SEC Info℠ | Home | Search | My Interests | Help | Sign In | Please Sign In | ||||||||||||||||||||
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 8/11/22 Ceres Orion L.P. 10-Q 6/30/22 50:7.4M Donnelley … Solutions/FA |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 1.99M 2: EX-31.1 Certification -- §302 - SOA'02 HTML 20K 3: EX-31.2 Certification -- §302 - SOA'02 HTML 21K 4: EX-32.1 Certification -- §906 - SOA'02 HTML 16K 5: EX-32.2 Certification -- §906 - SOA'02 HTML 16K 11: R1 Cover Page HTML 68K 12: R2 Statements of Financial Condition HTML 103K 13: R3 Statements of Financial Condition (Parenthetical) HTML 25K 14: R4 Condensed Schedule of Investments HTML 193K 15: R5 Condensed Schedule of Investments (Parenthetical) HTML 48K 16: R6 Statements of Income and Expenses HTML 81K 17: R7 Statements of Changes in Partners' Capital HTML 61K 18: R8 Organization HTML 36K 19: R9 Basis of Presentation and Summary of Significant HTML 31K Accounting Policies 20: R10 Financial Highlights HTML 102K 21: R11 Trading Activities HTML 229K 22: R12 Fair Value Measurements HTML 71K 23: R13 Investment in the Funds HTML 212K 24: R14 Financial Instrument Risks HTML 38K 25: R15 Subsequent Events HTML 20K 26: R16 Basis of Presentation and Summary of Significant HTML 47K Accounting Policies (Policies) 27: R17 Financial Highlights (Tables) HTML 101K 28: R18 Trading Activities (Tables) HTML 229K 29: R19 Fair Value Measurements (Tables) HTML 67K 30: R20 Investment in the Funds (Tables) HTML 205K 31: R21 Organization - Additional Information (Detail) HTML 46K 32: R22 Basis of Presentation and Summary of Significant HTML 27K Accounting Policies - Additional Information (Detail) 33: R23 Financial Highlights - Schedule of Changes in Net HTML 32K Asset Value (Detail) 34: R24 Financial Highlights - Ratios to Average Limited HTML 39K Partners' Capital (Detail) 35: R25 Trading Activities - Additional Information HTML 26K (Detail) 36: R26 Trading Activities - Summary of Gross and Net HTML 67K Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivatives (Detail) 37: R27 Trading Activities - Gross Fair Values of HTML 65K Derivative Instruments of Futures and Forward Contracts Traded (Detail) 38: R28 Trading Activities - Trading Gains and Losses by HTML 42K Market Sector on Derivative Instruments Traded (Detail) 39: R29 Fair Value Measurements - Additional Information HTML 20K (Detail) 40: R30 Fair Value Measurements - Summary of Assets and HTML 54K Liabilities Measured at Fair Value (Detail) 41: R31 Investment in the Funds - Additional Information HTML 25K (Detail) 42: R32 Investment in the Funds - Assets, Liabilities and HTML 46K Partners' Members' Capital of Funds (Detail) 43: R33 Investment in the Funds - Net Investment Income HTML 47K (Loss), Trading Results and Net Income (Loss) for Funds (Detail) 44: R34 Investment in the Funds - Partnership's HTML 95K Investments in, and Partnership's Pro Rata Share of Results of Operations of Funds (Detail) 45: R35 Financial Instrument Risks - Additional HTML 28K Information (Detail) 48: XML IDEA XML File -- Filing Summary XML 83K 46: XML XBRL Instance -- d325676d10q_htm XML 2.33M 47: EXCEL IDEA Workbook of Financial Reports XLSX 98K 7: EX-101.CAL XBRL Calculations -- offlp-20220630_cal XML 79K 8: EX-101.DEF XBRL Definitions -- offlp-20220630_def XML 562K 9: EX-101.LAB XBRL Labels -- offlp-20220630_lab XML 649K 10: EX-101.PRE XBRL Presentations -- offlp-20220630_pre XML 613K 6: EX-101.SCH XBRL Schema -- offlp-20220630 XSD 111K 49: JSON XBRL Instance as JSON Data -- MetaLinks 222± 325K 50: ZIP XBRL Zipped Folder -- 0001193125-22-218262-xbrl Zip 212K
10-Q |
i New York |
i 22-3644546 | |||
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
N/A |
N/A |
N/A |
Large accelerated filer |
Accelerated filer |
i Non-accelerated filer X |
||||
i Smaller reporting company |
i Emerging growth company |
2022 |
2021 | |||||||
(Unaudited) |
| |||||||
Assets: |
||||||||
Investment in the Funds (1) , at fair value |
$ | i 146,152,957 | |
$ | i 87,850,946 | |||
Redemptions receivable from the Funds |
i 284,392 | i 4,643,766 | ||||||
|
|
|
|
|
| |||
Equity in trading account: |
|
|||||||
Unrestricted cash |
i 176,168,376 | |
i 255,092,796 | |||||
Restricted cash |
i 24,264,575 | i 17,796,571 | ||||||
Net unrealized appreciation on open futures contracts |
i 60,968,922 | - |
||||||
Options purchased, at fair value (premiums paid $ i 3,342,980 and $ i 6,040,660 at June 30, 2022 and December 31,
2021, respectively) |
i 19,311,159 | i 13,241,142 | ||||||
|
|
|
|
|
| |||
Total equity in trading account |
i 280,713,032 | i 286,130,509 | ||||||
|
|
|
|
|
| |||
Interest receivable |
i 178,644 | i 8,159 | ||||||
|
|
|
|
|
| |||
Total assets |
$ | i 427,329,025 | $ | i 378,633,380 | ||||
|
|
|
|
|
| |||
Liabilities and Partners’ Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures contracts |
$ | - | $ | i 1,400,643 | ||||
Net unrealized depreciation on open forward contracts |
i 137,234 | - | ||||||
Options written, at fair value (premiums received $ i 3,981,140 and $ i 5,733,790 at June 30, 2022 and December 31,
2021, respectively) |
i 7,447,359 | i 6,649,119 | ||||||
Accrued expenses: |
||||||||
Ongoing selling agent fees |
i 256,256 | i 225,873 | ||||||
Management fees |
i 290,004 | i 237,202 | ||||||
General Partner fees |
i 261,911 | i 231,254 | ||||||
Incentive fees |
i 5,963,364 | i 5,219,344 | ||||||
Professional fees |
i 429,829 | i 351,627 | ||||||
Redemptions payable to General Partner |
- | i 350,001 | ||||||
Redemptions payable to Limited Partners |
i 1,991,971 | i 2,110,287 | ||||||
|
|
|
|
|
| |||
Total liabilities |
i 16,777,928 | i 16,775,350 | ||||||
|
|
|
|
|
| |||
Partners’ Capital: |
||||||||
General Partner, Class Z, i i 3,070.7533 /
