UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

x Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the fiscal year ended: December 31, ~~2016~~2017

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

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
incorporation or organization)		Identification No.)

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)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. ~~Yes o No x~~

~~Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act.~~ Yes o No x

Indicate by check mark ~~whether~~if the registrant ~~(1) has~~is ~~filed~~not ~~all reports~~ required to befile ~~filed~~reports bypursuant to Section 13 or 15(d) of the ~~Securities Exchange~~ Act ~~of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days~~. ~~Yes x No o~~

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of 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 o No ox

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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

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

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

~~Indicate~~If an emerging growth company, indicate by check mark ~~whether~~if the registrant ishas aelected ~~shell~~not ~~company~~to ~~(as~~use ~~defined~~the inextended ~~Rule 12b-2~~transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act). ~~Yes~~ o ~~No x~~

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).

Yes o No x

The Units of limited liability company interest of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding equity that is readily determinable.

As of February 28, ~~2017~~2018 Units of limited liability company interest with an aggregate Net Asset Value of $~~110~~64,~~083~~216,~~755~~796 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s ~~2016~~2017 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the year ended December 31, ~~2016~~2017, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith.

MAN FRM MANAGED FUTURES STRATEGIES LLC

ANNUAL REPORT FOR ~~2016~~2017 ON FORM 10-K

Table of Contents

	PART I	PAGE
		PAGE
	PART I
Item 1.	Business	1
Item 1A.	Risk Factors	8
Item 1B.	Unresolved Staff Comments	18
Item 2.	Properties	18
Item 3.	Legal Proceedings	18
Item 4.	Mine Safety Disclosures	18
	PART II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	19
Item 6.	Selected Financial Data	2019
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	2120
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	3133
Item 8.	Financial Statements and Supplementary Data	4039
Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	4039
Item 9A.	Controls and Procedures	4039
Item 9B.	Other Information	4140
	PART III
Item 10.	Directors, Executive Officers and Corporate Governance	4140
Item 11.	Executive Compensation	4342
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	4342
Item 13.	Certain Relationships and Related Transactions and Director Independence	4442
Item 14.	Principal Accounting Fees and Services	4442
	PART IV
Item 15.	Exhibits, Financial Statement Schedules	4543
Item 16.	Form 10-K Summary	45

PART I

Item 1: Business

(a) General Development of Business:

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 Investment Management”). The Manager is registered as a commodity pool operator (“CPO”) and commodity trading advisor (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. The Manager is also registered as an investment adviser under the Investment Advisers Act of 1940. The Manager is an indirect wholly-owned subsidiary of Man Group plc. (As used herein “Man Group” refers to Man Group plc, the Manager and certain other affiliated entities of Man Group plc.) 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.

Prior to May 1, 2015, the Fund was a participating fund in the ~~FuturesAccessSM~~FuturesAccesstm Program (“FuturesAccess”) sponsored by Merrill Lynch Alternative Investments LLC (“MLAI”). The Fund operated as a “fund of funds,” allocating and reallocating its capital among underlying FuturesAccess Funds (“FuturesAccess Portfolio Funds” or “Portfolio Funds”). MLAI was the sponsor and manager of the Fund prior to May 1, 2015. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.

Pursuant to an Asset Purchase Agreement dated as of December 8, 2014 between MLAI and an indirectly wholly-owned subsidiary of Man Group plc, as amended, Man Group purchased, among other assets, the rights of MLAI and its affiliates under certain agreements relating to the management of the Fund. FRM Investment Management replaced MLAI as manager of the Fund on May 1, 2015, upon the closing of such purchase (the “Manager Replacement”). Effective as of May 1, 2015, the Fund was renamed “Man FRM Managed Futures Strategies LLC.”

Under the direction of the Manager, the Fund allocates its capital among a group of underlying funds (each an “Underlying Fund”, and collectively, the “Underlying Funds”) which, in turn, allocate capital to master funds (each a “Master Fund”, and collectively, the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of commodity trading advisors (each a “Trading Advisor”, and collectively, the “Trading Advisors”). Presently there are ~~six~~five Underlying Funds, see “Underlying Funds and Master Funds” below.

The Manager invests the Fund’s assets into Underlying Funds that are on the FRM Platform. (“FRM” refers to the affiliated group of companies (all of which are part of the Man Group) known as Financial Risk Management or FRM. “FRM Platform” refers to FRM’s approved investment platform consisting of Underlying Funds for which the Manager (or an affiliate) serves as risk manager and engages a single Trading Advisor.)

Unless the context requires otherwise, references herein to the Fund, also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. References herein to the investment processes, strategies, objectives and activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities.

As used herein the “Trading Program” includes the Fund’s overall approach as well as each Trading Advisor’s strategy, as applicable.

The Fund’s outstanding units of limited liability company interest (“Units”) are Class A Units, Class AA Units, Class C Units, Class D Units, Class I Units, Class II Units, Class M Units and Class MM Units. The only Classes of Units which the Fund is currently offering are Class AA Units, Class II Units and Class MM

Units. The Units are privately offered pursuant to Rule 506(b) of Regulation D of the Securities Act of 1933, as amended (the “Securities Act”).

(b) Financial Information about Segments:

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool”. The Fund does not engage in sales of goods or services.

Systematic Trading

Under the direction of the Manager, the Fund allocates its capital among a group of Underlying Funds which in turn, invest in related Master Funds managed by the Trading Advisors. The Master Funds focus on alternative investment strategies known as “systematic managed futures strategies.”

Systematic trading generally assumes that a disciplined and systematic trading approach based on quantitative analysis with limited discretionary decision making can enable a trader to identify price trends or other market dynamics and to take positions designed to profit from it. These systems can incur substantial losses when the market significantly deviates from its usual historical patterns; e.g., when weather-related catastrophes, international political disruptions, and unanticipated supply and demand imbalances unexpectedly dominate the market.

Systematic trading generally utilizes technical analysis. Technical analysis relies on information intrinsic to the market itself to determine trades, such as prices, price patterns, volume and volatility, unlike fundamental analysis which relies on fundamental economic data as input for trading decisions.

Systematic technical trading systems share basic similarities, although the models which they apply to historical price data differ. These similarities imply that there will be certain market conditions which are likely to be adverse to all or substantially all of the Underlying Funds in the Fund’s portfolio.

The Trading Advisors selected by the Manager generally have complete discretion to invest in futures, commodities, currency forwards, over-the-counter (“OTC”) derivative instruments (such as swaps), and other financial instruments for their respective Master Funds consistent with the relevant governing documents.

Underlying Funds and Master Funds

(a) The Manager invests the Fund’s assets into Underlying Funds that are on the FRM Platform. The Underlying Funds are generally established as Delaware limited liability companies for which the Manager serves as CPO. Each of the Underlying Funds engages the Manager as risk manager and invests in a Master Fund, generally established as a Cayman Islands exempted company, for which the Manager serves as CPO and engages a single Trading Advisor. The Manager may allocate Fund capital, indirectly through Underlying Funds, to the Master Funds, although any such allocations are not expected to be more than 25% of the Fund’s Net Asset Value at the time of allocation. Presently, none of the Trading Advisors are affiliates of the Manager. No additional management fees are payable to the Manager with respect to the FRM Platform, although any Manager affiliate serving as a Trading Advisor will receive management and performance-based compensation, and the Manager receives a Risk Management Fee in its capacity as risk manager of funds on the FRM Platform.

The Fund will generally not be the sole investor in the Underlying Funds. Other investors, including investors investing through investment vehicles not managed or advised by the Manager or its affiliates, may also invest in the Underlying Funds.

Existing Trading Advisors and Underlying Funds may be replaced, and additional Trading Advisors and Underlying Funds may be added, at any time based on the investment discretion of the Manager.

The Fund intends to rebalance among the Underlying Funds on a weekly basis based upon, among other things, capital flows into and out of the Fund, changes in the Manager’s conviction on each Trading Advisor and changes in the expected risk contribution of a Trading Advisor to the Fund. In the process of rebalancing, the Fund’s allocation to any Underlying Fund may range between 30% - 25% of the Fund’s Net Asset Value.

The Fund is not required to be fully invested at all times. The Manager may elect to reserve a portion of the Fund’s capital for future investment in Underlying Funds or to allocate less than all of the Fund’s capital as a defensive measure. Capital not invested in Underlying Funds will generally be held at the custodian in cash, interest bearing accounts or cash equivalent money market instruments.

(b) During ~~2016~~2017, the Fund invested in the following Underlying Funds which in turn invest in the referenced Master Funds (“MF”), which are advised, respectively, by the Trading Advisors as indicated below. The Fund currently invests in all of these Underlying Funds, other than ~~Carlisle~~CCP Core Macro Delaware Feeder LLC as noted below.

Underlying Funds and Master Funds Trading Advisors to Master Fund Blakeney Delaware Feeder LLC (“Blakeney”) MF: Blakeney Fund Limited Winton Capital Management Limited* Campbell Delaware Feeder LLC (“Campbell”) MF: Campbell MAC Cayman Fund Limited Campbell & Company, LP* ~~Carlisle~~CCP Core Macro Delaware Feeder LLC (“~~Carlisle~~CCP Core Macro”) ** MF: ~~Carlisle~~CCP Core Macro Cayman Fund Limited ~~Transtrend~~Cantab ~~B.V.~~Capital ~~CCP~~Partners ~~Core~~LLP* ~~Macro~~Century CAT MAC Delaware Feeder LLC (“~~CCP~~Century ~~Core Macro~~CAT”) MF: ~~CCP~~Century ~~Core~~CAT ~~Macro~~MAC Cayman Fund Limited ~~Cantab~~Crabel Capital ~~Partners~~Management, ~~LLP~~LLC* Quantica MF Delaware Feeder LLC (“Quantica MF”) MF: Quantica MF Cayman Fund Limited Quantica Capital AG Silver Delaware Feeder LLC (“Silver”) MF: Silver MAC Limited Lynx Asset Management AB* Century CAT MAC Delaware Feeder LLC *** MF: Century CAT MAC Cayman Fund Limited Crabel Capital Management, LLC*

* This Trading Advisor is registered under the Investment Advisers Act of 1940.

** The Fund fully redeemed its investment in this Underlying Fund in ~~April~~July ~~2016~~2017.

*** On March 21, 2016, added as an Underlying Fund.

(c) As of April 30, 2015 the Fund fully redeemed its investment in the following FuturesAccess Portfolio Funds: Aspect FuturesAccess LLC; ML BlueTrend FuturesAccess LLC; John Locke FuturesAccess LLC; Lynx FuturesAccess LLC; ML Transtrend DTP Enhanced FuturesAccess LLC; Tudor Tensor FuturesAccess LLC; and ML Winton FuturesAccess LLC.

Employees

The Fund has no employees.

Custodians and Brokers

The Bank of New York Mellon, New York, New York, acts as the Fund’s custodian. Assets of the Underlying Funds and Master Funds are held in accounts in their names with banks, brokers and futures commission merchants located in the United States and England and Wales.

Margin

Anywhere from 10% to 50% of each Master Fund’s assets is expected to be required for margin or collateral at any one time. This amount will vary among Master Funds and could be substantially higher or lower and there is no obligation to maintain required margin or collateral within these or any other specific ranges.

Net Asset Value

The Net Asset Value is calculated on the last calendar day of each month and/or last business day of each week and/or such other days as the Manager may determine in its sole discretion (“Valuation Day”). The Net Asset Value of the Fund is equivalent to its total assets less its total liabilities as of any Valuation Day. Appreciation or depreciation in the Net Asset Value of the Fund is based upon appreciation or depreciation in the value of investments in the Underlying Funds that are held by the Fund, with appropriate adjustments for assets and liabilities of the Fund. The Fund’s investments (including the Fund’s investments through the Underlying Funds) will generally be valued in accordance with generally accepted accounting principles of the United States.

During the period prior to the Manager Replacement, the Fund’s net asset value as of any calculation date generally equaled the value of the Fund’s interests in the FuturesAccess Portfolio Funds as of that date plus any other assets held by the Fund, minus accrued sponsor fees, any offering or operating costs and all other liabilities of the Fund.

The Fund’s average month-end Net Asset Values during ~~2016~~2017, ~~2015~~2016 and ~~2014~~2015 equaled $~~144~~90,~~557~~519,~~725~~196, $~~195~~144,~~408~~557,~~492~~725 and $~~233~~195,~~256~~408,~~119~~492, respectively.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, ~~2016~~2017, ~~2015~~2016 and ~~2014~~2015.

	2016				2015				2014
	2017				2016				2015
Charges	Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets
Other Expenses	$	1741,~~559,790~~683	10.0882	%	$	~~989~~1,~~970~~559,790	01.5108	%	$	~~678~~989,~~568~~970	0.2951	%
Management or Sponsor Fees	21,~~875~~693,~~987~~232		1.9987	%	42,~~070~~875,~~605~~987		21.0899	%	4,~~866~~070,~~807~~605		2.0908	%
Total	$	42,~~435~~434,~~777~~915	32.0769	%	$	54,~~060~~435,~~575~~777	23.5907	%	$	5,~~545~~060,~~375~~575	2.3859	%

Reference to management fees in the foregoing table refer to such fees paid to FRM Investment Management beginning May 2015 through December 2016 period. Reference to sponsor fees in the foregoing table refers to such fees paid to MLAI during ~~2014 and~~ the January 2015 through April 2015 period. The foregoing table does not reflect: (i) the bid-ask spreads paid by the Master Funds and FuturesAccess Portfolio Funds on their forward trading; (ii) brokerage commissions or (iii) sales commissions payable in connection with the sales of Units of the Fund. Bid-ask spreads and brokerage commissions are components of the trading profit or loss of the Master Funds and FuturesAccess Portfolio Funds rather than a distinct expense item separable from the Master Funds’ or FuturesAccess Portfolio Funds’ trading accounts; they are netted against realized and unrealized trading gains or losses in determining trading profit or loss.

Aggregate sales commissions are not included in the table of charges because they are not an expense of the Fund, but rather were paid out of an investor’s subscription proceeds and therefore reduce the amount invested in the Fund by the investor.

While the Trading Advisors to the Master Funds in which the Fund invests do charge management fees and performance fees, these are not included in the table since such fees are not Fund expenses. However, such management fees and performance fees reduce the Net Asset Value of the Fund’s underlying investment in each Master Fund. (Similarly with respect to the period prior to the Manager Replacement, the FuturesAccess Portfolio Funds’ payment of trading advisor management fees and performance fees are not reflected as Fund expenses in the table.)

Funds’ payment of trading advisor management fees and performance fees are not reflected as Fund expenses in the table.)

Description of Certain Current Charges

Recipient	Nature of Payment	Amount of Payment

FRM Investment Management	Management fee	The Fund pays management fees (“Management Fees”), monthly in arrears, in respect of the Net Asset Value of each Class of Units which are subject to a Management Fee. The Management Fee rate is 1/12 of: 1.5% for Class A Units; 2.5% for Class C Units; 1.1% for Class I Units; 2.5% for Class AA Units; 1.35% for Class II Units; and 0.6% for Class MM Units. Class D Units and Class M Units are not subject to a Management Fee.

		The Management Fee is calculated prior to reduction for the Management Fee being calculated but after accrual of all other fees and expenses.

FRM Investment Management	Risk management fee	Each Underlying Fund pays the Manager a risk management fee (“Risk Management Fee”) equal to 0.5% per annum of the Trading Level of its related Master Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Manager in providing risk management services to the Master Fund. (“Trading Level” refers to the dollar amount communicated each month (or more frequently, as the case may be) by an Underlying Fund or its designee to a Trading Advisor of a Master Fund on the FRM Platform, based on an estimate of Net Asset Value of the Underlying Fund as of the beginning of the following month multiplied by a leverage factor, if applicable, which the Trading Advisor uses to manage the exposure of the Master Fund’s portfolio.)

Recipient	Nature of Payment	Amount of Payment

Trading Advisors	Asset-and/or performance-based compensation	The Fund is subject to asset- and/or performance-based compensation payable to the Trading Advisors at the Master Fund level. Asset-based compensation generally ranges from 0.5% to 2.0% per annum of the Trading Level of the Underlying Funds’ assets attributable to the Master Funds’ investments, and performance-based compensation generally ranges from 10% to 25% of the net capital appreciation of the Master Funds’ assets (paid monthly, quarterly, annually or bi-annually) on a “high water mark” basis; that is, no performance-based compensation is payable until losses in previous periods have been recouped. However, the Fund may invest, indirectly, with Trading Advisors whose level or frequency of asset-based or performance-based compensation falls outside of these ranges.

		For purposes of calculating performance-based compensation (i.e., incentive fees), “net appreciation” in a Master Fund means the positive change in the net asset value of a Master Fund (above the high water mark) attributable to the Trading Advisor’s trading activities on behalf of the Master Fund, and includes unrealized appreciation. Net appreciation is reduced by the Trading Advisor’s management fee, but is not reduced by the Risk Management Fee. A Master Fund’s net asset value is equal to the value of its assets less its liabilities, generally determined in accordance with generally accepted accounting principles in the United States.

