Item 1.
|
Financial Statements
|
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
STATEMENTS OF FINANCIAL CONDITION
At September 30, 2013 (Unaudited) and December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
September 30, 2013
|
|
|
December 31, 2012
|
|
ASSETS
|
|
|
|
|
|
|
|
|
Short-term investments, at value (cost $332,129,934 and
$372,233,128, respectively)
|
|
$
|
332,244,193
|
|
|
$
|
372,303,955
|
|
Deposits with brokers
|
|
|
60,658,316
|
|
|
|
63,184,990
|
|
Unrealized appreciation on futures contracts
|
|
|
4,806,535
|
|
|
|
1,499,470
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
397,709,044
|
|
|
|
436,988,415
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
|
|
Cash overdraft
|
|
|
|
|
|
|
928,991
|
|
Options written, at value (premiums received $5,396,164 and
$4,747,719, respectively)
|
|
|
5,486,327
|
|
|
|
3,465,424
|
|
Unrealized depreciation on futures contracts
|
|
|
5,611,896
|
|
|
|
4,755,125
|
|
Payables for:
|
|
|
|
|
|
|
|
|
Distributions
|
|
|
2,898,243
|
|
|
|
|
|
Shares redeemed
|
|
|
262,788
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Management fees
|
|
|
400,999
|
|
|
|
460,442
|
|
Independent Committee fees
|
|
|
28,982
|
|
|
|
25,800
|
|
Other
|
|
|
449,223
|
|
|
|
241,070
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
15,138,458
|
|
|
|
9,876,852
|
|
|
|
|
|
|
|
|
|
|
SHAREHOLDERS CAPITAL
|
|
|
|
|
|
|
|
|
Paid-in capital, unlimited number of shares authorized, 18,683,340 shares issued and outstanding at September 30, 2013 and
18,800,840 shares issued and outstanding at December 31, 2012
|
|
|
445,825,423
|
|
|
|
447,930,055
|
|
|
|
|
|
|
|
|
|
|
Accumulated undistributed earnings (deficit)
|
|
|
(63,254,837
|
)
|
|
|
(20,818,492
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total shareholders capital (Net assets)
|
|
|
382,570,586
|
|
|
|
427,111,563
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and shareholders capital
|
|
$
|
397,709,044
|
|
|
$
|
436,988,415
|
|
|
|
|
|
|
|
|
|
|
Net assets
|
|
$
|
382,570,586
|
|
|
$
|
427,111,563
|
|
Shares outstanding
|
|
|
18,683,340
|
|
|
|
18,800,840
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share outstanding (net assets divided by shares outstanding)
|
|
$
|
20.48
|
|
|
$
|
22.72
|
|
|
|
|
|
|
|
|
|
|
Market value per share outstanding
|
|
$
|
17.23
|
|
|
$
|
21.22
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
3
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2013
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
Description
|
|
Coupon
|
|
|
Maturity
|
|
|
Ratings
(1)
|
|
|
Value
|
|
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Obligations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 35,500
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
12/12/13
|
|
|
|
Aaa
|
|
|
$
|
35,499,113
|
|
44,500
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
1/09/14
|
|
|
|
Aaa
|
|
|
|
44,499,065
|
|
35,000
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
2/06/14
|
|
|
|
Aaa
|
|
|
|
34,998,145
|
|
39,250
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
3/06/14
|
|
|
|
Aaa
|
|
|
|
39,247,449
|
|
35,000
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
4/03/14
|
|
|
|
Aaa
|
|
|
|
34,994,190
|
|
33,000
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
5/01/14
|
|
|
|
Aaa
|
|
|
|
32,991,750
|
|
30,000
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
5/29/14
|
|
|
|
Aaa
|
|
|
|
29,991,000
|
|
33,000
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
6/26/14
|
|
|
|
Aaa
|
|
|
|
32,987,097
|
|
4,000
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
7/24/14
|
|
|
|
Aaa
|
|
|
|
3,997,944
|
|
40,000
|
|
U.S. Treasury Bills
|
|
|
0.000
|
%
|
|
|
9/18/14
|
|
|
|
Aaa
|
|
|
|
39,965,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 329,250
|
|
Total U.S. Government and Agency Obligations (cost $329,057,254)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
329,171,513
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 3,073
|
|
Repurchase Agreement with State Street Bank, dated 9/30/13, repurchase price $3,072,680, collateralized by $3,130,000 U.S. Treasury Notes, 0.875%, due 2/28/17, value
$3,136,182
|
|
|
0.000
|
%
|
|
|
10/01/13
|
|
|
|
N/A
|
|
|
$
|
3,072,680
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Repurchase Agreements (cost $3,072,680)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,072,680
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments (cost $332,129,934)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
332,244,193
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Derivatives
Futures Contracts outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
Group
|
|
Contract
|
|
Contract
Position
|
|
Contract
Expiration
|
|
Number
of
Contracts
(2)
|
|
|
Notional
Amount
at
Value
(3)
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Energy
|
|
Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Brent Crude Oil Futures Contract
|
|
Long
|
|
November 2013
|
|
|
156
|
|
|
$
|
16,905,720
|
|
|
$
|
(252,520
|
)
|
|
|
ICE Brent Crude Oil Futures Contract
|
|
Long
|
|
December 2013
|
|
|
191
|
|
|
|
20,519,130
|
|
|
|
(180,930
|
)
|
|
|
NYMEX Crude Oil Futures Contract
|
|
Long
|
|
November 2013
|
|
|
228
|
|
|
|
23,331,240
|
|
|
|
(1,086,460
|
)
|
|
|
NYMEX Crude Oil Futures Contract
|
|
Long
|
|
December 2013
|
|
|
162
|
|
|
|
16,507,800
|
|
|
|
(293,220
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,813,130
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Heating Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Gas Oil Futures Contract
|
|
Long
|
|
December 2013
|
|
|
345
|
|
|
|
31,334,625
|
|
|
|
(260,820
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
November 2013
|
|
|
33
|
|
|
|
3,642,685
|
|
|
|
(67,259
|
)
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
December 2013
|
|
|
190
|
|
|
|
20,833,386
|
|
|
|
(305,299
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(372,558
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,446,508
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS (Continued) (Unaudited)
September 30, 2013
Investments in Derivatives (Continued)
Futures Contracts outstanding (Continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
Group
|
|
Contract
|
|
Contract
Position
|
|
Contract
Expiration
|
|
Number
of
Contracts
(2)
|
|
|
Notional
Amount
at
Value
(3)
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Agriculture
|
|
Corn
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Corn Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(1,212
|
)
|
|
$
|
(26,754,900
|
)
|
|
$
|
2,133,865
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Futures Contract
|
|
Long
|
|
November 2013
|
|
|
137
|
|
|
|
8,786,838
|
|
|
|
138,807
|
|
|
|
CBOT Soybean Futures Contract
|
|
Long
|
|
January 2014
|
|
|
286
|
|
|
|
18,375,500
|
|
|
|
(488,549
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(349,742
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Wheat Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(450
|
)
|
|
|
(15,266,250
|
)
|
|
|
(674,922
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Meal Futures Contract
|
|
Long
|
|
December 2013
|
|
|
141
|
|
|
|
5,716,140
|
|
|
|
488,169
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Oil Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(320
|
)
|
|
|
(7,891,200
|
)
|
|
|
1,128,552
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cotton
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cotton Futures Contract
|
|
Long
|
|
December 2013
|
|
|
107
|
|
|
|
4,665,735
|
|
|
|
45,924
