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MAN FRM MANAGED FUTURES STRATEGIES LLC - 10-Q - : Management's Discussion and Analysis and Results of Operations

Unless the context requires otherwise, references in this Form 10-Q to the Fund
also refer to the Underlying Funds and the Master Funds in which the Underlying
Funds invest.  Reference to the investment process, strategies, objectives and
activities of the Fund and the Underlying Funds refer to the investment
activities of the Master Funds through which the Underlying Funds and Fund
indirectly conduct their investment processes, strategies, objectives and
activities.



                            NET ASSET VALUE PER UNIT



The NAV of the Fund is equivalent to its total assets less its total liabilities
as of any valuation day.  Appreciation or depreciation in the NAV of the Fund is
based upon appreciation or depreciation in the value of investments in
Underlying Funds that are held by the Fund, with appropriate adjustments for
assets and liabilities of the Fund. The different Classes of Units will have a
different NAV due to the different Management Fees charged to these Classes.
The NAV is calculated on the last calendar day of each month and/or last
business day of each week and/or such other days as the Manager may determine in
its sole discretion.



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FRM believes that the NAV used to calculate subscription and redemption value
and to report performance to investors is a useful performance measure for the
investors of the Fund.  The charts below reference NAV at the specified
valuation dates.



                                    YR 2016



                              NAV PER UNIT CLASS A


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4thMar. 11thMar. 18thMar. 24thMar. 31st 2016$ 1.1236 $ 1.1686 $ 1.1501 $ 1.1497 $ 1.1497 $ 1.1574 $ 1.1798 $ 1.1755 $ 1.1750 $ 1.1750 $ 1.1536 $ 1.1281 $ 1.1375 $ 1.1355 $ 1.1445



                              NAV PER UNIT CLASS C


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4thMar. 11thMar. 18thMar. 24thMar. 31st 2016$ 1.0763 $ 1.1192 $ 1.1013 $ 1.1007 $ 1.1007 $ 1.1078 $ 1.1290 $ 1.1247 $ 1.1240 $ 1.1240 $ 1.1034 $ 1.0788 $ 1.0875 $ 1.0855 $ 1.0938



                              NAV PER UNIT CLASS D


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4thMar. 11thMar. 18thMar. 24thMar. 31st 2016$ 1.4310 $ 1.4887 $ 1.4656 $ 1.4655 $ 1.4655 $ 1.4756 $ 1.5047 $ 1.4996 $ 1.4995 $ 1.4995 $ 1.4726 $ 1.4404 $ 1.4528 $ 1.4507 $ 1.4625



                              NAV PER UNIT CLASS I


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4thMar. 11thMar. 18thMar. 24thMar. 31st 2016 $ 1.2143 $ 1.2630 $ 1.2432 $ 1.2428 $ 1.2428 $ 1.2512 $ 1.2755 $ 1.2710 $ 1.2706 $ 1.2706 $ 1.2475 $ 1.2200 $ 1.2302 $ 1.2282 $ 1.2380



                              NAV PER UNIT CLASS M


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4thMar. 11thMar. 18thMar. 24thMar. 31st 2016$ 1.0571 $ 1.0997 $ 1.0827 $ 1.0826 $ 1.0826 $ 1.0901 $ 1.1115 $ 1.1078 $ 1.1077 $ 1.1077 $ 1.0878 $ 1.0641 $ 1.0732 $ 1.0716 $ 1.0804



                             NAV PER UNIT CLASS AA


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4thMar. 11thMar. 18thMar. 24thMar. 31st 2016$ 0.9978 $ 1.0376 $ 1.0210 $ 1.0204 $ 1.0204 $ 1.0270 $ 1.0467 $ 1.0427 $ 1.0421 $ 1.0421 $ 1.0229 $ 1.0001 $ 1.0082 $ 1.0063 $ 1.0141



                             NAV PER UNIT CLASS II


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4thMar. 11thMar. 18thMar. 24thMar. 31st 2016$ 1.0136 $ 1.0542 $ 1.0376 $ 1.0372 $ 1.0372 $ 1.0441 $ 1.0644 $ 1.0606 $ 1.0602 $ 1.0602 $ 1.0409 $ 1.0179 $ 1.0264 $ 1.0246 $ 1.0327