		Each Master Fund calculates its incentive fees based on its individual performance. Moreover, incentive fees are calculated based on the Master Fund’s overall investment experience, not the individual investment experience of any direct investor in the Master Fund, such as an Underlying Fund, or any member of the Fund (“Member”) as an indirect investor through the Fund. Consequently, the Fund could be subject to substantial incentive fees during periods when the Fund is incurring overall losses. Incentive fees generally crystallize upon net redemptions in accordance with the governing documents of the Master Funds.

Recipient	Nature of Payment	Amount of Payment

Placement Agents	Sales Commissions	The Manager may share a portion of its fees with one or more placement agents, which may include affiliated entities (including Man Investments Inc.), and the Fund may offer additional Classes subject to sales commissions as described in an offering document relating to such Class.

		Subscriptions for Class AA Units, Class II Units and Class MM Units sold through Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) are subject to upfront sales commissions of up to 3.0%, payable to MLPF&S. Upfront sales commissions are based on the net amount of each subscription (i.e., the total subscription amount after deduction of the upfront sales commission) and are added to, not deducted from, subscription amounts.

Various Parties	Ongoing Operating and Offering Costs	The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees; fees and expenses of the Fund’s “tax matters partner” or “partnership representative”; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values.

		The Underlying Funds (inclusive of the Master Funds) bear all costs and expenses directly related to their respective investment programs, including brokerage commissions, custody fees and any withholding or transfer taxes. Each Underlying Fund also generally bears all of its overhead and operating costs, including accounting, audit, administration and legal expenses, costs of any litigation or investigation involving such Underlying Fund’s activities, and costs associated with reporting and providing information to existing and prospective investors. The Fund, as an investor in the Underlying Funds, pays its allocable share of each Underlying Fund’s operating costs and expenses.

Regulation

Under the Commodity Exchange Act (“CEA”), commodity exchanges and futures trading are subject to regulation by the CFTC. The National Futures Association (“NFA”), a “registered futures association” under the CEA, is the only non-exchange self-regulatory organization for futures industry professionals. The CFTC has delegated to the NFA responsibility to the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons, and “floor brokers” and “floor traders.” The CEA requires commodity pool operators and commodity trading advisors, such as the Manager and the Trading Advisors, respectively, and commodity brokers or futures commission merchants to be registered and to comply with various reporting and record keeping requirements. The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if the CFTC finds that the commodity pool operator’s or trading advisor’s trading practices tend to disrupt orderly market conditions or in other situations. In the event that the registration of the Manager as a CPO or the Trading Advisor as a CTA were terminated or suspended, the Manager would be unable to continue to manage the business of the Fund or the Trading Advisor would be unable to implement its Trading Program on behalf of the Fund.

In addition to such registration requirements, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by the Trading Advisor will be combined for position limit purposes. The Trading Advisor could be required to liquidate positions in order to comply with such limits. Any such liquidation could result in substantial costs to the Master Fund. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses. Currency forward contracts are not regulated as “swaps” under the CEA, but are subject to governmental regulation such as mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC.

(d) Financial Information about Geographic Areas

The Fund does not engage in material operations in foreign countries, nor is a material portion of the Master Funds’ revenue derived from customers in foreign countries.

The Master Funds may trade on a number of foreign commodity exchanges and may also trade OTC derivatives with foreign risk exposure. The Master Funds and the Fund do not engage in the sales of goods or services.

Item 1A: Risk Factors

GENERAL RISKS

Past Performance

There can be no assurance that the Trading Program will produce profitable results. The past performance of the Fund or Trading Advisors is not necessarily indicative of how the Fund or the Trading Advisors may perform in the future. There can be no assurance that the Fund will achieve its investment objectives or avoid substantial or total loss. The Fund may sustain losses in the future under market conditions in which it achieved gains in the past.

Business and Regulatory Risks of Private Funds

Legal, tax and regulatory developments could occur during the term of the Fund that may adversely affect the Fund. Financial markets are subject to comprehensive regulation and limitation of statutes, regulatory rules and margin requirements enforced by various government regulators and self-regulatory organizations and exchanges, which are authorized to take extraordinary actions in the event of market emergencies. The regulation of derivatives transactions and funds that engage in such transactions is an evolving area of law and

organizations and exchanges, which are authorized to take extraordinary actions in the event of market emergencies. The regulation of derivatives transactions and funds that engage in such transactions is an evolving area of law and is subject to modification by government and judicial actions. The regulatory environment for private funds is evolving, and changes in the regulation of private funds may adversely affect the value of investments held by the Fund. There has been an increase in governmental, as well as self-regulatory, scrutiny of the alternative investment industry in general. It is impossible to predict what, if any, changes in regulations may occur, but any regulations which restrict the ability of the Fund to trade in financial instruments or the ability of the Fund to employ, or brokers and other counterparties to extend, credit in their trading (as well as other regulatory changes that result) could have a material adverse impact on the profit potential of the Fund.

The Fund, the Manager and the Trading Advisors may also be subject to regulation in jurisdictions in which the Fund, the Manager, and the Trading Advisors engage in business. The Fund’s business may change over time. Therefore, the Fund may be subject to new or additional regulatory constraints in the future. Such regulations may have a significant impact on the Fund or the operations of the Fund, including, without limitation, restricting the types of investments the Fund may make, preventing the Fund from exercising its voting rights with regard to certain financial instruments, requiring the Fund to disclose the identity of its investors or otherwise.

Increased Regulatory Oversight

The financial services industry generally, and the activities of private funds and their managers in particular, have been subject to intense and increasing regulatory scrutiny. Such scrutiny may increase the Fund’s, the Manager’s, and/or the Trading Advisors’ exposure to potential liabilities and to legal, compliance and other related costs. Increased regulatory oversight can also impose administrative burdens on the Manager, including, without limitation, responding to investigations and implementing new policies and procedures.

The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, as amended (“Dodd-Frank Act”) imposes burdensome reporting and recordkeeping requirements on the Fund. The Master Funds intend to trade with dealers who will be required by regulation or will undertake to fulfill the Fund’s Dodd-Frank Act-mandated reporting requirements. The costs associated with such compliance may result in certain investment strategies in which the Fund engages or may have otherwise engaged becoming non-viable or non-economic to implement.

Risk of Loss

All investments made by the Fund risk the total loss of capital. No guarantee or representation is made that the Fund’s investment program including, without limitation, the Fund’s investment objective, diversification strategies or risk monitoring goals, will be successful, and investment results may vary substantially over time.

Alternative investment strategies — such as the Manager’s and Trading Advisors’ strategies — are subject to a “risk of ruin” to which traditional, unleveraged, all-long strategies are not. From time to time in the past, alternative investment strategies which had been consistently profitable for a matter of years have incurred sudden and total losses in a matter of days. The use of leverage by alternative strategies not only increases the risk of loss, but also makes such strategies dependent on the willingness of brokers and dealers to continue to extend credit.

Derivatives

A number of different jurisdictions have introduced or are in the process of introducing new requirements in respect of derivative contracts which apply or will apply to the Fund when it enters into derivative contracts, and may apply directly to the Fund or indirectly as a consequence of the regulations to which its trading counterparties are subject. Such requirements may include obligations to report derivative contracts, to clear derivative contracts through a central counterparty, to exchange prescribed amounts of collateral with respect to derivative contracts and to carry out certain risk mitigation techniques with respect to derivative contracts. While certain requirements have already been introduced, others are still being developed and the scope of such requirements and their impact on the Fund remains unclear. However, such requirements are likely to result in the implementation of additional ~~administrative, compliance and other processes by the Fund and may also increase the costs of transacting derivative contracts, if applicable, for the Fund.~~

administrative, compliance and other processes by the Fund and may also increase the costs of transacting derivative contracts, if applicable, for the Fund.

Dodd-Frank Act; Regulation of the OTC Derivatives Market

The Dodd-Frank Act requires that a substantial portion of OTC derivatives used by the Fund be executed in regulated markets and submitted for clearing to regulated clearinghouses. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as margin requirements mandated by the CFTC, SEC and/or federal prudential regulators. The Dodd-Frank Act also gives regulators broad discretion to impose margin requirements on non-cleared OTC derivatives. Although the Dodd-Frank Act includes limited exemptions from the clearing and margin requirements for so-called “end-users,” the Fund is not expected to be able to rely on such exemptions. In addition, the OTC derivative dealers with which the Fund executes the majority of their OTC derivatives may not be able to rely on the end-user exemptions under the Dodd-Frank Act and, therefore, such dealers may be subject to clearing and margin requirements notwithstanding whether the Fund is subject to such requirements. Certain OTC derivative dealers also are required to post margin to the clearinghouses through which they clear their counterparties’ trades instead of using such margin in their operations, as they currently are allowed to do. Certain OTC derivative dealers and major OTC derivatives market participants are now required to register with the SEC and/or CFTC. Registered swap dealers will also be subject to minimum capital and margin requirements, and are subject to new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens. These requirements may apply irrespective of whether the OTC derivatives in question are exchange-traded or cleared. These new requirements have increased and will continue to increase the overall costs for OTC derivative dealers, and dealers can be expected to try to pass those increased costs along, at least partially, to market participants such as the Fund in the form of higher fees or less advantageous dealer marks. The overall impact of the Dodd-Frank Act on the Fund is highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime.

The CFTC now also requires a substantial portion of certain derivative transactions engaged in by the Fund that were previously executed on a bi-lateral basis in the OTC markets to be executed through a regulated futures, or swap exchange or execution facility. The SEC is also expected to impose similar requirements on certain security-based derivatives in the ~~near~~ future, though it is not yet clear when these parallel SEC requirements will go into effect. Such requirements may make it more difficult and costly for investment funds, including the Fund, to enter into highly tailored or customized transactions. Those requirements may also render certain strategies in which the Fund might otherwise engage impossible, or so costly that they will no longer be economical, to implement. If the Fund decides to execute derivatives transactions through such exchanges or execution facilities — and especially if it decides to become a direct member of one or more of these exchanges or execution facilities, the Fund would be subject to the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility.

The “Volcker Rule” component of the Dodd-Frank Act materially restricts proprietary speculative trading by banks, “bank holding companies” and other regulated entities. As a result, there has been a significant influx of new portfolio managers into private investment funds who had previously traded institutional proprietary accounts. Such influx can only increase the competition for the Fund from other talented portfolio managers trading in the Fund’s investment sector.

In addition, the Dodd-Frank Act contains numerous other far ranging reforms to the financial industry. Many of these reforms require regulatory rulemakings by various governmental authorities that have not yet been completed. It is possible that these rulemakings could impose additional direct or indirect costs on the Fund, limit the types of investments that the Fund may make or adversely impact the desirability of certain classes of investments or the anticipated return on certain investments.

RISKS RELATING TO THE OPERATIONS AND STRUCTURE OF THE FUND AND THE MANAGER

Exemption from Certain Regulation

Generally, the Fund and the Units are not expected to be registered in any country. Accordingly, the provisions of regulatory rules for registered funds (including, without limitation, the Investment Company Act of 1940, as amended; (“Investment Company Act”) will not be applicable. The Fund neither is required to nor intends to register as an investment company under the Investment Company Act. Accordingly, the provisions of such law and related regulations, which among other things generally require investment companies to have a majority of disinterested directors and regulate the relationship between the investment company and its asset manager, are not applicable to the Fund. Therefore, Members do not have the benefit of the protections afforded by, and the Fund is not subject to the restrictions contained in, such registration and regulation.

1940, as amended; (“Investment Company Act”) will not be applicable. The Fund neither is required to nor intends to register as an investment company under the Investment Company Act. Accordingly, the provisions of such law and related regulations, which among other things generally require investment companies to have a majority of disinterested directors and regulate the relationship between the investment company and its asset manager, are not applicable to the Fund. Therefore, Members do not have the benefit of the protections afforded by, and the Fund is not subject to the restrictions contained in, such registration and regulation.

“Master-Feeder” Structure

The Fund expects to be exposed to master-feeder structures indirectly through Underlying Funds. The Fund may be materially affected by the actions of other funds that invest in the Master Fund. If another fund were to redeem from the Master Fund, the Fund may experience higher pro rata operating expenses, thereby producing lower returns, and the Master Fund may become less diverse, resulting in increased portfolio risk.

Regulatory Limits

“Position limits” imposed by various regulators may limit the Master Fund’s ability to effect desired trades. Position limits are the maximum amounts of gross, net long or net short positions that any one person or entity may own or control in a particular financial instrument. All positions owned or controlled by the same person or entity, even if in different accounts, may be aggregated for purposes of determining whether the applicable position limits have been exceeded. Thus, even if the Master Fund does not intend to exceed applicable position limits, it is possible that the Manager’s or the Trading Advisors’ other accounts together with the Master Fund may be aggregated for purposes of the position limits. To the extent that the Master Fund’s position limits were collapsed with an affiliate’s position limits, the effect on the Master Fund and resulting restriction on its investment activities may be significant. If at any time positions managed by the Manager and Trading Advisors were to exceed applicable position limits, the Manager and/or Trading Advisor would be required to liquidate positions, which might include positions of the Master Fund, to the extent necessary to come within those limits. Further, to avoid exceeding the position limits, the Master Fund might have to forego or modify certain of its contemplated trades.

In addition, the Dodd-Frank Act significantly expands the CFTC’s authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated U.S. exchange and certain swaps that perform a significant price discovery function. The Master Fund could be required to liquidate positions it holds in order to comply with such limits, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or limited implementation could result in substantial costs to the Fund and the Master Funds.

RISKS RELATED TO THE OPERATIONS OF THE FUND

Operational Risk

The Fund depends on the Manager and the Trading Advisors to develop appropriate systems and procedures to control operational risk. These systems and procedures may not account for every actual or potential disruption of the Fund’s operations. The Fund’s business is dynamic and complex. As a result, certain operational risks are intrinsic to the Fund’s operations. Consequently, the Fund relies heavily on its financial, accounting and other data processing systems. Systemic failures in the systems employed by the Fund, the Manager, prime brokers, the administrator and/or counterparties, exchanges and similar clearance and settlement facilities and other parties could result in mistakes made in the confirmation or settlement of transactions, or in transactions not being properly booked, evaluated or accounted for. These and other similar disruptions in the Fund’s operations may cause the ~~Fund to suffer, among other things, financial loss, the disruption of its businesses, liability to third parties, regulatory intervention or reputational damage.~~

Systems Risks

~~systems~~Fund ~~(and may rely on new systems and technology in the future) for various purposes including, without limitation,~~ to ~~trade~~suffer, ~~clear~~among ~~and~~other ~~settle transactions~~things, ~~to evaluate certain~~ financial ~~instruments~~loss, ~~to monitor its portfolio and net capital, and to generate risk management and other reports that are critical to oversight of~~ the ~~Fund’s~~disruption ~~activities. Certain~~ of ~~the~~its ~~Fund’s and the Trading Advisors’ operations interface will be dependent upon systems operated by third parties~~businesses, ~~including~~liability ~~futures commission merchants, prime brokers, the Manager, the administrator, market counterparties and their sub-custodians and other service providers, and the Fund may not be in a position~~ to ~~verify the risks or reliability of such~~ third~~-party~~ ~~systems. The Fund’s operations are highly dependent on each of these systems and the successful operation of such systems is often out of the Fund’s~~parties, ~~Trading~~regulatory ~~Advisors’~~intervention ~~and the Manager’s control. The failure of one~~ or ~~more~~reputational ~~systems or the inability of such systems to satisfy the Fund’s business could have a material adverse effect on the Fund~~damage. In particular, the Manager and Trading Advisors may be reliant upon the operation of trading software, and may therefore be at risk of errors of implementation (colloquially known as “bugs”) and errors of design that may become present in the software, and which may cause inappropriate or aberrant behavior under certain or all market conditions.

Systems Risks

The Fund depends on the Trading Advisors and their other service providers to develop and implement appropriate systems for the Fund’s trading activities. Further, the Fund relies on computer programs and systems (and may rely on new systems and technology in the future) for various purposes including, without limitation, to trade, clear and settle transactions, to evaluate certain financial instruments, to monitor its portfolio and net capital, and to generate risk management and other reports that are critical to oversight of the Fund’s activities. Certain of the Fund’s and the Trading Advisors’ operations interface will be dependent upon systems operated by third parties, including futures commission merchants, prime brokers, the Manager, the administrator, market counterparties and their sub-custodians and other service providers, and the Fund may not be in a position to verify the risks or reliability of such third-party systems. The Fund’s operations are highly dependent on each of these systems and the successful operation of such systems is often out of the Fund’s, Trading Advisors’ and the Manager’s control. The failure of one or more systems or the inability of such systems to satisfy the Fund’s business could have a material adverse effect on the Fund. In particular, the Manager and Trading Advisors may be reliant upon the operation of trading software, and may therefore be at risk of errors of implementation (colloquially known as “bugs”) and errors of design that may become present in the software, and which may cause inappropriate or aberrant behavior under certain or all market conditions.

