Millburn Multi-Markets Fund 10Q 2023 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended: September 30, 2023

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

For the Transition Period from ___________ to ___________

Commission File Number: 000-54028

MILLBURN MULTI-MARKETS FUND L.P.

(Exact name of registrant as specified in its charter)

Delaware		26-4038497
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46^th Street, 31^stFloor

New York, NY 10036

(Address of principal executive offices) (Zip Code)

(212) 332-7300

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class		Trading Symbol(s)		Name of each exchange on which registered
None		None		None

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 ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically, every Interactive Data File required to be submitted 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 such files).

Yes ☒ No ☐

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

Large accelerated filer	☐	Accelerated filer	☐
Non-accelerated filer	☐	Smaller reporting company	☒
		Emerging growth company	☐

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

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

Yes ☐ No ☒

PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Millburn Multi-Markets Fund L.P.

Financial statements

As of and for the three and nine months ended September 30, 2023 and 2022 (unaudited)

Statements of Financial Condition (a)		1
Statements of Operations (c)		2
Statements of Changes in Partners’ Capital (b)		4
Statements of Financial Highlights (c)		5
Notes to Financial Statements		9

(a)	At September 30, 2023 (unaudited) and December 31, 2022

(b)	For the nine months ended September 30, 2023 and 2022 (unaudited)

(c)	For the three and nine months ended September 30, 2023 and 2022 (unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition


	September 30, 2023		December 31, 2022
	(unaudited)
ASSETS
Investment in Millburn Multi-Markets
Trading L.P. (the “Master Fund”)	$	139,823,140	$	143,276,896
Due from the Master Fund		645,802		484,354
Cash and cash equivalents		3,975		400,119

Total assets	$	140,472,917	$	144,161,369

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Capital contributions received in advance	$	3,677	$	400,000
Capital withdrawals payable to Limited Partners		645,802		484,354
Other liabilities		298		119

Total liabilities		649,777		884,473

PARTNERS’ CAPITAL:
General Partner		3,436,603		3,216,369

Limited partners:
Series A (87,503.4582 and 90,460.9714 units outstanding)		118,986,866		119,302,999
Series B (4,713.4592 and 4,884.6100 units outstanding)		7,949,327		7,896,417
Series C (2,443.2450 and 2,701.6303 units outstanding)		4,204,183		4,456,048
Series D (3,255.9532 and 5,512.0257 units outstanding)		5,155,692		8,405,063
Series E (83.1700 and 0 units outstanding)		90,469		-

Total limited partners		136,386,537		140,060,527

Total partners’ capital		139,823,140		143,276,896

TOTAL	$	140,472,917	$	144,161,369

NET ASSET VALUE PER UNIT OUTSTANDING:
Series A	$	1,359.80	$	1,318.83
Series B	$	1,686.52	$	1,616.59
Series C	$	1,720.74	$	1,649.39
Series D	$	1,583.47	$	1,524.86
Series E *	$	1,087.76	$	-

*	Series E had a beginning unit value of $1,000.00 as of March 1, 2023

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)


	For the three months ended
	September 30,			September 30,
	2023			2022
INVESTMENT INCOME:
Interest income	$	2,098		$	123
Interest income, net (allocated from the Master Fund)⁽¹⁾		1,575,624			578,365

Total investment income		1,577,722			578,488

EXPENSES:
Management fees (allocated from the Master Fund)⁽¹⁾		571,508			611,932
Brokerage commissions (allocated from the Master Fund)⁽¹⁾		128,022			136,227
Selling commissions and platform fees (allocated from the Master Fund)⁽¹⁾		575,998			607,573
Administrative and operating expenses (allocated from the Master Fund)⁽¹⁾		160,493			141,924
Custody fees and other expenses (allocated from the Master Fund)⁽¹⁾		5,908			5,644

Total expenses		1,441,929			1,503,300

NET INVESTMENT INCOME (LOSS)		135,793			(924,812	)

REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND⁽¹⁾
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		11,208,120			10,711,547
Foreign exchange transaction		(111,494	)		93,895
Net change in unrealized:
Futures and forward currency contracts		2,557,086			(1,211,375	)
Foreign exchange translation		59,284			(59,368	)
Net gains (losses) from U.S. Treasury notes:
Realized		(32,404	)		(51,586	)
Net change in unrealized		121,665			(309,424	)

Net realized and unrealized gains allocated from the Master Fund		13,802,257			9,173,689

NET INCOME		13,938,050			8,248,877

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		1,088,761			1,610,770

NET INCOME AFTER PROFIT SHARE	$	12,849,289		$	6,638,107

NET INCOME PER UNIT OUTSTANDING:
Series A	$	123.51		$	58.80
Series B	$	155.92		$	78.93
Series C	$	159.08		$	80.53
Series D	$	145.10		$	72.77
Series E*	$	115.38		$	-

(1)	The Partnership’s proportionate share of income and expenses allocated from the Master Fund for the period ended.

*	Series E commenced on March 1, 2023

See notes to financial statements (Unaudited)

(Continued)

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)


	For the nine months ended
	September 30,			September 30,
	2023			2022
INVESTMENT INCOME:
Interest income	$	2,447		$	273
Interest income, net (allocated from the Master Fund)⁽¹⁾		4,119,137			964,346

Total investment income		4,121,584			964,619

EXPENSES:
Management fees (allocated from the Master Fund)⁽¹⁾		1,717,295			1,757,740
Brokerage commissions (allocated from the Master Fund)⁽¹⁾		398,854			459,704
Selling commissions and platform fees (allocated from the Master Fund)⁽¹⁾		1,718,913			1,750,252
Administrative and operating expenses (allocated from the Master Fund)⁽¹⁾		409,420			398,835
Custody fees and other expenses (allocated from the Master Fund)⁽¹⁾		17,948			17,545

Total expenses		4,262,430			4,384,076

NET INVESTMENT LOSS		(140,846	)		(3,419,457	)

REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND⁽¹⁾
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		6,048,644			25,664,741
Foreign exchange transaction		(261,499	)		(21,407	)
Net change in unrealized:
Futures and forward currency contracts		(965,836	)		4,224,188
Foreign exchange translation		79,309			(62,823	)
Net gains (losses) from U.S. Treasury notes:
Realized		(72,547	)		(69,124	)
Net change in unrealized		462,822			(902,688	)

Net realized and unrealized gains allocated from the Master Fund		5,290,893			28,832,887

NET INCOME		5,150,047			25,413,430

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		1,088,761			2,817,992

NET INCOME AFTER PROFIT SHARE	$	4,061,286		$	22,595,438

NET INCOME PER UNIT OUTSTANDING:
Series A	$	40.97		$	207.28
Series B	$	69.93		$	259.06
Series C	$	71.35		$	264.31
Series D	$	58.61		$	229.87
Series E*	$	87.76		$	-

(1)	The Partnership’s proportionate share of income and expenses allocated from the Master Fund for the period ended.

*	Series E commenced on March 1, 2023

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners’ Capital (UNAUDITED)

For the nine months ended September 30, 2023 and 2022


	General		Limited Partners
	Partner		Series A						Series B						Series C						Series D						Series E^*				Total
	Amount		Amount			Units			Amount			Units			Amount			Units			Amount			Units			Amount		Units		Amount
PARTNERS’ CAPITAL — January 1, 2023	$	3,216,369	$	119,302,999			90,460.9714		$	7,896,417			4,884.6100		$	4,456,048			2,701.6303		$	8,405,063			5,512.0257		$	-		-	$	143,276,896

Capital contributions		-		600,000			469.0456			150,000			100.6155			120,000			78.8599			199,000			141.5260			82,002		83.1700		1,151,002
Capital withdrawals		-		(4,263,972	)		(3,426.5588	)		(418,166	)		(271.7663	)		(564,234	)		(337.2452	)		(3,419,672	)		(2,397.5985	)		-		-		(8,666,044	)
Net income before profit share		220,234		4,250,302			-			406,994			-			242,092			-			21,958			-			8,467		-		5,150,047
Profit share				(902,463	)		-			(85,918	)		-			(49,723	)		-			(50,657	)		-			-		-		(1,088,761	)
PARTNERS’ CAPITAL — September 30, 2023	$	3,436,603	$	118,986,866			87,503.4582		$	7,949,327			4,713.4592		$	4,204,183			2,443.2450		$	5,155,692			3,255.9532		$	90,469		83.1700	$	139,823,140

Net Asset Value per Unit at September 30, 2023						$	1,359.80					$	1,686.52					$	1,720.74					$	1,583.47				$	1,087.76

	General		Limited Partners
	Partner		Series A						Series B						Series C						Series D								Total
	Amount		Amount			Units			Amount			Units			Amount			Units			Amount			Units					Amount
PARTNERS’ CAPITAL — January 1, 2022	$	2,667,014	$	105,051,882			91,525.4967		$	6,954,675			4,982.8851		$	3,469,370			2,436.2995		$	9,933,216			7,448.6560		-	-	$	128,076,157

Capital contributions		-		4,400,000			3,479.1302			40,000			29.4878			1,335,000			865.3567			375,000			253.6190					6,150,000
Capital withdrawals		-		(3,707,103	)		(3,097.0912	)		(193,838	)		(127.7629	)		(679,554	)		(491.0000	)		(2,708,671	)		(2,029.9071	)				(7,289,166	)
Net income before profit share		627,804		20,960,265			-			1,512,431			-			740,875			-			1,572,055			-					25,413,430
Profit share		-		(2,164,009	)		-			(230,372	)		-			(120,337	)		-			(303,274	)		-		-	-		(2,817,992	)
PARTNERS’ CAPITAL — September 30, 2022	$	3,294,818	$	124,541,035			91,907.5357		$	8,082,896			4,884.6100		$	4,745,354			2,810.6562		$	8,868,326			5,672.3679		-	-	$	149,532,429

Net Asset Value per Unit at September 30, 2022						$	1,355.07					$	1,654.77					$	1,688.34					$	1,563.43		-	-

*	Series E had a beginning unit value of $1,000.00 as of March 1, 2023

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2023

The following information presents per unit operating performance data for each series for the three months ended September 30, 2023.


Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C			Series D			Series E ⁽⁷⁾
NET ASSET VALUE PER UNIT — Beginning of period	$	1,236.29		$	1,530.60		$	1,561.66		$	1,438.37		$	972.38

INCOME ALLOCATED FROM THE MASTER FUND:
Net investment income⁽¹⁾		0.24			8.29			8.54			4.12			10.57
Total trading and investing gains⁽¹⁾		133.32			165.49			169.36			152.16			104.81

Net income before profit share allocation from the Master Fund		133.56			173.78			177.90			156.28			115.38

Less: profit share allocation from the Master Fund⁽¹⁾⁽⁶⁾		10.05			17.86			18.82			11.18			0.00

Net income from operations after profit share allocation from the Master Fund		123.51			155.92			159.08			145.10			115.38

NET ASSET VALUE PER UNIT — End of period	$	1,359.80		$	1,686.52		$	1,720.74		$	1,583.47		$	1,087.76

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		10.79	%		11.32	%		11.32	%		11.12	%		11.87	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾⁽⁶⁾		0.80			1.13			1.13			1.03			0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		9.99	%		10.19	%		10.19	%		10.09	%		11.87	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses^(3)(4)(5)		4.65	%		2.64	%		2.64	%		3.40	%		0.88	%
Profit share allocation from the Master Fund⁽²⁾⁽⁶⁾		0.80			1.13			1.13			1.03			0.00

Total expenses		5.45	%		3.77	%		3.77	%		4.43	%		0.88	%

Net investment income^{(3) (4)(5)}		0.09	%		2.09	%		2.09	%		1.34	%		3.84	%

See notes to financial statements (Unaudited)

(Continued)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2023

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2023.


Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C			Series D			Series E⁽⁷⁾
NET ASSET VALUE PER UNIT — Beginning of period	$	1,318.83		$	1,616.59		$	1,649.39		$	1,524.86		$	1,000.00

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment income (loss)⁽¹⁾		(4.32	)		17.84			18.29			7.63			26.11
Total trading and investing gains⁽¹⁾		55.34			69.95			71.88			62.16			61.65

Net income before profit share allocation from the Master Fund		51.02			87.79			90.17			69.79			87.76

Less: profit share allocation from the Master Fund⁽¹⁾⁽⁶⁾		10.05			17.86			18.82			11.18			0.00

Net income from operations after profit share allocation from the Master Fund		40.97			69.93			71.35			58.61			87.76

NET ASSET VALUE PER UNIT — End of period	$	1,359.80		$	1,686.52		$	1,720.74		$	1,583.47		$	1,087.76

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		3.91	%		5.49	%		5.49	%		4.61	%		8.78	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾⁽⁶⁾		0.80			1.16			1.16			0.77			0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		3.11	%		4.33	%		4.33	%		3.84	%		8.78	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses^(3)(4)(5)		4.58	%		2.58	%		2.58	%		3.32	%		0.83	%
Profit share allocation from the Master Fund⁽²⁾⁽⁶⁾		0.80			1.16			1.16			0.77			0.00

Total expenses		5.38	%		3.74	%		3.74	%		4.09	%		0.83	%

Net investment income (loss)^(3)(4)(5)		(0.46	)%		1.54	%		1.54	%		0.70	%		3.56	%

(1)

The net investment income (loss) per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing loss is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Not Annualized.

(3)	Annualized.

(4)	Includes the Partnership’s proportionate share of income (if applicable) and expenses allocated from the Master Fund.

(5)	Excludes profit share allocation from the Master Fund.

(6)	Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

(7)	Initial offering price for Series E was $1,000 as of March 1, 2023.

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2022

The following information presents per unit operating performance data for each series for the three months ended September 30, 2022.


Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C			Series D
NET ASSET VALUE PER UNIT — Beginning of period	$	1,296.27		$	1,575.84		$	1,607.81		$	1,490.66

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss⁽¹⁾		(9.40	)		(3.71	)		(3.15	)		(6.50	)
Total trading and investing gains⁽¹⁾		82.97			102.32			105.49			97.23

Net income before profit share allocation from the Master Fund		73.57			98.61			102.34			90.73

Less: profit share allocation from the Master Fund⁽¹⁾⁽⁶⁾		14.77			19.68			21.81			17.96

Net income from operations after profit share allocation from the Master Fund		58.80			78.93			80.53			72.77

NET ASSET VALUE PER UNIT — End of period	$	1,355.07		$	1,654.77		$	1,688.34		$	1,563.43

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		5.69	%		6.32	%		6.32	%		6.10	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾⁽⁶⁾		1.15			1.31			1.31			1.22

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		4.54	%		5.01	%		5.01	%		4.88	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses^(3)(4)(5)		4.58	%		2.58	%		2.58	%		3.36	%
Profit share allocation from the Master Fund⁽²⁾⁽⁶⁾		1.15			1.31			1.31			1.22

Total expenses		5.73	%		3.89	%		3.89	%		4.58	%

Net investment loss^(3)(4)(5)		(2.94	)%		(0.94	)%		(0.94	)%		(1.70	)%

(1)

The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Not Annualized.

(3)	Annualized.

(4)	Includes the Partnership’s proportionate share of income (if applicable) and expenses allocated from the Master Fund.

(5)	Excludes profit share allocation from the Master Fund.

(6)	Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements (Unaudited)

(Continued)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2022

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2022.


Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C			Series D
NET ASSET VALUE PER UNIT — Beginning of period	$	1,147.79		$	1,395.71		$	1,424.03		$	1,333.56

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss⁽¹⁾		(34.09	)		(19.04	)		(18.61	)		(26.68	)
Total trading and investing gains⁽¹⁾		265.01			324.74			333.07			306.64

Net income before profit share allocation from the Master Fund		230.92			305.70			314.46			279.96

Less: profit share allocation from the Master Fund⁽¹⁾⁽⁶⁾		23.64			46.64			50.15			50.09

Net income from operations after profit share allocation from the Master Fund		207.28			259.06			264.31			229.87

NET ASSET VALUE PER UNIT — End of period	$	1,355.07		$	1,654.77		$	1,688.34		$	1,563.43

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		19.97	%		21.82	%		21.82	%		20.76	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾⁽⁶⁾		1.91			3.26			3.26			3.52

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		18.06	%		18.56	%		18.56	%		17.24	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses^(3)(4)(5)		4.62	%		2.63	%		2.63	%		3.41	%
Profit share allocation from the Master Fund⁽²⁾⁽⁶⁾		1.91			3.26			3.26			3.52

Total expenses		6.53	%		5.89	%		5.89	%		6.93	%

Net investment loss^(3)(4)(5)		(3.68	)%		(1.61	)%		(1.61	)%		(2.50	)%

(1)

(2)	Not Annualized.

(3)	Annualized.

(4)	Includes the Partnership’s proportionate share of income (if applicable) and expenses allocated from the Master Fund.

(5)	Excludes profit share allocation from the Master Fund.

(6)	Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements (Unaudited)

(Concluded)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at September 30, 2023 (unaudited) and December 31, 2022 and the results of its operations for the three and nine months ended September 30, 2023 and 2022 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership’s 2022 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2022 information has been derived from the audited financial statements as of December 31, 2022.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Partnership enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2019 to 2022, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.

Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.

There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership’s Annual Report on Form 10-K for fiscal year 2022.

2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at September 30, 2023 and December 31, 2022 was 30.22% and 31.44%, respectively, of total partners’ capital of the Master Fund. See the attached financial statements of the Master Fund.

3. RELATED PARTY TRANSACTIONS

The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Administrative and operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital.

Series A Limited Partners that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units’ net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At September 30, 2023 and December 31, 2022, there were no redemption charges owed to the General Partner.

4. FINANCIAL HIGHLIGHTS

Per unit operating performance for Series A, Series B, Series C, Series D and Series E Units is calculated based on Limited Partners’ Partnership capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the period. On March 1, 2023, there was a subscription of Series E for $1,000 per unit. Weighted average number of units outstanding of each series is detailed below.


	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Series A		88,158.066		92,027.045		89,780.642		91,548.490
Series B		4,769.893		4,894.931		4,810.918		4,939.315
Series C		2,673.512		2,746.504		2,642.037		2,399.748
Series D		3,294.702		5,713.954		4,532.642		6,054.670
Series E		79.781		-		71.733		-

5. SUBSEQUENT EVENTS

The General Partner has performed its evaluation of subsequent events from October 1, 2023 to November 13, 2023, the date the Form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statements.

Millburn Multi-Markets Trading L.P.

Financial statements

As of and for the three and nine months ended September 30, 2023 and 2022 (unaudited)

Statements of Financial Condition (a)		11
Condensed Schedules of Investments (a)		12
Statements of Operations (c)		16
Statements of Changes in Partners’ Capital (b)		18
Statements of Financial Highlights (c)		19
Notes to Financial Statements		21

(a)	At September 30, 2023 (unaudited) and December 31, 2022

(b)	For the nine months ended September 30, 2023 and 2022 (unaudited)

(c)	For the three and nine months ended September 30, 2023 and 2022 (unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition


	September 30, 2023		December 31, 2022
	(unaudited)
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $91,986,893 and $89,349,095)	$	91,684,741	$	88,701,332
Net unrealized appreciation on open futures and forward currency contracts		21,015,042		22,685,702
Due from brokers, net		11,307,267		20,495,996
Cash denominated in foreign currencies (cost $34,364 and $4,434)		33,463		4,701

Total equity in trading accounts		124,040,513		131,887,731

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $342,050,999 and $309,961,675)		341,649,007		308,402,203

CASH AND CASH EQUIVALENTS		15,376,381		33,987,736

ACCRUED INTEREST RECEIVABLE		2,988,835		2,250,451

OTHER ASSETS		398		219

TOTAL	$	484,055,134	$	476,528,340

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	418,537	$	-
Cash overdrafts denominated in foreign currencies (cost $5,646,089 and $5,261,847)		5,560,634		5,438,253
Subscriptions received in advance		112,677		575,000
Capital withdrawals payable to Limited Partners		9,003,496		1,287,624
Capital withdrawal payable to General Partner		-		12,464,726
Management fee payable		455,109		451,041
Selling commissions payable		203,533		206,886
Accrued expenses		323,006		346,648
Commissions and other trading fees on open futures contracts		29,900		37,972
Accrued profit share		5,330,048		-

