UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2017

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 0-52505

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Exact name of registrant as specified in its charter)

Delaware		30-0408280
(State or other jurisdiction of		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o FRM Investment Management (USA) LLC

452 Fifth Avenue, 26th Floor

New York, New York 10018

(Address of principal executive offices)

(Zip Code)

212-649-6600

(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 website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

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

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o
(Do not check if a smaller reporting company)
		Emerging growth company o

If an emerging growth company, indicate by check mark 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. o

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 March 31, 2017, 98,934,965 units of limited liability company interest were outstanding.

MAN FRM MANAGED FUTURES STRATEGIES LLC

QUARTERLY REPORT FOR March 31, 2017 ON FORM 10-Q

Table of Contents

PART I—FINANCIAL INFORMATION

		PAGE

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	15

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	19

Item 4.	Controls and Procedures	25

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	25

Item 1A.	Risk Factors	25

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	25

Item 3.	Defaults Upon Senior Securities	26

Item 4.	Mine Safety Disclosures	26

Item 5.	Other Information	26

Item 6.	Exhibits	26

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2017 (unaudited)		December 31, 2016
ASSETS:

Cash	$	41,109,810	$	48,971,063
Investment in Affiliated Funds (Cost: $66,921,047 and $77,057,266 at March 31, 2017 and December 31, 2016, respectively)	60,788,586		68,779,867
Investment in Affiliated Funds paid in advance	—		100,000

TOTAL ASSETS	$	101,898,396	$	117,850,930

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Management fee payable	519,777		606,974
Redemptions payable	657,981		1,846,095
Professional fees payable	202,212		194,639
Administrative fee payable	14,649		46,954
Other liabilities	216,694		217,974

Total liabilities	1,611,313		2,912,636

MEMBERS’ CAPITAL:
Members’ Capital (98,934,965 Units and 113,650,916 Units outstanding at March 31, 2017 and December 31, 2016, respectively; unlimited Units authorized)	100,287,083		114,938,294
Total Members’ Capital	100,287,083		114,938,294

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	101,898,396	$	117,850,930

NET ASSET VALUE PER UNIT:

Class A	$	1.0419	$	1.0385
Class C	$	0.9858	$	0.9851
Class D	$	1.3515	$	1.3421
Class I	$	1.1315	$	1.1267
Class M	$	0.9983	$	0.9915
Class AA	$	0.9138	$	0.9133
Class II	$	0.9416	$	0.9382
Class MM	$	0.9156	$	0.9106

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three months ended March 31, 2017			For the three months ended March 31, 2016
TRADING PROFIT (LOSS), NET:
Realized from Affiliated Funds, net	$	(1,111,219	)	$	(3,591,007	)
Change in unrealized from Affiliated Funds, net	2,144,938			9,698,128

Total trading profit (loss), net	1,033,719			6,107,121

EXPENSES:
Management fee	519,777			812,546
Professional fees	80,494			140,755
Administrative fee	58,746			84,645
Other expenses	63,459			172,515
Total expenses	722,476			1,210,461

NET INVESTMENT INCOME (LOSS)	(722,476		)	(1,210,461		)

NET INCOME (LOSS)	$	311,243		$	4,896,660

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	15,753,019			22,552,383
Class C	60,962,851			94,659,385
Class D	2,817,643			2,949,004
Class I	11,714,139			13,451,300
Class M	4,725,021			7,175,139
Class AA	5,231,545			2,088,361
Class II	6,187,523			1,991,073
Class MM	28,831			37,368		*

Net income (loss) per weighted average Unit
Class A	$	0.0036		$	0.0355
Class C	$	0.0015		$	0.0322
Class D	$	0.0141		$	0.0495
Class I	$	0.0054		$	0.0394
Class M	$	0.0072		$	0.0390
Class AA	$	0.0105		$	0.0196
Class II	$	(0.0047	)	$	0.0238
Class MM	$	0.0050		$	(0.0127	)*

*Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through March 31, 2016.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2017

(unaudited) (in Units)

	Members’ Units December 31, 2015	Subscriptions	Redemptions		Members’ Units March 31, 2016	Members’ Units December 31, 2016	Subscriptions#	Redemptions#		Members’ Units March 31, 2017
Class A	22,965,118	—	(947,937	)	22,017,181	16,241,456	—	(950,153	)	15,291,303
Class C	97,914,221	—	(6,404,191	)	91,510,030	65,856,570	—	(11,546,157	)	54,310,413
Class D	2,949,004	—	—		2,949,004	2,966,509	—	(893,199	)	2,073,310
Class I	13,589,522	—	(363,612	)	13,225,910	12,172,207	—	(1,069,312	)	11,102,895
Class M	7,623,525	—	(584,938	)	7,038,587	4,766,784	—	(97,817	)	4,668,967
Class AA	1,187,288	1,235,326	—		2,422,614	6,086,052	12,108	(5,084,047	)	1,014,113
Class II	1,584,229	617,046	—		2,201,275	5,532,507	4,912,626	—		10,445,133
Class MM	—	43,497	—		43,497	28,831	—	—		28,831