Breaches in Information Technology Security

The Manager maintains information technology systems, consisting of infrastructure, applications and communications networks to support the Fund’s as well as its own business activities. These systems could be subject to security breaches such as “cyber-crime” resulting in theft, a disruption in the Manager’s ability to close out positions and the disclosure or corruption of sensitive and confidential information. Security breaches may also result in misappropriation of assets and could create significant financial and/or legal exposure for the Fund. The Manager seeks to mitigate attacks on its own systems but will not be able to control directly the risks to third-party systems to which it may connect. Any breach in security of the Manager’s systems could have a material adverse effect on the Manager and may cause the Fund to suffer, among other things, financial loss, the disruption of its business, liability to third parties, regulatory intervention or reputational damage.

Misconduct of Personnel of the Manager, Trading Advisors and of Third Party Service Providers

The Fund relies on a substantial number of personnel of the Manager, the Trading Advisors, counterparties and other service providers. Accordingly, risks associated with errors of such personnel are inherent in the business and operations of the Fund. Misconduct by such personnel could cause significant losses to the Fund and may include binding the Fund to transactions that are not properly authorized, that present unacceptable risks or that conceal unsuccessful trading activities (which may result in unknown and unmanaged risks or losses).

Execution of Orders

The Fund’s investment strategy depends on its ability to establish and maintain an overall market position in a combination of financial instruments selected by the Manager and Trading Advisors. The Fund’s trading orders may not be executed in a timely and efficient manner due to various circumstances, including, without limitation, trading volume surges or systems failures attributable to the Fund, the Manager, the Trading Advisors, counterparties, brokers, dealers, agents or other service providers. In such event, the Fund might only be able to acquire or dispose of some, but not all, of the components of such position, or if the overall position were to need adjustment, the Fund might not be able to make such adjustment. As a result, the Fund would not be able to achieve the market position selected by the Manager or Trading Advisors, which may result in a loss. In addition, the Fund relies heavily on electronic execution systems (and may rely on new systems and technology in the future), and such systems may be subject to certain systemic limitations or mistakes, causing the interruption of trading orders made by the Fund.

GENERAL CREDIT RISKS

Systemic Risk

Credit risk may arise through a default by one of several large institutions that are dependent on one another to meet their liquidity or operational needs, so that a default by one institution causes a series of defaults by the other institutions. This is sometimes referred to as a “systemic risk” and may adversely affect financial intermediaries, such as clearing agencies, clearing houses, banks, securities firms and exchanges, with which the Fund interacts on a daily basis.

intermediaries, such as clearing agencies, clearing houses, banks, securities firms and exchanges, with which the Fund interacts on a daily basis.

Necessity for Counterparty Trading Relationships; Counterparty Risk

The Fund has established and may establish additional relationships to obtain financing, derivative intermediation and brokerage services that permit the Fund to trade in any variety of markets or asset classes over time; however, there can be no assurance that the Fund will be able to maintain such relationships or establish such relationships. Moreover, a disruption in the financing, derivative intermediation and prime brokerage services provided by any such relationships before the Fund establishes additional relationships could have a significant impact on the Fund’s business due to the Fund’s reliance on such counterparties. Further, the institutions (such as brokerage and trading firms and banks) with which the Fund does business, or to which securities have been entrusted for custodial purposes, could encounter financial difficulties. This could impair the operational capabilities or the capital position of the Fund or create unanticipated trading risks.

Certain of the markets in which the Fund may effect transactions are not “exchanged-based,” including OTC or “interdealer” markets. The participants in such markets are typically not subject to the credit evaluation and regulatory oversight to which members of “exchange-based” markets are subject. The lack of evaluation and oversight of OTC markets exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Fund has concentrated its transactions with a single or small group of counterparties. Generally, the Fund will not be restricted from dealing with any particular counterparties. The Manager’s and Trading Advisors’ evaluation of the creditworthiness of their counterparties may not prove sufficient. The lack of a complete and “foolproof” evaluation of the financial capabilities of the Fund’s counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund.

Collateral

The Fund will have significant credit and operational risk exposure to its counterparties, which will require the Fund to post collateral to support its obligations in connection with transactions involving forwards, swaps, futures, options and other derivative instruments. Generally, counterparties will have the right to sell, pledge, re-hypothecate, assign, use or otherwise dispose of the collateral posted by the Fund in connection with such transactions. This could increase the Fund’s exposure to the risk of a counterparty default since, under such circumstances, such collateral of the Fund could be lost or the Fund may be unable to recover such collateral promptly. Also, counterparties have an interest in maximizing the return from such collateral. This interest could conflict with the interests of the Fund in preserving and protecting its portfolio.

Broker or Dealer Insolvency

The Fund’s assets may be held in one or more accounts maintained by the custodian and the assets of the Underlying Funds and Master Funds may be held by futures commission merchants (“FCMs”) or at other brokers. There is a residual risk that the custodian or any of such brokers or dealers could become insolvent. If the custodian or one or more of the Underlying Funds’ FCMs or other brokers were to become insolvent or the subject of liquidation proceedings in the United States (either under Part 190 of the CFTC’s regulations or the U.S. Bankruptcy Code), there exists the risk that the recovery of the Fund’s and the Underlying Funds’ securities and other assets from the custodian or such broker or dealer will be delayed or be of a value less than the value of any securities or assets originally entrusted to such broker or dealer.

The CEA requires FCMs registered with the CFTC to segregate all funds received from such broker’s customers, such as the Master Funds, in respect of futures (but not forward) transactions from such broker’s proprietary funds. If an FCM were not to do so to the full extent required by law, or in the event of a substantial default by one or more of such broker’s customers, the assets of its other customers might not be fully protected in the event of the bankruptcy of such broker. Furthermore, in the event of such a bankruptcy, each customer would be

In addition, the Master Funds may use futures commission merchants or other brokers located in various jurisdictions. Such international futures commission merchants or other brokers, as brokerage firms or commercial banks, are subject to various laws and regulations in various jurisdictions that are designed to protect their customers in the event of their insolvency. However, the practical effect of these laws and their application to the Fund’s assets are subject to substantial limitations and uncertainties. Because of the large number of entities and jurisdictions involved and the range of possible factual scenarios involving the insolvency of an international broker or any of its sub-custodians, agents or affiliates, or an international broker or dealer, it is impossible to generalize about the effect of their insolvency on the Fund and its assets.

GENERAL LIQUIDITY AND LEVERAGE RISKS

Liquidity Risks

Liquidity is important to the Fund’s activities. Under certain market conditions, such as during volatile markets or when trading in a financial market is otherwise impaired, the liquidity of the Fund’s portfolio positions may be reduced. In addition, the Fund may from time to time hold large positions with respect to a specific type of financial instrument, which may reduce the Fund’s portfolio liquidity. During such times, the Fund may be unable to dispose of certain financial instruments, including longer-term financial instruments, which would adversely affect its ability to meet redemption requests. In addition, such circumstances may force the Fund to dispose of financial instruments at reduced prices, thereby adversely affecting its performance. If there are other market participants seeking to dispose of similar financial instruments at the same time, the Fund may be unable to sell such financial instruments or prevent losses relating to such financial instruments. Furthermore, if the Fund incurs substantial trading losses, the need for liquidity could rise sharply while its access to liquidity could be impaired. In addition, in conjunction with a market downturn, the Fund’s counterparties could incur losses of their own, thereby weakening their financial condition and increasing the Fund’s credit risk to them.

Leverage Risks

Leverage is an important component of the Fund’s investment strategy. The use of leverage may enable the Fund to achieve a higher rate of return than would be otherwise possible. The use of leverage will magnify the volatility of changes in the value of the investments of the Fund. Accordingly, any event which adversely affects the value of an investment would be magnified to the extent the investment is leveraged. The cumulative effect of the use of leverage by the Fund in a market that moves adversely to its investments could result in substantial losses to the Fund, which would be greater than if the Fund were not leveraged.

Volatility

The prices of the instruments traded by the Master Funds have been subject to periods of high volatility in the past, and such periods can be expected to recur. In particular, commodity and currency price movements are influenced by many unpredictable factors and are, in particular, subject to dramatic price movements as the result of factors such as market sentiment, inflation rates (real and perceived), interest rate movements and general economic and political conditions.

Price volatility can create material risks for the Underlying Funds’ strategies, especially as such volatility may lead to the Underlying Funds’ strategies incorrectly identifying a number of supposed price trends which then quickly reverse, causing both trading losses and increased brokerage expense. The use of leverage can exacerbate the volatility of a Master Fund’s portfolio potentially resulting in more frequent margin calls and larger losses. See “Leverage Risks” above.

GENERAL MARKET RISKS

General Economic and Market Conditions

The success of the Fund’s activities will be affected by general economic and market conditions, such as interest rates, availability of credit, credit defaults, inflation rates, economic uncertainty, changes in laws (including laws relating to taxation of the Fund’s investments), trade barriers, currency exchange controls, and national and international political circumstances (including wars, terrorist acts or security operations). These factors may affect the level and volatility of financial instruments’ prices and the liquidity of the Fund’s investments.

Limited Diversification and Risk Management Failures

The Fund’s portfolio could become significantly concentrated in a limited number of types of financial instruments, strategies, countries, or geographic regions and any such concentration of risk may increase losses suffered by the Fund. This limited diversity could expose the Fund to losses disproportionate to market movements in general. Even when the Manager or Trading Advisors attempt to control risks and diversify the portfolio, risks associated with different assets may be correlated in unexpected ways, with the result that the Fund faces concentrated exposure to certain risks. Although each of the Trading Advisors and the Manager attempt to identify, monitor and manage significant risks, these efforts do not take all risks into account and there can be no assurance that these efforts will be effective. Many risk management techniques are based on observed historical market behavior, but future market behavior may be entirely different. Any inadequacy or failure in the Trading Managers’ and/or the Manager’s risk management efforts could result in material losses for the Fund.

GENERAL RISKS RELATED TO INTERNATIONAL INVESTMENTS

Currency Exchange Exposure

The Fund may invest in financial instruments denominated in currencies other than the U.S. Dollar. However, the Fund values its financial instruments in dollars. The Fund may or may not seek to hedge its foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, futures contracts and cross-currency swaps. There can be no guarantee that financial instruments suitable for hedging currency or market shifts will be available at the time when the Fund wishes to use them, or that hedging techniques employed by the Fund will be effective. Further, currency and other financial markets can be highly volatile and are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies.

RISKS RELATED TO THE FUND’S INVESTMENT STRATEGY

Concentration of Trading Advisors

The Fund is a “single-strategy” fund of funds that invests exclusively in systematic managed futures trading strategies via the FRM Platform. The concentration of the Fund’s portfolio may cause its performance to be more volatile than that of a fund implementing a “multi-strategy” approach. Systematic trading systems may differ materially from each other, but all of these systems are based on the principle that historical market prices and other technical market data can be used to identify price trends in the market on a systematic basis. The basic similarities of these systems may tend to cause many of them to incur losses at or about the same time. There are certain market conditions in which systematic trading systems tend to incur significant losses. This is particularly true in trendless “sideways” markets and “whipsaw” markets in which numerous apparent price trends develop and then quickly reverse. Even if a Trading Advisor correctly identifies price trends before or as they occur, the Trading Advisor may nevertheless incur material losses if its system is unable to close out a position as a price trend is ending or reversing.

Portfolio Limited to Underlying Funds

The Fund will only invest in Underlying Funds and in cash. The universe of Underlying Funds is inherently limited — correspondingly limiting the diversification of the Fund’s portfolio.

Reliance on Information Received from the Trading Advisor

Although the Manager conducts initial due diligence as part of its Trading Advisor selection process, the Manager must rely on the information it receives from each prospective Trading Advisor regarding the Trading Advisor’s historical performance and trading strategy. In most cases, the Manager has no means of independently verifying the accuracy of information supplied by prospective Trading Advisors.

While the Manager will have position transparency into the performance of the Fund, the Manager will not be able to validate any Trading Advisor’s track record or have transparency into the trading of any of the Trading Advisor’s other accounts.

No Formal Investment Restrictions or Allocation Limits

In constructing the Fund’s portfolio, the Manager is not subject to any formal diversification requirements or restrictions, other than the restrictions that only Underlying Funds be included in the portfolio. There are no limitations on the minimum or maximum number of Underlying Funds, or on the absolute or relative percentage of Fund capital, which may be allocated to any Underlying Fund. Certain Underlying Funds selected by the Manager may be allocated substantially larger portions of the Fund’s capital than others. Due to the limited number of available Underlying Funds, the Fund necessarily allocates a significant percentage of its capital to certain Underlying Funds.

Trading Advisor Risk

The Fund is subject to the risk of the bad judgment, negligence or misconduct of the Trading Advisors. There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to manager misconduct.

Changes in Trading Strategies

The Trading Advisors may make material changes to their Trading Strategies without the knowledge of the Manager. It is virtually impossible for the Manager to detect these changes particularly given the confidential, proprietary, systematic and/or quantitative nature of the Trading Program strategies, customarily referred to as “black box strategies.”

RISKS RELATED TO THE TRADING ADVISORS’ INVESTMENT STRATEGIES

Trend Following

The trading decisions of the Trading Advisors will be based in part on trading strategies which utilize mathematical analyses of technical factors relating to past market performance. The buy and sell signals generated by a technical, trend-following trading strategy are based upon a study of daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded. The Fund may incur substantial trading losses during periods: when markets are dominated by fundamental factors that are not reflected in the technical data analyzed by the program; without sustained moves in one or more of the markets traded; or with “whip-saw” markets, in which potential price trends start to develop but reverse before actual trends are realized. Historically, there have been prolonged periods without sustained price moves in various markets. Presumably, such periods will recur. A series of volatile reverses in price trends may generate repeated entry and exit signals in trend-following systems, resulting in unprofitable transactions and increased brokerage commission expenses. At times, the use of technical trading systems may result in traders attempting to initiate or liquidate substantial positions in a market at or about the same time, alter historical trading patterns, obscure developing price trends and/or or affect the execution of trades.

RISKS RELATED TO CERTAIN FINANCIAL INSTRUMENTS

Swap Agreements

The Master Funds may enter into swap agreements and options on swap agreements (“swaptions”). These agreements can be individually negotiated and structured to include exposure to a variety of different types of investments, asset classes or market factors. Swap transactions may be highly illiquid and may increase or decrease the volatility of the Fund’s portfolio. Moreover, the Master Funds bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or insolvency of its counterparty. The Fund will also bear the risk of loss related to swap agreements, for example, for breaches of such agreements or the failure of the Fund to post or maintain required collateral.

Futures Contracts

The value of futures depends upon the price of the financial instruments or other assets, such as commodities, underlying them. The prices of futures are highly volatile and price movements of futures contracts can be influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments and national and international political and economic events and policies. In addition, investments in futures are also subject to the risk of the failure of any of the exchanges on which the Fund’s positions trade or of its clearing houses or counterparties.

Futures positions may be illiquid because certain commodity exchanges limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Under such daily limits, during a single trading day no trades may be executed at prices beyond the daily limits. Once the price of a particular futures contract has increased or decreased by an amount equal to the daily limit, positions in that contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. This could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses or prevent it from entering into desired trades. In extraordinary circumstances, a futures exchange, the CFTC or other regulator could suspend trading in a particular futures contract or order liquidation or settlement of all open positions in such contract.

Options on Futures Contracts

Options are speculative in nature and are highly leveraged. The purchaser of an option risks losing the entire purchase price of the option. The seller (writer) of an option risks losing the difference between the premium received for the option and the price of the underlying futures contract that the writer must purchase upon exercise of the option. Additionally, the seller of the options loses any commissions and fees associated with such transactions. This could subject the writer to unlimited risk in the event of an increase in the price of the contract to be purchased or delivered. Successful trading of options on futures contracts requires a trader to accurately determine near-term market volatility because it often has an immediate impact on the price of outstanding options. Accurate determination of near-term volatility is more important to successful options trading than it is to long-term futures contract trading strategies because such volatility generally does not have as significant an effect on the prices of futures contracts.

Forward Trading

Deliverable forward contracts and options thereon, unlike futures contracts, are generally not traded on exchanges and are not standardized; rather, banks and dealers act as principals in these markets, negotiating each transaction on an individual basis. As a result of Dodd-Frank, the CFTC now regulates non-deliverable forwards (including many deliverable forwards where the parties do not take delivery) as swaps. Deliverable forward and “cash” trading is substantially unregulated; there is no limitation on daily price movements and speculative position limits are not applicable. The principals who deal in such forward markets are not required to continue to make markets in the currencies or commodities they trade, and these markets can experience periods of illiquidity, sometimes of significant duration. There have been periods during which certain participants in these markets have refused to quote prices for certain currencies or commodities or have quoted prices with an unusually

wide spread between the price at which they were prepared to buy and that at which they were prepared to sell. Disruptions can occur in forward markets due to unusually high trading volume, political intervention or other factors.