Total liabilities		21,436,940		20,808,150

PARTNERS’ CAPITAL		462,618,194		455,720,190

TOTAL	$	484,055,134	$	476,528,340

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 30, 2023


FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation (Depreciation) as a % of Partners’ Capital			Net Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Currencies		0.00	%	$	5,375
Energies		0.39			1,789,351
Grains		(0.01	)		(64,700	)
Interest rates		(0.01	)		(54,902	)
Livestock		(0.02	)		(63,010	)
Metals		0.25			1,174,279
Softs		(0.01	)		(34,770	)
Stock indices		(0.09	)		(426,209	)

Total long futures contracts		0.50			2,325,414

Short futures contracts:
Currencies		0.07			330,440
Energies		0.02			102,097
Grains		0.37			1,721,363
Interest rates:
2 Year U.S. Treasury Note (1,616 contracts, settlement date December 2023)		0.20			918,500
5 Year U.S. Treasury Note (971 contracts, settlement date December 2023)		0.01			46,664
30 Year U.S. Treasury Note (334 contracts, settlement date December 2023)		0.19			900,031
Other interest rates		2.74			12,661,525

Total interest rates		3.14			14,526,720

Metals		0.31			1,435,838
Softs		0.08			348,176
Stock indices		(0.02	)		(89,790	)

Total short futures contracts		3.97			18,374,844

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		4.47			20,700,258

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		(0.89	)		(4,139,247	)
Total short forward currency contracts		0.87			4,035,494

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		(0.02	)		(103,753	)

TOTAL		4.45	%	$	20,596,505

(Continued)

Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 30, 2023

U.S. TREASURY NOTES

Face Amount		Description	Fair Value as a % of Partners’ Capital			Fair Value
	106,020,000	U.S. Treasury notes, 2.750%, 11/15/2023		22.85	%	$	105,688,688
	110,680,000	U.S. Treasury notes, 2.750%, 02/15/2024		23.69			109,579,685
	111,530,000	U.S. Treasury notes, 2.500%, 05/15/2024		23.67			109,515,054
	111,490,000	U.S. Treasury notes, 2.375%, 08/15/2024		23.46			108,550,321
		Total investments in U.S. Treasury notes (amortized cost $434,037,892)		93.67	%	$	433,333,748

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2022

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation (Depreciation) as a % of Partners’ Capital			Net Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Currencies		0.01	%	$	51,834
Energies		0.91			4,130,190
Grains		0.09			400,196
Interest rates		(0.04	)		(183,318	)
Livestock		(0.00	)		(25,990	)
Metals		0.17			788,340
Softs		(0.02	)		(89,566	)
Stock indices		(0.06	)		(262,708	)

Total long futures contracts		1.06			4,808,978

Short futures contracts:
Currencies		0.00			(19,221	)
Energies		0.66			2,993,111
Grains		(0.02	)		(100,750	)
Interest rates:
2 Year U.S. Treasury Note (779 contracts, settlement date March 2023)		0.06			275,407
30 Year U.S. Treasury Bond (260 contracts, settlement date March 2023)		0.01			46,531
Other interest rates		2.86			13,022,545

Total interest rates		2.93			13,344,483

Metals		(0.15	)		(650,216	)
Softs		(0.01	)		(35,000	)
Stock indices		0.03			139,034

Total short futures contracts		3.44			15,671,441

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		4.50			20,480,419

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		1.06			4,825,541
Total short forward currency contracts		(0.58	)		(2,620,258	)

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		0.48			2,205,283

TOTAL		4.98	%	$	22,685,702

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2022

U.S. TREASURY NOTES

Face Amount		Description	Fair Value as a % of Partners’ Capital			Fair Value
	77,590,000	U.S. Treasury notes, 2.000%, 02/15/2023		16.98	%	$	77,385,416
	121,340,000	U.S. Treasury notes, 1.750%, 05/15/2023		26.35			120,074,462
	87,490,000	U.S. Treasury notes, 2.500%, 08/15/2023		18.94			86,293,848
	115,300,000	U.S. Treasury notes, 2.750%, 11/15/2023		24.87			113,349,809
		Total investments in U.S. Treasury notes (amortized cost $399,310,770)		87.14	%	$	397,103,535

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)


	For the three months ended
	September 30,			September 30,
	2023			2022
INVESTMENT INCOME — Interest income, net	$	5,344,898		$	1,957,682

EXPENSES:
Brokerage commissions		434,130			453,610
Management fees		1,294,773			1,330,968
Selling commissions and platform fees		576,002			607,578
Administrative and operating expenses		318,189			300,446
Custody fees and other expenses		20,083			19,312

Total expenses		2,643,177			2,711,914

NET INVESTMENT INCOME (LOSS)		2,701,721			(754,232	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		38,492,519			34,424,853
Foreign exchange transaction		(347,005	)		287,478
Net change in unrealized:
Futures and forward currency contracts		7,949,340			(1,003,554	)
Foreign exchange translation		170,511			(171,826	)
Net gains (losses) from U.S. Treasury notes:
Realized		(109,550	)		(176,504	)
Net change in unrealized		411,769			(1,060,664	)

Total net realized and unrealized gains		46,567,584			32,299,783

NET INCOME		49,269,305			31,545,551

LESS PROFIT SHARE TO GENERAL PARTNER		5,285,625			6,792,032

NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER	$	43,983,680		$	24,753,519

See notes to financial statements (Unaudited)

(Continued)

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)


	For the nine months ended
	September 30,			September 30,
	2023			2022
INVESTMENT INCOME — Interest income, net	$	13,663,627		$	3,171,308

EXPENSES:
Brokerage commissions		1,316,326			1,473,074
Management fees		3,818,167			3,647,256
Selling commissions and platform fees		1,718,930			1,750,268
Administrative and operating expenses		851,112			829,218
Custody fees and other expenses		59,079			56,943

Total expenses		7,763,614			7,756,759

NET INVESTMENT INCOME (LOSS)		5,900,013			(4,585,451	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		21,877,550			81,075,337
Foreign exchange transaction		(859,560	)		(73,337	)
Net change in unrealized:
Futures and forward currency contracts		(2,089,197	)		15,063,885
Foreign exchange translation		260,693			(187,787	)
Net gains (losses) from U.S. Treasury notes:
Realized		(237,850	)		(231,364	)
Net change in unrealized		1,503,091			(2,933,500	)

Total net realized and unrealized gains		20,454,727			92,713,234

NET INCOME		26,354,740			88,127,783

LESS PROFIT SHARE TO GENERAL PARTNER		5,390,027			15,141,063

NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER	$	20,964,713		$	72,986,720

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners’ Capital (UNAUDITED)

For the nine months ended September 30, 2023


	Limited Partners			New Profit Memo Account		General Partner		Total
PARTNERS’ CAPITAL — January 1, 2023	$	454,468,058		$	-	$	1,252,132	$	455,720,190
Contributions		133,447,231			59,979		-		133,507,210
Withdrawals		(147,573,919	)		-		-		(147,573,919	)
Net income before profit share		26,259,136			7,173		88,431		26,354,740
General Partner’s allocation - profit share		(5,390,027	)		-		-		(5,390,027	)

PARTNERS’ CAPITAL — September 30, 2023	$	461,210,479		$	67,152	$	1,340,563	$	462,618,194

For the nine months ended September 30, 2022

	Limited Partners			New Profit Memo Account		General Partner		Total
PARTNERS’ CAPITAL — January 1, 2022	$	398,976,730		$	-	$	1,035,802	$	400,012,532
Contributions		49,287,600			101,834		-		49,389,434
Withdrawals		(56,062,326	)		-		-		(56,062,326	)
Net income before profit share		87,867,800			13,724		246,259		88,127,783
General Partner’s allocation - profit share		(15,141,063	)		-		-		(15,141,063	)

PARTNERS’ CAPITAL — September 30, 2022	$	464,928,741		$	115,558	$	1,282,061	$	466,326,360

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

The following information presents financial highlights of a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).


	For the three months ended						For the nine months ended
	September 30,			September 30,			September 30,			September 30,
	2023			2022			2023			2022
Total return before General Partner profit share allocation⁽³⁾		11.42	%		6.35	%		5.72	%		21.91	%

Less: General Partner profit share allocation⁽³⁾		1.15			1.28			1.19			3.13

Total return after General Partner profit share allocation⁽³⁾		10.27	%		5.07	%		4.53	%		18.78	%

Ratios to average net asset value:
Expenses⁽¹⁾⁽⁴⁾		2.29	%		2.28	%		2.31	%		2.38	%
General Partner profit share allocation⁽³⁾		1.15			1.28			1.19			3.13

Total expenses⁽¹⁾		3.44	%		3.56	%		3.50	%		5.51	%

Net investment income (loss)^(1)(2)(4)		2.38	%		(0.68	)%		1.81	%		(1.45	)%

Total returns and the ratios to average net asset value are calculated for a Limited Partner.

⁽¹⁾	Includes the Limited Partner’s proportionate share of expenses allocated from the Master Fund’s operations for the three and nine months ended September 30, 2023 and 2022.

⁽²⁾	Excludes General Partner profit share allocation and includes interest income.

⁽³⁾	Not Annualized.

⁽⁴⁾	Annualized.

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

The following information presents financial highlights for Limited Partners as a whole.


	For the three months ended						For the nine months ended
	September 30,			September 30,			September 30,			September 30,
	2023			2022			2023			2022
Total return before General Partner profit share allocation⁽³⁾		11.31	%		6.13	%		5.74	%		20.96	%

Less: General Partner profit share allocation⁽³⁾		1.17			1.46			1.23			3.50

Total return after General Partner profit share allocation⁽³⁾		10.14	%		4.67	%		4.51	%		17.46	%

Ratios to average net asset value:
Expenses⁽¹⁾⁽⁴⁾		2.32	%		2.28	%		2.36	%		2.38	%
General Partner profit share allocation⁽³⁾		1.17			1.46			1.23			3.50

Total expenses⁽¹⁾		3.49	%		3.74	%		3.59	%		5.88	%

Net investment income (loss)^(1)(2)(4)		2.35	%		(0.64	)%		1.77	%		(1.42	)%

Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner’s total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.