Redeemable Units outstanding at June 30, 2022 and December 31, 2021 |
i 4,719,196 | i 4,078,652 | ||||||
Limited Partners, Class A, i 108,084.9748 and i 109,712.3338
Redeemable Units outstanding at June 30, 2022 and December 31, 2021, respectively |
i 401,048,687 | i 353,170,511 | ||||||
Limited Partners, Class Z, i 3,112.4102 and i 3,469.9432
Redeemable Units outstanding at June 30, 2022 and December 31, 2021, respectively |
i 4,783,214 | i 4,608,867 | ||||||
|
|
|
|
|
| |||
Total partners’ capital (net asset value) |
i 410,551,097 | i 361,858,030 | ||||||
|
|
|
|
|
| |||
Total liabilities and partners’ capital |
$ | i 427,329,025 | $ | i 378,633,380 | ||||
|
|
|
|
|
| |||
Net asset value per Redeemable Unit: |
||||||||
Class A |
$ | i 3,710.49 | $ | i 3,219.06 | ||||
|
|
|
|
|
| |||
Class Z |
$ | i 1,536.82 | $ | i 1,328.23 | ||||
|
|
|
|
|
|
Number of |
Fair Value |
% of Partners’ Capital |
||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
i 1,462 | $ | ( i 477,073 | ) | ( i 0.12) | % | ||||||
Energy |
||||||||||||
NAT GAS LAST DAY i Dec22 |
i 324 | i 9,511,700 | i 2.32 | |||||||||
GLOBEX NAT GAS LD i DEC23 |
i 281 | i 6,207,880 | i 1.51 | |||||||||
NATURAL GAS FUTR i Nov22 |
i 2,180 | i 14,869,875 | i 3.62 | |||||||||
NATURAL GAS FUTR i Nov23 |
i 2,901 | i 10,265,530 | i 2.50 | |||||||||
NATURAL GAS FUTR i Dec22 |
i 2,396 | i 16,426,675 | i 4.00 | |||||||||
NATURAL GAS FUTR i JAN23 |
i 331 | ( i 6,208,482 | ) | ( i 1.51) | ||||||||
Other |
i 6,809 | i 11,634,562 | i 2.83 | |||||||||
Grains |
i 525 | ( i 2,054,428 | ) | ( i 0.50) | ||||||||
Indices |
i 575 | i 255,952 | i 0.06 | |||||||||
Interest Rates U.S. |
i 165 | i 236,852 | i 0.06 | |||||||||
Interest Rates Non-U.S. |
i 26 | ( i 8,312 | ) | ( i 0.00) | * | |||||||
Livestock |
i 91 | ( i 24,600 | ) | ( i 0.01) | ||||||||
Metals |
i 233 | ( i 210,777 | ) | ( i 0.05) | ||||||||
Softs |
i 1,084 | ( i 1,966,478 | ) | ( i 0.47) | ||||||||
|
|
|
|
|
||||||||
Total futures contracts purchased |
i 58,458,876 | i 14.24 | ||||||||||
|
|
|
|
|
||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
i 688 | i 532,132 | i 0.13 | |||||||||
Energy |
||||||||||||
GLOBEX NAT GAS LD i MAR24 |
i 281 | ( i 5,575,330 | ) | ( i 1.36) | ||||||||
Henry LD1 Fix FUT i Jan 2023 |
i 1,136 | i 5,259,540 | i 1.28 | |||||||||
NATURAL GAS FUTR i APR23 |
i 2,284 | ( i 5,907,485 | ) | ( i 1.44) | ||||||||
NATURAL GAS FUTR i OCT22 |
i 494 | i 9,922,070 | i 2.42 | |||||||||
Other |
i 11,250 | ( i 6,223,949 | ) | ( i 1.52) | ||||||||
Grains |
i 337 | i 1,169,940 | i 0.28 | |||||||||
Indices |
i 1,050 | i 1,776,971 | i 0.43 | |||||||||
Interest Rates U.S. |
i 425 | i 21,601 | i 0.01 | |||||||||
Interest Rates Non-U.S. |
i 1,779 | ( i 121,810 | ) | ( i 0.03) | ||||||||
Livestock |
i 68 | ( i 26,080 | ) | ( i 0.01) | ||||||||
Metals |
i 250 | i 772,553 | i 0.19 | |||||||||
Softs |
i 977 | i 909,893 | i 0.23 | |||||||||
|
|
|
|
|
||||||||
Total futures contracts sold |
i 2,510,046 | i 0.61 | ||||||||||
|
|
|
|
|
||||||||
Net unrealized appreciation on open futures contracts |
$ | i 60,968,922 | i 14.85 | % | ||||||||
|
|
|
|
|
||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Metals |
i 10 | $ | ( i 137,234 | ) | ( i 0.03) | % | ||||||
|
|
|
|
|
||||||||
Total unrealized depreciation on open forward contracts |
( i 137,234 | ) | ( i 0.03) | |||||||||
|
|
|
|
|
||||||||
Net unrealized depreciation on open forward contracts |
$ | ( i 137,234 | ) | ( i 0.03) | % | |||||||
|
|
|
|
|
||||||||
Options Purchased |
||||||||||||
Calls |
||||||||||||
Energy |
i 1,178 | $ | i 19,239,645 | i 4.68 | % | |||||||
Puts |
||||||||||||
Energy |
i 712 | i 71,514 | i 0.02 | |||||||||
|
|
|
|
|
||||||||
Total options purchased (premiums paid $ i 3,342,980) |
$ | i 19,311,159 | i 4.70 | % | ||||||||
|
|
|
|
|
||||||||
Options Written |
||||||||||||
Calls |
||||||||||||
Energy |
i 703 | $ | ( i 6,638,515 | ) | ( i 1.61) | % | ||||||
Puts |
||||||||||||
Energy |
i 1,528 | ( i 808,844 | ) | ( i 0.20) | ||||||||
|
|
|
|
|
||||||||
Total options written (premiums received $ i 3,981,140) |
$ | ( i 7,447,359 | ) | ( i 1.81) | % | |||||||
|
|
|
|
|
||||||||
Investment in the Funds |
||||||||||||
CMF TT II, LLC |
$ | i 83,692,035 | i 20.39 | % | ||||||||
CMF NL Master Fund LLC |
i 34,162,287 | i 8.32 | ||||||||||
CMF Drakewood Master Fund LLC |
i 28,298,635 | i 6.89 | ||||||||||
|
|
|
|
|
||||||||
Total investment in the Funds |
$ | i 146,152,957 | i 35.60 | % | ||||||||
|
|
|
|
|
* |
Due to rounding. |
Number of |
Fair Value |
% of Partners’ Capital |
||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
i 377 | $ | i 184,170 | i 0.05 | % | |||||||
Energy |
||||||||||||
NATURAL GAS FUTR i DEC22 |
i 2,643 | i 7,354,680 | i 2.03 | |||||||||
NAT GAS LAST DAY i Dec22 |
i 324 | i 4,084,700 | i 1.13 | |||||||||
NATURAL GAS FUTR i Nov22 |
i 2,206 | i 5,659,453 | i 1.57 | |||||||||
Other |
i 9,415 | i 6,445,494 | i 1.78 | |||||||||
Grains |
i 1,031 | i 11,298 | i 0.00 | * | ||||||||
Indices |
i 801 | i 111,957 | i 0.03 | |||||||||
Interest Rates U.S. |
i 174 | i 39,530 | i 0.01 | |||||||||
Interest Rates Non-U.S. |
i 678 | ( i 781,525 | ) | ( i 0.22) | ||||||||
Livestock |
i 137 | i 116,515 | i 0.03 | |||||||||
Metals |
i 534 | i 897,934 | i 0.25 | |||||||||
Softs |
i 1,030 | ( i 327,420 | ) | ( i 0.09) | ||||||||
|
|
|
|
|
||||||||
Total futures contracts purchased |
i 23,796,786 | i 6.57 | ||||||||||
|
|
|
|
|
||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
i 594 | ( i 270,449 | ) | ( i 0.07) | ||||||||
Energy |
||||||||||||
NAT GAS LAST DAY i Mar22 |
i 699 | ( i 7,601,640 | ) | ( i 2.10) | ||||||||
Other |
i 16,799 | ( i 15,199,704 | ) | ( i 4.20) | ||||||||
Grains |
i 773 | ( i 191,934 | ) | ( i 0.05) | ||||||||
Indices |
i 531 | ( i 83,321 | ) | ( i 0.02) | ||||||||