                             NAV PER UNIT CLASS MM


Jan. 8thJan. 15thJan. 22ndJan. 29thJan. 31stFeb. 05thFeb. 12thFeb. 19thFeb. 26thFeb. 29thMar. 4th

Mar. 11thMar. 18thMar. 24thMar. 31st 2016 N/A N/A N/A $ 0.9998 $ 0.9998 $ 1.0066 $ 1.0263 $ 1.0228 $ 1.0225 $ 1.0225 $ 1.0041

 $    0.9821   $    0.9904   $    0.9888   $    0.9968




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                                    YR 2015



                              NAV PER UNIT CLASS A



        Jan. 15th     Jan. 31th     Feb. 15th     Feb. 28th     Mar. 15th     Mar. 31th     Apr. 15th     Apr. 30th     May. 8th     May. 15th     May. 22nd
2015   $    1.2304   $    1.2611   $    1.2311   $    1.2593   $    1.2846   $    1.2826   $    1.2986   $    1.2308   $   1.2308   $    1.2183   $    1.2351

        May. 31st     Jun. 5th      Jun. 15th     Jun. 19th     Jun. 30th     Jul. 2rd      Jul. 10th     Jul. 15th    Jul. 24th     Jul. 31st     Aug. 7th
2015   $    1.2319   $    1.2013   $    1.1770   $    1.1742   $    1.1442   $    1.1509   $    1.1423   $    1.1638   $   1.1784   $    1.1834   $    1.1885

        Aug. 14th     Aug. 21st     Aug. 31st     Sep. 4th      Sep. 11th     Sep. 15th     Sep. 25th     Sep. 30th    Oct. 09th     Oct. 15th     Oct. 23th
2015   $    1.1642   $    1.1606   $    1.1071   $    1.1336   $    1.1283   $    1.1141   $    1.1223   $    1.1350   $   1.0953   $    1.1123   $    1.1289

        Oct. 31st     Nov. 6th      Nov. 13th     Nov. 20th     Nov. 27th     Nov. 30th     Dec. 4th      Dec. 11th    Dec. 18th     Dec. 24th     Dec. 31st
2015   $    1.1151   $    1.1147   $    1.1243   $    1.1499   $    1.1606   $    1.1574   $    1.1087   $    1.1283   $   1.1350   $    1.1118   $    1.1098




                              NAV PER UNIT CLASS C



        Jan. 15th     Jan. 31th     Feb. 15th     Feb. 28th     Mar. 15th     Mar. 31th     Apr. 15th     Apr. 30th     May. 8th     May. 15th     May. 22nd
2015   $    1.1903   $    1.2195   $    1.1899   $    1.2167   $    1.2406   $    1.2382   $    1.2531   $    1.1872   $   1.1872   $    1.1746   $    1.1906

        May. 31st     Jun. 5th      Jun. 15th     Jun. 19th     Jun. 30th     Jul. 2rd      Jul. 10th     Jul. 15th    Jul. 24th     Jul. 31st     Aug. 7th
2015   $    1.1872   $    1.1576   $    1.1338   $    1.1310   $    1.1018   $    1.1082   $    1.0997   $    1.1202   $   1.1340   $    1.1385   $    1.1432

        Aug. 14th     Aug. 21st     Aug. 31st     Sep. 4th      Sep. 11th     Sep. 15th     Sep. 25th     Sep. 30th    Oct. 09th     Oct. 15th     Oct. 23th
2015   $    1.1197   $    1.1160   $    1.0643   $    1.0896   $    1.0843   $    1.0705   $    1.0781   $    1.0902   $   1.0518   $    1.0679   $    1.0836

        Oct. 31st     Nov. 6th      Nov. 13th     Nov. 20th     Nov. 27th     Nov. 30th     Dec. 4th      Dec. 11th    Dec. 18th     Dec. 24th     Dec. 31st
2015   $    1.0702   $    1.0696   $    1.0786   $    1.1029   $    1.1130   $    1.1098   $    1.0631   $    1.0816   $   1.0878   $    1.0654   $    1.0633