⁽¹⁾	Includes the Limited Partners’ proportionate share of expenses allocated from the Master Fund’s operations for the three and nine months ended September 30, 2023 and 2022.

⁽²⁾	Excludes General Partner profit share allocation and includes interest income.

⁽³⁾	Not Annualized.

⁽⁴⁾	Annualized.

See notes to financial statements (Unaudited)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The Master Fund engages in the speculative trading of futures and forward currency contracts, as well as hedging using forward currency contracts and also acts as a master fund for the Partnership and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”).

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at September 30, 2023 (unaudited) and December 31, 2022 (audited) and the results of its operations for the three and nine months ended September 30, 2023 and 2022 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Master Fund’s annual report for the year ended December 31, 2022 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2022 information has been derived from the audited financial statements as of December 31, 2022.

The preparation of financial statements in conformity with U.S. GAAP in the U.S, as detailed in the FASB Codification, requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Master Fund enters into contracts with various financial institutions that contain a variety of indemnification provisions. The Master Fund’s maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2019 to 2022, the General Partner has determined that no reserves for uncertain tax positions were required.

Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.

2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At September 30, 2023 and December 31, 2022, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.

Schedule of ownership percentages
	September 30, 2023			December 31, 2022
Partnership		30.22	%		31.44	%
Cayman Feeder		53.89	%		53.11	%

Total		84.11	%		84.55	%

The capital withdrawals payable at September 30, 2023 and December 31, 2022 were $9,003,496 and $13,752,350, respectively, as detailed below.

Schedule of capital withdrawals payable
	September 30, 2023		December 31, 2022
Direct investors⁽¹⁾	$	168,545	$	13,267,996
Partnership		645,802		484,354
Cayman Feeder		8,189,149		-

Total	$	9,003,496	$	13,752,350

⁽¹⁾	Includes General Partner’s profit share of $12,464,726 at December 31, 2022.

The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Cayman Feeder level. The General Partner bears any excess over such amounts.

3. FAIR VALUE

The Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

During the three and nine months ended September 30, 2023 and 2022, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of September 30, 2023 and December 31, 2022 in valuing the Master Fund’s investments at fair value. At September 30, 2023 and December 31, 2022, the Master Fund had no assets or liabilities in Level 3.

Financial assets and liabilities at fair value as of September 30, 2023

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
	Level 1			Level 2			Total
U.S. Treasury notes⁽¹⁾	$	433,333,748		$	-		$	433,333,748

Short-Term Money Market Fund*		15,126,381			-			15,126,381

Exchange-traded futures contracts
Currencies		335,815			-			335,815
Energies		1,891,448			-			1,891,448
Grains		1,656,663			-			1,656,663
Interest rates		14,471,818			-			14,471,818
Livestock		(63,010	)		-			(63,010	)
Metals		2,610,117			-			2,610,117
Softs		313,406			-			313,406
Stock indices		(515,999	)		-			(515,999	)

Total exchange-traded futures contracts		20,700,258			-			20,700,258

Over-the-counter forward currency contracts		-			(103,753	)		(103,753	)

Total futures and forward currency contracts⁽²⁾		20,700,258			(103,753	)		20,596,505

Total financial assets and liabilities at fair value	$	469,160,387		$	(103,753	)	$	469,056,634

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral	$	91,684,741
Investments in U.S. Treasury notes held in custody		341,649,007
Total investments in U.S. Treasury notes	$	433,333,748

(2)
Net unrealized appreciation on open futures and forward currency contracts	$	21,015,042
Net unrealized depreciation on open futures and forward currency contracts		(418,537	)
Total net unrealized appreciation on open futures and forward currency contracts	$	20,596,505

The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition.

Financial assets and liabilities at fair value as of December 31, 2022

	Level 1			Level 2		Total
U.S. Treasury notes⁽¹⁾	$	397,103,535		$	-	$	397,103,535

Short-Term Money Market Fund*		33,737,736			-		33,737,736

Exchange-traded futures contracts
Currencies		32,613			-		32,613
Energies		7,123,301			-		7,123,301
Grains		299,446			-		299,446
Interest rates		13,161,165			-		13,161,165
Livestock		(25,990	)		-		(25,990	)
Metals		138,124			-		138,124
Softs		(124,566	)		-		(124,566	)
Stock indices		(123,674	)		-		(123,674	)

Total exchange-traded futures contracts		20,480,419			-		20,480,419

Over-the-counter forward currency contracts		-			2,205,283		2,205,283

Total futures and forward currency contracts⁽²⁾		20,480,419			2,205,283		22,685,702

Total financial assets and liabilities at fair value	$	451,321,690		$	2,205,283	$	453,526,973

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral	$	88,701,332
Investments in U.S. Treasury notes		308,402,203
Total investments in U.S. Treasury notes	$	397,103,535

(2)
Net unrealized appreciation on open futures and forward currency contracts	$	22,685,702
Net unrealized depreciation on open futures and forward currency contracts		-
Total net unrealized appreciation on open futures and forward currency contracts	$	22,685,702

*	The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

4. DERIVATIVE INSTRUMENTS

The Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.

The Master Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Fund’s open positions and the liquidity of the markets in which it trades.

The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at September 30, 2023 by market sector:

Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.

Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this sector.

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.

Metals – The Master Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.

The Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.

Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund’s trading gains and losses in the Statements of Operations.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2023 and December 31, 2022. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.

Fair value of futures and forward currency contracts at September 30, 2023

Schedule of fair value of futures and forward currency contracts
	Fair Value - Long Positions					Fair Value - Short Positions					Net Unrealized Gain (Loss) on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Currencies	$	5,650	$	(275	)	$	369,579	$	(39,139	)	$	335,815
Energies		2,751,280		(961,929	)		112,274		(10,177	)		1,891,448
Grains		-		(64,700	)		1,724,753		(3,390	)		1,656,663
Interest rates		-		(54,902	)		15,625,140		(1,098,420	)		14,471,818
Livestock		-		(63,010	)		-		-			(63,010	)
Metals		1,566,863		(392,584	)		3,004,189		(1,568,351	)		2,610,117
Softs		190		(34,960	)		351,837		(3,661	)		313,406
Stock indices		70,023		(496,232	)		793,698		(883,488	)		(515,999	)
Total futures contracts		4,394,006		(2,068,592	)		21,981,470		(3,606,626	)		20,700,258

Forward currency contracts		821,032		(4,960,279	)		5,715,833		(1,680,339	)		(103,753	)

Total futures and forward currency contracts	$	5,215,038	$	(7,028,871	)	$	27,697,303	$	(5,286,965	)	$	20,596,505

Fair value of futures and forward currency contracts at December 31, 2022

	Fair Value - Long Positions					Fair Value - Short Positions					Net Unrealized Gain (Loss) on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Currencies	$	97,003	$	(45,169	)	$	55	$	(19,276	)	$	32,613
Energies		4,273,340		(143,150	)		2,997,981		(4,870	)		7,123,301
Grains		563,235		(163,039	)		-		(100,750	)		299,446
Interest rates		-		(183,318	)		13,678,900		(334,417	)		13,161,165
Livestock		830		(26,820	)		-		-			(25,990	)
Metals		1,351,092		(562,752	)		542,450		(1,192,666	)		138,124
Softs		336		(89,902	)		49,611		(84,611	)		(124,566	)
Stock indices		105,622		(368,330	)		483,041		(344,007	)		(123,674	)
Total futures contracts		6,391,458		(1,582,480	)		17,752,038		(2,080,597	)		20,480,419

Forward currency contracts		7,099,705		(2,274,164	)		1,339,549		(3,959,807	)		2,205,283

Total futures and forward currency contracts	$	13,491,163	$	(3,856,644	)	$	19,091,587	$	(6,040,404	)	$	22,685,702

The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three and nine months ended September 30, 2023 and 2022 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2023 and 2022

Schedule of trading gains (losses) of futures and forward currency contracts
Sector	Three months ended: September 30, 2023			Three months ended: September 30, 2022			Nine months ended: September 30, 2023			Nine months ended: September 30, 2022
Futures contracts:
Currencies	$	251,529		$	1,238,025		$	1,742,500		$	2,667,020
Energies		22,315,642			(16,749,888	)		(1,695,209	)		24,463,695
Grains		1,362,094			(3,764,119	)		532,645			(1,853,820	)
Interest rates		23,522,867			35,783,505			10,014,018			18,384,062
Livestock		(4,940	)		(130,210	)		199,970			18,270
Metals		3,544,059			1,355,361			3,834,265			(457,066	)
Softs		(187,991	)		(1,337,557	)		162,578			(632,391	)
Stock indices		(3,245,872	)		9,432,416			2,036,714			33,019,541
Total futures contracts		47,557,388			25,827,533			16,827,481			75,609,311

Forward currency contracts		(1,115,529	)		7,593,766			2,960,872			20,529,911

Total futures and forward currency contracts	$	46,441,859		$	33,421,299		$	19,788,353		$	96,139,222

For the three months ended September 30, 2023 and 2022, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

Schedule of monthly average future and forward currency contracts
	2023		2022
Average bought		55,139		60,057
Average sold		58,765		64,667
Average notional	$	3,603,000,000	$	3,268,000,000

The customer agreements between the Master Fund, the futures clearing brokers including, Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Master Fund the legal right to net unrealized gains and losses on open futures and forward currency contracts. The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under FASB Accounting Standards Codification Topic 210, “Balance Sheet,” were met.

The following tables represent gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of September 30, 2023 and December 31, 2022.