Interest Rates U.S. |
i 207 | ( i 195 | ) | ( i 0.00) | * | |||||||
Interest Rates Non-U.S. |
i 276 | i 13,356 | i 0.00 | * | ||||||||
Livestock |
i 85 | ( i 52,462 | ) | ( i 0.01) | ||||||||
Metals |
i 398 | ( i 756,914 | ) | ( i 0.21) | ||||||||
Softs |
i 922 | ( i 1,054,166 | ) | ( i 0.30) | ||||||||
|
|
|
|
|
||||||||
Total futures contracts sold |
( i 25,197,429 | ) | ( i 6.96) | |||||||||
|
|
|
|
|
||||||||
Net unrealized depreciation on open futures contracts |
$ | ( i 1,400,643 | ) | ( i 0.39) | % | |||||||
|
|
|
|
|
||||||||
Options Purchased |
||||||||||||
Calls |
||||||||||||
Energy |
i 1,985 | $ | i 12,576,831 | i 3.48 | % | |||||||
Puts |
||||||||||||
Energy |
i 1,206 | i 664,311 | i 0.18 | |||||||||
|
|
|
|
|
||||||||
Total options purchased (premiums paid $ i 6,040,660) |
$ | i 13,241,142 | i 3.66 | % | ||||||||
|
|
|
|
|
||||||||
Options Written |
||||||||||||
Calls |
||||||||||||
Energy |
i 1,510 | $ | ( i 4,167,011 | ) | ( i 1.15) | % | ||||||
Puts |
||||||||||||
Energy |
i 2,437 | ( i 2,482,108 | ) | ( i 0.69) | ||||||||
|
|
|
|
|
||||||||
Total options written (premiums received $ i 5,733,790) |
$ | ( i 6,649,119 | ) | ( i 1.84) | % | |||||||
|
|
|
|
|
||||||||
Investment in the Funds |
||||||||||||
CMF TT II, LLC |
$ | i 56,580,003 | i 15.64 | % | ||||||||
CMF NL Master Fund LLC |
i 31,270,943 | i 8.64 | ||||||||||
|
|
|
|
|
||||||||
Total investment in the Funds |
$ | i 87,850,946 | i 24.28 | % | ||||||||
|
|
|
|
|
* |
Due to rounding. |
Three Months Ended June 30, |
Six Months Ended | |||||||||||||||
2021 |
2022 |
2021 | ||||||||||||||
Investment Income: |
||||||||||||||||
Interest income |
$ | i 327,554 | $ | i 5,185 | $ | i 376,951 | $ | i 26,860 | ||||||||
Interest income allocated from the Funds |
i 135,159 | i 2,209 | i 140,358 | i 9,314 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total investment income |
i 462,713 | i 7,394 | i 517,309 | i 36,174 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Expenses: |
||||||||||||||||
Expenses allocated from the Funds |
i 388,773 | i 1,110,826 | i 4,045,750 | i 2,843,919 | ||||||||||||
Clearing fees related to direct investments |
i 522,744 | i 542,526 | i 1,020,568 | i 1,129,212 | ||||||||||||
Ongoing selling agent fees |
i 779,757 | i 675,223 | i 1,484,871 | i 1,333,430 | ||||||||||||
Management fees |
i 842,446 | i 793,670 | i 1,551,659 | i 1,550,604 | ||||||||||||
General Partner fees |
i 796,848 | i 690,934 | i 1,516,568 | i 1,364,471 | ||||||||||||
Incentive fees |
i 3,940,527 | i 3,372,988 | i 9,148,376 | i 5,941,753 | ||||||||||||
Professional fees |
i 248,380 | i 278,280 | i 476,680 | i 516,717 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total expenses |
i 7,519,475 | i 7,464,447 | i 19,244,472 | i 14,680,106 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net investment loss |
( i 7,056,762 | ) | ( i 7,457,053 | ) | ( i 18,727,163 | ) | ( i 14,643,932 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Trading Results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests and investment in the Funds: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
( i 20,502,359 | ) | i 14,768,372 | ( i 24,866,646 | ) | i 25,200,395 | ||||||||||
Net realized gains (losses) on closed contracts allocated from the Funds |
i 9,544,984 | i 10,399,523 | i 26,672,949 | i 25,235,488 | ||||||||||||
Net change in unrealized gains (losses) on open contracts |
i 37,067,063 | i 3,469,401 | i 68,566,284 | i 8,041,036 | ||||||||||||
Net change in unrealized gains (losses) on open contracts allocated from the Funds |
( i 5,491,921 | ) | i 1,854,981 | i 3,288,301 | ( i 2,873,014 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total trading results |
i 20,617,767 | i 30,492,277 | i 73,660,888 | i 55,603,905 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) |
$ | i 13,561,005 | $ | i 23,035,224 | $ | i 54,933,725 | $ | i 40,959,973 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) per Redeemable Unit*: |
||||||||||||||||
Class A |
$ | i 120.53 | $ | i 193.03 | $ | i 491.43 | $ | i 338.35 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Class Z |
$ | i 52.75 | $ | i 81.62 | $ | i 208.59 | $ | i 143.39 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Weighted average Redeemable Units outstanding: |
||||||||||||||||
Class A |
i 109,325.4691 | i 115,298.9925 | i 109,365.9485 | i 118,870.1398 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Class Z |
i 6,229.4345 | i 6,931.8882 | i 6,082.6125 | i 7,170.5195 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* |
Represents the change in net asset value per Redeemable Unit during the period. |
Class A |
Class Z |
Total | ||||||||||||||||||||||
Amount |
Redeemable Units |
Amount |
Redeemable Units |
Amount |
Redeemable Units | |||||||||||||||||||
Partners’ Capital, December 31, 2020 |
$ |
i 350,633,583 | i 126,595.8958 | $ | i 8,621,162 | i 7,601.3365 | $ | i 359,254,745 | i 134,197.2323 | |||||||||||||||
Subscriptions - Limited Partners |
i 4,577,943 | i 1,589.4440 | i 269,685 | i 226.3990 | i 4,847,628 | i 1,815.8430 | ||||||||||||||||||
Redemptions - General Partner |
i - | i - | ( i 575,000 | ) | ( i 490.0250 | ) | ( i 575,000 | ) | ( i 490.0250 | ) | ||||||||||||||
Redemptions - Limited Partners |
( i 45,687,500 | ) | ( i 15,749.1480 | ) | ( i 597,267 | ) | ( i 493.1050 | ) | ( i 46,284,767 | ) | ( i 16,242.2530 | ) | ||||||||||||
Net income (loss) |
i 39,934,209 | - | i 1,025,764 | - | i 40,959,973 | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, June 30, 2021 |
$ | i 349,458,235 | i 112,436.1918 | $ | i 8,744,344 | i 6,844.6055 | $ | i 358,202,579 | i 119,280.7973 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, March 31, 2021 |
$ | i 341,209,822 | i 117,051.7878 | $ | i 8,248,832 | i 6,897.4115 | $ | i 349,458,654 | i 123,949.1993 | |||||||||||||||