Certain non-deliverable forward currency exchange contracts are regulated as swaps by the CFTC and have recently begun being voluntarily traded on swap execution facilities. To the extent the Master Fund is treated as a “U.S. person” or if the Master Fund’s swap counterparty is a U.S. person (for the purposes of the CFTC’s swap regulations), some of these contracts may be required to be centrally cleared by a regulated U.S. clearing house, and may be required to be traded on regulated exchanges in the future. See “Dodd-Frank Act; Regulation of the OTC Derivatives Market,” above.

Derivative Instruments

The Fund may enter into certain derivative instruments. Certain derivative instruments may be subject to various types of risks, including market risk, liquidity risk, the risk of non-performance by the counterparty, including risks relating to the financial soundness and creditworthiness of the counterparty, legal risk and operations risk. In addition, the Fund may, in the future, take advantage of opportunities with respect to certain other derivative instruments that are not presently contemplated for use or that are currently not available. Special risks may apply in the future that cannot be determined at this time. The regulatory and tax environment for derivative instruments in which the Fund may participate is evolving and changes in the regulation or taxation of such financial instruments may have a material adverse effect on the Fund.

Margin on Futures and Leverage

In the futures markets, margin deposits are typically low relative to the nominal value of the futures contracts purchased or sold. In the forward, currency and certain other derivative markets, margin deposits may be even lower or may not be required at all. Such low margin deposits are indicative of the fact that any futures, forward, currency or other derivatives contract trading typically is accompanied by a high degree of leverage. Low margin deposits mean that a relatively small price movement in such a contract may result in immediate and substantial losses.

Item 1B: Unresolved Staff Comments

Not applicable.

Item 2: Properties

The Fund and the Underlying Funds do not use any physical properties in the conduct of their business.

The Fund’s offices are the administrative offices of the Manager (FRM Investment Management (USA) LLC, 452 Fifth Avenue, 26th Floor, New York, New York 10018). The Manager performs administrative services for the Fund from the Manager’s offices.

Item 3: Legal Proceedings

None

Item 4: Mine Safety Disclosures

Not applicable.

PART II

Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Item 5(a)

(a) Market Information:

There is no established public trading market for the Units. A Member may generally redeem any or all of its Units at Net Asset Value, in whole or fractional Units, effective as of each Friday (or where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (“Redemption Day”), upon submitting a redemption request by the “Redemption Notice Date,” which is four business days prior to the Redemption Day. The Net Asset Value of redeemed Units is determined as of the Redemption Day. Members will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Day.

(b) Holders:

As of December 31, ~~2016~~2017, there were 1,~~906~~099 holders of Units.

The Manager has not made and does not contemplate making any distributions on the Units.

(d) Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

(e) Performance Graph

Not applicable.

(f) Recent Sales of Unregistered Securities:

(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(a)(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.

~~CLASS AA~~Not applicable.

	Subscriptions
	Amount		Units	NAV (1)
11/14/2016	$	245,000	272,132	0.9003
11/21/2016	$	235,000	260,850	0.9009
12/12/2016	$	80,000	86,909	0.9205

CLASS II

	Subscription
	Amount		Units	NAV (1)
11/14/2016	$	615,000	666,017	0.9234
11/21/2016	$	2,580,000	2,791,604	0.9242

(1) Beginning of the period Net Asset Value

Subscriptions for Class AA Units and Class II Units sold through MLPF&S are subject to upfront sales commissions of up to 3.0%, payable to MLPF&S.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6: Selected Financial Data

The following selected financial data has been derived from the financial statements of the Fund.

	For the year ended			For the year ended			For the year ended			For the year ended			For the year ended
Statements of Operations	December 31, 2016			December 31, 2015			December 31, 2014			December 31, 2013			December 31, 2012
Trading gain (loss)
Realized, net	$	(7,369,110	)	$	31,061,059		$	(10,091,962	)	$	(14,826,176	)	$	20,681,999
Change in unrealized, net	3,152,181			(41,752,455		)	43,753,405			8,923,985			(51,734,232		)
Total trading gain (loss)	(4,216,929		)	(10,691,396		)	33,661,443			(5,902,191		)	(31,052,233		)
INVESTMENT INCOME:
Interest	—			275			—			—			—
EXPENSES:
Sponsor/Management fees	2,875,987			4,070,605			4,866,807			8,734,447			15,170,255
Other	1,559,790			989,970			678,568			1,020,964			1,444,939
Total Expenses	4,435,777			5,060,575			5,545,375			9,755,411			16,615,194
NET INVESTMENT INCOME (LOSS)	(4,435,777		)	(5,060,300		)	(5,545,375		)	(9,755,411		)	(16,615,194		)
NET INCOME (LOSS)	$	(8,652,706	)	$	(15,751,696	)	$	28,116,068		$	(15,657,602	)	$	(47,667,427	)

Balance Sheet Data	December 31, 2016			December 31, 2015			December 31, 2014			December 31, 2013			December 31, 2012
	For the year ended			For the year ended			For the year ended			For the year ended			For the year ended
Member’s Capital	$	114,938,294		$	160,781,732		$	219,500,711		$	297,282,028		$	543,069,764
Statements of Operations	December 31, 2017			December 31, 2016			December 31, 2015			December 31, 2014			December 31, 2013
Net Asset Value per Class A Unit	1.0385			1.1098			1.2045			1.0369			1.0689
Trading gain (loss)
Net Asset Value per Class C Unit	0.9851			1.0633			1.1656			1.0135			1.0554
Realized, net	$	(5,747,290	)	$	(7,369,110	)	$	31,061,059		$	(10,091,962	)	$	(14,826,176	)
Net Asset Value per Class D Unit	1.3421			1.4130			1.5105			1.2809			1.3008
Change in unrealized, net	11,101,106			3,152,181			(41,752,455		)	43,753,405			8,923,985
Net Asset Value per Class I Unit	1.1267			1.1993			1.2963			1.1115			1.1413
Total trading gain (loss)	5,353,816			(4,216,929		)	(10,691,396		)	33,661,443			(5,902,191		)
Net Asset Value per Class D1 Unit*	—			—			—			—			1.1609
INVESTMENT INCOME:
Net Asset Value per Class M Unit	0.9915			1.0438			1.1158			0.9463			0.9610
Interest	—			—			275			—			—
Net Asset Value per Class AA Unit**	0.9133			0.9858			—			—			—
EXPENSES:
Net Asset Value per Class II Unit***	0.9382			1.0011			—			—			—
Sponsor/Management fees	1,693,232			2,875,987			4,070,605			4,866,807			8,734,447
Net Asset Value per Class MM Unit****	0.9106			—			—			—			—
Other	741,683			1,559,790			989,970			678,568			1,020,964
Total Expenses	2,434,915			4,435,777			5,060,575			5,545,375			9,755,411
NET INVESTMENT INCOME (LOSS)	(2,434,915		)	(4,435,777		)	(5,060,300		)	(5,545,375		)	(9,755,411		)
NET INCOME (LOSS)	$	2,918,901		$	(8,652,706	)	$	(15,751,696	)	$	28,116,068		$	(15,657,602	)

Balance Sheet Data	December 31, 2017		December 31, 2016		December 31, 2015		December 31, 2014		December 31, 2013

Member’s Capital	$	71,740,186	$	114,938,294	$	160,781,732	$	219,500,711	$	297,282,028
Net Asset Value per Class A Unit	1.0894		1.0385		1.1098		1.2045		1.0369
Net Asset Value per Class C Unit	1.0231		0.9851		1.0633		1.1656		1.0135
Net Asset Value per Class D Unit	1.4292		1.3421		1.4130		1.5105		1.2809
Net Asset Value per Class I Unit	1.1867		1.1267		1.1993		1.2963		1.1115
Net Asset Value per Class M Unit	1.0558		0.9915		1.0438		1.1158		0.9463
Net Asset Value per Class AA Unit*	0.9483		0.9133		0.9858		—		—
Net Asset Value per Class II Unit**	0.9856		0.9382		1.0011		—		—
Net Asset Value per Class MM Unit***	0.9639		0.9106		—		—		—

* Units ~~liquidated~~issued ason ~~of December~~November 3116, ~~2013~~2015.

** Units issued on ~~November~~December 167, 2015.

*** Units issued on ~~December~~January 725, ~~2015~~2016.

**** Units issued on January 25, 2016.

Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Operational Overview

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the Master Fund level.

~~December 31, 2016~~20

				Percent Net
	Net Unrealized Profit			Unrealized Profit
	(Loss) on Open			(Loss) on Open
Commodity Industry Sector	Positions			Positions
Agricultural Commodities	$	205,520		12.35	%
Energy	383,320			23.04	%
Interest Rates	392,729			23.61	%
Metals	(199,975		)	-12.02	%
Stock Indices	452,121			27.17	%
Currencies - Future	294,805			17.72	%
Currencies - Forward	135,304			8.13	%
Total	$	1,663,824		100.0	%

December 31, 2017

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

Agricultural Commodities	$	205,482		13.04	%
Energy	614,256			38.99	%
Interest Rates	(362,257		)	-23.00	%
Metals	557,143			35.37	%
Stock Indices	506,172			32.13	%
Currencies - Future	(129,211		)	-8.20	%
Currencies - Forward	183,760			11.66	%

Total	$	1,575,345		100	%

Results of Operations/Performance Summary

This performance summary is an outline description of how the Fund performed in the past, not necessarily any indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not have caused such movements, but simply occurred at or about the same time.

Year Ended December 31, 2017

	Total Trading Profit (Loss)
Blakeney	$	1,809,898
Campbell	1,101,081
CCP Core Macro	388,541
Century CAT*	1,000,853
Quantica MF	1,960,321
Silver	(906,878		)
Total	$	5,353,816

* Underlying Fund was redeemed in July 2017.

The Fund experienced a net trading income for the year end December 31, 2017 of $5,353,816.

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

January 1, 2017 to March 31, 2017

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.

April 1, 2017 to June 30, 2017

Fixed Income and Commodities were common contributors to the Fund’s negative performance throughout the quarter.

Europe dominated the headlines at the start of the quarter. The Euro rebounded and European equity and debt markets rallied on the performance of Emanuel Macron, in the first round of the French elections, and the Sterling recovered after the call for the snap election by UK’s Prime Minister, Theresa May. However, attention shifted mid-quarter and proved to be a noteworthy month for western bond markets through quarter-end as markets remained focused on clues from central banks. Hawkish rhetoric from global central banks only compounded a volatile end to June driving bond yields higher while headline equity indices fell.

Equities performed positively at the start of the quarter, with contributions driven largely by long European and US positions, while the UK was a detractor. Mid-quarter, it was long exposure to US, UK and Hong Kong equities that drove the gains in the sector. Despite mixed performance in Equities at quarter-end, the asset class ended down overall.

Fixed Income was negative in April, generating losses at the same time as equities rallied, but performed positively in May. Long Canadian, UK and European bonds were among the biggest contributors to the strategy. However, long positions were among the greatest detractors in June, with exposure in Europe, UK, Canada and Australia responsible for the bulk of losses in the asset class.

FX began the quarter as the worst performer remained a detractor through quarter-end. Net long USD position hurt the portfolio in May as the US dollar weakened against both developed and emerging market currencies. By quarter end, the portfolio began building a net short USD position.

Commodities were once again a detractor from the portfolio in April. Energies were responsible for the bulk of the losses in May as managers continued to be whipsawed by the choppy price moves in the sector, making commodities the worst performer that month. Most of the gains made in commodities during June were reversed in the last week. Energies were able to hold on to some of their gains, however, and managed to post positive returns.

In terms of risk, there has been an increase in portfolio risk to the upper range of what we have been noting this year. Risk in the portfolio is highest in FX, with long EURUSD, short CADUSD, short JPYUSD and long GBPUSD among the top positions in terms of risk allocation. Equities are the second biggest portion of risk, although long exposure has come down during the month in North America and Europe. Commodity risk is overall net short with movements within the asset class in terms of positioning — short positions in Energies and Agricultural grains are being reduced while short positions in Precious Metals are being added to. Fixed Income risk is the smallest portion of portfolio risk with net receiver positions slowly being pared back.

July 1, 2017 to September 30, 2017

Strong corporate earnings and a further weakening of the embattled Trump administration set the tone for the start of the quarter leading to positive returns for both equities and treasuries. However, mid-quarter was dominated by geopolitical tensions dampening investors’ sentiment despite positive economic data. By quarter end, markets appeared to take central bank tightening rhetoric and action more seriously in as Developed Market government bond yields rose sharply and the U.S. Dollar ended its multi-month downtrend. What’s more, the impact of hurricanes Harvey and Irma were felt on U.S. economic data releases, most notably in a sudden rise in initial jobless claims.

Equities were the common contributor to the Fund’s positive performance throughout the quarter, while contributions from Fixed Income and Commodities were mixed.

At the start of the quarter, the portfolio benefited from positive performance in Equities driven primarily by a robust earnings season in the US. Long North American exposure was the biggest contributor to the asset class. However, gains in US and Asia ex-Japan equities were slightly offset by losses in European and Japanese equities come August. At quarter-end, Equities positive performance was homogeneous across managers.

Fixed Income was a detractor at the start of the quarter, with net long positions across regions generating losses. However, the sector was the biggest contributor mid-quarter, with managers firmly long bonds across regions and amid a double digit rally in most bond markets. At quarter-end, Fixed Income was the largest detractor with managers now long bonds across regions lead by Gilts, Japan, US Treasuries and Bunds,.

FX was a positive contributor in July with a notable increase in the portfolio’s net short USD position during the month, and remained positive, although with less meaningful contributions in terms of portfolio PnL in August. By quarter-end, however, FX detracted from performance driven by long positions in CAD and Sterling.

Commodities were the most meaningful detractor to performance at the beginning of the quarter primarily from losses among Agriculturals, Metals and Energies positions. However, at mid-quarter, commodities were a noteworthy contributor. Industrial metals amid a large rally in copper, nickel and aluminum in particular aided performance which then suffered some reversion at quarter-end. Commodities were the most meaningful detractor in September.

The level of portfolio risk has remained flat over the quarter and Equity remains the largest risk factor within the portfolio. At quarter end, FX and Commodity risk increased marginally while interest rate risk declined and is now the smallest contributor of risk.

October 1, 2017 to December 31, 2017

December saw risk assets cap off a strong year, with global equities 20% higher over the twelve months led by emerging markets, returning in excess of 34%. Both a positive economic and political backdrop provided a tail wind to asset prices during the year; synchronized acceleration in global growth, falling unemployment and improving corporate profitability combined with political downside risks that failed to materialize. Yet, among investors, the year will likely be remembered for unprecedented low levels of volatility, no more so that in equities; U.S. equities last delivered twelve consecutive positive monthly returns in 1958.

Equities exhibited gains throughout the quarter. At the start, the biggest contributions came from North America and Japanese equities, and all regions contributed to performance except Europe at quarter-end.

Commodities was the second most significant contributor at the beginning of the quarter, in particular energy markets where longs in crude and fuels posted positive performance, and shorts in natural gas gained on continued weakness. At mid-quarter, commodities detracted with noteworthy losses particularly in the final week of November. Unlike at the start of quarter, the reversal in industrial metals such as aluminium and copper resulted in losses. However, commodities was the strongest sector for all the Trading Advisors at quarter-end. Robust rallies in industrial metals and energy benefited long positions in crude oil, copper and aluminium.

Fixed Income was another contributor at the start of the quarter as Trading Advisors captured some of the divergence across G4 markets. Trading Advisors broadly remained long global fixed income and short US rates through mid-quarter, contributing to performance. However, rates moves were a bit more muted than in prior months, with all G4 rates finishing the month within +/-3bp of October closes. Trading Advisors were still long global fixed income and short US rates at quarter-end and fixed income detracted on meaningful divergence within rates.

FX was the only sector that exhibited losses in October as the continued USD strength hurt Trading Advisors that remained overall short USD. However, through November, FX overall had a smaller positive contribution, as USD weakness benefited Trading Advisors which held a modest short USD. The positive contribution continued through quarter-end as USD weakness benefited Trading Advisors which shifted more short USD.

In terms of risk, overall portfolio VaR was slightly increased on the month, with the biggest increases in equity and fixed commodity VaR.

December 31, 2016

Commodity Industry Sector	Net Unrealized Profit (Loss) on Open Positions			Percent Net Unrealized Profit (Loss) on Open Positions
Agricultural Commodities	$	205,520		12.35	%
Energy	383,320			23.04	%
Interest Rates	392,729			23.61	%
Metals	(199,975		)	-12.02	%
Stock Indices	452,121			27.17	%
Currencies - Future	294,805			17.72	%
Currencies - Forward	135,304			8.13	%
Total	$	1,663,824		100.0	%

Results of Operations/Performance Summary

Year Ended December 31, 2016

	Total Trading Profit (Loss)
Blakeney	$	(15,627	)
Campbell	(3,135,990		)
Carlisle*	713,644
CCP Core Macro	(425,212		)
Century CAT**	(2,881,308		)
Quantica MF	1,510,060
Silver	17,504
Total	$	(4,216,929	)

* Underlying Fund was redeemed in April 2016.