Offsetting of derivative assets and liabilities at September 30, 2023

Schedule of Offsetting of derivative assets and liabilities
Assets	Gross amounts of recognized assets		Gross amounts offset in the Statements of Financial Condition			Net amounts of assets presented in the Statements of Financial Condition
Futures contracts
Counterparty C	$	2,090,229	$	(1,151,397	)	$	938,832
Counterparty J		3,512,371		(201,358	)		3,311,013
Counterparty L		20,772,876		(4,322,463	)		16,450,413
Total futures contracts		26,375,476		(5,675,218	)		20,700,258

Forward currency contracts
Counterparty G		3,060,572		(2,745,788	)		314,784
Total forward currency contracts		3,060,572		(2,745,788	)		314,784

Total assets	$	29,436,048	$	(8,421,006	)	$	21,015,042

Liabilities	Gross amounts of recognized liabilities		Gross amounts offset in the Statements of Financial Condition			Net amounts of liabilities presented in the Statements of Financial Condition
Counterparty K	$	3,894,830	$	(3,476,293	)	$	418,537
Total forward currency contracts		3,894,830		(3,476,293	)		418,537

Total liabilities	$	3,894,830	$	(3,476,293	)	$	418,537

			Amounts Not Offset in the Statements of Financial Condition

Counterparty	Net amounts of Assets presented in the Statements of Financial Condition		Financial Instruments		Collateral Received⁽¹⁾⁽²⁾			Net Amount⁽³⁾
Counterparty C	$	938,832	$	-	$	(938,832	)	$	-
Counterparty J		3,311,013		-		(3,311,013	)		-
Counterparty L		16,450,413		-		(16,450,413	)		-
Counterparty G		314,784		-		-			314,784

Total	$	21,015,042	$	-	$	(20,700,258	)	$	314,784

			Amounts Not Offset in the Statements of Financial Condition

Counterparty	Net amounts of Liabilities presented in the Statements of Financial Condition		Financial Instruments		Collateral Pledged⁽¹⁾⁽²⁾		Net Amount⁽⁴⁾
Counterparty K	$	418,537	$	-	$	418,537	$	-

Total	$	418,537	$	-	$	418,537	$	-

	⁽¹⁾	Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange.
	⁽²⁾	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities presented in the Statements of Financial Condition, for each respective counterparty.
	⁽³⁾	Net amount represents the amount that is subject to loss in the event of a counterparty failure as of September 30, 2023.
	⁽⁴⁾	Net amount represents the amount that is owed to each counterparty as of September 30, 2023.

Offsetting of derivative assets and liabilities at December 31, 2022

Assets	Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition			Net amounts of assets presented in the Statement of Financial Condition
Futures contracts
Counterparty C	$	2,201,296	$	(739,360	)	$	1,461,936
Counterparty J		918,116		(400,150	)		517,966
Counterparty L		21,024,084		(2,523,567	)		18,500,517
Total futures contracts		24,143,496		(3,663,077	)		20,480,419

Forward currency contracts
Counterparty G		2,976,865		(2,194,130	)		782,735
Counterparty K		5,462,389		(4,039,841	)		1,422,548
Total forward currency contracts		8,439,254		(6,233,971	)		2,205,283

Total assets	$	32,582,750	$	(9,897,048	)	$	22,685,702

			Amounts Not Offset in the Statements of Financial Condition

Counterparty	Net amounts of Assets presented in the Statements of Financial Condition		Financial Instruments		Collateral Received⁽¹⁾⁽²⁾			Net Amount⁽³⁾
Counterparty C	$	1,461,936	$	-	$	(1,461,936	)	$	-
Counterparty J		517,966		-		(517,966	)		-
Counterparty L		18,500,517		-		(18,500,517	)		-
Counterparty G		782,735		-		-			782,735
Counterparty K		1,422,548		-		-			1,422,548

Total	$	22,685,702	$	-	$	(20,480,419	)	$	2,205,283

⁽¹⁾

Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange.

⁽²⁾

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities presented in the of Financial Condition, for each respective counterparty.

⁽³⁾

Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2022.

CONCENTRATION OF CREDIT RISK

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Master Fund’s forward currency trading activities are cleared by DB and BA. The Master Fund’s concentration of credit risk associated with DB, or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB, and BA. The amount of such credit risk was $29,160,737 and $37,114,394 at September 30, 2023 and December 31, 2022, respectively.

5. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2023 and 2022. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Master Fund’s Agreement of Limited Partnership.

Schedule Of Profit Share Earned And Accrued
	Three months ended: September 30, 2023			Three months ended: September 30, 2022
Profit share earned	$	59,979		$	28,655
Reversal of profit share⁽¹⁾		(104,402	)		(8,275,852	)
Profit share accrued		5,330,048			15,039,229

Total profit share	$	5,285,625		$	6,792,032

	Nine months ended: September 30, 2023		Nine months ended: September 30, 2022
Profit share earned	$	59,979	$	101,834
Profit share accrued		5,330,048		15,039,229

Total profit share	$	5,390,027	$	15,141,063

⁽¹⁾

Reversal of profit share occurring on July 1^st.

6. FINANCIAL HIGHLIGHTS

Ratios to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% (1.75% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner’s capital account may vary from these ratios based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements. Returns are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 1.75% (1.75% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. An individual partner’s returns may vary from these returns based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements.

7. SUBSEQUENT EVENTS

During the period from October 1, 2023 to November 13, 2023, contributions of $2,458,531 were made to the Master Fund. The General Partner has performed its evaluation of subsequent events through November 13, 2023, the date this Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the 10-Q.

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

The Partnership invests substantially all of its assets in the Master Fund. Due to the nature of the Master Fund’s business, its results of operations depend on the General Partner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner’s investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Master Fund’s results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).

The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.

The Master Fund trades futures, forwards, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be substantially higher; and (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market). The General Partner attempts to control credit risk by causing the Partnership and the Master Fund to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward, and spot contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.

Due to the nature of the Master Fund’s business, substantially all its assets are represented by cash, cash equivalents, and U.S. government obligations, while the Master Fund maintains its market exposure through open futures, forward, and spot contract positions.

The Master Fund’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked-to-market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.

The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures, forwards, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures, forward and spot trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations through September 30, 2023, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Master Fund records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

RESULTS OF OPERATIONS

Due to the nature of the Partnership’s trading, through its investment in the Master Fund, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Periods ended September 30, 2023

	Total
	Partners’
	Capital of the
Month Ended:	Partnership
September 30, 2023	$	139,823,140
June 30, 2023		128,967,947
December 31, 2022		143,276,896

	Three Months			Nine Months
Change in Partners’ Capital	$	10,855,193		$	(3,453,756	)
Percent Change		8.42	%		(2.41	)%

THREE MONTHS ENDED SEPTEMBER 30, 2023

The increase in the Partnership’s net assets of $10,855,193 was attributable to net income after profit share through its investment in the Master Fund of $12,849,289 and contributions of $43,936 which was offset by withdrawals of $2,038,032.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2023 decreased $40,424 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the three months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2023 decreased $8,205 relative to the corresponding period in 2022. The decrease was due to lower trading volume during the three months ended September 30, 2023, relative to the corresponding period in 2022.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended September 30, 2023 decreased $31,575 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the three months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2023 increased $18,569 relative to the corresponding period in 2022. The increase was due predominantly to an increase in legal costs during the three months ended September 30, 2023, relative to the corresponding period in 2022.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2023 increased $997,259 relative to the corresponding period in 2022. The increase was due to an increase in short-term U.S. Treasury yields during the three months ended September 30, 2023, relative to the corresponding period in 2022.

For the three months ended September 30, 2023, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $13,802,257 from trading operations (including foreign exchange transactions and translations). Management fees of $571,508, brokerage commissions of $128,022, selling commissions and platform fees of $575,998, administrative and operating expenses of $160,493, custody fees and other expenses of $5,908 and profit share of $1,088,761 was paid or accrued. Interest income of $1,577,722 offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $12,849,289.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		(0.20	)%
Energies		5.18	%
Grains		0.32	%
Interest rates		5.35	%
Livestock		0.01	%
Metals		0.81	%
Softs		(0.04	)%
Stock indices		(0.74	)%
Trading gain*		10.69	%

Percentage of the Partnership Capital

NINE MONTHS ENDED SEPTEMBER 30, 2023

The decrease in the Partnership’s net assets of $3,453,756 was attributable to withdrawals of $8,666,044 which was partially offset by net income after profit share through its investment in the Master Fund of $4,061,286 and contributions of $1,151,002.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2023 decreased $40,445 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2023 decreased $60,850 relative to the corresponding period in 2022. The decrease was due to lower trading volume during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the nine months ended September 30, 2023 decreased $31,339 relative to the corresponding period in 2022. The decrease was due predominantly to a decrease in the average net asset value of Series D during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2023 increased $10,585 relative to the corresponding period in 2022. The increase was due predominantly to an increase in legal costs during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2023 increased $3,154,791 relative to the corresponding period in 2022. The increase was due to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2023, relative to the corresponding period in 2022.

For the nine months ended September 30, 2023, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $5,290,893 from trading operations (including foreign exchange transactions and translations). Management fees of $1,717,295, brokerage commissions of $398,854, selling commissions and platform fees of $1,718,913, administrative and operating expenses of $409,420, custody fees and other expenses of $17,948 and a profit share of $1,088,761 was paid or accrued. Interest income of $4,121,584 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $4,061,286.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		1.07	%
Energies		(0.50	)%
Grains		0.12	%
Interest rates		2.11	%
Livestock		0.05	%
Metals		0.88	%
Softs		0.04	%
Stock indices		0.51	%
Trading gain*		4.28	%

Percentage of the Partnership Capital

MANAGEMENT DISCUSSION – 2023

Three months ended September 30, 2023

The Partnership was profitable during the quarter predominantly due to sizable gains from long energy futures positions and short interest rate futures positions Elsewhere, the profit from trading non-energy commodity futures was largely offset by the loss from trading equity index futures. Currency trading was mixed and flat for the quarter.

Crude oil prices, underpinned by tightening global supplies and optimism about Chinese demand for refining, advanced sharply during the quarter, with Brent crude climbing from around $75/barrel at the start of July to about $93/barrel at end September. Voluntary output cuts by Saudi Arabia and Russia that were extended to yearend 2023 tightened the supply outlook and drained inventories, and OPEC+ indicated a willingness to take further action to support the oil market if needed. Hence, long Brent crude and WTI crude positions were profitable. A long heating oil position was profitable as prices were buoyed by seasonal pre-winter demand for inventory building. A long London gas oil trade was profitable as solid industrial and transportation demand underpinned distillate prices, particularly after Russia announced a diesel export ban in late September.

Developed market central banks, led by the Federal Reserve, continued to raise official interest rates during the quarter, and even when pauses in hiking cycles did occur they were viewed as hawkish since they included strong indications that developed markets central banks will keep interest rates higher for longer to get inflation under control, particularly in the face of sharp increases in energy prices and rising fiscal needs in the U.S. and Europe. Adjustments to Japan’s yield curve control program also underpinned higher interest rates globally during the quarter.