                              NAV PER UNIT CLASS D



        Jan. 15th     Jan. 31th     Feb. 15th     Feb. 28th     Mar. 15th     Mar. 31th     Apr. 15th     Apr. 30th     May. 8th     May. 15th     May. 22nd
2015   $    1.5440   $    1.5835   $    1.5468   $    1.5832   $    1.6160   $    1.6145   $    1.6357   $    1.5513   $   1.5513   $    1.5364   $    1.5581

        May. 31st     Jun. 5th      Jun. 15th     Jun. 19th     Jun. 30th     Jul. 2rd      Jul. 10th     Jul. 15th    Jul. 24th     Jul. 31st     Aug. 7th
2015   $    1.5544   $    1.5163   $    1.4862   $    1.4829   $    1.4458   $    1.4544   $    1.4440   $    1.4714   $   1.4904   $    1.4971   $    1.5040

        Aug. 14th     Aug. 21st     Aug. 31st     Sep. 4th      Sep. 11th     Sep. 15th     Sep. 25th     Sep. 30th    Oct. 09th     Oct. 15th     Oct. 23th
2015   $    1.4737   $    1.4696   $    1.4024   $    1.4362   $    1.4300   $    1.4121   $    1.4231   $    1.4395   $   1.3897   $    1.4116   $    1.4331

        Oct. 31st     Nov. 6th      Nov. 13th     Nov. 20th     Nov. 27th     Nov. 30th     Dec. 4th      Dec. 11th    Dec. 18th     Dec. 24th     Dec. 31st
2015   $    1.4161   $    1.4160   $    1.4286   $    1.4615   $    1.4756   $    1.4716   $    1.4100   $    1.4353   $   1.4442   $    1.4150   $    1.4130




                              NAV PER UNIT CLASS I



        Jan. 15th     Jan. 31th     Feb. 15th     Feb. 28th     Mar. 15th     Mar. 31th     Apr. 15th     Apr. 30th     May. 8th     May. 15th     May. 22nd
2015   $    1.3245   $    1.3578   $    1.3257   $    1.3563   $    1.3838   $    1.3818   $    1.3993   $    1.3265   $   1.3265   $    1.3132   $    1.3314

        May. 31st     Jun. 5th      Jun. 15th     Jun. 19th     Jun. 30th     Jul. 2rd      Jul. 10th     Jul. 15th    Jul. 24th     Jul. 31st     Aug. 7th
2015   $    1.3280   $    1.2952   $    1.2691   $    1.2661   $    1.2340   $    1.2413   $    1.2321   $    1.2553   $   1.2712   $    1.2766   $    1.2822

        Aug. 14th     Aug. 21st     Aug. 31st     Sep. 4th      Sep. 11th     Sep. 15th     Sep. 25th     Sep. 30th    Oct. 09th     Oct. 15th     Oct. 23th
2015   $    1.2562   $    1.2524   $    1.1948   $    1.2234   $    1.2178   $    1.2025   $    1.2115   $    1.2253   $   1.1826   $    1.2010   $    1.2190

        Oct. 31st     Nov. 6th      Nov. 13th     Nov. 20th     Nov. 27th     Nov. 30th     Dec. 4th      Dec. 11th    Dec. 18th     Dec. 24th     Dec. 31st
2015   $    1.2042   $    1.2039   $    1.2144   $    1.2420   $    1.2538   $    1.2503   $    1.1978   $    1.2190   $   1.2263   $    1.2013   $    1.1993




                              NAV PER UNIT CLASS M



        Jan. 15th     Jan. 31th     Feb. 15th     Feb. 28th     Mar. 15th     Mar. 31th     Apr. 15th     Apr. 30th     May. 8th     May. 15th     May. 22nd
2015   $    1.1406   $    1.1698   $    1.1426   $    1.1695   $    1.1938   $    1.1927   $    1.2083   $    1.1459   $   1.1459   $    1.1350   $    1.1510