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sugar
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Sugar Futures Contract
|
|
Short
|
|
March 2014
|
|
|
(652
|
)
|
|
|
(13,246,554
|
)
|
|
|
(540,790
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coffee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Coffee C Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(193
|
)
|
|
|
(8,229,037
|
)
|
|
|
698,738
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agriculture
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,929,794
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
Copper
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Copper Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(111
|
)
|
|
|
(9,221,325
|
)
|
|
|
(515,363
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Gold Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(338
|
)
|
|
|
(44,852,600
|
)
|
|
|
(150,620
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Silver Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(153
|
)
|
|
|
(16,606,620
|
)
|
|
|
(596,120
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Metals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,262,103
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Live Cattle Futures Contract
|
|
Short
|
|
October 2013
|
|
|
(38
|
)
|
|
|
(1,943,320
|
)
|
|
|
(48,960
|
)
|
|
|
CME Live Cattle Futures Contract
|
|
Short
|
|
December 2013
|
|
|
(190
|
)
|
|
|
(10,030,100
|
)
|
|
|
(150,064
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(199,024
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Lean Hogs Futures Contract
|
|
Long
|
|
October 2013
|
|
|
29
|
|
|
|
1,066,910
|
|
|
|
78,750
|
|
|
|
CME Lean Hogs Futures Contract
|
|
Long
|
|
December 2013
|
|
|
134
|
|
|
|
4,643,100
|
|
|
|
93,730
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
172,480
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Livestock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(26,544
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures Contracts outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(805,361
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS (Continued) (Unaudited)
September 30, 2013
Investments in Derivatives (Continued)
Call Options Written outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
Group
|
|
Contract
|
|
Contract
Expiration
|
|
|
Number
of
Contracts
|
|
|
Strike
Price
|
|
|
Value
|
|
Energy
|
|
Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Brent Crude Oil Futures Options
|
|
|
November 2013
|
|
|
|
(52
|
)
|
|
$
|
104.50
|
|
|
$
|
(223,080
|
)
|
|
|
NYMEX Crude Oil Futures Options
|
|
|
October 2013
|
|
|
|
(59
|
)
|
|
|
94.50
|
|
|
|
(472,590
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(695,670
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Gasoline RBOB Futures Options
|
|
|
October 2013
|
|
|
|
(33
|
)
|
|
|
26,600.00
|
|
|
|
(79,141
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(774,811
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture
|
|
Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Futures Options
|
|
|
October 2013
|
|
|
|
(63
|
)
|
|
|
1,240.00
|
|
|
|
(175,612
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Meal Futures Options
|
|
|
November 2013
|
|
|
|
(21
|
)
|
|
|
350.00
|
|
|
|
(119,910
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cotton
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cotton Futures Options
|
|
|
November 2013
|
|
|
|
(16
|
)
|
|
|
78.00
|
|
|
|
(75,600
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agriculture
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(371,122
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Lean Hogs Futures Options
|
|
|
October 2013
|
|
|
|
(24
|
)
|
|
|
82.00
|
|
|
|
(96,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Livestock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(96,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Call Options Written outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(premiums received $1,573,165)
|
|
|
|
|
|
|
(268
|
)
|
|
|
|
|
|
$
|
(1,241,933
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS (Continued) (Unaudited)
September 30, 2013
Investments in Derivatives (Continued)
Put Options Written outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
Group
|
|
Contract
|
|
Contract
Expiration
|
|
|
Number
of
Contracts
|
|
|
Strike
Price
|
|
|
Value
|
|
Agriculture
|
|
Corn
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Corn Futures Options
|
|
|
November 2013
|
|
|
|
(182
|
)
|
|
$
|
540.00
|
|
|
$
|
(899,763
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Futures Options
|
|
|
October 2013
|
|
|
|
(63
|
)
|
|
|
1,240.00
|
|
|
|
(40,950
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Wheat Futures Options
|
|
|
November 2013
|
|
|
|
(68
|
)
|
|
|
780.00
|
|
|
|
(357,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Meal Futures Options
|
|
|
November 2013
|
|
|
|
(21
|
)
|
|
|
350.00
|
|
|
|
(3,675
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Oil Futures Options
|
|
|
November 2013
|
|
|
|
(47
|
)
|
|
|
510.00
|
|
|
|
(279,321
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sugar
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Sugar Futures Options
|
|
|
February 2014
|
|
|
|
(101
|
)
|
|
|
18.75
|
|
|
|
(131,219
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coffee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Coffee C Futures Options
|
|
|
November 2013
|
|
|
|
(29
|
)
|
|
|
155.00
|
|
|
|
(449,681
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agriculture
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,161,609
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Gold Futures Options
|
|
|
November 2013
|
|
|
|
(51
|
)
|
|
|
1,590.00
|
|
|
|
(1,348,950
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Silver Futures Options
|
|
|
November 2013
|
|
|
|
(23
|
)
|
|
|
2,775.00
|
|
|
|
(703,915
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Metals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,052,865
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Live Cattle Futures Options
|
|
|
October 2013
|
|
|
|
(34
|
)
|
|
|
130.00
|
|
|
|
(29,920
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Livestock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(29,920
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Put Options Written outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(premiums received $3,822,999)
|
|
|
|
|
|
|
(619
|
)
|
|
|
|
|
|
$
|
(4,244,394
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Options Written outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(premiums received $5,396,164)
|
|
|
|
|
|
|
(887
|
)
|
|
|
|
|
|
$
|
(5,486,327
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS (Continued) (Unaudited)
September 30, 2013
|
|
|
(1)
|
|
Ratings: Using the highest of Standard & Poors Group, Moodys Investors Service, Inc. or Fitch, Inc. rating.
|
(2)
|
|
The aggregate number of contracts for long and short futures contracts outstanding is 2,139 and (3,657), respectively.
|
(3)
|
|
The aggregate notional amount at value for long and short futures contracts outstanding is $176,328,809 and $(154,041,906), respectively.
|
N/A
|
|
Not applicable.
|
CBOT
|
|
Chicago Board of Trade
|
CEC
|
|
Commodities Exchange Center
|
CME
|
|
Chicago Mercantile Exchange
|
ICE
|
|
Intercontinental Exchange
|
NYMEX
|
|
New York Mercantile Exchange
|
RBOB
|
|
Reformulated Gasoline Blendstock Oxygen Blending
|
See accompanying notes to financial statements.