Subscriptions - Limited Partners |
i 2,058,000 | i 698.4550 | i 250,000 | i 209.0420 | i 2,308,000 | i 907.4970 | ||||||||||||||||||
Redemptions - Limited Partners |
( i 16,275,477 | ) | ( i 5,314.0510 | ) | ( i 323,822 | ) | ( i 261.8480 | ) | ( i 16,599,299 | ) | ( i 5,575.8990 | ) | ||||||||||||
Net income (loss) |
i 22,465,890 | - | i 569,334 | - | i 23,035,224 | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, June 30, 2021 |
$ | i 349,458,235 | i 112,436.1918 | $ | i 8,744,344 | i 6,844.6055 | $ | i 358,202,579 | i 119,280.7973 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
Class Z |
Total | ||||||||||||||||||||||
Amount |
Redeemable Units |
Amount |
Redeemable Units |
Amount |
Redeemable Units | |||||||||||||||||||
Partners’ Capital, December 31, 2021 |
$ |
i 353,170,511 | i 109,712.3338 | $ | i 8,687,519 | i 6,540.6965 | $ | i 361,858,030 | i 116,253.0303 | |||||||||||||||
Subscriptions - Limited Partners |
i 10,334,964 | i 2,923.4660 | i 1,000,000 | i 673.8230 | i 11,334,964 | i 3,597.2890 | ||||||||||||||||||
Redemptions - Limited Partners |
( i 16,165,859 | ) | ( i 4,550.8250 | ) | ( i 1,409,763 | ) | ( i 1,031.3560 | ) | ( i 17,575,622 | ) | ( i 5,582.1810 | ) | ||||||||||||
Net income (loss) |
i 53,709,071 | - | i 1,224,654 | - | i 54,933,725 | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, June 30, 2022 |
$ | i 401,048,687 | i 108,084.9748 | $ | i 9,502,410 | i 6,183.1635 | $ | i 410,551,097 | i 114,268.1383 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, March 31, 2022 |
$ | i 389,705,594 | i 108,554.2008 | $ | i 8,244,907 | i 5,555.6115 | $ | i 397,950,501 | i 114,109.8123 | |||||||||||||||
Subscriptions - Limited Partners |
i 6,721,964 | i 1,831.1540 | i 1,000,000 | i 673.8230 | i 7,721,964 | i 2,504.9770 | ||||||||||||||||||
Redemptions - Limited Partners |
( i 8,611,262 | ) | ( i 2,300.3800 | ) | ( i 71,111 | ) | ( i 46.2710 | ) | ( i 8,682,373 | ) | ( i 2,346.6510 | ) | ||||||||||||
Net income (loss) |
i 13,232,391 | - | i 328,614 | - | i 13,561,005 | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, June 30, 2022 |
$ | i 401,048,687 | i 108,084.9748 | $ | i 9,502,410 | i 6,183.1635 | $ | i 410,551,097 | i 114,268.1383 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1. |
Organization: |
2. |
Basis of Presentation and Summary of Significant Accounting Policies: |
3. |
Financial Highlights: |
Three Months Ended |
Three Months Ended |
Six Months Ended |
Six Months Ended |
|||||||||||||||||||||||||||||
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
|||||||||||||||||||||||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period):* |
||||||||||||||||||||||||||||||||
Net realized and unrealized gains (losses) |
$ | i 183.76 | $ | i 75.89 | $ | i 256.29 | $ | i 105.12 | $ | i 659.20 | $ | i 270.96 | $ | i 458.82 | $ | i 188.47 | ||||||||||||||||
Net investment loss |
( i 63.23) | ( i 23.14) | ( i 63.26) | ( i 23.50) | ( i 167.77) | ( i 62.37) | ( i 120.47) | ( i 45.08) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Increase (decrease) for the period |
i 120.53 | i 52.75 | i 193.03 | i 81.62 | i 491.43 | i 208.59 | i 338.35 | i 143.39 | ||||||||||||||||||||||||
Net asset value per Redeemable Unit, beginning of period |
i 3,589.96 | i 1,484.07 | i 2,915.03 | i 1,195.93 | i 3,219.06 | i 1,328.23 | i 2,769.71 | i 1,134.16 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net asset value per Redeemable Unit, end of period |
$ | i 3,710.49 | $ | i 1,536.82 | $ | i 3,108.06 | $ | i 1,277.55 | $ | i 3,710.49 | $ | i 1,536.82 | $ | i 3,108.06 | $ | i 1,277.55 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
Three Months Ended |
Six Months Ended |
Six Months Ended |
|||||||||||||||||||||||||||||
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
|||||||||||||||||||||||||
Ratios to Average Limited Partners’ Capital:** |
||||||||||||||||||||||||||||||||
Net investment loss*** |
( i 4.0) | % | ( i 3.4) | % | ( i 5.0) | % | ( i 4.2) | % | ( i 6.4) | % | ( i 5.6) | % | ( i 6.1) | % | ( i 5.3) | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Operating expenses |
i 3.5 | % | i 2.9 | % | i 3.8 | % | i 3.0 | % | i 3.5 | % | i 2.8 | % | i 3.8 | % | i 3.0 | % | ||||||||||||||||
Incentive fees |
i 1.0 | % | i 1.0 | % | i 1.2 | % | i 1.2 | % | i 3.2 | % | i 3.1 | % | i 2.3 | % | i 2.3 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total expenses |
i 4.5 | % | i 3.9 | % | i 5.0 | % | i 4.2 | % | i 6.7 | % | i 5.9 | % | i 6.1 | % | i 5.3 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total return: |
||||||||||||||||||||||||||||||||
Total return before incentive fees |
i 4.3 | % | i 4.5 | % | i 7.8 | % | i 8.0 | % | i 18.7 | % | i 19.0 | % | i 14.6 | % | i 15.1 | % | ||||||||||||||||
Incentive fees |
( i 0.9) | % | ( i 0.9) | % | ( i 1.2) | % | ( i 1.2) | % | ( i 3.4) | % | ( i 3.3) | % | ( i 2.4) | % | ( i 2.5) | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total return after incentive fees |
i 3.4 | % | i 3.6 | % | i 6.6 | % | i 6.8 | % | i 15.3 | % | i 15.7 | % | i 12.2 | % | i 12.6 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. |
** |
Annualized (except for incentive fees). |
*** |
Interest income less total expenses. |
4. |
Trading Activities: |
Gross Amounts |
Amounts |
Gross Amounts Not Offset in the |
||||||||||||||||||||||
Offset in the |
Presented in the |
Statements of Financial Condition |
||||||||||||||||||||||
Gross |
Statements of |
Statements of |
Cash Collateral |
|||||||||||||||||||||
Amounts |
Financial |
Financial |
Financial |
Received/ |
||||||||||||||||||||
Recognized |
Condition |
Condition |
Instruments |
Pledged* |
Net Amount |
|||||||||||||||||||
Assets |
||||||||||||||||||||||||
Futures |
$ | i 125,138,611 | $ |