On the other hand, signs of easing inflation in the U.S. and Eurozone on the last trading day of September did reduce the quarter’s interest rate increases somewhat as some position squaring occurred at quarter-end. Still, short positions in U.S., German, French, Italian and Canadian interest rate futures were highly profitable. On the other hand, a short position in short-term British interest rate futures was unprofitable, particularly after the Bank of England announced a dovish pause. Trading of Japanese government bonds was slightly unprofitable too.

Rising interest rates, a stronger dollar and weak growth in China and Europe weighed on metal prices, and short gold and silver positions were profitable, especially during August and September.

Short wheat, corn and soybean positions were profitable, especially in August and September when prices declined in response to improved supplies from Russia and the U.S. and reduced demand from China and Europe. Meanwhile, a long soybean oil trade generated a small partially offsetting loss.

Persistent hawkish messaging from the Federal Reserve and a better economic outlook for the U.S. versus Europe, China and South America buoyed the U.S. dollar during the quarter. Consequently, long U.S. dollar positions versus the Japanese yen, Korean won, Singapore dollar, Aussie dollar, New Zealand dollar, Swiss franc, Norwegian krone and South African rand were profitable. On the other hand, short U.S. dollar trades against the euro, Swedish krona, and high yielding Brazilian, Indian and Polish currencies produced offsetting losses.

Equity markets were volatile during the quarter, rising during July and then declining in fraught trading during August and September. Following the sustained gains in equity markets during the first seven months of 2023, high and rising interest rates and worries about growth dynamics in China and Europe weighed on equity prices. In addition, by September, concerns about the UAW strike, a potential U.S. government shutdown, oil price increases and resumption of student loan payments dampened the U.S. economic outlook as well. On balance, trading of European stock index futures was unprofitable. A long Japanese equity index future position was also unprofitable. On the other hand, a long Singaporean equity index future position was profitable in July and provided a partial offset.

Three months ended June 30, 2023

The Partnership was profitable during the quarter as gains from trading financial futures and currency forwards outpaced losses from trading energy futures. Trading of non-energy commodity futures was nearly flat.

Diverging narratives concerning the future paths of growth, inflation and monetary policy within and across various economic regions, including the U.S., Europe, China, and Asia (excluding China), and the bifurcation between weakening manufacturing and booming service sectors globally contributed to rattled financial and commodity markets during most of the quarter. U.S. regional banking stresses, political discussions around the U.S. debt ceiling, a late June spike of hawkish activity by global central banks and the attempted coup by the Wagner Group in Russia also contributed to market turmoil.

Interest rate volatility remained elevated during the quarter as persistent global inflation leant support to increased rates while concerns about slowing growth and/or a recession weakened the push for rate increases. Market participants expressed some uncertainty about how central banks would respond to strong inflation, labor markets and consumer spending in the U.S. and Europe, juxtaposed against weaker than expected growth in China and slowing manufacturing globally. Developed market central banks enacted higher official interest rates and more hawkish policy. Consequently, interest rates rose and short positions in U.S., European, British, Canadian and Australian interest rate futures, particularly shorter-term futures, were quite profitable. On the other hand, short positions in French, Italian and German longer-term interest rate futures posted small partially offsetting losses.

Stocks were unsettled with widely divergent results by region, sector and individual security during the quarter amid divergent views about inflation, monetary policy, growth and earnings. In Japan, strong domestic demand and the de-risking and friend-shoring of supply chains seemingly contributed to the strength of Japanese stocks, and long positions in Japanese equity index futures were profitable, as was a long Taiwanese stock index futures trade. Trading of European equity index futures—German, French, British, Spanish and Italian—also posted gains. Short VIX and VSTOXX volatility index futures were also profitable. On the other hand, excitement about AI and tech, persistently strong consumer spending, and investor optimism about a soft or no landing U.S. growth scenario seemed to support U.S. stocks, and short positions in U.S. equity futures registered losses. Trading of China-related equity index futures was also slightly negative. A short Brazilian equity index trade was also unprofitable as equity futures rose amid the fiscal policy outlook and inflation expectations improving in Brazil.

Foreign exchange trading was mixed but quite profitable. A long position in the high yield Brazilian real versus the U.S. dollar and a short position in the low yield Japanese yen versus the U.S. dollar were particularly profitable. Long positions in high yield Polish, Mexican and Chilean currencies against the U.S. dollar were also profitable. Trading the U.S. dollar against the United Kingdom pound sterling and South African rand also registered gains. On the other hand, short U.S. dollar trades versus the European Union euro, Israeli shekel and New Zealand dollar and long U.S. dollar trades versus the Canadian dollar, Korean won, and Swedish krona posted partially offsetting losses.

Crude oil and crude product prices were impacted by conflicting forces during the quarter. Fears of sluggish global growth, particularly in China, and evidence that diesel and gasoline demand was being negatively impacted by increasing EV usage and government fuel economy standards contributed to down prices, while the U.S. outlook, continuing production cuts from Organization of the Petroleum Exporting Countries (“OPEC+”) and news that the U.S. was commencing a rebuild of its strategic petroleum reserve seemed to support prices. Overall prices did decline during the quarter and long positions in Brent crude and WTI crude, and trading of RBOB gasoline, London gas oil and heating oil were unprofitable. Following the sharp declines in natural gas prices during the first quarter amid weak demand, larger-than-usual inventories and mild weather, prices and demand increased during the second quarter amid unexpectedly hot weather in Europe and the U.S., especially in June. Hence, short U.S. and European natural gas positions were slightly unprofitable for the quarter.

Finally, small gains from trading soft and livestock commodity futures were largely offset by small losses from trading metal and grain futures.

Three months ended March 31, 2023

The Partnership was unprofitable in the quarter predominantly due to losses from trading interest rate and energy futures. Elsewhere, trading of non-energy commodity futures was marginally unprofitable, trading of equity index futures was flat and trading of currency forwards was marginally profitable.

During January, February and into early March, markets were volatile as the negative impulses from tightening of monetary policies and sluggish manufacturing and housing sectors globally clashed with the positive impulses from better than expected employment, consumption and service sector growth globally. Then, during the last three weeks of the quarter, the banking crisis evidenced by the sudden collapses of Silicon Valley Bank and Signature Bank in the U.S., the Swiss government’s brokered sale of Credit Suisse to UBS in Europe, and the challenges of other European and small and mid-sized U.S. banks rattled trading in financial and commodity markets.

Interest rates were volatile during the quarter. In January, global interest rates declined as many market participants came to believe that a further easing of price and wage inflation may lead to an easing of monetary policy in the second half of the year. During February and into early March, however, the global bond market rally stalled as signs of continued inflation, the “hot” U.S. labor market, better-than-expected economic data in the U.S. and Europe, and Congressional testimony by Federal Reserve (“Fed”) Chairman Powell on March 7th and 8th led some investors to believe that global interest rates were primed to go still higher as central banks continued to address inflation. However, the next day global interest rates collapsed amid historic levels of interest rate volatility as risks of economic slowdown and/or recession rose in the wake of the banking crisis. For example, the U.S. 2-year note, which was yielding near 5 1/8% on March 8th following the Fed Chairman’s testimony, plunged to about 3.5% before recovering to around 4 1/8% at month-end. Overall, short positions in U.S., German, French, Italian, British, Canadian and Japanese interest futures were highly unprofitable.

For much of the quarter, energy prices as measured by WTI crude oil were influenced by conflicting forces and traded in a range between $73 and $82 per barrel. In general, global supply and demand fundamentals saw mixed results amid a number of global events: Russian supply did not fall as steeply as some expected; Iraq exports through Turkey were reduced significantly late in the quarter; Chinese demand did not pick up as quickly as many forecast; concerns about slowing growth in Europe and the U.S. likely impacted fundamentals; strikes at French refineries seemingly weakened crude consumption; the U.S. government did not replenish its Strategic Petroleum Reserve; and developed world commercial oil inventories rose. OPEC+ appeared unwilling to change policy until it better understood the mixed results. Then, in March as recession risks increased in the wake of the banking sector crisis, energy prices fell with WTI crude plunging from $80 per barrel on March 6 to $65 per barrel on March 20, before recovering to close the month near $70/barrel. On balance, long positions in Brent crude, WTI crude, London gas oil, heating oil and RBOB gasoline were unprofitable. On the other hand, short natural gas positions were quite profitable as prices declined amid warmer than typical weather in Europe and the U.S. and expanding inventories.

Equity markets, although also rattled by the mix of positive and negative factors discussed above, were steady during the quarter and results were mixed and flat. Long positions in European, Chinese, Taiwanese and Australian stock index futures were profitable. Short positions in Brazilian, Indian and U.S. Russell equity index futures, and trading of Singaporean futures were profitable. On the other hand, short U.S. NASDAQ, S&P and Mid-Cap 400 positions, and trading of Korean, Japanese and EAFE equity index futures posted offsetting losses.

A short silver position was profitable in February, possibly impacted by higher interest rates, a stronger U.S. dollar and sluggish manufacturing globally. In March, safe haven demand and a weaker U.S. dollar likely affected precious metal prices and a long gold trade was profitable. These gains slightly outpaced the loss from a short copper trade. Turning to grain futures, strong supply expectations from major producers of wheat, corn and soybeans seemingly weighed down grain prices. Losses on long corn and soybean trades outdistanced the profit from a short wheat position. Among soft commodities, small losses on short coffee, cotton and cocoa positions marginally outdistanced the profit from a long sugar trade.

Varying expectations about relative growth and monetary policy outlooks across countries likely caused fluctuations in the U.S. dollar during the quarter. Trading results were mixed, though marginally positive overall. Short U.S. dollar positions versus high yield currencies—Chile, Mexico and Poland—were profitable, particularly in March. Long U.S. dollar positions against the Japanese yen and Swiss franc posted gains in January and February. On the other hand, short U.S. dollar trades relative to the Korean won and Brazilian real in February were unprofitable, as was trading the U.S. dollar against the Australian, Canadian and New Zealand dollars, respectively, and trading the Norwegian krone versus the euro and U.S. dollar.