        May. 31st     Jun. 5th      Jun. 15th     Jun. 19th     Jun. 30th     Jul. 2rd      Jul. 10th     Jul. 15th    Jul. 24th     Jul. 31st     Aug. 7th
2015   $    1.1483   $    1.1201   $    1.0979   $    1.0955   $    1.0680   $    1.0744   $    1.0667   $    1.0870   $   1.1010   $    1.1059   $    1.1110

        Aug. 14th     Aug. 21st     Aug. 31st     Sep. 4th      Sep. 11th     Sep. 15th     Sep. 25th     Sep. 30th    Oct. 09th     Oct. 15th     Oct. 23th
2015   $    1.0887   $    1.0856   $    1.0360   $    1.0610   $    1.0563   $    1.0432   $    1.0513   $    1.0634   $   1.0266   $    1.0428   $    1.0587

        Oct. 31st     Nov. 6th      Nov. 13th     Nov. 20th     Nov. 27th     Nov. 30th     Dec. 4th      Dec. 11th    Dec. 18th     Dec. 24th     Dec. 31st
2015   $    1.0461   $    1.0460   $    1.0553   $    1.0796   $    1.0900   $    1.0871   $    1.0416   $    1.0603   $   1.0669   $    1.0453   $    1.0438




                             NAV PER UNIT CLASS AA



        Jan. 15th     Jan. 31th     Feb. 15th     Feb. 28th     Mar. 15th     Mar. 31th     Apr. 15th     Apr. 30th     May. 8th     May. 15th     May. 22nd
2015           n/a           n/a           n/a           n/a           n/a           n/a           n/a           n/a          n/a           n/a           n/a

        May. 31st     Jun. 5th      Jun. 15th     Jun. 19th     Jun. 30th     Jul. 2rd      Jul. 10th     Jul. 15th    Jul. 24th     Jul. 31st     Aug. 7th
2015           n/a           n/a           n/a           n/a           n/a           n/a           n/a           n/a          n/a           n/a           n/a

        Aug. 14th     Aug. 21st     Aug. 31st     Sep. 4th      Sep. 11th     Sep. 15th     Sep. 25th     Sep. 30th    Oct. 09th     Oct. 15th     Oct. 23th
2015           n/a           n/a           n/a           n/a           n/a           n/a           n/a           n/a          n/a           n/a           n/a

        Oct. 31st     Nov. 6th      Nov. 13th     Nov. 20th     Nov. 27th     Nov. 30th     Dec. 4th      Dec. 11th    Dec. 18th     Dec. 24th     Dec. 31st
2015           n/a           n/a           n/a   $    1.0225   $    1.0319   $    1.0289   $    0.9856   $    1.0028   $   1.0085   $    0.9877   $    0.9858




                             NAV PER UNIT CLASS II



        Jan. 15th     Jan. 31th     Feb. 15th     Feb. 28th     Mar. 15th     Mar. 31th     Apr. 15th     Apr. 30th     May. 8th     May. 15th     May. 22nd
2015           n/a           n/a           n/a           n/a           n/a           n/a           n/a           n/a          n/a           n/a           n/a

        May. 31st     Jun. 5th      Jun. 15th     Jun. 19th     Jun. 30th     Jul. 2rd      Jul. 10th     Jul. 15th    Jul. 24th     Jul. 31st     Aug. 7th
2015           n/a           n/a           n/a           n/a           n/a           n/a           n/a           n/a          n/a           n/a           n/a

        Aug. 14th     Aug. 21st     Aug. 31st     Sep. 4th      Sep. 11th     Sep. 15th     Sep. 25th     Sep. 30th    Oct. 09th     Oct. 15th     Oct. 23th
2015           n/a           n/a           n/a           n/a           n/a           n/a           n/a           n/a          n/a           n/a           n/a

        Oct. 31st     Nov. 6th      Nov. 13th     Nov. 20th     Nov. 27th  
  Nov. 30th     Dec. 4th      Dec. 11th    Dec. 18th     Dec. 24th     Dec. 31st
2015           n/a           n/a           n/a           n/a           n/a           n/a           n/a   $    1.0177   $   1.0238   $    1.0028   $    1.0011



Liquidity and Capital Resources



The Fund and the Underlying Funds through their related Master Funds borrow only
to a limited extent and only on a strictly short-term basis in order to finance
losses on non-U.S. dollar denominated trading positions pending the conversion
of the Fund's and Underlying Funds' U.S. dollar deposits. These borrowings are
at a prevailing short-term rate in the relevant currency.