( i 64,169,689) | $ | i 60,968,922 | $ | i - |
$ | i - | $ |
i 60,968,922 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total assets |
$ | i 125,138,611 | $ | ( i 64,169,689) | $ | i 60,968,922 | $ | i - | $ | i - | $ | i 60,968,922 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Liabilities |
||||||||||||||||||||||||
Futures |
$ | ( i 64,169,689) | $ | i 64,169,689 | $ | i - | $ | i - | $ | i - | $ | i - | ||||||||||||
Forwards |
( i 137,234) | i - | ( i 137,234) | i - | i 137,234 | i - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total liabilities |
$ | ( i 64,306,923) | $ | i 64,169,689 | $ | ( i 137,234) | $ | i - | $ | i 137,234 | $ | i - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net fair value |
$ | i 60,968,922 | * | |||||||||||||||||||||
|
|
Gross Amounts |
Amounts |
Gross Amounts Not Offset in the |
||||||||||||||||||||||
Offset in the |
Presented in the |
Statements of Financial Condition |
||||||||||||||||||||||
Gross |
Statements of |
Statements of |
Cash Collateral |
|||||||||||||||||||||
Amounts |
Financial |
Financial |
Financial |
Received/ |
||||||||||||||||||||
Recognized |
Condition |
Condition |
Instruments |
Pledged* |
Net Amount |
|||||||||||||||||||
Assets |
||||||||||||||||||||||||
Futures |
$ | i 40,087,611 | $ |
( i 40,087,611) | $ | i - | $ | i - |
$ | i - | $ | i - |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total assets |
$ | i 40,087,611 | $ | ( i 40,087,611) | $ | i - | $ | i - | $ | i - | $ | i - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Liabilities |
||||||||||||||||||||||||
Futures |
$ | ( i 41,488,254) | $ | i 40,087,611 | $ | ( i 1,400,643) | $ | i - | $ | i 1,400,643 | $ | i - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total liabilities |
$ | ( i 41,488,254) | $ | i 40,087,611 | $ | ( i 1,400,643) | $ | i - | $ | i 1,400,643 | $ | i - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net fair value |
$ | i - |
* | |||||||||||||||||||||
|
|
* | In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and
seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | i 776,235 | ||
Energy |
i 117,302,628 | |||
Grains |
i 1,282,155 | |||
Indices |
i 2,504,018 | |||
Interest Rates U.S. |
i 509,761 | |||
Interest Rates Non-U.S. |
i 769,982 | |||
Livestock |
i 43,370 | |||
Metals |
i 823,178 | |||
Softs |
i 1,127,284 | |||
|
|
|||
Total unrealized appreciation on open futures contracts |
i 125,138,611 | |||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
( i 721,176) | |||
Energy |
( i 57,120,042) | |||
Grains |
( i 2,166,643) | |||
Indices |
( i 471,095) | |||
Interest Rates U.S. |
( i 251,308) | |||
Interest Rates Non-U.S. |
( i 900,104) | |||
Livestock |
( i 94,050) | |||
Metals |
( i 261,402) | |||
Softs |
( i 2,183,869) | |||
|
|
|||
Total unrealized depreciation on open futures contracts |
( i 64,169,689) | |||
|
|
|||
Net unrealized appreciation on open futures contracts |
$ | i 60,968,922 | * | |
|
|
|||
Liabilities |
||||
Forward Contracts |
||||
Metals |
$ | ( i 137,234) | ||
|
|
|||
Total unrealized depreciation on open forward contracts |
( i 137,234) | |||
|
|
|||
Net unrealized depreciation on open forward contracts |
$ | ( i 137,234) | ** | |
|
|
|||
Assets |
||||
Options Purchased |
||||
Energy |
$ | i 19,311,159 | ||
|
|
|||
Total options purchased |
$ | i 19,311,159 | *** | |
|
|
|||
Liabilities |
||||
Options Written |
||||
Energy |
$ | ( i 7,447,359) | ||
|
|
|||
Total options written |
$ | ( i 7,447,359) | **** | |
|
|
* | This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. |
** | This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. |
*** | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. |
**** | This amount is in “Options written, at fair value” in the Statements of Financial Condition. |
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | i 343,757 | ||
Energy |
i 34,992,511 | |||
Grains |
i 1,274,260 | |||
Indices |
i 1,506,900 | |||
Interest Rates U.S. |
i 139,705 | |||
Interest Rates Non-U.S. |
i 38,600 | |||
Livestock |
i 126,551 | |||
Metals |
i 965,861 | |||
Softs |
i 699,466 | |||
|
|
|||
Total unrealized appreciation on open futures contracts |
i 40,087,611 | |||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
( i 430,036) | |||
Energy |
( i 34,249,528) | |||
Grains |
( i 1,454,896) | |||
Indices |
( i 1,478,264) | |||
Interest Rates U.S. |
( i 100,370) | |||
Interest Rates Non-U.S. |
( i 806,769) | |||
Livestock |
( i 62,498) | |||
Metals |
( i 824,841) | |||
Softs |
( i 2,081,052) | |||
|
|
|||
Total unrealized depreciation on open futures contracts |
( i 41,488,254) | |||
|
|
|||
Net unrealized depreciation on open futures contracts |
$ | ( i 1,400,643) | * | |
|
|
|||
Assets |
||||
Options Purchased |
||||
Energy |
$ | i 13,241,142 | ||
|
|
|||
Total options purchased |
$ | i 13,241,142 | ** | |
|
|
|||
Liabilities |
||||
Options Written |
||||
Energy |
$ | ( i 6,649,119) | ||
|
|
|||
Total options written |
$ | ( i 6,649,119) | *** | |
|
|
* | This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. |
** | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. |
*** | This amount is in “Options written, at fair value” in the Statements of Financial Condition. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
Sector |
2022 |
2021 |
2022 |
2021 |
||||||||||||
Currencies |
$ | i 4,945,698 | $ | ( i 1,462,612) | $ | i 5,103,534 | $ | ( i 3,128,362) | ||||||||
Energy |
i 7,273,670 | i 18,289,623 | i 26,168,859 | i 23,544,596 | ||||||||||||
Grains |
( i 1,093,915) | i 3,919,964 | i 343,588 | i 6,314,308 | ||||||||||||
Indices |
i 10,458,002 | i 3,169,181 | i 15,173,055 | i 6,480,380 | ||||||||||||
Interest Rates U.S. |
( i 447,172) | ( i 4,948,545) | i 1,784,636 | ( i 222,585) | ||||||||||||
Interest Rates Non-U.S. |