Total Members’ Units	147,812,907	1,895,869	(8,300,678	)	141,408,098	113,650,916	4,924,734	(19,640,685	)	98,934,965

# Includes transfer of 5,058,851 units out of Class AA for 4,912,626 units of Class II, on March 20, 2017.

Amounts have been rounded to the nearest whole unit.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2017

(unaudited) (in Dollars)

	Members’ Capital December 31, 2015		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital March 31, 2016		Members’ Capital December 31, 2016		Subscriptions#		Redemptions#			Net Income (Loss)			Members’ Capital March 31, 2017
Class A	$	25,487,679	$	—	$	(1,090,666	)	$	801,059		$	25,198,072	$	16,866,886	$	—	$	(991,672	)	$	56,335		$	15,931,549
Class C	104,115,262		—		(7,075,088		)	3,052,050			100,092,224		64,874,067		—		(11,425,372		)	92,435			53,541,130
Class D	4,166,825		—		—			146,070			4,312,895		3,981,497		—		(1,219,037		)	39,611			2,802,071
Class I	16,298,259		—		(454,681		)	529,803			16,373,381		13,714,872		—		(1,215,151		)	63,210			12,562,931
Class M	7,957,252		—		(632,852		)	279,844			7,604,244		4,726,041		—		(98,819		)	34,036			4,661,258
Class AA	1,170,463		1,245,215		—			40,977			2,456,655		5,558,184		11,000		(4,697,275		)	54,818			926,727
Class II	1,585,992		640,000		—			47,332			2,273,324		5,190,493		4,673,872		—			(29,346		)	9,835,019
Class MM	—		43,831		—			(475		)	43,356		26,254		—		—			144			26,398

Total Members’ Capital	$	160,781,732	$	1,929,046	$	(9,253,287	)	$	4,896,660		$	158,354,151	$	114,938,294	$	4,684,872	$	(19,647,326	)	$	311,243		$	100,287,083

# Includes transfers in to Class II, from Class AA, of $4,673,872 on March 20, 2017.

Amounts have been rounded to the nearest dollar.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2017 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class AA			Class II			Class MM

Per Unit Operating Performance

Net asset value, beginning of period	$	1.0385		$	0.9851		$	1.3421		$	1.1267		$	0.9915		$	0.9133		$	0.9382		$	0.9106

Net realized and net change in unrealized trading profit (loss)	0.0093			0.0087			0.0119			0.0100			0.0087			0.0079			0.0084			0.0081
Net investment loss (b)	(0.0059		)	(0.0080		)	(0.0025		)	(0.0052		)	(0.0019		)	(0.0074		)	(0.0050		)	(0.0031		)

Net asset value, end of period	$	1.0419		$	0.9858		$	1.3515		$	1.1315		$	0.9983		$	0.9138		$	0.9416		$	0.9156

Total Return: (a)(c)

Total return	0.33		%	0.07		%	0.70		%	0.43		%	0.69		%	0.05		%	0.35		%	0.55		%

Ratios to Average Members’ Capital: (b)(c)

Expenses	0.56		%	0.81		%	0.19		%	0.46		%	0.19		%	0.81		%	0.52		%	0.34		%

Net investment income (loss)	(0.56		)%	(0.81		)%	(0.19		)%	(0.46		)%	(0.19		)%	(0.81		)%	(0.52		)%	(0.34		)%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b) The amounts do not reflect the proportionate share of expense from the Affiliated Funds.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class AA			Class II			Class MM*

Per Unit Operating Performance

Net asset value, beginning of period	$	1.1098		$	1.0633		$	1.4130		$	1.1993		$	1.0438		$	0.9858		$	1.0011		$	1.0000

Net realized and net change in unrealized trading profit (loss)	0.0418			0.0400			0.0531			0.0451			0.0392			0.0371			0.0376			(0.0001		)
Net investment loss (b)	(0.0071		)	(0.0095		)	(0.0036		)	(0.0064		)	(0.0026		)	(0.0088		)	(0.0060		)	(0.0031		)

Net asset value, end of period	$	1.1445		$	1.0938		$	1.4625		$	1.2380		$	1.0804		$	1.0141		$	1.0327		$	0.9968

Total Return: (a)(c)

Total return	3.13		%	2.87		%	3.50		%	3.23		%	3.51		%	2.87		%	3.16		%	(0.32		)%

Ratios to Average Members’ Capital: (b)(c)

Expenses	0.62		%	0.87		%	0.24		%	0.52		%	0.24		%	0.87		%	0.58		%	0.41		%

Net investment income (loss)	(0.62		)%	(0.87		)%	(0.24		)%	(0.52		)%	(0.24		)%	(0.87		)%	(0.58		)%	(0.41		)%

(b) The amounts do not reflect the proportionate share of expense from the Affiliated Funds.