** Underlying Fund purchased in March 2016.

The Fund experienced a net trading loss for the year end December 31, 2016 of $4,216,929.

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

January 1, 2016 to March 31, 2016

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.~~

probability of a June rate hike. The portfolio however maintained a positive net-of-fees result year-to-date, despite the backdrop of uncertainty from central bank action.

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

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

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

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

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

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.

April 1, 2016 to June 30, 2016

The quarter started with economic and financial market conditions being generally firmer, characterized by a further rebound in global stock markets and the commodities sector. The Federal Open Market Committee (FOMC) acknowledged these improving trends, and expectations of a near term Federal Reserve (Fed) rate hike were substantially upgraded in May following the release of the April FOMC minutes. Come June, however, attention shifted. A disappointing non-farm payroll report which led to a decline in the US dollar and a rally in bonds across regions was overshadowed later in the month by the referendum on Britain voting to leave the EU.

The fixed income sector detracted substantially in April due to the broad sell-off towards month end, but performed well in May given most programs’ long positioning in bonds. Long bond positions across the US and Europe led the gains in June. The fixed income sector was the best performing asset class throughout the quarter end and contributed most notably post Brexit in the final week of June.

The FX sector contributed positively to performance at the start of the quarter, but was the main detractor in May with a meaningful net short position in the dollar. Overall, USD net exposure in FX was aggressively reversed to long mid-quarter. In June, the FX sector was the second best performer, benefiting from the currency moves post Brexit.

Commodities detracted from performance with energy, grains, softs and industrial metals performing negatively, although precious metals and livestock mitigated the losses at the start of the quarter. Mid-quarter, positive performance in longs in agricultural markets could not offset the losses from long positions in precious and industrial metals which suffered heavily. However, this sector contributed positively at the end of the quarter. Precious metals and agriculturals were the top performers while the energy sector detracted.

performance in longs in agricultural markets could not offset the losses from long positions in precious and industrial metals which suffered heavily. However, this sector contributed positively at the end of the quarter. Precious metals and agriculturals were the top performers while the energy sector detracted.

Equities were mixed over the quarter. The net long equity exposure performed positively through most of April, but could not hold on to the gains as equities market sold off in major developed markets at the end of the month. Despite positive performance in May, the equity sector detracted in June. This was mainly due to losses related to the post Brexit referendum selloff as the portfolio held a bullish bias to this asset class.

In terms of positioning, the portfolio continues to hold a net long bias in fixed income and has increased risk towards quarter end. The increase is mainly driven by topping up long positions in the US bond market. Regarding the FX sector, the portfolio started June net long in USD, but reversed to flat by month end. This was primarily driven by a combination of increasing longs in JPY and reducing shorts in GBP and EUR against USD. In commodities, the portfolio maintained a net long exposure overall and increased its long bias to precious metals and agriculturals. Although the portfolio remained net long equities through June, net exposure has come down due to significant reduction in long US equity futures positions, along with a reversal in positioning in European equities from long to short.

July 1, 2016 to September 30, 2016

The start of the quarter was volatile for currencies, fixed income and commodities. USD was up with a strong July payrolls report and higher retail sales mid-month, but reversed at the end of July, as the Federal Open Market Committee expressed that “near term risks to the economic outlook have diminished” and the Bank of Japan held rates and marginally increased their ETF purchase program. UK rates continued their post-Brexit march lower, and global bond curves flattened. Mid-quarter was relatively directionless for markets overall as the positive impact of additional QE measures was offset by increased inflation fears. The cumulative impact on markets, in terms of news flow, was relatively muted at quarter end, with central bank activity, fundamental data out of the US, an informal OPEC meeting, the US elections and concerns about the solvency of Deutsche Bank being relevant market drivers at one point or another.

The equity sector was the best performing asset class throughout July and exposure was increased. As a result, Trading Advisors were net long broadly heading into mid-quarter, and gains were partially offset by poor performance in certain regions like Japan. At quarter end, Trading Advisors accumulated losses against markets which exhibited a fair amount of choppiness.

In fixed income, the sector contributed at the start of the quarter, particularly as rates rallied through the final week of July. Mid-quarter experienced losses that continued through quarter end.

Performance in July was mixed and slightly negative overall in the FX sector at the start of the quarter, although FX remained the highest risk allocation in the portfolio. As the US dollar rallied broadly against Trading Advisors bearish positions, FX ended in negative territory mid-quarter. However, managers ended the month with gains despite carrying a net long US dollar bias against a broad move down in the greenback.

At the start of the quarter, the commodities sector was overall positive, with noteworthy positive contribution from energies and precious metals and losses from agriculturals. However, mid quarter the biggest drivers of negative performance were energies and precious metals. Energies also explain the bulk of losses in the commodity sector at quarter end.

In terms of positioning, Trading Advisors continue to hold a net long bias to equites and fixed income. In FX, managers are roughly neutral to the US dollar overall. In commodities, the primary drivers of risk by subsector are precious metals. Net exposure in energy keeps on shifting back and forth on continued market choppiness and with programs having moved (again) from net short to flat by quarter end.

October 1, 2016 to December 31, 2016

The quarter started out with a steep selloff in fixed income, which exhibited severe declines across most major markets around the world. This event combined with uncertainty surrounding a QE extension, Brexit negotiations, and an increased inflation expectation were all driving forces for bonds and interest rates markets. On top of that, speculation on the results of the US election and an OPEC deal added to volatility in the market. By mid-quarter, the US election results dominated the conversation. The market reaction was a rally in the dollar and a steep selloff in fixed income. Moving into quarter end, attention shifted to the constitutional referendum in Italy and central bank monetary policy. Other highlights included the muted market reaction of the Italian referendum and OPEC’s agreed deal to cut production.

Returns were positive at the end of the quarter, but not enough to offset losses in October and November. Fixed income and commodities drove losses early in the quarter and into November, while equities drove performance at quarter end. FX was positive throughout the quarter, offsetting some of the losses in the earlier months.

Fixed income was a major detractor from performance as Trading Advisors held a long receiver bias prior to the heavy global sell-off. By quarter end, positioning switched to a net short bias which resulted in gains driven by payer positions in US rates as yields continued moving higher in that region.

Commodities were a meaningful detractor throughout the quarter. Early on, negative performance was driven by energies, precious metals and grains. Energies and precious metals continued to detract through mid-quarter from choppiness in those markets. Although, grains and base metals helped offset losses. However, it was energies that offset losses from industrial metals and grains at quarter-end.

Equities began the quarter in negative territory, but performed positively in November and December. Trading Advisors were positioned net long across the board at the start of Q3, and gains from Japan and the UK were not enough to offset losses in most other regions (most notably in the US). However, North America and Japan drove positive performance mid-quarter, outweighing losses in the Eurozone, and the UK. Positive performance continued into quarter-end, as Trading Advisors entered December net long and capitalized on the upward move in developed markets.

into quarter-end, as Trading Advisors entered December net long and capitalized on the upward move in developed markets.

In FX, performance was positive in October as Trading Advisors drifted from roughly neutral to net long USD resulting in meaningful gains as the dollar rallied. However, FX detracted in November due to losses in long AUD, short GBP and long JPY. December saw gains from Trading Advisors’ net long positions, accumulating gains as the dollar moved higher.

In terms of positioning, areas of risk concentration at year-end include equities, where Trading Advisors continue to be net long and FX, where they remain net long dollar. In equities, Trading Advisors are net long and most notably in the US and Europe. In FX, short EUR, short GBP and short JPY are among the biggest drivers of the net long USD bias. In commodities, Trading Advisors exhibit a slight net long bias overall which results from net long exposure to industrial metals, energy and livestock and net short exposure to precious metals, grains and softs.

The total risk of the portfolio (in VaR terms) decreased slightly relative to the end of December with this being driven by decreases in equities, commodities and FX.

Year Ended December 31, 2015

	Total Trading Profit (Loss)
Aspect FuturesAccess LLC	$	(509,070	)
John Locke FuturesAccess LLC	1,283,475
Lynx FuturesAccess LLC	714,472
ML BlueTrend FuturesAccess LLC	2,862,359
ML Transtrend DTP Enhanced FuturesAccess LLC	501,384
Tudor Tensor FuturesAccess LLC	1,341,872
Winton FuturesAccess LLC	407,901
Blakeney Delaware Feeder LLC	(465,478		)
Campbell Delaware Feeder LLC	(1,672,727		)
Carlisle Delaware Feeder LLC	(1,304,229		)
CCP Core Macro Delaware Feeder LLC	(1,901,342		)
Quantica MF Delaware Feeder LLC	(7,620,266		)
Silver Delaware Feeder LLC	(4,329,747		)
Total	$	(10,691,396	)

The Fund experienced a net trading loss for the year end December 31, 2015 of $10,691,396.

With respect to the period prior to the Manager Replacement on May 1, 2015, references herein to the Fund’s trading and portfolios refer to such trading and portfolios through the underlying FuturesAccess Portfolio Funds generally.

With respect to the period following the Manager Replacement (May 1, 2015 and after), references herein to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Funds generally.

January 1, 2015 to March 31, 2015

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

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

Fixed income was also profitable. The falling yields drove performance in 2014. The Portfolio Funds were long fixed income markets across geographies and maturities at the start of 2015, even as yields were low in many areas. Yields fell further, with big moves registered in January, especially in Europe. These moves were in part due to the concerns over slow growth and deflation, and the easing bias adopted by many central banks as evidenced by rate cuts in several countries and the quantitative easing decision from the European Central Bank. Yields did come back up some in February, but were down again in March. Overall, the direction was downward and the moves benefited long positions, resulting in profits for trend followers.

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

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

gains. In metals and agricultural markets, price moves were more mixed and there were some losses due to choppiness and an absence of strong trends. Sugar and nickel were two trending markets where the Portfolio Funds did make some money. Looking at the asset class as a whole, commodities attribution was roughly flat.

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

April 1, 2015 to June 30, 2015

The second quarter started off with reversals across asset classes and markets. With many trends appearing extended and mature coming into April, many sectors and markets reversed around at the same time. Markets were relatively quiet during May, with mixed performance in equities, slight weakness in fixed income and a rebound in the U.S. dollar against most major currencies. Greece dominated the headlines in Europe, as markets speculated about the country’s ability to repay an IMF loan due in early June. The uncertainty caused European equity markets, the euro, and European fixed income to finish May lower. Volatility towards the end of the second quarter due to low levels of liquidity, uncertainty over the outcome of the Greek referendum and the sharp reversal in the Chinese equity markets proved a difficult environment for many trend following managers.

Equities were mixed during the second quarter. In April equity indices were profitable for the Fund. Long exposures in the U.S. and Asia helped the asset class. May was mixed; however, Japanese exposure benefited the Fund. Equities were a meaningful detractor during June with long positions across all regions adding to the negative results.

Fixed income detracted from performance during the second quarter. Yields reversed in April and began to rise from the low levels they had reached in March. Poor growth numbers in the United States, the possibility that rate hikes might be delayed and better economic performance in Europe all contributed to negative performance. Poor performance continued in May as long exposure in German bunds, U.S. treasuries and Japanese government bonds generated losses. Fixed income was a minor detractor during June with gains in U.S. bonds, French Obligations Assimilables du Trésor, Italian Buoni del Tesoro Poliennalis and German bunds not being sufficient to fully offset losses in Japanese government bonds and British gilts.

bonds generated losses. Fixed income was a minor detractor during June with gains in U.S. bonds, French Obligations Assimilables du Trésor, Italian Buoni del Tesoro Poliennalis and German bunds not being sufficient to fully offset losses in Japanese government bonds and British gilts.

In currencies, the U.S. dollar experienced a big reversal to start the second quarter, falling against several foreign currencies. Short positions in the Euro and Japanese yen were the worst hit. However, currencies were a leading contributor during May as the U.S. dollar reversed and benefited trend following managers. This was most noticeable against the Euro and Japanese yen. Currencies ended the quarter negative with Japanese yen and Euro shorts accounting for significant losses during June.

In commodities, a weaker U.S. dollar coupled with an improving growth outlook in Europe led to higher energy prices. Short positions suffered losses as a result during April. Some other sectors such as industrial metals and softs also experienced reversals from the prevailing trend and added to losses. Shorts in softs and energies were a major detractor during June.

In terms of positioning, overall risk levels were reduced during the end of the second quarter. In commodities, the Trading Advisors remain broadly short most subsectors. Equities positions have been cut on the back of the losses and the level of exposure has come down relative to the end of May. Exposure to foreign exchange has increased slightly with long British pound and short Euro and short Japanese yen being the main areas of risk concentration. Long fixed income positioning continues to edge towards the lower end of the range.

July 1, 2015 to September 30, 2015

The third quarter began with a relatively clear narrative; trouble for commodities and emerging markets while developed markets had a smoother ride as concerns eased over Greece. Commodities were at the forefront of market volatility in July due to weakening Chinese economic growth and inventory surplus in several markets. Against this backdrop the Fund had a positive July, recouping some losses incurred in prior months. By asset class, commodities were the strongest contributor to performance led by short positions in energy and precious metals. These gains were partially offset by long positions in agricultural markets which detracted due to the reversal in grain prices during the second half of July. Currencies also contributed to performance driven by short positions in both Australian dollar and Canadian dollar. Fixed income ended July with little contribution to portfolio performance. The choppy price action in U.S. treasuries caused some losses, but these were offset by long positions in European instruments. Within equity trading, long positions in China were a negative contributor, however, this was partially offset by long exposure in North America.

Against this backdrop the Fund had a positive July, recouping some losses incurred in prior months. By asset class, commodities were the strongest contributor to performance led by short positions in energy and precious metals. These gains were partially offset by long positions in agricultural markets which detracted due to the reversal in grain prices during the second half of July. Currencies also contributed to performance driven by short positions in both Australian dollar and Canadian dollar. Fixed income ended July with little contribution to portfolio performance. The choppy price action in U.S. treasuries caused some losses, but these were offset by long positions in European instruments. Within equity trading, long positions in China were a negative contributor, however, this was partially offset by long exposure in North America.

Stepping into August, volatility in equity markets returned in full force. This hurt trend-following Trading Advisors who were whipsawed in the range-bound market environment. Given the nature of the market moves, with heightened volatility and sharp reversals, the Fund had a tough month in August. Equities were the main detractor specifically in long equity indices in the U.S., Europe and Japan. FX also detracted considerably in August. The long U.S. dollar theme prevalent in most portfolios only worked against emerging markets and commodity currencies but suffered against shorts in Japanese yen and Euro. Commodities were flat for August. Most Trading Advisors made small gains from shorts in base metals; though this was partially offset by shorts in gold and energies which rallied during the last week of August. Trading programs with slower signals performed worse when the markets rebounded. Fixed income was negative in August 2015. Long positions in U.S. treasuries and German bunds reversed earlier gains as the markets whipsawed towards the end of September.

The Fund was well positioned in September, ending with positive performance. The Federal Reserve retained its low interest rate regime by keeping the Federal Funds rate target range at 0% to 0.25%. The Federal Open Market Committee action was seen as confirmation of the extent of global growth concern that started in China and emerging markets economies and is far-reaching. This had an adverse effect on risk assets. Markets remained volatile in September with an overarching theme being the repricing down of growth expectations across asset classes. The fixed income sector was a leading contributor to performance over the course of September 2015. The Trading Advisors have positioned the Fund long in both government bonds and short-term interest rates. Commodities also performed well in September. The largest contributor was energy short, predominately driven by shorting crude oil. Shorts in livestock also added to performance. The main detractor in commodities for September was in agricultural grains and in softs as crops rebounded during the month. The Fund remained short in commodities. The equities sector was another main detractor in September. Losses were focused in longs in Japan and U.S. equity index futures. FX also detracted in September through losses in Euro and Japanese yen shorts.

shorting crude oil. Shorts in livestock also added to performance. The main detractor in commodities for September was in agricultural grains and in softs as crops rebounded during the month. The Fund remained short in commodities. The equities sector was another main detractor in September. Losses were focused in longs in Japan and U.S. equity index futures. FX also detracted in September through losses in Euro and Japanese yen shorts.

October 1, 2015 to December 31, 2015

The beginning of the fourth quarter was challenging given the sharp momentum reversal as a rally in risk assets were counterbalanced by the end of October. Attention shifted after a more hawkish Federal Open Market Committee (FOMC) statement left the door open for a December rate hike. November was an extension of the themes observed in previous months, with positive returns across asset classes. Dramatic moves in major asset classes occurred in the first week of December following the European Central Bank (ECB) disappointment as the central bank under-delivered market expectations of greater monetary accommodation at their December 3rd policy meeting. In comparison, the first Fed rate hike since the end of quantitative easing in the U.S. led to a much more muted response. Overall, the end of the quarter was difficult given the Central Bank policy developments and considerable price volatility observed in the market over the course of December.