i 4,278,681 | ( i 2,447,975) | i 4,196,123 | ( i 3,892,477) | ||||||||||||
Livestock |
( i 998,359) | i 477,416 | ( i 1,303,691) | i 1,060,958 | ||||||||||||
Metals |
( i 6,344,276) | i 878,244 | ( i 6,360,313) | i 2,432,004 | ||||||||||||
Softs |
( i 1,507,625) | i 362,477 | ( i 1,406,153) | i 652,609 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | i 16,564,704 | ***** | $ | i 18,237,773 | ***** | $ | i 43,699,638 | ***** | $ | i 33,241,431 | ***** | ||||
|
|
|
|
|
|
|
|
5. |
Fair Value Measurements: |
Total |
Level 1 |
Level 2 |
Level 3 | |||||||||||||
Assets |
||||||||||||||||
Futures |
$ | i 125,138,611 | $ | i 61,937,782 | $ | i 63,200,829 | $ | i - | ||||||||
Options purchased |
i 19,311,159 | i 19,311,159 | i - | i - | ||||||||||||
Total assets |
$ | i 144,449,770 | $ | i 81,248,941 | $ | i 63,200,829 | $ | i - | ||||||||
Liabilities |
||||||||||||||||
Futures |
$ | i 64,169,689 | $ | i 33,928,226 | $ | i 30,241,463 | $ | i - | ||||||||
Forwards |
i 137,234 | i - | i 137,234 | i - | ||||||||||||
Options written |
i 7,447,359 | i 7,447,359 | i - | i - | ||||||||||||
Total liabilities |
$ | i 71,754,282 | $ | i 41,375,585 | $ | i 30,378,697 | $ | i - | ||||||||
Total |
Level 1 |
Level 2 |
Level 3 | |||||||||||||
Assets |
||||||||||||||||
Futures |
$ | i 40,087,611 | $ | i 40,087,611 | $ | i - | $ | i - | ||||||||
Options purchased |
i 13,241,142 | i 13,241,142 | i - | i - | ||||||||||||
Total assets |
$ | i 53,328,753 | $ | i 53,328,753 | $ | i - | $ | i - | ||||||||
Liabilities |
||||||||||||||||
Futures |
$ | i 41,488,254 | $ | i 41,488,254 | $ | i - | $ | i - | ||||||||
Options written |
i 6,649,119 | i 6,649,119 | i - | i - | ||||||||||||
Total liabilities |
$ | i 48,137,373 | $ | i 48,137,373 | $ | i - | $ | i - | ||||||||
6. |
Investment in the Funds: |
Total Assets |
Total Liabilities |
Total Capital |
||||||||||
Transtrend Master |
$ | i 89,412,709 | $ | i 5,720,674 | $ | i 83,692,035 | ||||||
NL Master |
i 48,143,486 | i 149,486 | i 47,994,000 | |||||||||
Drakewood Master |
i 39,995,976 | i 877,976 | i 39,118,000 |
Total Assets |
Total Liabilities |
Total Capital |
||||||||||
Transtrend Master |
$ | i 59,771,411 | $ | i 3,191,408 | $ | i 56,580,003 | ||||||
NL Master |
i 50,260,292 | i 8,006,342 | i 42,253,950 |
For the three months ended June 30, 2022 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | ( i 261,180 | ) | $ | i 410,856 | $ | i 149,676 | |||||
NL Master |
i 17,036 | i 7,158,232 | i 7,175,268 | |||||||||
Drakewood Master (a) |
( i 6,189 | ) | ( i 2,129,915 | ) | ( i 2,136,104 | ) |
For the six months ended June 30, 2022 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | ( i 3,883,677 | ) | $ | i 21,478,088 | $ | i 17,594,411 | |||||
NL Master |
( i 22,788 | ) | i 13,766,600 | i 13,743,812 | ||||||||
Drakewood Master (a) |
( i 6,189 | ) | ( i 2,129,915 | ) | ( i 2,136,104 | ) |
For the three months ended June 30, 2021 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | ( i 1,026,186 | ) | $ | i 5,011,100 | $ | i 3,984,914 | |||||
FORT Contrarian Master |
( i 39,086 | ) | i 2,214,537 | i 2,175,451 | ||||||||
NL Master |
( i 59,284 | ) | i 6,877,987 | i 6,818,703 |
For the six months ended June 30, 2021 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) | ||||||||||
Transtrend Master |
$ | ( i 2,683,237 | ) | $ | i 13,967,058 | $ | i 11,283,821 | |||||
FORT Contrarian Master |
( i 78,153 | ) | i 1,135,971 | i 1,057,818 | ||||||||
NL Master |
( i 96,930 | ) | i 9,720,845 | i 9,623,915 |
For the three months ended June 30, 2022 |
||||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted |
||||||||||||||||||||||||||||||
Transtrend Master |
i 20.39 | % | $ | i 83,692,035 | $ | i 481,931 | $ | i 105,117 | $ | i 17,000 | $ | i 195,166 | $ | i 14,972 | $ | i 149,676 | i Commodity Portfolio | i Monthly | ||||||||||||||||||||||
NL Master |
i 8.32 | % | i 34,162,287 | i 5,216,399 | i 11,416 | i 11,010 | - | - | i 5,193,973 | i Commodity Portfolio | i Monthly | |||||||||||||||||||||||||||||
Drakewood Master (a) |
i 6.89 | % | i 28,298,635 | ( i 1,510,108 | ) | i 21,804 | i 12,288 | - | - | ( i 1,544,200 | ) | i Commodity Portfolio | i Monthly | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Total |
$ | i 146,152,957 | $ | i 4,188,222 | $ | i 138,337 | $ | i 40,298 | $ | i 195,166 | $ | i 14,972 | $ | i 3,799,449 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six months ended June 30, 2022 |
||||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted |
||||||||||||||||||||||||||||||
Transtrend Master |
i 20.39 | % | $ | i 83,692,035 | $ | i 21,550,037 | $ | i 244,092 | $ | i 34,000 | $ | i 339,922 | $ | i 3,337,612 | $ | i 17,594,411 | i Commodity Portfolio | i Monthly | ||||||||||||||||||||||
NL Master |
i 8.32 | % | i 34,162,287 | i 10,061,679 | i 33,803 | i 22,229 | - | - | i 10,005,647 | i Commodity Portfolio | i Monthly | |||||||||||||||||||||||||||||
Drakewood Master (a) |
i 6.89 | % | i 28,298,635 | ( i 1,510,108 | ) | i 21,804 | i 12,288 | - | - | ( i 1,544,200 | ) | i Commodity Portfolio | i Monthly | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Total |
$ | i 146,152,957 | $ | i 30,101,608 | $ | i 299,699 | $ | i 68,517 | $ | i 339,922 | $ | i 3,337,612 | $ | i 26,055,858 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended June 30, 2021 |
||||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted |
||||||||||||||||||||||||||||||
Transtrend Master |
i 15.64 | % | $ | i 56,580,003 | $ | i 5,011,703 | $ | i 105,620 | $ | i 15,751 | $ | i 146,502 | $ | i 758,916 | $ | i 3,984,914 | i Commodity Portfolio | i Monthly | ||||||||||||||||||||||
FORT Contrarian Master |
i - | % | i - | i 2,215,659 | i 27,231 | i 12,977 | - | - | i 2,175,451 | i Commodity Portfolio | i Monthly | |||||||||||||||||||||||||||||