* Class MM units issued on January 25, 2016.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect wholly-owned subsidiary of Man Group plc (“Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC” through April 30, 2015.

Under the direction of the Manager, the Fund allocates its capital among a group of underlying related party funds (each an “Affiliated Fund”, and collectively the “Affiliated Funds”) which, in turn, allocate capital to related party master funds (each a “Master Fund” and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of related party commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).

The Manager invests the Fund’s assets in Affiliated Funds that are on the FRM platform. The Affiliated Funds invested in by the Fund are established as Delaware limited liability companies, each of which engages the Manager as the risk manager and each of which further invests in a Master Fund, established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 3). As of March 31, 2017, there are six Affiliated Funds (see Note 3) held by the Fund. The Manager serves as CPO of the Affiliated Funds and Master Funds.

Unless the context requires otherwise, references to the Fund in these financial statements notes, also refer to the Affiliated Funds and the Master Funds in which the Affiliated Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Affiliated Funds refer to the investment activities of the Master Funds through which the Affiliated Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

In the opinion of management, these unaudited interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial condition of the Fund as of March 31, 2017 and December 31, 2016 and the results of its operations for the three month periods ended March 31, 2017 and 2016. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2016.

2. SIGNIFICANT ACCOUNTING POLICIES

The Fund prepares its financial statements in conformity with U.S. GAAP. These financial statements have applied the guidance as set forth in the Financial Accounting Standards Board (“FASB”) ASC 946, Financial Services - Investment Companies. The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

Cash and Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of March 31, 2017 and December 31, 2016, the Fund does not hold any cash equivalents. Cash is held at a nationally recognized financial institution.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

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 uncertain tax positions. 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 net asset value (“NAV”) of the Fund, 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 or the Affiliated Funds. 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 — 2014.

Distributions

Each investor is entitled to receive, equally per unit, any distributions which may be made by the Fund. No such distributions have been declared for the periods ended March 31, 2017 and 2016.

Subscriptions

The Fund generally offers units (“Units”) for investment each Monday (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 (each a “Subscription Day”). Investors must submit their executed subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested.

Each member shares in the profits and losses of the Fund in proportion to the number of Units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as noted above in respect to sales commissions and in Notes 6 below in respect of fees, the classes of units are identical.

Redemptions

Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date.

3. INVESTMENTS IN AFFILIATED FUNDS

As of March 31, 2017, the Fund held investments in the following six Affiliated Funds, and the respective Master Funds: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited, (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited, (iv) Century CAT MAC Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited, (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, and (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited. As used herein, Trading Advisor in respect of an Affiliated Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Affiliated Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Affiliated Funds. In the process of rebalancing, the Fund’s allocation to any individual Affiliated Fund may range between 3% - 25% of the Fund’s NAV.

During the period, the Fund had no purchases and sales of $9,025,000 of investments in Affiliated Funds. The investment transactions were accounted for on trade date. The investments in the Affiliated Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, FRM utilized the NAV of the Affiliated Funds which approximates fair value. The fair value was net of all fees relating to the Affiliated Funds, paid or accrued. Additionally, FRM monitored the

performance of the Affiliated Funds. The fair value of the Fund’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented on the Statements of Financial Condition.

The details of investments in Affiliated Funds at and for the period ended March 31, 2017 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 3/31/17		Redemptions Permitted
Blakeney	10.51	%	$	10,543,313	$	254,418		$	10,875,100	Weekly
Campbell	9.18	%	9,210,126		(81,157		)	11,164,418		Weekly
CCP Core Macro	11.20	%	11,230,317		276,871			11,932,997		Weekly
Century CAT	11.89	%	11,925,544		86,852			13,983,364		Weekly
Quantica MF	8.84	%	8,861,055		766,261			8,307,664		Weekly
Silver	8.99	%	9,018,231		(269,526		)	10,657,504		Weekly

	60.61	%	$	60,788,586	$	1,033,719		$	66,921,047

The details of investments in Affiliated Funds at and for the year ended December 31, 2016 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/16		Redemptions Permitted
Blakeney	11.13	%	$	12,788,895	$	(15,627	)	$	13,427,752	Weekly
Campbell	9.33	%	10,721,283		(3,135,990		)	13,028,816		Weekly
Carlisle*	—		—		713,644			—		Weekly
CCP Core Macro	10.12	%	11,633,446		(425,212		)	12,743,445		Weekly
Century CAT**	12.32	%	14,163,692		(2,881,308		)	16,787,646		Weekly
Quantica MF	8.64	%	9,934,794		1,510,060			10,088,625		Weekly
Silver	8.30	%	9,537,757		17,504			10,980,982		Weekly

	59.84	%	$	68,779,867	$	(4,216,929	)	$	77,057,266

* Affiliated Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829.