In equities, longs in the U.S., Eurozone (excluding the UK) and Japan were three main drivers at the beginning of October contributing to performance during the month. Equities contributed some positive returns in November with long positions in European and Japanese equity indices. However, they were the main detractor at the end of the quarter.

The fixed income sector was mixed during the quarter. In October, the U.S. rates market in particular was weak due to the FOMC statement. November ended with a positive contribution to returns driven by longs in European bond futures including Bobl, Bund and Gilt. However, poor performance generated negative returns at the end of the quarter. The main detractors were receiving positions in Bobl and Bund contracts, as well as long Gilt ~~futures positions. On the positive side, receiving JGB 10yr and Canadian 10yr bonds generated positive returns to partially recoup losses in the European markets.~~

futures positions. On the positive side, receiving JGB 10yr and Canadian 10yr bonds generated positive returns to partially recoup losses in the European markets.

FX detracted as both emerging markets and commodity-related currencies rebounded against the U.S. dollar in October. Short in Euro against U.S. dollar was the main driver of positive performance for November. However, FX detracted towards the end of the quarter. Short Euro against U.S. dollar along with short Swiss Franc against U.S. dollar were the main detractors in December. Despite the sharp price movements, the FX market recovered with the U.S. dollar recouping earlier losses as the Fed raised the interest rate.

Commodities were the largest detractor at the start of the quarter, but were the largest contributor to performance in November. Energy and base metal sectors in particular ended the month significantly lower as commodities were weaker across the board. Gains coming from the energy sector at the end of the quarter resulted in commodities being the main driver of positive performance.

In terms of positioning, the overall net long exposure to equities remained low in the portfolio. The long position was almost halved during December, driven mostly by a reduction in long European and to some extent long US equity indices. In Fixed Income, the portfolio maintained a receiving position overall at a reduced level by quarter end. While the FX position continued to carry the largest risk in the portfolio, short exposure in Euro had been considerably reduced. In terms of positioning, the portfolio continues to be short commodities overall, though short exposure has been somewhat reduced in precious metals and agricultural softs.

Year Ended December 31, 2014

	Total Trading Profit (Loss)
Transtrend Fund	$	6,109,429
Altis Fund	(2,921,043		)
Winton Fund	5,371,945
Aspect Fund	6,196,491
John Locke Fund	5,249,513
BlueTrend Fund	2,681,711
Tudor Fund	3,350,358
Lynx Fund	7,623,039
	$	33,661,443

The Fund experienced a net trading profit for the year ended December 31, 2014 of $33,661,443.

References herein to the Fund’s trading and portfolios refer to such trading and portfolios through the underlying FuturesAccess Portfolio Funds generally.

In equity indices, the Portfolio Funds came into the first quarter with long exposure, given the strong rally in global equity prices during 2013. Positioning was greatest in U.S. and European indices. The upward trend in equities did not continue in the first quarter. Markets quickly reversed in January, rallied back in February, then showed some v-shaped moves in March. They generally ended the quarter not far from where they began, but the reversals and choppiness proved costly to trend followers, making equity indices the worst performing asset class. Commodities also performed poorly in the first quarter. The Portfolio Funds had long positions in energies and industrial metals, but short positions in grains and precious metals coming into the first quarter. Commodities fell in January, rallied in February, and then fell again in March, exhibiting reversals and several directional shifts along the way. The largest losses were incurred in the energy sector. In currencies, the Portfolio Funds had mixed positioning coming into the first quarter. Long positions in European currencies like the euro, British pound and Swiss franc were balanced against short positions in the Japanese yen, Canadian dollar and Australian dollar. The downward trend in the Japanese yen continued for part of the quarter and the Portfolio Funds made money, but there were reversals in the remaining major currency positions, leading to small losses. In fixed income, the Portfolio Funds had long positioning in both interest rates and bonds. Fixed income proved to be the only profitable asset class. Yields generally moved lower over the course of the first quarter. The moves were not very large, but they benefited long positions. In summary, the first quarter saw reversals in several asset classes. Trends in equity indices, commodities and many currency markets were interrupted. With market moves going against positioning, the Portfolio Funds saw losses in those asset classes. Gains in fixed income markets only partially made up for the losses.

The Fund gained 3.9% for the second quarter. Returns were positive for most of the Portfolio Funds during the second quarter. Continuing trends in equity indices and fixed income drove performance. Choppiness and some reversals in currencies and commodities minimally offset those gains. In equity indices, the Portfolio Funds came into the second quarter with long exposure, with positions across geographies. While the first quarter had not necessarily seen the strong upward trends in global equity prices continue, there had not been any significant reversals either. As such, trend followers generally kept their positioning from year end. Exposures were greatest in U.S. and European indices. The upward trend in equities resumed to some extent in the second quarter with many markets rising in late April. These moves were beneficial to long positions. The asset class had losses in April, but was profitable in both May and June as markets rose. In fixed income, the Portfolio Funds had long positioning within both rates and bonds given falling yields in the first quarter. Yields generally moved lower still in April and May and in several markets in June as well. These moves benefited long positions held by trend followers. Fixed income proved to be the most profitable asset class for the second quarter, generating gains in all three months. In currencies, the Portfolio Funds lost money. The U.S. dollar exhibited somewhat choppy moves, falling in April, rising in May and falling again in June. The Portfolio Funds were profitable trading the British pound, but lost money in their yen and euro exposures. Losses in April and May were somewhat made up for by gains in June. Commodity trading was difficult and generally contributed to losses. Oil markets were down initially before recovering in the second half of the second quarter on heightened concerns over the disruption of supply in Iraq. Long positions generally made money. Natural gas saw a reversal later in the quarter, falling as stock levels and the weather outlook improved, resulting in some losses. Larger losses came from the agricultural sector and especially grains. With several negative supply effects such as drought conditions and tensions in Ukraine dissipating, these markets reversed and fell, leading to losses on long positions. Metal markets also shifted direction several times, depending on strength in the Chinese economy, production levels and safe-haven demand, leading to additional losses. In summary, equity and fixed income trends continued in the second quarter. Energy markets were also

profitable. On the other hand, there was some choppiness in currencies and several commodity sectors such as grains and metals suffered mild reversals which detracted from performance. Overall, the gains outweighed losses and the quarter was profitable for the Fund.

In the third quarter, managed futures and trend following strategies had positive performance. Returns were negative in July, but August and September were strong months. Continuing trends in fixed income and new trends in the currency and commodity sectors drove performance. A slight reversal in equity indices resulted in small offsetting losses. In equity indices, the Portfolio Funds came into the third quarter with long exposure, with positions across geographies. The largest exposures were in U.S. and European indices. These positions were due to the upward trend in the asset class which had generally continued during the second quarter. During the third quarter, this trend weakened, with global growth concerns starting to weigh on markets. September was a down month for many equity indices and gains from earlier in the quarter were given back. The sector ended with small losses for the Fund. In fixed income, the Portfolio Funds had long positioning with both rates and bonds having generally falling yields. The moves were especially large in August, resulting in profits for the Portfolio Funds. Yields rose slightly in September, leading to a small give back of earlier gains, but fixed income ended up being a strong driver of performance for the Portfolio Funds in the quarter overall. Currencies also performed strongly. Diverging economic performance and central bank policies were important factors in driving currencies during the third quarter. A decently performing U.S. economy relative to much of the rest of the world meant that the U.S. dollar strengthened against most foreign currencies. The Portfolio Funds generally adopted a long U.S. dollar bias and made profits being short currencies like the euro and yen which weakened consistently through the third quarter. Commodities were another bright spot for the Portfolio Funds. The strength in the U.S. dollar and the slow weakening of the global economy were among the factors that led to many commodities falling over the course of the third quarter. Supply and demand factors such as dissipating tensions around the Ukraine situation, higher global oil production and reports of strong harvests in many grain markets also played a role. The Portfolio Funds were generally long commodity markets coming into July, but moved to a short stance by the end of August with minimal losses. As the downward trends in the asset class accelerated in September, the Portfolio Funds were well positioned to benefit from them. Falling prices in oil markets, precious metals, grains and softs all contributed positively to performance. In summary, fixed income trends generally continued in the third quarter. The Portfolio Funds also took advantage of relatively newer downward trends in currencies and commodities. Slight reversals in equity indices mildly detracted from performance. Overall, the third quarter was profitable for the Fund.

In the fourth quarter, managed futures and trend following strategies had strong performance. Returns were positive in all three months. Continuing trends in energies, fixed income and currencies drove performance. Equity indices were a detractor. The Fund returned 9.6% for the quarter. In equity indices, the Portfolio Funds came into the third quarter with long exposure, with positions across geographies. The largest exposures were in U.S. and European indices. While the upward trend in equity indices was not especially strong, there had not been any big reversals in the space either; as such, the Portfolio Funds generally maintained their long exposure. The last quarter of the year saw more choppiness in the space. The first half of October saw a sharp selloff, driven by general worries over global growth, concerns of recession and potential deflation in Europe, weakening Chinese demand and approaching rate hikes in the U.S. Markets did recover in the second half of October and showed some continued strength in November, but only to see another mild reversal in December due to similar factors. The back and forth with several directional shifts hurt the Portfolio Funds who were reducing and adding to exposures at the wrong time, all the while maintaining a long posture. They lost money in October, made some of it back in November, but lost again in December. The asset class had negative attribution for the quarter. In agriculture, metals and interest rate asset classes, the Portfolio Funds made money in all three months, illustrating the continuation of major trends. Fixed income was the most profitable as the same concerns causing equities to show choppiness led to much lower yields in bonds. The Portfolio Funds made strong gains being long markets, especially in Europe where yields fell. In currencies, the divergence between the economies of the U.S. on one hand and Europe and Japan on the other was clearly apparent. The U.S. dollar appreciated strongly against both the euro and yen, along with most other foreign currencies. The Portfolio Funds were generally short these currencies and benefited from the continuing trends. Commodities also proved profitable with energy markets driving performance. During the third quarter, the Portfolio Funds had gotten short oil and oil product markets as the price of oil fell sharply due to supply/demand imbalances. The moves accelerated in the fourth quarter as OPEC refused to cut production. WTI crude oil was down over -40% in the three months. The Portfolio Funds were positioned to take advantage of this continuing trend. Moves in metals and agriculturals were much milder and attribution from those

two sectors was muted. In summary, in three important sectors (fixed income, energies and FX), continuing trends led to strong gains. There were relatively few significant reversals elsewhere. As a result, the fourth quarter was profitable for trend followers.

Variables Affecting Performance

The principal variables that determine the net performance of the Fund are gross profitability from the Underlying Funds’ trading activities and interest income.

During the periods set forth above in “Selected Financial Data”, the interest rates in many countries were at unusually low levels. In addition, low interest rates are frequently associated with reduced fixed income market volatility, and in static markets the Fund’s profit potential generally tends to be diminished. On the other hand, during periods of higher interest rates, the relative attractiveness of a high risk investment such as the Fund may be reduced as compared to high yielding and much lower risk fixed-income investments.

The Fund’s Management Fees are a constant percentage of the Fund’s net assets.

Except in unusual circumstances, factors — regulatory approvals, cost of goods sold, employee relations and the like — which often materially affect an operating business, have no material impact on the Fund.

Liquidity; Capital Resources

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

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

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash directly and indirectly through the underlying Master Funds, which they must have to post initial and variation and variation margin on futures contracts. This cash is also used to fund redemptions.

The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 3.03(a)(4) and 3.03(a)(5) of Regulation S-K.

Recent Accounting Developments

Recent accounting developments, if any, are discussed in Exhibit 13.01.

Item 7A: Quantitative and Qualitative Disclosures About Market Risks

The Underlying Funds are speculative commodity pools. The market sensitive instruments held by the Master Funds are acquired for speculative trading purposes and all or substantially all of the Master 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 Master Funds’ main line of business.

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

variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Funds’ open positions and the liquidity of the markets in which they trade.

The Master 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 Master Funds’ past performance is not necessarily indicative of future results.

Value at Risk (“VaR”) is a measure of the maximum amount which the Fund and the Underlying Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s and the Underlying Funds’ speculative trading and the recurrence in the markets traded by the Fund and the Underlying 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 Underlying 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 Underlying Funds’ losses in any market sector will be limited to VaR or by the Fund’s and the Underlying 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 Master Funds is quantified below in terms of VaR. Due to the Master Funds’ fair value accounting, any loss in the fair value of the Master Funds’ open positions is directly reflected in the Master 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).

Prior to May 1, 2015. With respect to the period prior to May 1, 2015 (prior to the Manager Replacement), exchange maintenance margin requirements have been used by the FuturesAccess Portfolio Funds as the measure of their VaR. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95% to 99% of the one-day time periods included in the historical sample (approximately one year, generally) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the FuturesAccess Portfolio Funds), the margin requirements for the equivalent futures positions have been used as VaR. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used. During the period prior to May 1, 2015, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate VaR. The diversification effects (which would reduce the VaR estimates) resulting from the fact that the FuturesAccess Portfolio Funds’ positions were rarely, if ever, 100% positively correlated, were not reflected during this time period.

May 1, 2015 and After. With respect to the period on and after May 1, 2015 (after the Manager Replacement), VaR was calculated for each Underlying Fund by first calculating VaR with respect to each Master Fund and adjusting based on the Underlying 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.

Fund and adjusting based on the Underlying 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 Underlying Funds’ Trading Value at Risk in Different Market Sectors

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

The following tables indicate the average, highest, and lowest trading VaR associated with the Underlying Funds and the FuturesAccess Portfolio Funds open positions by market category for the twelve month periods ended December 31, ~~2016~~2017 and ~~2015~~2016. For initial Underlying Fund investments made during the period, VaR is calculated starting from the commencement of the holding.

Blakeney (1)

	December 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	12,740	0.11	%	$	36,343	$	750
Energy	20,037		0.17	%	85,992		90
Interest Rates	22,267		0.19	%	66,604		5,974
Metals	16,340		0.14	%	47,600		1,503
Stock Indices	123,229		1.06	%	206,630		83,600
Currencies	49,039		0.42	%	118,516		13,318

TOTAL	$	243,652	2.10	%	$	561,685	$	105,234

(1) Average capitalization of Blakeney is $11,625,022.

Campbell (2)

	December 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	25,655	0.30	%	$	114,380	$	294
Energy	28,804		0.34	%	79,672		5,255
Interest Rates	32,788		0.39	%	98,397		160
Metals	22,511		0.27	%	75,736		220
Stock Indices	109,286		1.30	%	243,353		26,196
Currencies	48,646		0.58	%	115,623		108

TOTAL	$	267,691	3.18	%	$	727,161	$	32,233

(2) Average capitalization of Campbell is $8,424,939.

Century CAT (3)

	December 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	2,486	0.02	%	$	9,928	$	123
Energy	15,889		0.14	%	49,503		333
Interest Rates	38,583		0.35	%	91,353		12,275
Metals	7,003		0.06	%	19,145		233
Stock Indices	125,734		1.13	%	245,707		67,297
Currencies	94,400		0.85	%	175,364		48,238

TOTAL	$	284,094	2.56	%	$	591,000	$	128,499

(3) Average capitalization of Century CAT is $11,085,716.

CCP Core Macro (4)

	December 31, 2017 *
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	7,278	0.06	%	$	17,577	$	333
Energy	6,826		0.06	%	24,111		542
Interest Rates	62,693		0.56	%	171,166		12,625
Metals	21,787		0.19	%	40,992		5,725
Stock Indices	147,916		1.32	%	241,109		82,797
Currencies	17,419		0.16	%	40,964		2,428

TOTAL	$	263,919	2.35	%	$	535,919	$	104,450

(4) Average capitalization of CCP Core Macro is $11,211,392.

* CCP Core Macro redeemed July 14, 2017.

Quantica MF (5)

	December 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	5,369	0.06	%	$	23,461	$	93
Energy	15,097		0.16	%	40,382		1,093
Interest Rates	28,173		0.30	%	87,023		5,261
Metals	11,810		0.12	%	49,683		289
Stock Indices	178,927		1.87	%	242,685		89,065
Currencies	32,650		0.34	%	92,093		240

TOTAL	$	272,026	2.85	%	$	535,327	$	96,041

(5) Average capitalization of Quantica MF is $9,546,329.

Silver (6)

	December 31, 2017
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	15,644	0.19	%	$	74,673	$	3,497
Energy	36,496		0.45	%	98,934		303
Interest Rates	34,274		0.42	%	133,683		5,697
Metals	20,321		0.25	%	69,392		155
Stock Indices	145,634		1.79	%	216,021		70,051
Currencies	57,158		0.70	%	127,579		7,159

TOTAL	$	309,528	3.80	%	$	720,283	$	86,863

(6) Average capitalization of Silver is $8,153,111.