8
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
STATEMENTS OF OPERATIONS (Unaudited)
For the Three Months Ended September 30, 2013 and September 30, 2012
and the Nine Months Ended September 30, 2013 and September 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
September 30,
|
|
|
Nine Months Ended
September 30,
|
|
|
|
2013
|
|
|
2012
(1)
|
|
|
2013
|
|
|
2012
(1)
|
|
Investment Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
|
|
$
|
105,432
|
|
|
$
|
|
|
|
$
|
359,359
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Income
|
|
|
105,432
|
|
|
|
|
|
|
|
359,359
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Management fees
|
|
|
1,241,107
|
|
|
|
|
|
|
|
3,767,102
|
|
|
|
|
|
Brokerage commissions
|
|
|
76,848
|
|
|
|
|
|
|
|
399,380
|
|
|
|
|
|
Custodian fees and expenses
|
|
|
50,618
|
|
|
|
|
|
|
|
125,110
|
|
|
|
|
|
Organization expenses
|
|
|
|
|
|
|
4,000
|
|
|
|
|
|
|
|
210,000
|
|
Independent Committee fees and expenses
|
|
|
28,982
|
|
|
|
|
|
|
|
87,392
|
|
|
|
|
|
Professional fees
|
|
|
152,269
|
|
|
|
|
|
|
|
391,573
|
|
|
|
|
|
Shareholder reporting expenses
|
|
|
61,966
|
|
|
|
|
|
|
|
146,573
|
|
|
|
|
|
Licensing fees
|
|
|
98,103
|
|
|
|
|
|
|
|
310,402
|
|
|
|
|
|
Other expenses
|
|
|
4,372
|
|
|
|
|
|
|
|
17,363
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses before expense reimbursement
|
|
|
1,714,265
|
|
|
|
4,000
|
|
|
|
5,244,895
|
|
|
|
210,000
|
|
Expense reimbursement
|
|
|
|
|
|
|
(4,000
|
)
|
|
|
|
|
|
|
(210,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses
|
|
|
1,714,265
|
|
|
|
|
|
|
|
5,244,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(1,608,833
|
)
|
|
|
|
|
|
|
(4,885,536
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
1,729
|
|
|
|
|
|
|
|
6,485
|
|
|
|
|
|
Futures contracts
|
|
|
3,281,234
|
|
|
|
|
|
|
|
(36,509,336
|
)
|
|
|
|
|
Options written
|
|
|
8,155,319
|
|
|
|
|
|
|
|
24,030,840
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
64,740
|
|
|
|
|
|
|
|
43,432
|
|
|
|
|
|
Futures contracts
|
|
|
(14,172,136
|
)
|
|
|
|
|
|
|
2,450,294
|
|
|
|
|
|
Options written
|
|
|
855,281
|
|
|
|
|
|
|
|
(1,372,458
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) and change in net unrealized appreciation (depreciation)
|
|
|
(1,813,833
|
)
|
|
|
|
|
|
|
(11,350,743
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(3,422,666
|
)
|
|
$
|
|
|
|
$
|
(16,236,279
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per weighted-average share
|
|
$
|
(.18
|
)
|
|
$
|
|
(2)
|
|
$
|
(.86
|
)
|
|
$
|
|
(2)
|
Weighted-average shares outstanding
|
|
|
18,766,120
|
|
|
|
840
|
|
|
|
18,786,546
|
|
|
|
840
|
|
(1)
|
The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.
|
(2)
|
The Fund issued 840 shares (initial issuance of shares to the Manager) on August 31, 2011.
|
See accompanying notes to financial statements.
9
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
STATEMENTS OF CHANGES IN SHAREHOLDERS CAPITAL
For the Nine Months Ended September 30, 2013 (Unaudited) and the Year Ended December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended
September 30, 2013
|
|
|
Year Ended
December 31, 2012
(1)
|
|
Shareholders capitalbeginning of period
|
|
$
|
427,111,563
|
|
|
$
|
20,055
|
|
Issuance of shares, net of offering costs
|
|
|
|
|
|
|
447,910,000
|
|
Repurchase of shares
|
|
|
(2,104,632
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in shareholders capital resulting from
operations:
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(4,885,536
|
)
|
|
|
(1,275,616
|
)
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
6,485
|
|
|
|
13
|
|
Futures contracts
|
|
|
(36,509,336
|
)
|
|
|
(15,702,338
|
)
|
Options written
|
|
|
24,030,840
|
|
|
|
976,112
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
43,432
|
|
|
|
70,827
|
|
Futures contracts
|
|
|
2,450,294
|
|
|
|
(3,255,655
|
)
|
Options written
|
|
|
(1,372,458
|
)
|
|
|
1,282,295
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
(16,236,279
|
)
|
|
|
(17,904,362
|
)
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders
|
|
|
(26,200,066
|
)
|
|
|
(2,914,130
|
)
|
|
|
|
|
|
|
|
|
|
Shareholders capitalend of period
|
|
$
|
382,570,586
|
|
|
$
|
427,111,563
|
|
|
|
|
|
|
|
|
|
|
Sharesbeginning of period
|
|
|
18,800,840
|
|
|
|
840
|
|
Issuance of shares
|
|
|
|
|
|
|
18,800,000
|
|
Repurchase of shares
|
|
|
(117,500
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sharesend of period
|
|
|
18,683,340
|
|
|
|
18,800,840
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.
|
See accompanying notes to financial
statements.
10
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
STATEMENTS OF CASH FLOWS (Unaudited)
For the Nine Months Ended September 30, 2013 and September 30, 2012
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
|
2013
|
|
|
2012
(1)
|
|
Cash flows from operating activities:
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(16,236,279
|
)
|
|
$
|
|
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
|
|
|
|
|
|
|
|
Purchases of short-term investments
|
|
|
(824,830,184
|
)
|
|
|
|
|
Proceeds from sales and maturities of short-term investments
|
|
|
865,299,063
|
|
|
|
|
|
Premiums received for options written
|
|
|
28,263,262
|
|
|
|
|
|
Cash paid for options written
|
|
|
(3,583,977
|
)
|
|
|
|
|
Amortization (Accretion)
|
|
|
(359,200
|
)
|
|
|
|
|
(Increase) Decrease in:
|
|
|
|
|
|
|
|
|
Deposits with brokers
|
|
|
2,526,674
|
|
|
|
|
|
Receivable from Manager
|
|
|
|
|
|
|
(210,000
|
)
|
Increase (Decrease) in:
|
|
|
|
|
|
|
|
|
Payable for organization expenses
|
|
|
|
|
|
|
210,000
|
|
Accrued management fees
|
|
|
(59,443
|
)
|
|
|
|
|
Accrued independent committee fees
|
|
|
3,182
|
|
|
|
|
|
Accrued other expenses
|
|
|
208,153
|
|
|
|
|
|
Net realized (gain) loss from:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
(6,485
|
)
|
|
|
|
|
Options written
|
|
|
(24,030,840
|
)
|
|
|
|
|
Change in net unrealized (appreciation) depreciation of:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
(43,432
|
)
|
|
|
|
|
Futures contracts
|
|
|
(2,450,294
|
)
|
|
|
|
|
Options written
|
|
|
1,372,458
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash provided by (used in) operating activities
|
|
|
26,072,658
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash flows from financing activities:
|
|
|
|
|
|
|
|
|
Increase (Decrease) in cash overdraft
|
|
|
(928,991
|
)
|
|
|
|
|
Cash paid for shares repurchased
|
|
|
(1,841,844
|
)
|
|
|
|
|
Cash distributions paid to shareholders
|
|
|
(23,301,823
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash provided by (used in) financing activities
|
|
|
(26,072,658
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in cash
|
|
|
|
|
|
|
|
|
Cashbeginning of period
|
|
|
|
|
|
|
20,055
|
|
|
|
|
|
|
|
|
|
|
Cashend of period
|
|
$
|
|
|
|
$
|
20,055
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.