An Underlying Fund through its Master Fund should be able to close out its open
trading positions and liquidate its holdings relatively quickly and at market
prices, except in unusual circumstances. This typically permits the Underlying
Fund to limit losses as well as reduce market exposure on short notice should
its strategies indicate doing so.



There is no established public trading market for the Units.  Investors in the
Fund generally may redeem any or all of their Units at NAV, in whole or
fractional Units, effective as of each Friday (or, where such day is not a
business day, the immediately following business day) and/or such other days as
the Manager may determine in its sole discretion ("Redemption Day"), upon
submitting a redemption request by the "Redemption Notice Date," which is four
business days prior to the Redemption Date.  The NAV of



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redeemed Units is determined as of the Redemption Day. Investors will remain
exposed to fluctuations in NAV during the period between submission of their
redemption request and the applicable Redemption Day.



As a commodity pool, the Fund maintains an extremely large percentage of its
assets in cash directly and indirectly through the underlying Master Funds,
which they must have available to post initial and variation margin on futures
contracts.  This cash is also used to fund redemptions.  While the Underlying
Fund has the ability to fund redemption proceeds from liquidating Master Fund
positions, as a practical matter positions are not liquidated to fund
redemptions.  In the event that positions were liquidated to fund redemptions,
FRM has the ability to override decisions of the Trading Advisor to fund
redemptions if necessary, but in practice the Trading Advisor would determine,
in its discretion which investments should be liquidated.



For the three months ended March 31, 2016 the Fund's capital decreased 1.51%
from $160,781,732 to $158,354,151.  This decrease was attributable to the net
income from operations of $4,896,660, coupled with the redemption of 8,300,678
Units resulting in an outflow of $9,253,287.  The cash outflow was offset with
cash inflow of $1,929,046 due to subscriptions of 1,895,869 Units. Future
redemptions could impact the amount of funds available for investment in the
Underlying Funds in subsequent months.



Critical Accounting Policies



Statement of Cash Flows


The Fund is not required to provide a Statement of Cash Flows.


Investments



Purchase and sale of investments are recorded on a trade date basis. Realized
profits and losses on investments are recognized when the investments are sold.
Any change in net unrealized profit or loss from the preceding period is
reported in the respective Statements of Operations.



Fair Value Measurements


Fair value is defined as 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. For more information on the Fund's treatment of fair value, see Financial Statements Note 3, Fair Value of Investments.



Income Taxes



No provision for income taxes has been made in the accompanying financial
statements as each member is individually responsible for reporting income or
loss based on such member's share of the Fund's income and expenses as reported
for income tax purposes.



The Fund follows the ASC guidance on accounting for uncertainty in income
taxes.  This guidance provides how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements.  This guidance
also requires the evaluation of tax positions taken or expected to be taken in
the course of preparing the 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 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. A prospective investor should be aware that, among
other things, income taxes could have a material adverse effect on the periodic
calculations of the NAV of the Fund,



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including reducing the NAV of the Fund to reflect reserves for income taxes,
such as foreign withholding taxes, that may be payable by the Fund. This could
cause benefits or detriments to certain investors, depending upon the timing of
their entry and exit from the Fund. The Manager has analyzed the Fund's tax
positions and has concluded that no provision for income tax is required in the
Fund's financial statements. The following is the major tax jurisdiction for the
Fund and the earliest tax year subject to examination: United States - 2012.



Reform Act



The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the
definition of "eligible contract participant" and each Master Fund expects to
meet the amended definition as it applies to trading in "retail forex"
transactions so long as its total assets exceed $10 million.  If the Master Fund
does not meet the definition of "eligible contract participant" for purposes of
trading in "retail forex" transactions, it could lead to the Master Fund being
unable to trade such transactions in the interbank market and bearing higher
upfront and mark-to-market margin, less favorable trade pricing, and the
possible imposition of new or increased fees.  "Retail forex" markets available
to parties that do not meet the definition of "eligible contract participant"
could also be significantly less liquid than the interbank market.  Moreover,
the creditworthiness of the counterparties with whom the Master Fund may be
required to trade in such circumstances could be significantly weaker than the
creditworthiness of the currency forward counterparties with which the Master
Fund would otherwise engage for its currency forward transactions.