Periods ended September 30, 2022

Month Ended:	Total Partners’ Capital of the Partnership
September 30, 2022	$	149,532,429
June 30, 2022		142,500,839
December 31, 2021		128,076,157

	Three Months			Nine Months
Change in Partners’ Capital	$	7,031,590		$	21,456,272
Percent Change		4.93	%		16.75	%

THREE MONTHS ENDED SEPTEMBER 30, 2022

The increase in the Partnership’s net assets of $7,031,590 was attributable to net income after profit share through its investment in the Master Fund of $6,638,107 and contributions of $1,090,000 which were partially offset by withdrawals of $696,517.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2022 increased $54,400 relative to the corresponding period in 2021. The increase was due to an increase in the average net asset value of the Partnership during the three months ended September 30, 2022, relative to the corresponding period in 2021.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2022 decreased $70,607 relative to the corresponding period in 2021. The decrease was due to a decrease in trading volume during the three months ended September 30, 2022, relative to the corresponding period in 2021.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended September 30, 2022 increased $55,617 relative to the corresponding period in 2021. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the three months ended September 30, 2022, relative to the corresponding period in 2021.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2022 increased $9,698 relative to the corresponding period in 2021. The increase was due to an increase in the average net asset value of the Partnership during the three months ended September 30, 2022, relative to the corresponding period in 2021.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2022 increased $574,924 relative to the corresponding period in 2021. The increase was due to an increase in short-term U.S. Treasury yields during the three months ended September 30, 2022, relative to the corresponding period in 2021.

For the three months ended September 30, 2022, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $9,173,689 from trading operations (including foreign exchange transactions and translations). Management fees of $611,932, brokerage commissions of $136,227, selling commissions and platform fees of $607,573, administrative and operating expenses of $141,924, custody fees and other expenses of $5,644, and profit share of $1,610,770 were paid or accrued. Interest income of $578,488 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $6,638,107.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		1.77	%
Energies		(3.65	)%
Grains		(0.88	)%
Interest rates		7.76	%
Livestock		(0.09	)%
Metals		0.24	%
Softs		(0.35	)%
Stock indices		1.49	%
Trading gain*		6.29	%

Percentage of the Partnership Capital

NINE MONTHS ENDED SEPTEMBER 30, 2022

The increase in the Partnership’s net assets of $21,456,272 was attributable to net income after profit share through its investment in the Master Fund of $22,595,438 and contributions of $6,150,000 which were partially offset by withdrawals of $7,289,166.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2022 decreased $84,940 relative to the corresponding period in 2022. The decrease was due to a decrease in the average net asset value of the Partnership during the nine months ended September 30, 2022, relative to the corresponding period in 2021.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2022 decreased $182,824 relative to the corresponding period in 2021. The decrease was due to a decrease in the trading volume during the nine months ended September 30, 2022, relative to the corresponding period in 2021.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the nine months ended September 30, 2022 increased $39,194 relative to the corresponding period in 2021. The increase was due predominantly to an increase in the average net asset value of Series A during the nine months ended September 30, 2022, relative to the corresponding period in 2021.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2022 increased $3,732 relative to the corresponding period in 2021. The increase was due to an increase in the average net asset value of Series A during the nine months ended September 30, 2022, relative to the corresponding period in 2021.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2022 increased $927,575 relative to the corresponding period in 2021. The increase was due to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2022, relative to the corresponding period in 2021.

For the nine months ended September 30, 2022, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $28,832,887 from trading operations (including foreign exchange transactions and translations). Management fees of $1,757,740, brokerage commissions of $459,704, selling commissions and platform fees of $1,750,252, administrative and operating expenses of $398,835, custody fees and other expenses of $17,545, and profit share of $2,817,992 were paid or accrued. Interest income of $964,619 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $22,595,438.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		5.58	%
Energies		6.83	%
Grains		(0.22	)%
Interest rates		3.68	%
Livestock		0.19	%
Metals		(0.13	)%
Softs		0.07	%
Stock indices		7.40	%
Trading gain*		23.40	%

Percentage of the Partnership Capital

MANAGEMENT DISCUSSION – 2022

Three months ended September 30, 2022

The Partnership was profitable during the quarter as gains from trading interest rate futures, stock index futures and currency forwards outdistanced losses from trading commodity futures, especially energy futures.

During the quarter, market participants wavered between risk on and risk off actions as they attempted to decide how persistently aggressive global central banks, led by the Federal Reserve Bank (the “Fed”), would be in tightening financial conditions to control high inflation, particularly if it led to slowing growth, recession or rising unemployment. In addition, markets faced pressures from Russia’s war on Ukraine, the energy crisis and recession in Europe, expanding U.S.-China geopolitical tensions, and slower Chinese growth in part due to the property market slump and zero-Covid lockdowns.

Global stocks, which had rallied sharply between mid-June and mid-August while the market hoped the Fed was pivoting toward less restrictive monetary policy, tumbled after numerous Federal Open Market Committee members led by Chairman Powell emphasized their unwavering resolve to raise interest rates to curb inflation even though “…consumers and business will feel economic pain.” Equity markets plunged while global interest rates surged, and worries about slowing global growth and a rising dollar potentially portended significant earnings declines. Short positions in U.S., Chinese, Korean, EAFE and emerging markets index futures were profitable. A short VIX trade was also profitable during the first half of the quarter. Meanwhile, short positions in Brazilian, Australian, French, Spanish and Indian index futures, and trading of Canadian and Japanese futures produced partially offsetting losses, especially early in the quarter.

Interest rates declined in July and investors perhaps felt that recession risks would keep central banks from hiking rates aggressively. Subsequently, however, global interest rates rose sharply and global central banks appeared intent on raising official interest rates faster and holding them at higher terminal levels for longer than previously expected in order to reduce inflation, even at the potential expense of slower growth, recession and rising unemployment. The new UK government’s late September announcement of a controversial debt-fueled economic policy of energy subsidies and tax cuts hitting the markets at the same time as the Bank of England was readying QT likely contributed to the upward pressure on rates. Short positions in U.S., European and U.K. interest rate futures, especially short-term futures, were profitable. In addition, long positions in British, Japanese, Canadian and Australian interest rate futures were profitable in July.

Long U.S. dollar trades were profitable during the quarter as the Bloomberg DXY index rose about 7 1/2% and touched 20-year highs against the backdrop of a hawkish Fed, relatively better U.S. growth outlook as compared to Europe and China, and amidst continuing geopolitical unrest. Long U.S. dollar positions versus the European Union euro, Swiss franc, Norwegian krone, Swedish krona, United Kingdom pound sterling, Japanese yen and Canadian, Australian, and New Zealand dollars were profitable. On the other hand, trading the U.S. dollar against the Brazilian, Indian, Korean, South African, Israeli and Polish currencies generated partially offsetting losses.

Although energy supplies remained tight during the quarter, crude oil and crude product prices declined amid higher interest rates and tighter monetary policy, a stronger U.S. dollar, concern about probable European and U.S. recessions, and China’s persistent efforts to tame COVID-19 and repair the property sector. Long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil and heating oil were unprofitable. In addition, a short U.S. natural gas trade was unprofitable in July when prices jumped in the wake of increased restrictions on flows of Russian gas to Europe through the Nord Stream 1 pipeline.

Grain prices rose following the USDA’s report of worsening crop conditions owing in part to heatwaves in the U.S. Midwest and plains. Meanwhile, the European Union’s crop monitoring service, MARS, lowered its yield forecasts for summer crops in the European Union as it expected further damage in part from recent dry and hot weather, particularly with a major cut in corn. In addition, higher import demand from China, a major consumer, underpinned grain prices. Short corn and soybean meal positions were unprofitable. Trading of soybean oil was also slightly unprofitable.

Despite weakening demand and a global growth slowdown, cotton prices were impacted by a drought in the U.S. and heavy rains and pests in India which severely damaged cotton crops. Hence, a short cotton trade was unprofitable. Trading of coffee and sugar were also marginally unprofitable.

Rising interest rates, a strengthening U.S. dollar, evolving sanctions on Russia, Europe’s energy crisis and recession worries impacted metal prices. Short positions in aluminum, gold, London copper and silver were profitable. Silver prices were also affected by declining sales of silver jewelry in China and India as stores closed amid COVID outbreaks. On the other hand, a short zinc trade was unprofitable.

Three months ended June 30, 2022

The Partnership was profitable as gains from trading stock index, energy, metal and grain futures, and currency forwards far outweighed losses from trading interest rate futures. Trading of soft and livestock futures were each essentially flat.

As markets faced constant pressure from rising inflation, Russia’s war on Ukraine, persistent supply chain difficulties and expanding U.S.-China tensions, market participants increasingly focused on the uncertainties around three interrelated questions: how fast and how high official interest rates would be raised by global central banks, especially the U.S. Federal Reserve Bank (the “Fed”) and European Central Bank (the “ECB”); when and how quickly inflation would begin to subside; and when and how significantly global growth would begin to decelerate.

Against the background of rising inflation and interest rates, plunging consumer confidence globally, fears of slowing growth and caution concerning the earnings outlook, volatility increased, most global equity markets declined sharply, and trading of equity futures was quite profitable. Short positions in European, British, Korean, Singaporean, Brazilian, Indian, EAFE and emerging markets index futures were profitable. Trading of U.S. equity index futures was profitable too. On the other hand, short positions in Japanese equity index futures, long positions in Canadian and Australian equity index futures, and a short VIX futures trade resulted in partially offsetting losses. Short positions in Chinese stock index futures were also unprofitable late in the quarter as China displayed incipient signs of emerging from its severe first half growth slowdown.

Following sharp increases in the first quarter, energy prices were volatile during the April-June period. Strong demand for refined fuels combined with concerns over increasing restrictions on Russian supplies and a dwindling “supply buffer” within Organization of the Petroleum Exporting Countries (“OPEC+”) pushed energy prices higher, while increasing recession worries due to tighter monetary policies mitigated the upward pressures, especially late in June. Long natural gas positions were profitable for most of the quarter. Then, in late June, an explosion at one of the biggest US liquefied natural gas export terminals in Texas reduced exports to Europe, thereby significantly raising natural gas supplies available for U.S. domestic consumption. U.S. natural gas prices plunged in June, leading to profits on a short natural gas position. Elsewhere, long positions in RBOB gasoline, heating oil, London gas oil, WTI crude and Brent crude were profitable.