NL Master |
i 8.64 | % | i 31,270,943 | i 5,029,351 | i 33,593 | i 10,236 | - | - | i 4,985,522 | i Commodity Portfolio | i Monthly | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Total |
$ | i 87,850,946 | $ | i 12,256,713 | $ | i 166,444 | $ | i 38,964 | $ | i 146,502 | $ | i 758,916 | $ | i 11,145,887 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six months ended June 30, 2021 |
||||||||||||||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Management Fees |
Incentive Fee |
Income (Loss) |
Investment Objective |
Redemptions Permitted | ||||||||||||||||||||||||||||
Transtrend Master |
i 15.64 | % | $ | i 56,580,003 | $ | i 13,968,435 | $ | i 214,430 | $ | i 32,335 | $ | i 288,813 | $ | i 2,149,037 | $ | i 11,283,820 | |
i Commodity Portfolio | i Monthly | |||||||||||||||||||
FORT Contrarian Master |
i - | % | i - | i 1,142,287 | i 56,249 | i 28,219 | - | - | i 1,057,819 | |
i Commodity Portfolio | i Monthly | ||||||||||||||||||||||||||
NL Master |
i 8.64 | % | i 31,270,943 | i 7,261,066 | i 52,761 | i 22,075 | - | - | i 7,186,230 | |
i Commodity Portfolio | i Monthly | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
$ | i 87,850,946 | $ | i 22,371,788 | $ | i 323,440 | $ | i 82,629 | $ | i 288,813 | $ | i 2,149,037 | $ | i 19,527,869 | |
|||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | The Partnership first invested in Drakewood Master on May1, 2022. |
7. |
Financial Instrument Risks: |
8. |
Subsequent Events: |
Advisor |
(percentage of Partners’ Capital) |
(percentage of Partners’ Capital) |
||||||||||||||||||||||||
Transtrend |
$ | 83,691,737 | 20 | % | $ | 84,700,354 | 21 | % | ||||||||||||||||||
Northlander |
|
$ | 32,264,884 | 8 | % | $ | 27,298,425 | 7 | % | |||||||||||||||||
Drakewood |
$ | 28,298,635 | 7 | % | $ | - | 0 | % | ||||||||||||||||||
JSCL |
$ | 117,699,316 | 29 | % | $ | 115,637,026 | 29 | % | ||||||||||||||||||
Pan |
$ | 30,503,441 | 7 | % | $ | 29,584,953 | 7 | % | ||||||||||||||||||
Quantica |
$ | 65,597,652 | 16 | % | $ | 59,117,071 | 15 | % | ||||||||||||||||||
Breakout |
$ | 22,677,855 | 6 | % | $ | 22,394,017 | 6 | % | ||||||||||||||||||
Unallocated |
$ | 29,817,577 | 7 | % | $ | 59,218,655 | 15 | % |
Market Sector |
Value at Risk |
% of Total Capitalization |
||||||
Currencies |
$ | 11,611,636 | 2.83 | % | ||||
Energy |
16,635,146 | 4.05 | ||||||
Grains |
2,010,346 | 0.49 | ||||||
Indices |
5,192,393 | 1.26 | ||||||
Interest Rates U.S. |
1,334,308 | 0.33 | ||||||
Interest Rates Non-U.S. |
5,355,518 | 1.30 | ||||||
Livestock |
361,584 | 0.09 | ||||||
Metals |
5,015,523 | 1.22 | ||||||
Softs |
1,216,030 | 0.30 | ||||||
|
|
|
|
|||||
Total |
$ |
48,732,484 |
11.87 |
% | ||||
|
|
|
|
Market Sector |
Value at Risk |
% of Total Capitalization |
||||||
Currencies |
$ | 7,342,187 | 2.03 | % | ||||
Energy |
14,090,651 | 3.89 | ||||||
Grains |
2,932,799 | 0.81 | ||||||
Indices |
6,845,313 | 1.89 | ||||||
Interest Rates U.S. |
1,437,916 | 0.40 | ||||||
Interest Rates Non-U.S. |
2,696,233 | 0.75 | ||||||
Livestock |
952,985 | 0.26 | ||||||
Metals |
2,477,971 | 0.68 | ||||||
Softs |
2,377,888 | 0.66 | ||||||
|
|
|
|
|||||
Total |
$ |
41,153,943 |
11.37 |
% | ||||
|
|
|
|
Market Sector |
Value at Risk |
% of Total Capitalization |
Three Months Ended June 30, 2022 |
|||||||||||||||||
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
||||||||||||||||||
Currencies |
$ | 3,606,763 | 0.88 | % | $ | 4,720,269 | $ | 1,788,506 | $ | 3,393,411 | ||||||||||
Energy |
9,803,897 | 2.39 | 12,629,884 | 4,613,383 | 9,560,727 | |||||||||||||||
Grains |
1,051,570 | 0.26 | 3,495,526 | 1,047,833 | 2,420,803 | |||||||||||||||
Indices |
3,772,791 | 0.92 | 9,624,958 | 2,602,896 | 5,757,473 | |||||||||||||||
Interest Rates U.S. |
768,006 | 0.19 | 2,478,855 | 746,482 | 1,352,626 | |||||||||||||||
Interest Rates Non-U.S. |
2,510,285 | 0.61 | 2,996,636 | 1,400,912 | 2,165,174 | |||||||||||||||
Livestock |
150,315 | 0.04 | 806,383 | 150,315 | 535,746 | |||||||||||||||
Metals |
1,480,654 | 0.36 | 4,325,970 | - | 2,581,811 | |||||||||||||||
Softs |
562,788 | 0.14 | 2,031,110 | 562,788 | 1,445,076 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ |
23,707,069 |
5.79 |
% |
||||||||||||||||
|
|
|
|
* | Average of daily Values at Risk. |
Market Sector |
Value at Risk |
% of Total Capitalization |
Twelve Months Ended December 31, 2021 |
|||||||||||||||||
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
||||||||||||||||||
Currencies |
$ | 1,840,289 | 0.51 | % | $ | 6,665,910 | $ | 1,679,705 | $ | 3,854,279 | ||||||||||
Energy |
8,607,368 | 2.38 | 10,751,047 | 4,470,947 | 7,043,654 | |||||||||||||||
Grains |
858,443 | 0.24 | 3,853,094 | 726,045 | 1,834,983 | |||||||||||||||
Indices |
2,539,386 | 0.70 | 11,729,602 | 2,092,198 | 4,777,741 | |||||||||||||||
Interest Rates U.S. |
553,290 | 0.15 | 3,783,562 | 313,058 | 1,505,505 | |||||||||||||||
Interest Rates Non-U.S. |
752,788 | 0.21 | 6,868,118 | 645,511 | 3,606,934 | |||||||||||||||
Livestock |
269,610 | 0.07 | 977,708 | 93,704 | 559,894 | |||||||||||||||
Metals |
1,078,797 | 0.30 | 3,978,117 | 676,242 | 2,299,063 | |||||||||||||||
Softs |
1,086,622 | 0.30 | 3,534,137 | 1,006,127 | 1,662,532 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ |
17,586,593 |
4.86 |
% |
||||||||||||||||
|
|
|
|
* | Annual average of daily Values at Risk. |
Market Sector |
Value at Risk |
% of Total Capitalization |
Three Months Ended June 30, 2022 |
|||||||||||||||||
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
||||||||||||||||||
Currencies |
$ | 7,812,092 | 9.33 | % | $ | 8,876,351 | $ | 5,863,006 | $ | 7,457,295 | ||||||||||
Energy |
2,468,776 | 2.95 | 3,133,454 | 580,028 | 2,539,993 | |||||||||||||||
Grains |
958,776 | 1.15 | 2,576,615 | 958,776 | 2,269,176 | |||||||||||||||
Indices |