** Affiliated Fund purchased in March 2016.

The details of investments in Affiliated Funds at and for the period ended March 31, 2016 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 3/31/2016		Redemptions Permitted
Blakeney	13.19	%	$	20,891,586	$	1,012,064		$	20,239,881	Weekly
Campbell	14.65	%	23,212,154		844,881			23,338,007		Weekly
Carlisle	5.47	%	8,659,833		989,062			8,028,985		Weekly
CCP Core Macro	5.88	%	9,304,765		751,107			9,666,267		Weekly
Century CAT*	10.47	%	16,576,206		(73,794		)	16,650,000		Weekly
Quantica MF	6.58	%	10,421,699		1,276,965			11,912,482		Weekly
Silver	8.32	%	13,172,089		1,306,836			14,134,162		Weekly

	64.56	%	$	102,238,332	$	6,107,121		$	103,969,784

* Affiliated Fund purchased in March 2016.

As of March 31, 2017, December 31, 2016 and March 31, 2016, there are no investments held by the Affiliated Funds and the Affiliated Funds’ Master Funds that in the aggregate exceed 5% of the Fund’s members’ capital.

The following is summarized financial information as required by Regulation S-X, for each of the Affiliated Funds:

	As of March 31, 2017
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	10,702,452	$	149,477	$	10,552,975
Campbell	9,358,506		140,721		9,217,785
CCP Core Macro	11,353,154		114,244		11,238,910
Century CAT	12,031,015		97,124		11,933,891
Quantica MF	9,008,090		139,233		8,868,857
Silver	9,165,418		140,305		9,025,113

Total	$	61,618,635	$	781,104	$	60,837,531

	As of December 31, 2016
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	12,939,371	$	141,001	$	12,798,370
Campbell	10,859,354		130,341		10,729,013
CCP Core Macro	11,744,051		98,433		11,645,618
Century CAT	14,247,902		75,923		14,171,979
Quantica MF	10,069,651		127,622		9,942,029
Silver	9,670,349		125,495		9,544,854

Total	$	69,530,678	$	698,815	$	68,831,863

	For the three months ended March 31, 2017
	Income (Loss)			Commissions		Expenses			Net Income (Loss)
Blakeney	$	311,240		$	—	$	(56,633	)	$	254,607
Campbell	(32,761		)	—		(48,467		)	(81,228		)
CCP Core Macro	389,693			—		(112,610		)	277,083
Century CAT#	138,220			—		(51,308		)	86,912
Quantica MF	813,552			—		(46,722		)	766,830
Silver	(222,015		)	—		(47,720		)	(269,735		)

Total	$	1,397,929		$	—	$	(363,460	)	$	1,034,469

	For the three months ended March 31, 2016
	Income (Loss)			Commissions		Expenses			Net Income (Loss)
Blakeney	$	1,094,270		$	—	$	(81,766	)	$	1,012,504
Campbell	923,026			—		(77,771		)	845,255
Carlisle	1,030,598			—		(40,260		)	990,338
CCP Core Macro	843,887			—		(49,494		)	794,393
Century CAT#	(68,350		)	—		(5,489		)	(73,839		)
Quantica MF	1,345,820			—		(68,443		)	1,277,377
Silver	1,363,029			—		(55,342		)	1,307,687

Total	$	6,532,280		$	—	$	(378,565	)	$	6,153,715

#Affiliated Fund added in March 2016.

4. FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price).

The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. FRM’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

FASB ASC 820 - Fair Value Measurement and Disclosures no longer requires investments for which fair value is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. As of March 31, 2017 and December 31, 2016, all of the investments were fair valued using the NAV as practical expedient of the Affiliated Funds.

5. MARKET, CREDIT AND CONCENTRATION RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes certain of those risks.

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Master Funds’ financial assets (liabilities) at fair value through profit or loss on such derivative instruments as reflected in the Statements of Financial Condition of the Master Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Master Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

The credit risk associated with these instruments from counterparty nonperformance is the derivatives, at fair value, if any, included in the Master Funds’ Statements of Financial Condition.