|
See accompanying notes to financial statements.
11
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Unaudited)
September 30, 2013
1. Organization
The Nuveen Long/Short Commodity Total Return Fund (the Fund) was organized as a Delaware statutory trust on
May 25, 2011, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Funds manager (NCAM or the Manager), a wholly-owned subsidiary of Nuveen Investments, Inc. (Nuveen
Investments), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the CFTC) and is a member of the National Futures Association (the NFA). The
Fund commenced operations on October 25, 2012, with its initial public offering of 18,800,000 shares. The Fund operates pursuant to an Amended and Restated Trust Agreement dated September 14, 2012 (the Trust Agreement). The
Funds shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Funds shares trade on the NYSE MKT under the ticker symbol CTF. The Fund is not a mutual fund, a
closed-end
fund, or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.
Prior to its initial public offering, the Fund had no operations other than those related to organizational matters, the initial
contribution of $20,055 by the Manager, the recording of the Funds organizational expenses of $452,000 and their reimbursement by Nuveen Securities, LLC, (Nuveen), a wholly-owned subsidiary of Nuveen Investments. The initial
contribution of $20,055 by the Manager was received on August 31, 2011, in exchange for 840 Fund shares.
The Manager has
selected its affiliate, Gresham Investment Management LLC (Gresham LLC), acting through its Near Term Active division (in that capacity, Gresham or the Commodity
Sub-advisor),
to manage the Funds commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc.,
formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading advisor and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (the SEC) as an investment
adviser.
The Manager has selected its affiliate, Nuveen Asset Management, LLC (Nuveen Asset Management or the
Collateral
Sub-advisor),
to manage the Funds collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a
Delaware limited liability company and is registered with the SEC as an investment adviser.
The
Funds investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar
®
Long/Short Commodity Index
SM
(the Index). In pursuing its investment objective, the Fund will invest directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the
main commodity sectors and are among the most actively traded futures contracts in the global commodity markets. Generally, individual commodity futures positions may be either long or short (or flat in the case of energy futures contracts)
depending upon market conditions. The Funds Commodity
Sub-advisor
uses a rules based approach to determine the commodity futures contracts in which the Fund will invest, their respective weightings, and
whether the futures positions in each commodity are held long, short or flat. The Funds commodity investments will, at all times, be fully collateralized. The Fund is not leveraged, and the notional amount of its combined long, short and flat
futures positions will not exceed 100% of the Funds net assets. The Fund will also employ a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the Funds risk-adjusted total return over
time. The Funds investment strategy will utilize the Commodity
Sub-advisors
proprietary long/short commodity investment program, which has three principal elements:
|
|
|
An actively managed long/short portfolio of exchange-traded commodity futures contracts;
|
12
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
1. Organization (continued)
|
|
|
A portfolio of exchange-traded commodity option contracts; and
|
|
|
|
A collateral portfolio of cash equivalents, U.S. government securities and other short-term, high grade debt securities.
|
2. Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial
statements in accordance with accounting principles generally accepted in the United States (U.S. GAAP). The presentation of Unrealized appreciation and depreciation on futures contracts on the Statements of Financial
Condition has been reclassified to conform to the September 30, 2013 presentation.
The accompanying unaudited financial
statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of
normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements
and the notes thereto should be read in conjunction with the Funds financial statements included in the Funds Annual Report on Form 10-K for the year ended December 31, 2012.
Basis of Accounting
The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates
and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates.
Futures Contracts
The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible
securities, also known as initial margin, into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the
prior days mark-to-market of the open contracts. If the investor has unrealized appreciation the clearing broker would credit the investors account with an amount equal to appreciation and conversely if the investor has unrealized
depreciation the clearing broker would debit the investors account with an amount equal to depreciation. These daily cash settlements are also known as variation margin. In lieu of posting variation margin daily, the Fund has deposited
cash with the clearing broker, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both
margin requirements on open futures contracts is recognized as Deposits with brokers on the Statements of Financial Condition.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by marking-to-market on a daily basis to reflect the changes
in market value of the contract, which are recognized as a component of Unrealized appreciation or depreciation on futures contracts on the Statements of Financial Condition and Change in net unrealized appreciation (depreciation)
of futures contracts on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss
13
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of Net realized
gain (loss) from futures contracts on the Statements of Operations.
Risks of investments in commodity futures contracts
include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not
correlate with a change in the value of the underlying commodities.
The average number of long and short futures contracts
outstanding during the nine months ended September 30, 2013 and the period October 31, 2012 (date on which the Fund began entering into futures contracts) through December 31, 2012 was as follows:
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended
September 30, 2013
|
|
|
For the Period
October 31, 2012
through
December 31, 2012
|
|
Average number of long and short futures contracts outstanding*
|
|
|
5,539
|
|
|
|
5,255
|
|
|
|
|
|
|
|
|
|
|
*
|
The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the fiscal year and at the end of each
quarter within the current fiscal year. For the period October 31, 2012 through December 31, 2012, the average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the period
and at the end of each month within the remainder of the period.
|
Refer to Note 3 Derivative Instruments
and Hedging Activities within these Notes to Financial Statements for further details on futures contract activity.
Options Contracts
The Fund may write (sell) and purchase options on commodity futures contracts to enhance the Funds risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received
is recognized as a component of Options written, at value on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing
purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of Change in net unrealized appreciation (depreciation) of options written on the Statements of Operations. When
an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component
of Net realized gain (loss) from options written on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an
unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the nine months ended September 30,
2013 and the period November 1, 2012 (date on which the Fund began entering into option contracts) through December 31, 2012 the Fund wrote call and put options on futures contracts.
The Fund did not purchase options on futures contracts during the nine months ended September 30, 2013 and the period October 25, 2012
(commencement of operations) through December 31, 2012. The purchase of
14
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The
counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty.