Blakeney (1)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	12,744	0.07	%	$	22,374	$	18
Energy	46,641		0.26	%	174,690		2,562
Interest Rates	210,744		1.17	%	528,998		24,197
Metals	37,571		0.21	%	87,266		2,447
Stock Indices	82,482		0.46	%	166,220		2,307
Currencies	122,083		0.68	%	322,947		55,215

TOTAL	$	512,264	2.82	%	$	1,302,495	$	86,745

(1) Average capitalization of Blakeney is $18,051,204.

Campbell (2)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	48,815	0.28	%	$	115,750	$	17,059
Energy	53,301		0.31	%	188,541		2,733
Interest Rates	155,456		0.89	%	347,156		3,968
Metals	38,970		0.22	%	94,474		1,835
Stock Indices	146,824		0.84	%	274,580		36,105
Currencies	110,000		0.63	%	286,916		18,349

TOTAL	$	553,366	3.19	%	$	1,307,417	$	80,049

(2) Average capitalization of Campbell is $17,388,161.

3336

Carlisle (3)

	December 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 $8,306,779.

* Carlisle redeemed April 2016.

Century CAT (4)

	December 31, 2016 *
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	7,413	0.05	%	$	14,616	$	737
Energy	33,847		0.21	%	87,315		1,864
Interest Rates	164,369		1.02	%	330,627		46,185
Metals	10,650		0.07	%	30,640		1,478
Stock Indices	71,458		0.44	%	129,586		4,124
Currencies	121,133		0.75	%	239,550		14,295

TOTAL	$	408,870	2.53	%	$	832,334	$	68,682

(4) Average capitalization of Century CAT is $16,184,457.

* Century CAT commenced March 2016.

CCP Core Macro (5)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	15,103	0.13	%	$	50,815	$	176
Energy	41,749		0.36	%	131,014		631
Interest Rates	132,732		1.14	%	337,476		999
Metals	11,713		0.10	%	43,431		112
Stock Indices	69,943		0.60	%	155,350		508
Currencies	40,936		0.35	%	132,030		4,027

TOTAL	$	312,176	2.70	%	$	850,117	$	6,454

(5) Average capitalization of CCP Core Macro is $11,625,669.

Quantica MF (6)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	20,780	0.17	%	$	37,803	$	7,614
Energy	42,300		0.36	%	305,453		546
Interest Rates	174,985		1.47	%	529,812		2,598
Metals	47,759		0.40	%	105,016		8,447
Stock Indices	82,179		0.69	%	215,773		1,658
Currencies	37,888		0.32	%	122,438		4,963

TOTAL	$	405,891	3.41	%	$	1,316,296	$	25,826

(6) Average capitalization of Quantica MF is $11,895,352.

3437

Silver (7)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	20,551	0.18	%	$	43,009	$	3,634
Energy	63,277		0.55	%	280,212		13,217
Interest Rates	133,607		1.16	%	489,756		4,719
Metals	52,650		0.46	%	110,685		48
Stock Indices	111,907		0.97	%	237,984		7,696
Currencies	125,946		1.10	%	303,401		31,931

TOTAL	$	507,938	4.42	%	$	1,465,047	$	61,245

(7) Average capitalization of Silver is $11,481,304.

Aspect DS (1) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	543,879	2.24	%	$	720,573	$	156,090
Currencies	485,971		2.01	%	1,004,655		280,131
Energy	205,769		0.85	%	379,796		132,210
Interest Rates	887,875		3.67	%	973,255		813,515
Metals	163,258		0.67	%	339,839		93,411
Stock Indices	159,818		0.66	%	219,055		125,332
TOTAL	$	2,446,570	10.10	%	$	3,637,173	$	1,600,689

(1) Average capitalization of Aspect Class DS was $24,217,973.

* Aspect redeemed as of April 30, 2015.

BlueTrend DS (2) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	122,456	0.34	%	$	384,364	$	29,501
Currencies	893,239		2.53	%	1,859,704		479,274
Energy	219,718		0.62	%	305,405		32,721
Interest Rates	1,683,631		4.74	%	2,429,552		3,242
Metals	111,620		0.31	%	146,717		83,857
Stock Indices	413,534		1.16	%	463,806		332,988
TOTAL	$	3,444,198	9.70	%	$	5,589,548	$	961,583

(2) Average capitalization of BlueTrend Class DS was $35,498,838.

* BlueTrend redeemed as of April 30, 2015.

John Locke DS (3) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	1,189,626	4.88	%	$	1,258,388	$	1,052,845
Currencies	38,559		0.16	%	40,787		34,125
Energy	220,250		0.90	%	232,981		194,926
Interest Rates	1,723,369		7.07	%	1,822,982		1,525,219
Metals	262,751		1.08	%	277,938		232,540
Stock Indices	241,105		0.99	%	255,041		213,383
TOTAL	$	3,675,660	15.08	%	$	3,888,117	$	3,253,038

(3) Average capitalization of John Locke Class DS was $24,336,141.

* John Locke redeemed as of April 30, 2015.

Lynx DS (4) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	807,721	2.44	%	$	1,178,332	$	11,089
Currencies	69,933		0.21	%	85,323		58,253
Energy	249,568		0.75	%	349,352		43,665
Interest Rates	2,109,893		6.39	%	2,979,873		297,054
Metals	213,437		0.64	%	289,286		63,272
Stock Indices	623,944		1.88	%	1,111,938		414,656
TOTAL	$	4,074,496	12.31	%	$	5,994,104	$	887,989

(4) Average capitalization of Lynx Class DS was $33,102,183.

* Lynx redeemed as of April 30, 2015.

Transtrend DS (5) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	1,719,219	4.87	%	$	2,438,783	$	241,557
Currencies	298,297		0.84	%	702,840		150,284
Energy	275,614		0.78	%	301,361		245,525
Interest Rates	1,583,766		4.49	%	1,950,399		1,028,515
Metals	116,112		0.33	%	281,383		56,107
Stock Indices	758,297		2.15	%	887,668		618,065
Others	143,713		0.41	%	143,713		143,713
TOTAL	$	4,895,018	13.87	%	$	6,706,147	$	2,483,766

(5) Average capitalization of Transtrend Class DS was $35,315,715.

* Transtrend redeemed as of April 30, 2015.

Tudor Tensor DS (6) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	447,314	1.83	%	$	628,215	$	567,932
Currencies	250,250		1.03	%	351,455		317,730
Energy	8,935		0.04	%	12,548		11,344
Interest Rates	278,368		1.14	%	390,945		353,431
Metals	1,258,617		5.16	%	1,571,426		558,800
Stock Indices	123,826		0.51	%	173,904		157,216
TOTAL	$	2,367,310	9.71	%	$	3,128,493	$	1,966,453

(6) Average capitalization of Tudor Tensor Class DS was $24,390,855.

* Tudor Tensor redeemed as of April 30, 2015.

Winton DS (7) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	304,057	0.69	%	$	419,487	$	122,260
Currencies	537,387		1.21	%	1,819,461		84,999
Energy	305,886		0.69	%	668,557		142,914
Interest Rates	1,528,473		3.45	%	2,163,220		472,487
Metals	380,153		0.86	%	459,897		308,843
Stock Indices	197,131		0.45	%	263,266		101,960
TOTAL	$	3,253,087	7.35	%	$	5,793,888	$	1,233,463

(7) Average capitalization of Winton Class DS was $44,253,768.

* Winton redeemed as of April 30, 2015.

Blakeney (8) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	25,889	0.13	%	$	59,615	$	1 ,234
Energy	108,967		0.57	%	271,612		22,423
Interest Rates	167,260		0.87	%	395,748		3,818
Metals	74,685		0.39	%	130,151		10,761
Stock Indices	83,962		0.44	%	196,113		11,163
Currencies	110,198		0.57	%	220,942		$	27,012
TOTAL	$	570,961	2.97	%	$	1,274,181	$	76,411

(8) Average capitalization of Blakeney is $19,177,743.

* Blakeney added in May 2015.

Campbell (9) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	96,315	0.42	%	$	266,226	$	33,319
Energy	114,098		0.49	%	301,082		2,974
Interest Rates	103,243		0.45	%	307,346		7,227
Metals	137,731		0.60	%	347,565		29,579
Stock Indices	81,226		0.35	%	230,333		17,937
Currencies	271,596		1.17	%	466,861		172,427
TOTAL	$	804,209	3.48	%	$	1,919,413	$	263,463

(9) Average capitalization of Campbell is $23,118,588.

* Campbell added in May 2015.

Carlisle (10) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	58,256	0.53	%	$	126,376	$	27,208
Energy	112,200		1.02	%	336,117		17,709
Interest Rates	108,208		0.99	%	237,959		19,488
Metals	71,570		0.65	%	147,925		1,467
Stock Indices	109,314		1.00	%	382,069		1,972
Currencies	62,477		0.57	%	131,880		5,533
Other	34,932		0.32	%	86,143		13,327
TOTAL	$	556,957	5.08	%	$	1,448,469	$	86,704

(10) Average capitalization of Carlisle is $10,981,988.

* Carlisle added in May 2015.

CCP Core Macro (11) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	11,581	0.11	%	$	31,773	$	331
Energy	43,150		0.40	%	129,654		7,043
Interest Rates	80,378		0.74	%	212,453		5,762
Metals	18,598		0.17	%	35,026		2,210
Stock Indices	124,038		1.14	%	304,273		26,181
Currencies	58,167		0.53	%	83,455		22,855
TOTAL	$	335,912	3.09	%	$	796,634	$	64,382

(11) Average capitalization of CCP Core Macro is $10,921,094.

* CCP Core Macro added in May 2015.

Quantica MF(12) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	21,647	0.11	%	$	43,912	$	3,911
Energy	64,678		0.33	%	270,708		671
Interest Rates	214,770		1.10	%	523,313		5,984
Metals	19,602		0.10	%	45,676		884
Stock Indices	244,784		1.25	%	549,858		53,301
Currencies	60,418		0.31	%	90,286		21,080
TOTAL	$	625,899	3.20	%	$	1,523,753	$	85,831

(12) Average capitalization of Quantica MF is $19,535,611.

* Quantica MF added in May 2015.

Silver (13) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	22,137	0.12	%	$	62,644	$	1,485
Energy	117,368		0.66	%	372,089		5,284
Interest Rates	129,098		0.72	%	389,786		12,670
Metals	87,907		0.49	%	146,393		1,056
Stock Indices	208,450		1.16	%	490,107		4,997
Currencies	130,796		0.73	%	244,752		2,790
TOTAL	$	695,756	3.88	%	$	1,705,771	$	28,282

(13) Average capitalization of Silver is $17,918,170.

* Silver added in May 2015.

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 Underlying 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 Underlying Funds. The magnitude of the Fund’s and the Underlying 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 Underlying 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 Underlying Funds — gives no indication of this “risk of ruin.”

Non-Trading Risk

The Master 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.

The Master 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 Underlying 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 the Manager and the Trading Advisors of the Underlying 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 Underlying 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.

3938

The Fund’s primary market risk exposures as well as the strategies used and to be used by the Manager and the Trading Advisors of the Underlying 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 Underlying 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 Underlying Fund (inclusive of its related Master Fund) and its Trading Advisor are monitored by the Manager’s investment team. This coverage is intended to provide that each Underlying Fund and its Trading Advisor are monitored by individuals who have an in-depth understanding of the Underlying Fund and its Trading Advisor, as well as knowledge of the market environment affecting that particular strategy.

Item 8: Financial Statements and Supplementary Data

The following quarterly information is unaudited.

	Fourth Quarter 2016			Third Quarter 2016			Second Quarter 2016			First Quarter 2016		Fourth Quarter 2015			Third Quarter 2015			Second Quarter 2015			First Quarter 2015
	Fourth Quarter 2017			Third Quarter 2017			Second Quarter 2017			First Quarter 2017		Fourth Quarter 2016			Third Quarter 2016			Second Quarter 2016			First Quarter 2016
Total Income (Loss)	$	(67,~~820~~452,~~880~~595	)	$	(41,~~168~~625,~~157~~790	)	$	~~664~~(4,~~987~~758,288	)	$	61,~~107~~033,~~121~~719	$	(26,~~832~~820,~~502~~880	)	$	(~~484~~4,~~440~~168,157	)	$	~~(22~~664,~~496,802~~987	)	$	156,~~122~~107,~~62 3~~121
Total Expenses	~~989~~529,~~667~~238			1553,~~198,101~~979			1629,~~037,548~~222			1722,~~210,461~~476		1989,~~137,206~~667			1,~~261~~198,~~473~~101			1,~~320~~037,~~333~~548			1,~~341~~210,~~563~~461
Net Income (Loss)	$	(76,~~810~~923,~~547~~357	)	$	(51,~~366~~071,~~258~~811	)	$	(~~372~~5,~~561~~387,510	)	$	4311,~~896,660~~243	$	(37,~~969~~810,~~708~~547	)	$	(15,~~745~~366,~~913~~258	)	$	(23372,~~817,135~~561	)	$	134,~~781~~896,~~060~~660
Net Income (Loss) per weighted average Unit(a)	$	(0.~~0657~~0938	)	$	(0.~~0414~~0129	)	$	(0.~~0027~~0569	)	$	0.~~0339~~0029	$	(0.0256	)	$	(0.0105	)	$	(0.1379	)	$	0.0764

(a) The Net Income (Loss) per weighted average Unit is based on the weighted average of the total Units for each quarter.

The financial statements required by this Item are included in Exhibit 13.01.

The supplementary financial information (“information about oil and gas producing activities”) specified by Item 302(b) of Regulation S-K is not applicable.

Item 9: Changes in and Disagreements With Accountants on Accounting and Financial Disclosure

On June 16, 2016, the Manager, on behalf of the Fund, dismissed PricewaterhouseCoopers LLP as the independent registered public accounting firm for the Fund. The Manager, on behalf of the Fund, appointed Ernst & Young Ltd. as the independent registered public accounting firm for the Fund, effective July 11, 2016.

There were no disagreements with the respective independent registered public accounting firms on accounting and financial disclosure.

Item 9A: Controls and Procedures

Disclosure Controls and Procedures

FRM Investment Management’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 and for the year ended December 31, 2017, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the year ended December 31, 2016, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Management’s Annual Report on Internal Control over Financial Reporting

The Fund’s management is responsible for establishing and maintaining adequate internal control over financial reporting. The Fund’s internal control over financial reporting is a process designed under the supervision of FRM Investment Management’s President and the Principal Financial Officer, on behalf of the Fund and is effected by management, other personnel and service providers to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles and included those policy and procedures that:

· Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Fund.

· Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Fund are being made only in accordance with authorizations of management and directors of the Fund; and

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

Because of its inherent limitations, internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation and presentation. Projections of any evaluation of effectiveness to future periods are subject to the risks that controls may become inadequate because of changes in condition, or that the degree of compliance with the policies or procedures may deteriorate.

The Fund’s management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, ~~2016~~2017. In making this assessment, management used the applicable criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control — Integrated Framework (2013).

Based on its assessment the Fund’s management concluded that at December 31, ~~2016~~2017, the Fund’s internal control over financial reporting was 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 December 31, ~~2016~~2017 that has materially affected, or is ~~reasonable~~reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 9B: Other Information

Not applicable.

PART III

Item 10: Directors, Executive Officers and Corporate Governance

10(a) and 10(b) Identification of Directors and Executive Officers:

The Fund has no officers or directors and is managed by FRM Investment Management (USA) LLC, its Manager. Trading decisions are made by the Trading Advisors on behalf of the Master Funds.