The U.S. dollar, as measured by the Bloomberg DXY index, rose about 7 1/2% in the quarter and about 10% since the start of the year. Considering that the war in Ukraine is expected to have a much greater negative impact on European growth than U.S. growth and that the Fed is likely to remain more hawkish than the ECB, long U.S. dollar positions against the euro and Swiss franc were profitable. A long U.S. dollar trade versus the Japanese yen was profitable too as the Bank of Japan continued to pursue an expansive monetary policy at the same time that the Fed was becoming decidedly more restrictive. As commodity prices stabilized somewhat, albeit at high levels, long U.S. dollar trades versus several commodity currencies such as the Aussie dollar, Canadian dollar, Chilean peso, Norwegian krone and South African rand also resulted in profits. On the other hand, a short U.S. dollar position against the Brazilian real and trading the U.S. dollar versus the British pound and New Zealand dollar generated partially offsetting losses.

Fears of a demand-sapping recession, a stronger U.S. dollar and higher interest rates weighed on metal markets, even though there were incipient signs that China was emerging from its sharp growth slowdown. Indications that supplies of many industrial metals would increase in the next couple of years also dampened the price outlook. Short positions in copper, silver and gold were profitable, while trading of aluminum generated a partially offsetting loss.

Grain prices which hit 10-year highs in March and April following the Russian invasion of Ukraine, were volatile during most of the second quarter, and eased somewhat in June against the backdrop of more favorable weather in the U.S. and South America, near record Russian wheat crops, hopes for Ukrainian exports and slowing demand due to recession fears. A long soybean oil position was profitable in April in the wake of news that Indonesia banned exports of palm oil in a bid to ensure domestic supply. Both palm oil and soybean oil are used for cooking as well as food preparation, and are in high demand as substitutes for sunflower oil, a commodity whose supply has been negatively impacted by the ongoing Russian war on Ukraine. Then, late in June, a short soybean oil trade was also profitable. Short corn and wheat trades were also profitable late in the quarter.

Interest rate volatility, as measured by the Merrill Lynch MOVE Index, increased markedly during the quarter. On the one hand, concerns about inflation and more hawkish central bank policies underpinned rates. On the other hand, weakening economic data underscored worries about recession and sparked speculation that the Fed might not need to raise rates as high as previously estimated, thereby periodically dragging yields lower. Long positions in European, British, Australian, Canadian, Japanese and U.S. note and bond futures were broadly unprofitable, although these losses were reduced by a significant global bond rally near month end. Meanwhile, trading of short-term U.S., German, Canadian and Australian interest rate futures was fractionally profitable.

Three months ended March 31, 2022

The Partnership was profitable in the quarter as gains from trading energy futures, stock index futures and currency forwards outpaced losses from trading metal futures. Elsewhere, trading of interest rate futures and softs futures were marginally positive while trading of agricultural commodity futures was marginally negative.

During the quarter, market prices experienced significant volatility as market participants endeavored to understand the impacts of recent events—including the increasingly hawkish Federal Reserve (the “Fed”) and global central bank monetary policies; the Russia-Ukraine war and accompanying sanctions; and the Chinese growth slowdown, which was exacerbated by recent COVID-19 lockdowns—on individual markets and on growth/inflation outlooks for various regions of the world.

Disciplined supply management from both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers together with oil consumption recovering toward pre-pandemic levels underpinned a rise in Brent crude oil prices from $77/barrel at the end of 2021 to around $90/barrel on January 31 amid concerns that the market may face an oil-market squeeze triggered by too little investment and quickly rebounding demand. Then, as the Russia-Ukraine war erupted, energy prices, represented by Brent crude oil, surge to nearly $130/barrel on March 8 amid fears that Russian energy supplies would be negatively impacted. Russia is among the top three global producers of crude oil and natural gas. Over the last three weeks of the quarter, energy prices were extremely volatile with Brent crude plunging to $98/barrel on March 16 and jumping to $122/barrel on March 24 before closing the month at $108/barrel. The price drop near month-end followed news that the U.S. would release a million barrels per day from the Strategic Petroleum Reserve for up to six months. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, and heating oil were profitable. In addition, periodic short positions in Brent crude, RBOB gasoline and London gas oil posted small gains. On the other hand, a short position in U.S. natural gas was unprofitable and shifted to a long position late in the quarter.

The Fed and other central banks’ embrace of more hawkish policy impacted global financial markets, contributing to increased volatility and significant losses for global equities, despite a modest recovery at quarter-end. China’s growth slowdown and property market distress also weighed on equities, as did Europe’s struggles with high energy prices, supply bottlenecks and personnel shortages. The potential stagflationary impacts of the Russia-Ukraine war also contributed to uncertainty in global equity markets. Overall, short positions in Chinese, Hong Kong, Korean, Singaporean, German, Italian, South African, and the EEM and EAFE index futures were profitable. Trading of the S&P Mid-Cap index, and long positions in Australian and British index futures late in the quarter were also profitable. On the other hand, long positions in most U.S. equity index futures and trading of Dutch, French, and the Euro Stoxx index futures posted partially offsetting losses. Short VIX and Brazilian index futures positions, a long Canadian equity index future position, and trading of the Taiwanese stock index future were also unprofitable.

The U.S. dollar was volatile for most of the quarter, but it spiked about 3% higher during the first week of the Russian invasion of Ukraine and as market participants anticipated a hawkish tilt for the mid-March Federal Open Market Committee meeting. A long U.S. dollar trade versus the Japanese yen was particularly profitable as the Bank of Japan continued to pursue an expansive monetary policy while the Fed was becoming decidedly more restrictive. A long Brazilian real/short dollar trade benefitted from high level of Brazilian interest rates and from rising commodity prices. Given that the war in Ukraine is likely to have a much greater negative impact on Europe than the U.S., a long U.S. dollar position against the Euro was profitable. A short U.S. dollar trade versus the Russian ruble was closed out at a loss during February when the Partnership halted trading of the Russian currency. Elsewhere, trading the U.S. dollar against the currencies of Switzerland, Sweden, the U.K. and India; long U.S. dollar trades against the Australian and Canadian currencies; and a short U.S. dollar/ long New Zealand dollar position posted partially offsetting losses.

Led by a seemingly increasingly hawkish Fed, global interest rates increased throughout the quarter as Chairman Powell indicated that the March start to official rate increases and end to Quantitative Easing would be followed shortly thereafter by Quantitate Tightening (“QT”) as the Fed seeks to rein in inflation without derailing strong GDP and employment growth. Following this news, the 10-year U.S. government bond yield, which ended 2021 near 1.50%, soared to nearly 2.50% on March 28 before settling back to about 2.30% at month-end. Concerns that higher rates and QT would slow growth nor safe haven demand deriving from the Russian-Ukraine kept rates down. On balance, short positions in shorter-term U.S., European, Canadian and Italian interest rate futures were profitable. In addition, short positions in the U.S. ultra-bond future and the 10-year Italian bond future were profitable. On the other hand, trading of Australian, Canadian, French, Japanese and U.S. note futures posted largely offsetting losses.

Geopolitical developments, the Chinese growth slowdown, monetary policy uncertainties and dollar volatility impacted metal markets, which experienced an overall sector loss. Trading of silver, gold, platinum and copper futures produced losses. On the other hand, a long nickel position was profitable as rising demand—especially for EV batteries, and low inventories buoyed prices. Trading of zinc was also slightly profitable.

Finally, turning to soft and agricultural commodities, losses from a short wheat position and from trading soybean oil, sugar and coffee outdistanced the profits from long soybean, soybean meal and cotton positions.

OFF-BALANCE SHEET ARRANGEMENTS

Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedule of investments setting forth open futures, forward and other contracts at September 30, 2023 and December 31, 2022.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner’s internal controls over financial reporting during the quarter ended September 30, 2023 that have materially affected, or are reasonably likely to materially affect, the General Partner’s internal controls over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None.

ITEM 1A. Risk Factors

Not required.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES, USE OF PROCEEDS, AND ISSUER PURCHASES OF EQUITY SECURITIES

(a) Pursuant to the Partnership’s Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”), the Partnership may sell Units at the beginning of each calendar month. On July 1, 2023, August 1, 2023, and September 1, 2023, the Partnership sold Units to new and existing limited partners of $3,358, $37,214, and $3,365. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.

(b) Pursuant to the Partnership’s Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following table summarizes the redemptions by Series A, Series B, Series C and Series D limited partners during the three months ended September 30, 2023. There were no Series E redemptions.

	Series A					Series B					Series C					Series D
	Units			NAV		Units			NAV		Units			NAV		Units			NAV
Date of Withdrawal	Redeemed			per Unit		Redeemed			per Unit		Redeemed			per Unit		Redeemed			per Unit
July 31, 2023		(96.0830	)	$	1,225.18		(167.4649	)	$	1,519.38		-		$	1,550.20		(138.8559	)	$	1,426.93
August 31, 2023		(651.0103	)		1,262.55		-			1,568.32		-		$	1,600.15		-		$	1,471.98
September 30, 2023		(183.4972	)		1,359.80		-			1,686.52		(230.2987	)	$	1,720.74		-		$	1,583.47

Total		(930.5905	)				(167.4649	)				(230.2987	)				(138.8559	)

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not Applicable.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

The following exhibits are included herewith:

31.01		Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02		Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03		Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Operating Officer
31.04		Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer
32.01		Section 1350 Certification of Co-Chief Executive Officer
32.02		Section 1350 Certification of Co-Chief Executive Officer
32.03		Section 1350 Certification of President and Chief Operating Officer
32.04		Section 1350 Certification of Chief Financial Officer
101.INS		XBRL Instance Document
101.SCH		XBRL Taxonomy Extension Schema Document
101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF		XBRL Taxonomy Extension Definition Linkbase Document
101.LAB		XBRL Taxonomy Extension Label Linkbase Document
101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document

SIGNATURES

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

By:	Millburn Ridgefield Corporation,
	General Partner

Date: November 13, 2023

	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

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Millburn Multi-Markets Fund 10-Q2023 Q3 Quarterly report

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