Transactions in both call and put options written were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended
September 30,
2013
|
|
|
For the Period
November 1,
2012
through
December 31, 2012
|
|
|
|
Number of
Contracts
|
|
|
Premiums
Received
|
|
|
Number of
Contracts
|
|
|
Premiums
Received
|
|
Outstanding, beginning of period
|
|
|
1,024
|
|
|
$
|
4,747,719
|
|
|
|
|
|
|
$
|
|
|
Options written
|
|
|
5,564
|
|
|
|
28,263,262
|
|
|
|
2,228
|
|
|
|
9,526,927
|
|
Options terminated in closing purchase transactions
|
|
|
(823
|
)
|
|
|
(4,233,653
|
)
|
|
|
(1,110
|
)
|
|
|
(4,375,188
|
)
|
Options expired
|
|
|
(1,237
|
)
|
|
|
(5,047,570
|
)
|
|
|
(62
|
)
|
|
|
(213,570
|
)
|
Options exercised
|
|
|
(3,641
|
)
|
|
|
(18,333,594
|
)
|
|
|
(32
|
)
|
|
|
(190,450
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding, end of the period
|
|
|
887
|
|
|
$
|
5,396,164
|
|
|
|
1,024
|
|
|
$
|
4,747,719
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The average number of options written outstanding during the nine months ended September 30, 2013 and the
period November 1, 2012 (date on which the Fund began entering into options contracts) through December 31, 2012 was as follows:
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended
September 30, 2013
|
|
|
For the Period
November 1, 2012
through
December 31, 2012
|
|
Average number of options written outstanding*
|
|
|
916
|
|
|
|
709
|
|
|
|
|
|
|
|
|
|
|
*
|
The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the
current fiscal year. For the period November 1, 2012 through December 31, 2012, the average number of contracts is calculated based on the outstanding number of contracts at the beginning of the period and at the end of each month within
the remainder of the period.
|
Refer to Note 3 Derivative Instruments and Hedging Activities within these
Notes to Financial Statements for further details on options activity.
Netting Agreements
In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other
similar arrangements (netting agreements). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the
terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of September 30, 2013, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements
further described below that are subject to netting agreements.
15
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Funds policy that its custodian take possession of the
underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization
of the collateral may be delayed or limited.
The following table presents the repurchase agreements for the Fund, presented on
the Statements of Financial Condition and recognized as a component of Short-term investments, at value, that are subject to netting agreements, and the collateral delivered related to those repurchase agreements. As of September 30,
2013, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements. The Fund was not invested in repurchase agreements as of December 31,
2012.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2013
|
|
|
|
Counterparty
|
|
|
Short-Term
Investments, at
Value
|
|
|
Collateral Pledged
(From)
Counterparty*
|
|
|
Net
Exposure
|
|
Repurchase Agreements
|
|
|
State Street Bank
|
|
|
$
|
3,072,680
|
|
|
$
|
(3,072,680
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
As of September 30, 2013, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Schedule of
Investments for details on the repurchase agreements.
|
Collateral Investments
Currently, approximately 15% of the Funds net assets are committed to secure the Funds futures contract positions. These
assets are placed in a commodity futures account maintained by the Funds clearing broker, and are held in high-quality instruments permitted under CFTC regulations.
The Funds remaining assets are held in a separate collateral investment account managed by the Collateral
Sub-advisor.
The Funds assets held in the
separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The portfolios debt securities (other
than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral
Sub-advisor
to be of comparable quality.
Investment Valuation
Commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price
or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes.
Over-the-counter commodity futures contracts and options on commodity futures contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or
through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Funds net asset
value, that may affect the values of the Funds investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally
classified as Level 2 or Level 3 depending on the priority of the significant inputs.
16
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
Prices of fixed-income securities, including, but not limited to, highly rated agency
discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Funds Manager. These securities are generally classified as Level 2. The pricing service establishes a securitys fair value using methods that may
include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or
collateral, general market conditions and other information and analysis, including the obligors credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the
significant inputs.
Repurchase agreements are valued at contract amount plus accrued interest, which approximates market
value. These securities are generally classified as Level 2.
Fair Value Measurements
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly
transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish
classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources
independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information
available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs.
Level 1Inputs are unadjusted and prices are determined by quoted prices in active markets for identical
securities.
Level 2Prices are determined using other significant observable inputs (including
quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Prices are determined using significant unobservable inputs (including managements assumptions
in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not an indication
of the risks associated with investing in those securities. The following is a summary of the Funds fair value measurements as of September 30, 2013 and December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2013
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Obligations
|
|
$
|
|
|
|
$
|
329,171,513
|
|
|
$
|
|
|
|
$
|
329,171,513
|
|
Repurchase Agreements
|
|
|
|
|
|
|
3,072,680
|
|
|
|
|
|
|
|
3,072,680
|
|
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts*
|
|
|
(805,361
|
)
|
|
|
|
|
|
|
|
|
|
|
(805,361
|
)
|
Options Written
|
|
|
(5,486,327
|
)
|
|
|
|
|
|
|
|
|
|
|
(5,486,327
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(6,291,688
|
)
|
|
$
|
332,244,193
|
|
|
$
|
|
|
|
$
|
325,952,505
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Obligations
|
|
$
|
|
|
|
$
|
372,303,955
|
|
|
$
|
|
|
|
$
|
372,303,955
|
|
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts*
|
|
|
(3,255,655
|
)
|
|
|
|
|
|
|
|
|
|
|
(3,255,655
|
)
|
Options Written
|
|
|
(3,465,424
|
)
|
|
|
|
|
|
|
|
|
|
|
(3,465,424
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(6,721,079
|
)
|
|
$
|
372,303,955
|
|
|
$
|
|
|
|
$
|
365,582,876
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Represents net unrealized appreciation (depreciation) as reported in the Schedule of Investments as of the end of each reporting period.
|
The Manager is responsible for the Funds valuation process and has delegated daily oversight of the process to the Managers
Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the
Managers senior management. The Valuation Committee is aided in its efforts by the Managers Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved
by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the
quality of security prices received through various testing reports conducted by the Securities Valuation Team.
For each
portfolio instrument that has been fair valued pursuant to the Valuation Committees policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such
testing and fair valuation occurrences are reported to the Managers senior management.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are
determined on the specific identification method, which is the same for federal income tax purposes.
Investment Income
Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting
purposes, is recorded on an accrual basis.
Brokerage Commissions and Fees
The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and
other transaction-related fees and expenses, incurred in connection with its commodity trading activities.
Income Taxes
No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the
Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Funds shares will be required to take into account its allocable share of the Funds income, gains, losses, deductions and other
items for the Funds taxable year.
18
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
For all open tax years and all major taxing jurisdictions, the Manager of the Fund has
concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and
the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve
months.
Expense Recognition
All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses,
professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any.