As of March 31, 2017 and Decmber 31, 2016, the Affiliated Funds held by the Fund do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Affiliated Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk.

Credit risk is the possibility that a loss may occur from the failure of a counterparty to make payments according to the terms of a contract. The Fund’s exposure to credit risk is contingent upon the Affiliated Funds and the brokers and counterparties which the Affiliated Funds transact business with as well as amounts recorded as assets in the Statements of Financial Condition.

Cash held as deposits may exceed the amount of federal insurance provided on such deposits and are therefore subject to credit risk.

Concentration Risk

The Fund’s investments in the Affiliated Funds are subject to the market and credit risk of the Affiliated Funds. Because the majority of the Fund’s capital is invested in the Affiliated Funds, any changes in the market conditions that would adversely affect the Affiliated Funds could significantly impact the solvency of the Fund.

Currency Risk

The Fund’s investments in the Affiliated Funds are subject to currency risk to the extent that the fair value or future cash flow of a financial instrument held by any Affiliated Fund will fluctuate because of changes in foreign exchange rates.

Liquidity Risk

Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Units are the main liquidity risk for the Fund. The Units are redeemable as outlined in Note 2. The exposure to liquidity risk through redemption requests for Units is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the Affiliated Funds as agreed by the Investment Manager.

Indemnifications

The Fund enters into administrative and other professional service contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is not known; however, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

6. RELATED PARTY TRANSACTIONS

The Manager receives monthly management fees (“Management Fees”) based on the aggregate NAV of the Class of Units. The respective Management Fee rates are: Class A Units 1.5% per annum; Class C Units 2.5% per annum, Class I Units 1.1% per annum, Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum. Class D Units and Class M Units are not charged Management Fees.

7. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the periods ended March 31, 2017 and 2016 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period.

8. SUBSEQUENT EVENTS

For the period April 1, 2017 to May 12, 2017, the Fund has recorded subscriptions of approximately $41,000 and redemptions of approximately $3,407,380.

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no additional subsequent events that require adjustment to, or disclosure in, the financial statements.

Item 2: 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 Affiliated Funds and the Master Funds in which the Affiliated Funds invest. Reference to the investment process, strategies, objectives and activities of the Fund and the Affiliated Funds refer to the investment activities of the Master Funds through which the Affiliated 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 Affiliated 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 as the Manager may determine in its sole discretion.

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.

Liquidity and Capital Resources

The Fund and the Affiliated 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 Affiliated Funds’ U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

An Affiliated 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 Affiliated Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

As a commodity pool, the Fund maintains a large percentage of its assets in cash directly and indirectly through the Affiliated 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 Affiliated Funds have the ability to fund redemption proceeds from liquidating the Master Funds’ 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, 2017 the Fund’s capital decreased 12.75% from $114,938,294 to $100,287,083. This decrease was attributable to the net income from operations of $311,243, coupled with the redemption of 14,581,834 Units resulting in an outflow of $14,973,454. The cash outflow was offset with cash inflow of $11,000 due to subscriptions of 12,108 Units. Future redemptions could impact the amount of funds available for investment in the Affiliated 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 4, Fair Value of Investments.

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, 2017 to March 31, 2017

January 1, 2017 to March 31, 2017

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 Affiliated Master Fund level and the allocation to each Master Fund as of March 31, 2017:

March 31, 2017

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions

Agricultural Commodities	$	376,765		327.23	%
Energy	(379,974		)	(330.01	)%
Interest Rates	85,172			73.97	%
Metals	95,261			82.74	%
Stock Indices	692,426			601.38	%
Currencies - Future	(313,168		)	(271.99	)%
Currencies - Forward	(441,343		)	(383.31	)%

Total	$	115,140		100	%

The Fund experienced a net trading profit for the first quarter ended March 31, 2017 of $1,033,719.

Returns were varied with yields negative at start and end of the quarter, while mid-quarter was brighter. Positive returns were generated with gains from equity positions, and smaller gains from FX and fixed income offsetting losses from commodities.

References herein to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Funds generally.

The beginning of the quarter was positive for risk assets overall amid rising bond yields, a continued pickup in inflation expectations and resilient fundamental macro data. A notable driver was a retracement in the dollar, which sold off against most other currencies as the Federal Open Market Committee minutes and members of the incoming Administration highlighted concerns about the implications of a stronger dollar for the U.S. economy. Mid-quarter saw a continuation of risk seeking behavior across U.S., European and Asian markets. The U.S. Dollar rallied against the Euro as investors focused on yield differentials and the divergence in growth prospects. Quarter-end provided a well signaled rate increase from the Federal Reserve (Fed) mid-March. In addition, the U.S. Dollar weakened against most major currencies which led to a rally in emerging market debt, equities and FX.

