;"></font><font style="display:inline;font-weight:bold;font-size:10pt;">Financial Highlights</font> </p> <p style="margin:0pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">&nbsp;</font> </p> <p style="margin:0pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">Changes in the net asset value per Redeemable Unit for the three and six months ended June&nbsp;30, 2018 and 2017 are as follows:</font> </p> <p style="margin:0pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">&nbsp;</font> </p> <p style="margin:0pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">Financial Highlights of the Fund:</font> </p> <p style="margin:0pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">&nbsp;</font> </p> <div style="width:100%;"><table cellpadding="0" cellspacing="0" style="border-collapse:collapse;width: 100.00%;"> <tr> <td valign="bottom" style="width:39.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 8pt;"> <font style="display:inline;font-size:8pt;">&nbsp;</font></p> </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;border-top:1pt none #D9D9D9 ;border-left:1pt none #D9D9D9 ;border-bottom:1pt solid #000000 ;border-right:1pt none #D9D9D9 ;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 8pt;"> <font style="display:inline;font-weight:bold;font-size:8pt;">Three<br />Months&nbsp;Ended<br />June&nbsp;30,&nbsp;2018</font></p> </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;border-top:1pt none #D9D9D9 ;border-left:1pt none #D9D9D9 ;border-bottom:1pt solid #000000 ;border-right:1pt none #D9D9D9 ;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 8pt;"> <font style="display:inline;font-weight:bold;font-size:8pt;">Three<br />Months&nbsp;Ended<br />June&nbsp;30,&nbsp;2017</font></p> </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;border-top:1pt none #D9D9D9 ;border-left:1pt none #D9D9D9 ;border-bottom:1pt solid #000000 ;border-right:1pt none #D9D9D9 ;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 8pt;"> <font style="display:inline;font-weight:bold;font-size:8pt;">Six<br />Months&nbsp;Ended<br />June&nbsp;30,&nbsp;2018</font></p> </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;border-top:1pt none #D9D9D9 ;border-left:1pt none #D9D9D9 ;border-bottom:1pt solid #000000 ;border-right:1pt none #D9D9D9 ;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 8pt;"> <font style="display:inline;font-weight:bold;font-size:8pt;">Six<br />Months&nbsp;Ended<br />June&nbsp;30,&nbsp;2017</font></p> </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:center;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> </tr> <tr> <td valign="top" style="width:39.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt 0pt 0pt 10.1pt;line-height:106.67%;text-indent: -10.1pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-weight:bold;font-size:10pt;">Per share operating performance:</font><font style="display:inline;font-size:10pt;"> (a)</font></p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> </tr> <tr> <td valign="top" style="width:39.50%;padding:0pt;"> <p style="margin:0pt 0pt 0pt 20.2pt;line-height:106.67%;text-indent: -10.1pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">Members&#x2019; capital per Redeemable Unit, beginning of period</font></p> </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:01.12%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">$</font></p> </td> <td valign="bottom" style="width:10.88%;;font-family:Times New Roman,Times,serif;font-size:10pt;text-align:right;" nowrap="nowrap"><div style="float:left"></div>1,130.18 </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:01.12%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">$</font></p> </td> <td valign="bottom" style="width:10.88%;;font-family:Times New Roman,Times,serif;font-size:10pt;text-align:right;" nowrap="nowrap"><div style="float:left"></div>1,126.37 </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:01.12%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">$</font></p> </td> <td valign="bottom" style="width:10.88%;;font-family:Times New Roman,Times,serif;font-size:10pt;text-align:right;" nowrap="nowrap"><div style="float:left"></div>1,185.36 </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:01.12%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-size:10pt;">$</font></p> </td> <td valign="bottom" style="width:10.88%;;font-family:Times New Roman,Times,serif;font-size:10pt;text-align:right;" nowrap="nowrap"><div style="float:left"></div>1,127.01 </td> <td valign="bottom" style="width:02.50%;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> </tr> <tr> <td valign="top" style="width:39.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt 0pt 0pt 20.2pt;line-height:106.67%;text-indent: -10.1pt;font-family:Times New Roman,Times,serif;font-size: 10pt;"> <font style="display:inline;font-weight:bold;font-size:10pt;">Income/(loss) from investment operations:</font></p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td valign="bottom" style="width:02.50%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;font-family:Times New Roman,Times,serif;font-size: 12pt;"> &nbsp;</p> </td> <td colspan="2" valign="bottom" style="width:12.00%;background-color: #CCEEFF;padding:0pt;"> <p style="margin:0pt;line-height:106.67%;text-align:right;font-family:Times New Roman,Times,serif;font-si