Organizational Expenses and Offering Costs
In connection with the Funds initial public offering on October 25, 2012, Nuveen (i) reimbursed all organizational expenses of the Fund and (ii) paid all offering costs (other than sales
load and underwriting commissions) that exceeded $.05 per share. The Funds share of offering costs ($940,000) was recorded as a reduction of the proceeds from the sale of the shares. These costs are recognized as Organization
expenses on the Statements of Operations.
Calculation of Net Asset Value
The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any
accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.
Distributions
The Fund intends to make regular monthly distributions to
its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected
to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Funds distribution the Fund may be required to liquidate
investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Funds distribution
policy could change. The Manager reserves the right to change the Funds distribution policy and the basis for establishing the rate of the Funds monthly distributions, or may temporarily suspend or reduce distributions without a change
in policy, at any time and may do so without prior notice to shareholders.
Distributions to shareholders are recorded on the
ex-dividend
date.
Commitments and Contingencies
Under the Funds organizational documents, the Manager, Wilmington Trust Company (the Funds Delaware trustee) and the
Managers independent committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund
19
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
enters into contracts that provide general indemnifications to other parties. The Funds maximum exposure under these arrangements is unknown, as this would involve future claims that may be
made against the Fund that have not yet occurred. However, the Fund believes the risk of loss pursuant to these contracts to be remote.
Financial Instrument Risk
The Fund utilizes commodity futures and options,
whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of September 30, 2013 and December 31, 2012, the financial
instruments held by the Fund were traded on an exchange and are standardized contracts.
Market risk is the potential for
changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or
sell a particular commodity at a specified date and price. The market risk associated with the Funds commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Funds exposure to market
risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity
futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Funds investments in options on commodity futures contracts. The inherent uncertainty of the Funds investments as well
as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors capital.
Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the futures and option contracts. The Fund may be exposed to credit risk from its
investments in commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by
their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the
clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the
Fund.
The Fund is subject to short exposure when it sells short a futures contract or writes a put option.
Short sales
are transactions in which the Fund initiates a position by selling a futures contract short. A short futures position allows the short seller to profit from declines in the price of the underlying commodity to the extent such declines exceed the
transaction costs. In a short sale transaction, the Fund must deliver the underlying commodity at the contract price to a buyer of the contract who stands for delivery under the rules of the exchange that lists the contract or must offset the
contract by entering into an opposite and offsetting transaction in the market. Likewise, the writer of a call option is required to deliver the underlying futures contract at the strike price or offset the option by entering into an opposite and
offsetting transaction in the market. The price at such time may be higher or lower than the price at which the futures contract was sold short or the strike price of the call option when the option was written. If the underlying price of the
futures contract goes down between the time that the Fund sells the contract short and offsets the contract, the Fund will realize a gain on the transaction. If the price of the underlying futures contract drops below the strike price of the call
option written, the option will expire worthless and the Fund also will realize a gain to the extent of the option premium received. Conversely, if the
20
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
2. Summary of Significant Accounting Policies (continued)
price of the underlying short futures contract goes up during the period, the Fund will realize a loss on the transaction. If the price of the underlying futures contract is higher than the
strike price of a call option written, the option will become in-the-money and the Fund may realize a loss less any premium received for writing the option. A short sale creates the risk of an unlimited loss since the price of the underlying
commodity in a futures contract or the underlying futures contract in a call option written could theoretically increase without limit, thus increasing the cost of covering the short positions. In circumstances where a market has reached its maximum
price limits imposed by the exchange, the short seller may be unable to offset its short position until the next trading day, when prices could increase again in rapid trading.
The commodity markets have volatility risk.
The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market
imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Funds
holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Funds shares.
3. Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of
Operations.
The following tables present the fair value of all derivative instruments held by the Fund, the location of these
instruments on the Statements of Financial Condition and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2013
|
|
|
|
|
|
Location on the Statements of Financial
Condition
|
|
Underlying
Risk Exposure
|
|
Derivative
Instrument
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
|
|
Location
|
|
Value
|
|
|
Location
|
|
Value
|
|
|
|
Commodity
|
|
Futures Contracts
|
|
Unrealized appreciation on futures contracts
|
|
$
|
4,806,535
|
|
|
Unrealized depreciation on futures contracts
|
|
$
|
5,611,896
|
|
Commodity
|
|
Call Options
|
|
|
|
|
|
|
|
Options written, at value
|
|
|
1,241,933
|
|
Commodity
|
|
Put Options
|
|
|
|
|
|
|
|
Options written, at value
|
|
|
4,244,394
|
|
Total
|
|
|
|
|
|
$
|
4,806,535
|
|
|
|
|
$
|
11,098,223
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012
|
|
|
|
|
|
Location on the Statements of Financial
Condition*
|
|
Underlying
Risk Exposure
|
|
Derivative
Instrument
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
|
|
Location
|
|
Value
|
|
|
Location
|
|
Value
|
|
|
|
Commodity
|
|
Futures Contracts
|
|
Unrealized appreciation on futures contracts
|
|
$
|
1,499,470
|
|
|
Unrealized depreciation on futures contracts
|
|
$
|
4,755,125
|
|
Commodity
|
|
Call Options
|
|
|
|
|
|
|
|
Options written, at value
|
|
|
2,274,790
|
|
Commodity
|
|
Put Options
|
|
|
|
|
|
|
|
Options written, at value
|
|
|
1,190,634
|
|
Total
|
|
|
|
|
|
$
|
1,499,470
|
|
|
|
|
$
|
8,220,549
|
|
*
|
Amounts have been reclassified to conform to the current presentation.
|
21
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
3. Derivative Instruments and Hedging Activities (continued)
The following table presents the amount of net realized gain (loss) and change in net
unrealized appreciation (depreciation) recognized on derivative instruments on the Statements of Operations and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
Commodity Risk Exposure
|
|
Nine Months Ended
September 30, 2013
|
|
|
Nine Months Ended
September 30, 2012**
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
Futures contracts
Call options written
Put options written
|
|
$
|
(36,509,336
13,518,540
10,512,300
|
)
|
|
$
|
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
Futures contracts
Call options written
Put options written
|
|
$
|
2,450,294
(956,876
(415,582
|
)
)
|
|
$
|
|
|
**
|
The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.
|
4. Related Parties
The Manager, the Commodity
Sub-advisor
and the Collateral
Sub-advisor
are considered to be related parties to the Fund.
For the services and
facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Funds average daily net assets, according to the following schedule:
|
|
|
|
|
Average Daily Net Assets
|
|
Management Fee
|
|
For the first $500 million
|
|
|
1.250
|
%
|
For the next $500 million
|
|
|
1.225
|
|
For the next $500 million
|
|
|
1.200
|
|
For the next $500 million
|
|
|
1.175
|
|
For net assets over $2 billion
|
|
|
1.150
|
|
Average daily net assets means the total assets of the Fund, minus the sum of its total
liabilities.