Equities contributed positively through the quarter. Returns generated in North America and Asia ex Japan more than offset losses in Europe amid a fair amount of choppiness at the start of Q1. Equities were the main source of gains mid-quarter, with long positions across regions contributing, and positive performance at quarter-end came from long positions in Europe responsible for the majority of gains.

Performance for the quarter was mixed in FX. Trading Advisors entered the quarter net long USD and exhibited losses as the dollar sold off meaningfully against most other currencies. By mid-quarter Trading Advisors had reduced exposure and were modestly net long USD. Contributions came from long positions in CAD and AUD and shorts in Euro and GBP. Overall though, contributions were minor. FX was the biggest detractor at quarter-end with a net long USD position and shorts in CAD, GBP and EUR detracting from performance

In fixed income, losses were driven by a selloff in fixed income in Europe, a meaningful snap back in U.S. rates in the earlier part of the quarter and broad-based market choppiness. The sector was a smaller

contributor mid-quarter as gains from long positions in Europe, were offset by losses in the back end of the U.S. However, the portfolio held a long bias to fixed income in the first half of March which then moved towards a short position in the latter half of the month before turning long again at the end of the month ultimately detracting from performance.

Commodities detracted throughout the quarter. Losses in energy, precious metals and grains more than offset gains in industrial metals at the start of the quarter, while long positions to sectors across the board detracted mid-quarter. Only positions in metals contributed positively. Short positions in energies saw the largest losses followed by long metals positions at quarter-end, despite short positions in softs contributing positively to performance.

In terms of positioning, the biggest area of risk is in FX with net long positions in ZAR, JPY and AUD and net short positions in EUR and GBP among the top risk-weighted positions in the portfolio. Equities is the second largest area of risk where Trading Advisors are net long in North America and Europe. The portfolio is close to flat in both interest rates and commodities where the net long exposure in commodities at the beginning of March has gradually tapered off at quarter-end.

January 1, 2016 to March 31, 2016

January 1, 2016 to March 31, 2016

March 31, 2016

Commodity Industry Sector	Net Unrealized Profit (Loss) on Open Positions			Percent of Net Unrealized Profit (Loss) on Open Positions
Agricultural Commodities	$	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.

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

References herein to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Funds generally.

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 U.S. 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.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Affiliated Funds are speculative commodity pools. The market sensitive instruments held by the Affiliated Funds are acquired for speculative trading purposes and all or substantially all of the Affiliated

Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Affiliated Funds’ main line of business.

Market movements result in frequent changes in the fair market value of the Affiliated Funds’ open positions and, consequently, in their earnings and cash flows. The Affiliated Funds’ 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 Affiliated Funds’ open positions and the liquidity of the markets in which they trade.

The Affiliated Funds, under the direction of their respective Trading Advisors rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a possible future market scenario will affect performance and the Fund’s and the Affiliated Funds’ past performance is not necessarily indicative of future results.

Value at Risk (“VaR”) is a measure of the maximum amount which the Fund the Affiliated Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s and the Affiliated Funds’ speculative trading and the recurrence in the markets traded by the Fund, and the Affiliated Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Fund’s and the Affiliated Funds’ 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 Fund’s and the Affiliated Funds’ losses in any market sector will be limited to VaR or by the Fund’s and the Affiliated Funds’ attempts to manage market risk.

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward Looking Statements

The following quantitative disclosures regarding 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 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities 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.

The Fund’s risk exposure in the various market sectors traded by the Affiliated Funds is quantified below in terms of VaR. Due to the Affiliated Funds’ fair value accounting, any loss in the fair value of the Affiliated Funds’ open positions is directly reflected in the Affiliated Funds’ earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

VaR was calculated for each Affiliated Fund by first calculating VaR with respect to each Master Fund and adjusting based on the Affiliated Fund’s pro-rata ownership of the Master Fund. VaR of the Master Funds is based on a one day 99% Monte Carlo model VaR utilizing 1,000 simulations. The sector breakdown of VaR for each Master Fund is based on an incremental VaR calculated for each position that is aggregated across each of the sectors presented below.

There are various ways of calculating VaR, and each methodology will not yield the same result. Differences between VaR methodologies could be material as the underlying assumptions will vary.

The Affiliated Funds’ Trading Value at Risk in Different Market Sectors

The following information with respect to VaR is set forth in respect of the Affiliated Funds separately, rather than for the Fund.

The following tables indicate the average, highest, and lowest trading VaR associated with the Affiliated Funds’ open positions by market category for the three month periods ended March 31, 2017 and March 31, 2016. (For initial Affiliated Fund investments made during the period, VaR is calculated starting from the commencement of the holding.)