Results of Operations


January 1, 2016 to March 31, 2016

January 1, 2016 to March 31, 2016



The following table is an allocation by sector as a percentage of net unrealized
profit and loss on open positions for the Fund as a whole taking into account
the positions at the underlying Master Fund level and the allocation to each
underlying Master Fund as of March 31, 2016:



March 31, 2016



                                                 Percent of
                          Net Unrealized       Net Unrealized
Commodity Industry         Profit (Loss)        Profit (Loss)
Sector                   on Open Positions    on Open Positions
Agriculture             $           163,906               12.53 %
Currencies - Futures               (168,363 )            -12.87 %
Currencies - Forwards               (90,761 )             -6.94 %
Energy                               31,676                2.42 %
Interest rates                    1,030,491               78.80 %
Metals                              (56,054 )             -4.29 %
Stock indices                       396,993               30.35 %

Total                   $         1,307,888                 100 %



The Fund experienced a net trading profit for the first quarter ended March 31, 2016 of $6,107,121.



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Returns were varied over the quarter with positive returns in January and February, while March gave back some earlier gains.



The start of the quarter was characterized by an overall risk-off sentiment as
the Chinese equity market experienced extreme volatility with heavy sell-offs
that hit the circuit breakers twice in a week, coupled with the continued
decline in the energy market.  Consequently, this led to raised uncertainty
about policy actions from the central banks that remained throughout the
quarter.  Mid-quarter, the outlook for 2016 became even more complicated as
markets also dealt with the marginal effect of negative rate policy in the
Eurozone and Japan. However, Yellen's speech at the end of March maintained the
dovish tone held throughout the quarter, leading the market to revise down the
probability of a June rate hike. The portfolio however maintained a positive
net-of-fees result year-to-date, despite the backdrop of uncertainty from
central bank action.



The main contributor to performance at the start of the quarter was the fixed
income sector, receiving positions across the developed market rates benefited
from the January rally, especially during the final week of the month. Fixed
income remained the main contributor to performance through February. However,
this sector performed negatively towards the end of the quarter.  The majority
of the losses came from long positions in developed market bonds such as UK
Gilts despite being offset by long positions in Italian and French government
bonds.



The commodities sector performed positively in January.  The short position in
crude benefited early in the month as the price of oil slid below the $30/bbl
mark. However, towards the middle of the quarter, while precious metals
detracted from performance, gains were led by shorts in energy and agriculturals
making the commodities sector the second best performing asset class in
February.  Commodities was the worst performer in March despite most programs
scaling back their shorts in the energy sector towards the end of the quarter.



The equities sector was the only sector that detracted at the start of the
quarter as a result of the market sell-off, and remained down until the end of
the quarter. Longs in the U.S. and Japanese major equity indices all suffered
from the price drop during the first two weeks of January, and long positions in
S&P500 and DAX detracted in February.  In March, the Fund saw positive
performance with gains led by longs in the US equity market including S&P500,
Nasdaq and Dow Jones.



Foreign currencies future and forwards contributed positively at the start of
the quarter, but turned negative by the end. Short positions in GBP, CAD and ZAR
against USD contributed to performance in the beginning of January.  However, a
long JPY against USD position was maintained into February and through March as
at the end of the quarter the euro and pound strengthened against the U.S.
dollar, further detracting from performance.



In terms of positioning at quarter end, the portfolio continued to hold its long
delta exposure although there were some notable reductions within the fixed
income sector. The portfolio trimmed some of the longs in precious metals in the
last week of the quarter and adjusted its overall delta exposure in commodities
to almost flat. Regarding equities, the portfolio entered March flat, but
swiftly built up a long exposure most significantly in the U.S. as the equities
market rallied. Finally, the portfolio notably reversed its net long dollar
exposure to net short during the second half of March in the FX sector.