The Manager and the Fund have entered into
sub-advisory
agreements with
the Commodity
Sub-advisor
and the Collateral
Sub-advisor.
Both the Commodity
Sub-advisor
and the Collateral
Sub-advisor
are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.
5. Share Repurchase Program
On March 14, 2013, the Fund adopted an open-market share repurchase program pursuant to which it is authorized to
repurchase an aggregate of up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Managers discretion.
Transactions in share repurchases were as follows:
|
|
|
|
|
|
|
Nine Months Ended
September 30, 2013
|
|
Shares repurchased
|
|
|
117,500
|
|
|
|
|
|
|
Weighted average price per share
|
|
$
|
17.89
|
|
|
|
|
|
|
22
NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND
NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)
September 30, 2013
6. Financial Highlights
The following financial highlights relate to investment performance and operations for a Fund share outstanding during
the three months ended and the nine months ended September 30, 2013. As of September 30, 2012, the Fund had no operations other than those related to organizational matters and therefore there are no financial highlights presented. The Net
Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized for periods less than a full fiscal year. The Total Returns at Net
Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investors return and ratios will vary based on the timing of purchasing and selling Fund shares.
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
September 30, 2013
|
|
|
Nine Months
Ended
September 30, 2013
|
|
Net Asset Value:
|
|
|
|
|
|
|
|
|
Net asset value per share
beginning of period
|
|
$
|
21.11
|
|
|
$
|
22.72
|
|
Net investment income (loss)
|
|
|
(.09
|
)
|
|
|
(.26
|
)
|
Net realized and unrealized gain (loss)
|
|
|
(.08
|
)
|
|
|
(.60
|
)
|
Distributions
|
|
|
(.47
|
)
|
|
|
(1.39
|
)
|
Discount from shares repurchased and retired
|
|
|
.01
|
|
|
|
.01
|
|
|
|
|
|
|
|
|
|
|
Net asset value per shareend of period
|
|
$
|
20.48
|
|
|
$
|
20.48
|
|
|
|
|
|
|
|
|
|
|
Market Value:
|
|
|
|
|
|
|
|
|
Market value per sharebeginning of period
|
|
|
19.87
|
|
|
$
|
21.22
|
|
|
|
|
|
|
|
|
|
|
Market value per shareend of period
|
|
$
|
17.23
|
|
|
$
|
17.23
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets:
(a)
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(1.62
|
)%
|
|
|
(1.62
|
)%
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
1.73
|
%
|
|
|
1.74
|
%
|
|
|
|
|
|
|
|
|
|
Total Returns:
(b)
|
|
|
|
|
|
|
|
|
Based on Net Asset Value
|
|
|
(.80
|
)%
|
|
|
(3.77
|
)%
|
|
|
|
|
|
|
|
|
|
Based on Market Value
|
|
|
(10.99
|
)%
|
|
|
(12.80
|
)%
|
|
|
|
|
|
|
|
|
|
(b)
|
Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset
value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of
the period. Total returns are not annualized.
|
Total Return Based on Market Value is the combination of changes in
the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business
day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.
23
Item 2.
|
Managements Discussion and Analysis of Financial Condition and Results of Operations
|
This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1
of Part I of this Quarterly Report (the Report). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by
terminology such as may, will, should, expect, plan, anticipate, believe, estimate, predict, potential or the negative of these
terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (NCAM or the Manager), Gresham Investment Management LLC and its
Near Term Active division (such division referred to herein as Gresham or the Commodity Sub-advisor) and Nuveen Asset Management, LLC (Nuveen Asset Management or the Collateral Sub-advisor) and are
subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Long/Short Commodity Total Return Fund (the Fund) to differ
materially from those expressed in, or implied by, these forward-looking statements.
You should not place undue
reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks,
uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.
Introduction
The Fund is a commodity pool, which was
organized as a Delaware statutory trust on May 25, 2011 and commenced operations on October 25, 2012, with the public offering of 18,800,000 shares. The shares of the Fund trade on the NYSE MKT under the ticker symbol CTF.
Prior to the initial public offering, the Fund was inactive except for matters relating to its organization and registration. The Funds investment objective is to generate attractive total returns. The Fund is actively managed and seeks to
outperform its benchmark, the Morningstar
®
Long/Short Commodity Index
SM
(the Index). The Index tracks the historical total
return performance of a diverse portfolio of commodity futures, which may be invested long, short or flat, and, as of September 30, 2013, was comprised of 19 different commodities. The Index uses a momentum rule to determine if each commodity
futures position is long, short or flat. The Index is fully collateralized with short-term Treasury bills. In pursuing its investment objective, the Fund invests directly in a diverse portfolio of exchange-traded commodity futures contracts that are
among the most actively traded futures contracts in the global commodity markets, and also invests in commodity options contracts (the futures and options are sometimes referred to as the commodity portfolio). Individual commodity
futures positions may be either long or short (or flat in the case of energy futures) depending upon market conditions. The Fund also employs a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the
Funds risk-adjusted total return over time. The Fund is unleveraged, and the Funds commodity contract positions are fully collateralized with cash equivalents, U.S. government securities and other short-term, high grade debt securities.
Results of Operations
The Quarter Ended September 30, 2013Fund Share Price
The
Funds shares traded on the NYSE MKT at a price of $17.23 on the close of business on September 30, 2013. This represents a decrease of 13.29% in share price (not including an assumed reinvestment of distributions) from the $19.87 price at
which the shares of the Fund traded on the close of business on June 28, 2013 (the last trading day of the previous quarter). The high and low intra-day share prices for the quarter were $19.98 (July 1, 2013) and $17.11 (September 30, 2013),
respectively. During the quarter, the Fund declared distributions totaling $0.465 per share to shareholders, of which $0.155 was paid on October 1, 2013. The remainder was paid during the quarter. The Funds cumulative total return on
market value for the quarter, which assumes reinvestment of such distributions, was
-10.99%.
At September 30, 2013, shares of the Fund traded at a 15.87% discount to the Funds net asset value of
$20.48 per share. During the quarter the Fund repurchased
24
108,000 shares, refer to Part IIItem 2. Unregistered Sales of Equity Securities and Use of Proceeds in this Report for further details on the repurchase activity.
The Quarter Ended September 30, 2013Net Assets of the Fund
The Funds net assets decreased from $396.6 million at June 30, 2013, to $382.6 million at September 30, 2013, a decrease
of $14.0 million. The decrease in the Funds net assets was due to $11.4 million in net realized gains and $13.2 million in net unrealized depreciation on the Funds portfolio during the quarter, a net investment loss of $1.6 million, $8.7
million of distributions to shareholders, and $1.9 million of share repurchases.
During the quarter ended September 30,
2013, the Funds collateral investments generated interest income of $105,432, which represents 0.03% of average net assets for the quarter ended September 30, 2013.