Blakeney (1)

	March 31, 2017
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	6,223	0.05	%	$	11,667	$	3,354
Energy	965		0.01	%	1,755		90
Interest Rates	42,112		0.34	%	66,604		29,468
Metals	22,072		0.18	%	39,142		11,765
Stock lndices	166,407		1.35	%	206,630		134,286
Currencies	81,990		0.67	%	118,516		57,732

TOTAL	$	319,769	2.60	%	$	444,314	$	236,695

(1) Average capitalization of Blakeney is $12,290,187.

Campbell (2)

	March 31, 2017
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	15,045	0.15	%	$	31,737	$	2,351
Energy	8,846		0.09	%	11,589		5,255
Interest Rates	21,551		0.21	%	23,151		20,325
Metals	51,991		0.51	%	75,736		21,755
Stock lndices	193,422		1.89	%	243,353		154,793
Currencies	75,816		0.74	%	115,623		44,172

TOTAL	$	366,671	3.59	%	$	501,189	$	248,651

(2) Average capitalization of Campbell is $10,226,610.

Century CAT (3)

	March 31, 2017
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	3,651	0.03	%	$	7,700	$	123
Energy	2,345		0.02	%	6,024		333
Interest Rates	58,992		0.44	%	68,699		48,688
Metals	4,190		0.03	%	9,321		740
Stock lndices	182,518		1.36	%	245,707		149,000
Currencies	131,861		0.98	%	175,364		99,268

TOTAL	$	383,557	2.86	%	$	512,815	$	298,152

(3) Average capitalization of Century CAT is $13,412,891.

CCP Core Macro (4)

	March 31, 2017
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	2,504	0.02	%	$	6,051	$	333
Energy	4,940		0.04	%	7,971		1,010
Interest Rates	45,675		0.41	%	63,644		12,625
Metals	34,766		0.31	%	40,992		30,327
Stock lndices	121,620		1.09	%	164,941		86,553
Currencies	7,735		0.07	%	10,487		5,145

TOTAL	$	217,240	1.94	%	$	294,086	$	135,993

(4) Average capitalization of CCP Core Macro is $11,190,306.

Quantica MF (5)

	March 31, 2017
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	4,419	0.05	%	$	8,336	$	252
Energy	3,413		0.04	%	6,427		1,691
Interest Rates	23,619		0.24	%	28,857		15,146
Metals	5,981		0.06	%	7,262		3,678
Stock lndices	201,940		2.09	%	213,884		182,067
Currencies	70,920		0.73	%	92,093		50,098

TOTAL	$	310,292	3.21	%	$	356,859	$	252,932

(5) Average capitalization of Quantica MF is $9,657,465.

Silver (6)

	March 31, 2017
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	10,036	0.10	%	$	12,482	$	5,818
Energy	7,059		0.07	%	15,657		478
Interest Rates	10,138		0.11	%	13,809		5,995
Metals	27,437		0.29	%	42,797		8,866
Stock lndices	193,607		2.01	%	216,021		180,604
Currencies	97,171		1.01	%	127,579		61,594

TOTAL	$	345,448	3.59	%	$	428,345	$	263,355

(6) Average capitalization of Silver is $9,611,796.

Blakeney (1)

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	20,116	0.10	%	$	22,374	$	15,805
Energy	122,202		0.58	%	174,690		46,603
Interest Rates	298,353		1.42	%	313,618		269,318
Metals	17,151		0.08	%	21,693		13,585
Stock Indices	62,532		0.30	%	93,341		14,184
Currencies	102,716		0.49	%	189,929		56,682

TOTAL	$	623,070	2.97	%	$	815,645	$	416,177

(1) Average capitalization of Blakeney is $21,011,911.

Campbell (2)

	March 31, 2016
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	62,698	0.29	%	$	115,750	$	32,018
Energy	136,308		0.62	%	188,541		45,269
Interest Rates	261,686		1.20	%	347,156		212,899
Metals	22,571		0.10	%	33,607		9,115
Stock Indices	46,289		0.21	%	61,473		36,105
Currencies	160,225		0.73	%	263,978		27,740

TOTAL	$	689,777	3.15	%	$	1,010,505	$	363,146

(2) Average capitalization of Campbell is $21,880,112.

Carlisle (3)

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	18,096	0.22	%	$	31,053	$	7,164
Energy	63,630		0.77	%	125,640		3,230
Interest Rates	151,620		1.83	%	208,645		46,770
Metals	10,213		0.12	%	16,960		5,644
Stock Indices	23,933		0.29	%	38,709		6,331
Currencies	30,214		0.36	%	45,151		6,609
Other	18,984		0.23	%	28,014		7,676

TOTAL	$	316,690	3.82	%	$	494,172	$	83,424

(3) Average capitalization of Carlisle is $8,287,498.