1,419,602 | 1.70 | 2,534,322 | 920,610 | 2,016,270 | |||||||||||||||
Interest Rates U.S. |
566,302 | 0.68 | 1,562,886 | 463,902 | 1,053,515 | |||||||||||||||
Interest Rates Non-U.S. |
2,845,233 | 3.40 | 2,887,742 | 763,706 | 1,673,549 | |||||||||||||||
Livestock |
211,269 | 0.25 | 703,716 | 42,020 | 413,339 | |||||||||||||||
Metals |
439,493 | 0.53 | 1,643,826 | - | 867,022 | |||||||||||||||
Softs |
653,242 | 0.78 | 1,253,350 | 621,867 | 1,016,612 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ |
17,374,785 |
20.77 |
% |
||||||||||||||||
|
|
|
|
* | Average of daily Values at Risk. |
Market Sector |
Value at Risk |
% of Total Capitalization |
Twelve Months Ended December 31, 2021 |
|||||||||||||||||
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
||||||||||||||||||
Currencies |
$ | 5,501,898 | 9.72 | % | $ | 6,059,954 | $ | 2,844,891 | $ | 4,276,357 | ||||||||||
Energy |
1,609,110 | 2.84 | 2,823,937 | 1,010,513 | 1,917,083 | |||||||||||||||
Grains |
2,074,356 | 3.67 | 2,194,459 | 690,338 | 1,453,799 | |||||||||||||||
Indices |
4,305,927 | 7.61 | 4,524,201 | 1,398,613 | 2,638,501 | |||||||||||||||
Interest Rates U.S. |
884,626 | 1.56 | 1,273,527 | 110,012 | 722,704 | |||||||||||||||
Interest Rates Non-U.S. |
1,943,445 | 3.43 | 4,360,437 | 555,327 | 2,185,233 | |||||||||||||||
Livestock |
683,375 | 1.21 | 800,030 | 152,062 | 493,212 | |||||||||||||||
Metals |
1,399,174 | 2.47 | 2,536,086 | 794,627 | 1,488,952 | |||||||||||||||
Softs |
1,291,266 | 2.28 | 1,992,444 | 750,065 | 1,212,201 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ |
19,693,177 |
34.79 |
% |
||||||||||||||||
|
|
|
|
* | Annual average of daily Values at Risk. |
Three Months Ended June 30, 2022 |
||||||||||||||||||||
Market Sector |
Value at Risk |
% of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Energy |
$ | 6,135,687 | 12.78 | % | $ | 11,543,208 | $ | 5,984,337 | $ | 7,525,924 | ||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ |
6,135,687 |
12.78 |
% |
||||||||||||||||
|
|
|
|
* | Average of daily Values at Risk. |
Twelve Months Ended December 31, 2021 |
||||||||||||||||||||
Market Sector |
Value at Risk |
% of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Energy |
$ | 5,235,369 | 12.39 | % | $ | 12,881,816 | $ | 670,621 | $ | 3,221,401 | ||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ |
5,235,369 |
12.39 |
% |
||||||||||||||||
|
|
|
|
* | Annual average of daily Values at Risk. |
Three Months Ended June 30, 2022 * |
||||||||||||||||||||
Market Sector |
Value at Risk |
% of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk** |
|||||||||||||||
Currencies |
$ | 266,640 | 0.68 | % | $ | 282,436 | $ | - | $ | 174,298 | ||||||||||
Metals |
4,281,295 | 10.94 | 4,555,817 | 36,300 | 3,287,087 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ |
4,547,935 |
11.62 |
% |
||||||||||||||||
|
|
|
|
* | From May 1, 2022, commencement of operations for Drakewood Master, through June 30, 2022. |
** | Average of daily Values at Risk. |
• | pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
• | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
• | provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements. |
Item lA. |
Risk Factors . |
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds . |
Period |
Class A (a) Total Number of Redeemable Units Purchased* |
Class A (b) Average Price Paid per Redeemable Unit** |
Class Z (a) Total Number of Redeemable Units Purchased* |
Class Z (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 |
||||||||||||||||||
608.4370 | $ | 3,777.90 | N/A | N/A | N/A | N/A | ||||||||||||||||||
1,174.2590 | $ | 3,740.05 | N/A | N/A | N/A | N/A | ||||||||||||||||||
517.6840 | $ | 3,710.49 | 46.2710 | $ | 1,536.82 | N/A | N/A | |||||||||||||||||
2,300.3800 | $ | 3,743.41 | 46.2710 | $ | 1,536.82 |
* | Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner may compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners. |
** | Redemptions of Redeemable Units are effected as of the end of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions. |
Item 3. |
Defaults Upon Senior Securities . — |
Item 4. |
Mine Safety Disclosures . — |
Item 5. |
Other Information . |
Item 6. |
Exhibits. |
CERES ORION L.P. | ||
By: | Ceres Managed Futures LLC | |
(General Partner) | ||
By: | /s/ Patrick T. Egan | |
Patrick T. Egan | ||
President and Director |
By: | /s/ Brooke Lambert | |
Brooke Lambert | ||
Chief Financial Officer | ||
(Principal Accounting Officer) | ||
Date: August 11, 2022 |
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
9/30/22 | ||||
Filed on: | 8/11/22 | |||
7/31/22 | ||||
7/15/22 | ||||
For Period end: | 6/30/22 | 8-K | ||
6/1/22 | ||||
5/31/22 | ||||
5/1/22 | 8-K | |||
4/30/22 | ||||
4/1/22 | 8-K | |||
3/31/22 | 10-Q | |||
2/24/22 | ||||
2/22/22 | ||||
1/31/22 | 8-K | |||
12/31/21 | 10-K | |||
11/4/21 | 8-K | |||
10/31/21 | 8-K | |||
10/13/21 | ||||
7/1/21 | 8-K | |||
6/30/21 | 10-Q | |||
4/16/21 | ||||
3/31/21 | 10-Q | |||
3/22/21 | ||||
1/1/21 | 8-K | |||
12/31/20 | 10-K | |||
10/1/20 | ||||
9/30/20 | 10-Q, 8-K | |||
6/16/20 | ||||
2/1/20 | 8-K | |||
12/25/19 | ||||
12/15/19 | ||||
8/29/19 | ||||
6/13/19 | ||||
5/23/19 | ||||
4/24/19 | ||||
4/1/19 | 8-K | |||
3/25/19 | ||||
9/27/18 | ||||
7/17/18 | ||||
7/13/18 | ||||
6/26/18 | ||||
6/1/18 | ||||
2/22/18 | ||||
2/1/18 | 8-K | |||
1/19/18 | 8-K | |||
11/17/17 | ||||
11/2/17 | ||||
9/28/17 | ||||
8/11/16 | 10-Q | |||
4/1/16 | ||||
3/17/16 | ||||
1/1/16 | 8-K | |||
5/19/15 | ||||
10/29/14 | ||||
7/16/14 | ||||
11/25/13 | ||||
5/17/13 | ||||
5/3/13 | ||||
6/29/12 | ||||
1/1/12 | 8-K | |||
8/1/11 | 8-K | |||
6/1/11 | 8-K | |||
4/20/11 | ||||
4/8/11 | ||||
10/15/10 | ||||
7/15/10 | ||||
8/18/09 | ||||
1/1/09 | 8-K | |||
6/10/99 | ||||
3/22/99 | ||||
List all Filings |