The executive officers of the Manager with respect to the Fund and their respective business backgrounds are as follows:

Michelle McCloskey President ~~Linzie Steinbach Principal Financial Officer~~

~~Michelle~~Linzie ~~McCloskey,~~Steinbach Principal ~~President~~Financial of the Manager, is Senior Managing Director at FRM, a member of Man Group’s Executive Committee, President of FRM Investments (USA) LLC (“FRM USA”), an investment management entity which forms a part of FRM, President of FRM Investment Management GP (USA) LLC (formerly known as Pine Grove Asset Management GP LLC), an entity within FRM that principally serves as general partner to certain funds of funds managed by the Manager (“FRM IM GP”), and is based in New York. FRM USA was a member of the NFA and was registered with the CFTC as a commodity pool operator from August 31, 1987 to June 11, 2015, and was registered with the CFTC as a commodity trading advisor from November 6, 1989 to June 11, 2015. FRM USA was also formerly registered as an “investment adviser” with the SEC. FRM IM GP was registered with the CFTC as a commodity pool operator and a commodity trading advisor and was a member of the NFA from April 19, 2011 to June 11, 2015. Michelle has been registered as an associated person and listed as a principal of the Manager since February 18, 2015. Michelle was also registered as an associated person and listed as a principal of FRM USA from January 7, 2013 and November 2, 2011, respectively, to June 11, 2015. Michelle was registered as an associated person and listed as a principal of FRM IM GP from March 6, 2015 to June 11, 2015. Michelle has overall oversight of the Manager Research team as well as the Managed Account Lifecycle team at FRM, of which the Manager, FRM IM GP and FRM USA form a part. Prior to assuming her current role in February 2013, Michelle was Head of the Commodities and New Alternatives teams, within Hedge Fund Research of Man’s Multi-Manager Business from June 2009 to July 2010, researching traditional commodities and new alternative hedge fund strategies including environmentally focused renewable energy and carbon trading strategies, and Head of Hedge Fund Research from July 2010 to February 2013, responsible for overseeing the qualitative investment process across all strategies on the manager research team. Michelle graduated magna cum laude with a BS in chemical engineering from Texas Tech University in Lubbock, Texas.Officer

Michelle McCloskey, President of the Manager, is President of Man Group, Americas, a member of Man Group’s Executive Committee, President of FRM Investment Management GP (USA) LLC (formerly known as Pine Grove Asset Management GP LLC), an entity within FRM that principally serves as general partner to certain funds of funds managed by the Manager (“FRM IM GP”), and is based in New York. FRM IM GP was registered with the CFTC as a commodity pool operator and a commodity trading advisor and was a member of the NFA from April 19, 2011 to June 11, 2015. Michelle has been registered as an associated person and listed as a principal of the Manager since February 18, 2015. Michelle was registered as an associated person and listed as a principal of FRM IM GP from March 6, 2015 to June 11, 2015. Michelle has executive oversight of the FRM business, of which the Manager and FRM IM GP form a part. Prior to assuming her current role in March 2017, Michelle had overall oversight of the Manager Research team as well as the Managed Account Lifecycle team at FRM from February 2013 to March 2017, was Head of the Commodities and New Alternatives teams, within Hedge Fund Research of Man’s Multi-Manager Business from June 2009 to July 2010, researching traditional commodities and new alternative hedge fund strategies including environmentally focused renewable energy and carbon trading strategies, and Head of Hedge Fund Research from July 2010 to February 2013, responsible for overseeing the qualitative investment process across all strategies on the manager research team. Michelle graduated magna cum laude with a BS in chemical engineering from Texas Tech University in Lubbock, Texas.

Linzie Steinbach, serves as a Fund Controller at Man Group and has been appointed as the Principal Financial Officer of the Manager with respect to the Fund. Prior to assuming her current role in April 2015, Ms. Steinbach was a Senior Vice President at Merrill Lynch serving as a hedge fund controller within the Alternative Investments Group. Before joining Merrill Lynch in March 2007, Ms. Steinbach was a financial analyst at D.E. Shaw & Co. She received a BBA in finance and accounting with high distinction recognition from Emory University Goizueta Business School.

None.

(d) Family Relationships:

None.

(e) Business Experience:

See Items 10(a) and (b) above.

(f) Involvement in Certain Legal Proceedings:

None.

(g) Promoters and Control Persons:

Not applicable.

(h) Section 16(a) Beneficial Ownership Reporting Compliance:

To the Fund’s knowledge all required Section 16(a) filings during the fiscal year ended December 31, ~~2016~~2017 were timely made.

Code of Ethics:

The Fund has no employees, officers or directors and is controlled by the Manager. The Manager has adopted an Executive Code of Ethics that applies to its principal executive officer and principal financial officer or persons performing similar functions on behalf of the Fund. A copy of the Executive Code of Ethics may be ~~obtained at no charge by written request to FRM Investment Management (USA) LLC, 452 Fifth Avenue, 26th Floor, New York, New York 10018, or by calling the Chief Compliance Officer at (212) 649-6600.~~

obtained at no charge by written request to FRM Investment Management (USA) LLC, 452 Fifth Avenue, 26th Floor, New York, New York 10018, or by calling the Chief Compliance Officer at (212) 649-6600.

Nominating Committee:

Not applicable.

Audit Committee: Audit Committee Financial Expert:

Not applicable. (Neither the Fund nor FRM Investment Management has an audit committee. There are no listed shares of the Fund or FRM Investment Management.)

Item 11: Executive Compensation

The officers of the Manager are remunerated by Man Group in their respective positions. These officers do not receive compensation from the Fund. The Fund does not have any officers or employees. The Fund pays Management Fees to the Manager, and the Underlying Funds pay Risk Management Fees to the Manager. See Item 1(c) “Narrative Description of Business—Description of Certain Current Charges.”

Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

(a) Security Ownership of Certain Beneficial Owners:

Not applicable. (The Units represent limited liability company interests. The Fund is managed by its Manager, Man FRM Investment Management (USA) LLC.)

(b) Security Ownership of Management:

As of December 31, ~~2016~~2017, the Manager owned no Unit-equivalent member interests, and the executive officers of the Manager did not own any Units.

None.

(d) Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

Item 13: Certain Relationships and Related Transactions and Director Independence

See Item 1(c) “Narrative Description of Business—Description of Certain Current Charges” regarding fees that the Manager receives from the Fund and Underlying Funds.

Director Independence

The Fund has no directors. The Fund is managed by certain officers of the Manager.

Item 14: Principal Accounting Fees and Services

(a) Audit Fees

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant PricewaterhouseCoopers LLP, for ~~the audit of the Fund’s annual financial statements and~~ review of financial statements included in the Fund’s Form 10-QK or services that ~~are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the year ended December 31, 2015 was $177,000.~~

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant PricewaterhouseCoopers LLP, for review of financial statements included in the Fund’s Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the year ended December 31, 2016 was $40,000.42

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant Ernst & Young Ltd., for the audit of the Fund’s annual financial statements and review of financial statements included in the Fund’s Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the year ended December 31, 2016 was $~~133~~40,000.

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant Ernst & Young Ltd., for the audit of the Fund’s annual financial statements and review of financial statements included in the Fund’s Form 10-K or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the year ended December 31, 2017 and 2016 was $163,000 and $133,000, respectively.

(b) Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, ~~2016~~2017 and December 31, ~~2015~~2016 related to the Fund.

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the ~~years~~year ended December 31, 2016 ~~and 2015~~ for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning.

Aggregate fees billed by Ernst & Young Ltd. or any member firms of the global Ernst & Young organization a for the year ended December 31, 2017 and 2016 for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning was $73,000 and $75,500, respectively.

(d) All Other Fees

No other fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the ~~years~~year ended December 31, 2016 ~~and 2015~~, other than as set forth in the preceding paragraph (a).

No other fees were billed by Ernst & Young Ltd. or any member firms the global Ernst & Young organization for the year ended December 31, 2017 and 2016, other than as set forth in the preceding paragraph (a) and (c).

(e) Neither the Fund nor the Manager has an audit committee to pre-approve principal accountant fees and services. In lieu of an audit committee, the Manager’s relevant officer pre-approves all services prior to the commencement of services.

commencement of services.

PART IV

Item 15: Exhibits, Financial Statement Schedules

1. Financial Statements of Man FRM Managed Futures Strategies LLC:

~~REPORTs~~REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS

FINANCIAL STATEMENTS:

Statements of Financial Condition as of December 31, ~~2016~~2017 and ~~2015~~2016

Statements of Operations for the years ended December 31, ~~2016~~2017, ~~2015~~2016 and ~~2014~~2015

~~Statements of Changes in Members’ Capital for the years ended December 31, 2016, 2015 and 2014~~43

~~Financial~~Statements ~~Data~~of ~~Highlights~~Changes in Members’ Capital for the years ended December 31, ~~2016~~2017, ~~2015~~2016 and ~~2014~~2015

Financial Data Highlights for the years ended December 31, 2017, 2016 and 2015

Notes to Financial Statements

2. Supplemental Financial Statement Schedules:

( ) Financial Statements of Blakeney Delaware Feeder LLC (Feeder) and Blakeney Fund Limited (Master Fund) as of and for the year ending December 31, 2017 (audited)

( ) Financial Statements of Century CAT MAC Delaware Feeder LLC (Feeder) and Century CAT MAC Cayman Fund Limited (Master Fund) as of and for the year ending December 31, 2016 (audited)

( ) Financial Statements of Campbell Delaware Feeder LLC (Feeder) and Campbell MAC Cayman Fund Limited (Master Fund) as of and for the year ending December 31, 2016 (audited)

( ) Financial Statements of Carlisle Delaware Feeder LLC (Feeder) and Carlisle Fund Limited (Master Fund) as of November 17, 2016 and for the period January 1, 2016 to November 17, 2016 (audited)

( ) Financial Statements of Quantica MF Delaware Feeder LLC (Feeder Fund) and Quantica MF Cayman Fund Limited (Master Fund) as of and for the years ending December 31, 2017, 2016 and 2015 (audited)

( ) Financial Statements of Silver Delaware Feeder LLC (Feeder Fund) and Silver MAC Limited (Master Fund) as of and for the years ending December 31, 2016 and, 2015 (audited)

( ) Financial Statements of Aspect FuturesAccess LLC as of and for the ~~years~~year ending December 31, 2015 ~~and 2014~~ (audited)

( ) Financial Statements of BlueTrend FuturesAccess LLC as of and for the ~~years~~year ending December 2015 ~~and 2014~~ (audited)

( ) Financial Statements of ~~John~~ML ~~Locke~~Transtrend ~~FutureAccess~~DTP Enhanced FuturesAccess LLC as of and for the year ending December 31, ~~2014~~2015 (audited)

45( ) Financial Statements of Winton FuturesAccess LLC as of and for the year ending December 31, 2015 (audited)

( ) Financial Statements of Lynx FuturesAccess LLC as of and for the year ending December 31, 2014 (audited)

( ) Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC as of and for the years ending December 31, 2015 and 2014 (audited)

( ) Financial Statements of Tudor Tensor FuturesAccess LLC as of and for the year ending December 31, 2014 (audited)

( ) Financial Statements of Winton FuturesAccess LLC as of and for the years ending December 31, 2015 and 2014 (audited)

3. Exhibits: The following exhibits are incorporated by reference or are filed herewith to this Annual Report on Form 10-K:

Designation		Description
3.01		Amended and Restated Certificate of Formation of ML Systematic Momentum FuturesAccess LLC.
Exhibit 3.01:		Is incorporated by reference from Exhibit 3.01 contained in the registrants Report on Form 8-K filed on February 14, 2012.
3.02		Amendment to Certificate of Formation of Systematic Momentum FuturesAccess LLC.
Exhibit 3.02:		Is incorporated by reference from Exhibit 3.01(i) contained in the registrant’s Report on Form 8-K filed on May 7, 2015.
3.03		Fifth Amended and Restated Limited Liability Company Operating Agreement of Man FRM Managed Futures Strategies LLC.
Exhibit 3.03		Is incorporated by reference from Exhibit 3.02 contained in the registrant’s Report on Form 8-K, filed on August 25, 2015.
13.01		2016 Annual Report and Reports of Independent Registered Public Accounting Firms
13.02		Financial Statements of Century CAT MAC Delaware Feeder LLC
13.03		Financial Statements of Campbell Delaware Feeder LLC
13.04		Financial Statements of Carlisle Delaware Feeder LLC
13.05		Financial Statements of Quantica MF Delaware Feeder LLC
13.06		Financial Statements of Silver Delaware Feeder LLC
13.07		Financial Statements of Aspect FuturesAccess LLC
13.08		Financial Statements of ML BlueTrend FuturesAccess LLC
13.09		Financial Statements of John Locke FuturesAccess LLC
13.10		Financial Statements of Lynx FuturesAccess LLC

Exhibit 3.02:		Is incorporated by reference from Exhibit 3.01(i) contained in the registrant’s Report on Form 8-K filed on May 7, 2015.

3.03		Fifth Amended and Restated Limited Liability Company Operating Agreement of Man FRM Managed Futures Strategies LLC.

Exhibit 3.03		Is incorporated by reference from Exhibit 3.02 contained in the registrant’s Report on Form 8-K, filed on August 25, 2015.

13.01		2017 Annual Report and Reports of Independent Registered Public Accounting Firms

13.02		Financial Statements of Blakeney Delaware Feeder LLC

13.03		Financial Statements of Century CAT MAC Delaware Feeder LLC

13.04		Financial Statements of Campbell Delaware Feeder LLC

13.05		Financial Statements of Carlisle Delaware Feeder LLC

13.06		Financial Statements of Quantica MF Delaware Feeder LLC

13.07		Financial Statements of Silver Delaware Feeder LLC

13.08		Financial Statements of Aspect FuturesAccess LLC

13.09		Financial Statements of BlueTrend FuturesAccess LLC

13.10		Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC

13.11		Financial Statements of ML Winton FuturesAccess LLC

		Are filed herewith.

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.

101		The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 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.

Exhibit 101		Is filed herewith.

Item 16: Form 10-K Summary

None

MAN FRM MANAGED FUTURES STRATEGIES LLC

2017 FORM 10-K

INDEX TO EXHIBITS

		Exhibit

Exhibit 13.01		2017 Annual Report and Report of Independent Registered Public Accounting Firms.

Exhibit 13.02		Financial Statements of Blakeney Delaware Feeder LLC

Exhibit 13.03		Financial Statements of Century CAT MAC Delaware Feeder LLC

Exhibit 13.04		Financial Statements of Campbell Delaware Feeder LLC

Exhibit 13.05		Financial Statements of Carlisle Delaware Feeder LLC

Exhibit 13.06		Financial Statements of Quantica MF Delaware Feeder LLC

Exhibit 13.07		Financial Statements of Silver Delaware Feeder LLC

Exhibit 13.08		Financial Statements of Aspect FuturesAccess LLC

Exhibit 13.09		Financial Statements of ML BlueTrend FuturesAccess LLC

Exhibit 13.10		Financial Statements of John Locke FuturesAccess LLC

Exhibit 13.11		Financial Statements of Lynx FuturesAccess LLC

Exhibit 13.12		Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC

Exhibit 13.13		Financial Statements of Tudor Tensor FuturesAccess LLC

Exhibit 13.14		Financial Statements of ML Winton FuturesAccess LLC

Exhibit 31.01 and 31.02		Rule 13a - 14(a) / 15d - 14(a) Certifications

Exhibit 32.01 and 32.02		Sections 1350 Certifications

Exhibit 101		The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 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.

13.11		Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC
13.12		Financial Statements of Tudor Tensor FuturesAccess LLC
13.13		Financial Statements of ML Winton FuturesAccess LLC
		Are filed herewith.
31.01 and 31.02		Rule 13a-14(a)/15d-14(a) Certifications
Exhibit 31.01		Are filed herewith.
and 31.02:
32.01 and 32.02		Section 1350 Certifications.
Exhibit 32.01
and 32.02:		Are filed herewith.
101		The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016 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.
Exhibit 101		Is filed herewith.

SIGNATURES

Pursuant to the requirements of Section 13 or Section 15(d) 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 on March 29, ~~2017~~2018.

MAN FRM MANAGED FUTURES STRATEGIES LLC

By: FRM INVESTMENT MANAGEMENT (USA) LLC, Manager

By:	/s/Michelle McCloskey
Michelle McCloskey
President
(Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Signature	Title	Date
/s/ Michelle McCloskey	President	March 29,~~2017~~2018
Michelle McCloskey	(Principal Executive Officer)
/s/ Linzie Steinbach	Principal Financial Officer	March 29, ~~2017~~2018
Linzie Steinbach	(Principal Financial Officer)

4847

MAN FRM MANAGED FUTURES STRATEGIES LLC

2016 FORM 10-K

INDEX TO EXHIBITS

Exhibit
Exhibit 13.01		2016 Annual Report and Report of Independent Registered Public Accounting Firms.
Exhibit 13.02		Financial Statements of Century CAT MAC Delaware Feeder LLC
Exhibit 13.03		Financial Statements of Campbell Delaware Feeder LLC
Exhibit 13.04		Financial Statements of Carlisle Delaware Feeder LLC
Exhibit 13.05		Financial Statements of Quantica MF Delaware Feeder LLC
Exhibit 13.06		Financial Statements of Silver Delaware Feeder LLC
Exhibit 13.07		Financial Statements of Aspect FuturesAccess LLC
Exhibit13.08		Financial Statements of ML BlueTrend FuturesAccess LLC
Exhibit 13.09		Financial Statements of John Locke FuturesAccess LLC
Exhibit 13.10		Financial Statements of Lynx FuturesAccess LLC
Exhibit 13.11		Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC
Exhibit 13.12		Financial Statements of Tudor Tensor FuturesAccess LLC
Exhibit 13.13		Financial Statements of ML Winton FuturesAccess LLC
Exhibit 31.01 and 31.02		Rule 13a - 14(a) / 15d - 14(a) Certifications
Exhibit 32.01 and 32.02		Sections 1350 Certifications
Exhibit 101		The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016 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.

Filing Compare · MAN FRM MANAGED FUTURES STRATEGIES LLC