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January 1, 2015 to March 31, 2015

January 1, 2015 to March 31, 2015



The following table is an allocation by sector as a percentage of net unrealized
profits and losses on open positions for the Fund as a whole taking into account
the positions at the underlying Portfolio Fund level and the allocation to each
underlying Portfolio Fund as of March 31, 2015:



March 31, 2015



                                                 Percent of
                          Net Unrealized       Net Unrealized
Commodity Industry         Profit (Loss)        Profit (Loss)
Sector                   on Open Positions    on Open Positions
Agriculture                       1,613,161               32.86 %
Currencies - Futures                (26,105 )             -0.53 %
Currencies - Forwards              (177,860 )             -3.62 %
Energy                              306,419                6.24 %
Interest rates                    3,328,997               67.81 %
Metals                             (673,049 )            -13.71 %
Stock indices                       537,484               10.95 %

Total                   $         4,909,047                 100 %



The Fund experienced a net trading profit for the first quarter ended March 31, 2015 of $15,122,621.



In the first quarter, returns were positive in January and March, with a slight
dip in February. Continuing trends in fixed income, equity indices, currencies
and energies drove performance.



Reference herein to the Fund's trading and portfolio refer to such trading
conducted, and portfolios held, through the Fund's underlying Portfolio Funds.
Reference herein to the trading and portfolio of the Portfolio Funds refers to
such trading and portfolios generally.



In equity indices, the Portfolio Funds came into the first quarter with long
exposure, with positions across geographies. The largest exposures were in U.S.
indices, based on recent trends. Equity markets saw some divergence in the first
three months of the year. U.S. markets had roughly flat returns, taking a break
from the strong performance they had put in the previous two years as rate hikes
approached, a strong U.S. dollar began to weigh on earnings, and the energy
sector continued to struggle. On the other hand, European markets took off
strongly as quantitative easing became a reality and a weaker currency buoyed
earnings. Japanese equities also performed well due to similar reasons. The
Portfolio Funds generally adjusted their portfolios, reducing allocations to
U.S. indices and increasing their long positions in Europe and Asia. The asset
class finished the first quarter with gains, driven primarily by rising equity
prices in non-U.S. markets.



Fixed income was also profitable. The falling yields drove performance in 2014.
The Portfolio Funds were long fixed income markets across geographies and
maturities at the start of 2015, even as yields were low in many areas. Yields
fell further, with big moves registered in January, especially in Europe. These
moves were in part due to the concerns over slow growth and deflation, and the
easing bias adopted by many central banks as evidenced by rate cuts in several
countries and the quantitative easing



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decision from the European Central Bank. Yields did come back up some in February, but were down again in March. Overall, the direction was downward and the moves benefited long positions, resulting in profits for trend followers.




Currencies were another profitable asset class. Following some big moves in the
second half of 2014, the Portfolio Funds were broadly long the U.S. Dollar
against most major foreign currencies, with especially large short exposure in
the euro. The first quarter generally saw a continuation of the strong dollar
trend. Continuing divergence across economies and monetary policy versus the
U.S. led to the euro being down in the first quarter and many foreign currencies
fell in tandem. These moves led to gains.



In commodities, there was a short bias across portfolios. Energy positions had
been profitable in the latter part of 2014 as oil and related markets fell
precipitously due to acute supply and demand imbalances. The moves in oil
continued in January, but there was a choppy period in February when oil markets
rebounded strongly, followed by another down leg in March. WTI crude oil was
down over the first quarter and short positions made additional gains. In metals
and agricultural markets, price moves were more mixed and there were some losses
due to choppiness and an absence of strong trends. Sugar and nickel were two
trending markets where the Portfolio Funds did make some money. Looking at the
asset class as a whole, commodities attribution was roughly flat.




Overall, even as some trends have looked a little extended, market moves generally continued in the direction of existing trends during the first quarter. There were gains in fixed income, equity indices and FX. Commodities were close to flat. As a result, the first quarter was profitable for the Fund.

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Source: Equities.com News (May 13, 2016 - 6:51 AM EDT)

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