Century CAT (4)*

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	737	0.00	%	$	737	$	737
Energy	20,013		0.12	%	20,013		20,013
Interest Rates	125,388		0.75	%	125,388		125,388
Metals	4,860		0.03	%	4,860		4,860
Stock Indices	13,841		0.08	%	13,841		13,841
Currencies	114,891		0.69	%	114,891		114,891
Other	9		0.00	%	9		9

TOTAL	$	279,739	1.67	%	$	279,739	$	279,739

(4) Average capitalization of Century CAT is $16,676,590.

* Century CAT added in March 2016.

CCP Core Macro (5)

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	4,970	0.05	%	$	6,309	$	3,812
Energy	89,458		0.92	%	131,014		50,415
Interest Rates	121,175		1.25	%	158,560		95,211
Metals	3,229		0.03	%	6,418		112
Stock Indices	13,192		0.14	%	32,523		508
Currencies	29,551		0.30	%	59,914		9,031

TOTAL	$	261,575	2.69	%	$	394,738	$	159,089

(5) Average capitalization of CCP Core Macro is $9,695,513.

Quantica MF(6)

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	24,201	0.14	%	$	37,803	$	9,426
Energy	129,292		0.77	%	305,453		546
Interest Rates	419,012		2.49	%	529,812		214,876
Metals	62,197		0.37	%	105,016		32,662
Stock Indices	60,130		0.36	%	104,716		1,658
Currencies	47,668		0.28	%	107,484		4,963

TOTAL	$	742,500	4.41	%	$	1,190,284	$	264,131

(6) Average capitalization of Quantica MF is $16,844,577.

Silver (7)

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	19,407	0.15	%	$	38,918	$	4,959
Energy	112,234		0.87	%	280,212		27,631
Interest Rates	190,183		1.48	%	264,723		73,940
Metals	64,334		0.50	%	103,823		27,556
Stock Indices	55,853		0.44	%	91,899		7,696
Currencies	122,030		0.95	%	184,259		39,621

TOTAL	$	564,041	4.39	%	$	963,834	$	181,403

(7) Average capitalization of Silver is $12,829,404.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund and the Affiliated Funds are typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund and the Affiliated Funds. The magnitude of the Fund’s and the Affiliated Funds’ open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of their positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund and the Affiliated Funds to incur severe losses over a short period of time. The foregoing VaR table — as well as the past performance of the Fund and the Affiliated Funds — gives no indication of this “risk of ruin.”

Non-Trading Risk

The Affiliated Funds have non-trading market risk on foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are generally immaterial.

These Affiliated Funds also have non-trading market risk on their assets which are held in cash at the clearing broker. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures through the Affiliated Funds after the change in structure — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of

the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by FRM and the Trading Advisors of the Affiliated Funds for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the risk controls for the Fund and for the trading conducted through Affiliated Funds to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the value of their investment in the Fund.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Each Affiliated Fund (inclusive of its related Master Fund) and its Trading Advisor are monitored by FRM’s investment team. This coverage is intended to ensure that each Affiliated Fund and its Trading Advisor are monitored by individuals who have an in-depth understanding of the Affiliated Fund and its Trading Advisor, as well as knowledge of the market environment affecting that particular strategy.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

FRM’s President and Principal Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of the end of the quarter which ended March 31, 2017, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended March 31, 2017 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II — OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2016, filed with the Securities and Exchange Commission on March 30, 2017.

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

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section

4(2) of the Securities Act and Rule 506 thereunder. The selling agents of the Units are Man Investment Inc. (“MII”) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S).

For the three month quarter ended March 31, 2017

CLASS AA

	Amount		Units
3/27/2017	$	11,000	12,107.87

Class AA Units were subject to upfront sales commissions paid to MLPF&S up to 3% of an investor’s gross subscription amount. Sales commissions were directly deducted from subscription amounts.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

31.01 and

31.02 Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02: Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02 Are filed herewith.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three month period ended March 31, 2017 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

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.

	MAN FRM MANAGED FUTURES STRATEGIES LLC


		By:	FRM INVESTMENT
			MANAGEMENT (USA) LLC
			(Manager)


Date: May 12, 2017		By:	/s/ Michelle McCloskey
			Michelle McCloskey
			President
			(Principal Executive Officer)


Date: May 12, 2017		By:	/s/ Linzie Steinbach
			Linzie Steinbach
			Principal Financial Officer

MAN FRM MANAGED FUTURES STRATEGIES LLC 10-Q