The net asset value per share on September 30, 2013, was $20.48. This represents a decrease of 2.98% in net asset value (not including an assumed reinvestment of distributions) from the $21.11 net
asset value as of June 30, 2013. The Fund declared distributions totaling $0.465 per share to shareholders during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund
on net asset value was -0.80% for the quarter ended September 30, 2013.
The Fund generated a net loss of $3.4 million for
the quarter ended September 30, 2013, resulting from interest income of $0.1 million, net expenses of $1.7 million, net realized gains of $11.4 million, and net unrealized depreciation of $13.2 million.
The Quarter Ended September 30, 2013Overall Commodity Market Commentary
Commodity markets were influenced by two major themes during the third quarter of 2013, the anticipation of an
earlier-than-expected reduction in the pace of the U.S. Federal Reserves asset purchases (known as quantitative easing or QE) and the escalation of geopolitical tension in the Middle East. The broad commodity market rose 2.1% for the quarter,
as measured by the Dow Jones UBS Commodity Index (DJ-UBSCI). The Index (the Morningstar
®
Long/Short
Commodity Index
SM
, which is the Funds benchmark) was
up 0.5% for the quarter. Within the Index, losses in metals and livestock were slightly offset by gains in energy and agriculture.
Energy commodities represented 47.8% of the Index at the end of the quarter, and were its most significant commodity group by weight. Energy prices rose within the broad market, driven by a rally in crude
oil prices as geopolitical turmoil in the Middle East threatened supplies, which helped the energy group appreciate by approximately 4%.
Agricultural commodities made up 28.8% of the Index at the end of the quarter. Corn prices continued to be pressured by expectations for a supply glut as the harvest peaked in the third quarter. Soybean
oil also saw declining prices because of high supply and low demand. In contrast, soybean prices were lifted by concerns about poor crop conditions and tight 2012 supply. However, while agriculture commodity prices in the broad market generally
declined, the Indexs agriculture positions rose approximately 2.7% in the quarter, aided by short positions in corn and soybean oil.
The Index includes three metals: gold, silver and copper, which made up a combined 18.9% of the Index at the end of the quarter. In long-only terms, gold and silver prices were bolstered by renewed demand
for physical precious metals. Large inflows into silver-oriented exchange traded funds also supported silver prices. Copper prices rallied on the expectation of rising demand for raw materials from China, as well as the continuation of QE in the
United States. However, the Indexs metals group fell approximately 9.3% because of its short positions in all three metals.
Livestock is the smallest group, comprising 4.6% of the Index at the end of the quarter. Market prices for lean hogs and live cattle rose in the quarter. Demand during the summer grilling season and
concerns about supply shortages buoyed lean hog prices. Live cattle prices rallied on concerns that declining cattle weights, after the use of a weight-gaining feed supplement had been discontinued, could potentially hurt beef supplies. The Index
experienced a loss of approximately 0.7% for the group attributable to a short position in live cattle.
25
The Quarter Ended September 30, 2013Fund Commodity Portfolio Commentary
The Funds commodity portfolio, which includes the futures and options exposure, was down 0.5% for the third quarter
(before considering the expenses of the Fund or the performance of the collateral portfolio), underperforming its Index, which returned 0.5%. The Funds total return on net asset value for the quarter, which includes the effect of the
Funds expenses, the performance of the collateral portfolio, and assumes the reinvestment of the Funds distributions, was a loss of 0.80%. Relative to the Index, the Funds commodity portfolio underperformed most significantly in
energy, experienced flat performance in agriculture, and had modestly positive contributions from metals and livestock.
The
Fund writes that is, sells covered options on its portfolios commodity futures, seeking to limit return volatility, and to provide cash flow for the Funds distributions. Gresham utilizes a strategy that sells
exchange-traded commodity put and/or call options on up to approximately 25% of the value of each of the Funds commodity futures contracts, when those contracts are deemed to have sufficient trading volume and liquidity. During the quarter,
the Fund sold options on approximately 15% of the value of each commodity position. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on
contracts in that commodity. Typically, the options sold are at or in the money, and the Fund receives cash for the related premiums. Though the majority of the Funds option positions are exercised, which can limit the Funds full
participation in gains related to that commodity position, they are an important tool for reducing the Funds return volatility. For the quarter ended September 30, 2013, the Funds option program helped to contribute to the commodity
portfolios lower volatility when compared to its Index, as measured by the standard deviation of return.
The Fund has
the flexibility to sell both puts and calls on a single commodity, should such commodity flip positions (i.e. go from a long position to a short position) during the life of a particular option. In this case, the Fund can collect
additional premiums. During the quarter, the Fund was able to sell both puts and calls on soybeans and soybean meal, which contributed positively to the Funds performance.
The Funds energy positions underperformed the Index during the quarter, declining approximately 0.1% versus an increase of
approximately 4.0% for the Index. While the Funds long Brent and WTI crude oil positions in a rising market were a positive contributor to absolute performance, gains were offset by gyrations in the market that caused the Fund to switch from
long positions to flat positions, and vice versa, in gasoline (RBOB), gas oil, and heating oil. This switching activity was disadvantageous to relative performance during the quarter.
Agricultural commodities gained approximately 1.9% for the Fund. A rally in soybean meal prices hurt the Funds short position but
bolstered the Indexs long position. However, the Funds short corn position contributed favorably to performance, as did the large premiums generated from the sale of both puts and calls on soybean meal and soybeans.
The Funds metals holdings declined approximately 6.7%, as strengthening gold, silver and copper prices were unfavorable for the
Funds short positions. While the Fund experienced a negative return, it outperformed the Index for the group due to its options positions.
The Fund was up approximately 0.6% in livestock, while the Index was down approximately 0.7%. A rally in live cattle prices was disadvantageous for the Funds short position. However, demand during
the summer grilling season and concerns about supply shortages buoyed lean hog prices helping the Funds long position.
The Nine Months Ended September 30, 2013Fund Share Price
The Funds shares traded on the NYSE MKT at a price of $17.23 on the close of business on September 30, 2013. This represents a
decrease of 18.80% in share price (not including an assumed reinvestment of distributions) from the $21.22 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for
the nine month period were $23.93 (January 28, 2013) and $17.11 (September 30, 2013), respectively. During the nine month period, the Fund declared distributions totaling $1.395 per share to shareholders, of which $0.155 was paid on October 1,
2013. The remainder was paid during the period. The Funds cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was -12.80%. At September 30, 2013, shares of the
26
Fund traded at a 15.87% discount to the Funds net asset value of $20.48 per share. During the nine month period the fund repurchased 117,500 shares, refer to Part IIItem 2.
Unregistered Sales of Equity Securities and Use of Proceeds in this Report for further details on the repurchase activity.
The Nine Months Ended September 30, 2013Net Assets of the Fund
The Funds net assets decreased from $427.1 million at December 31, 2012, to $382.6 million at September 30, 2013, a
decrease of $44.5 million. The decrease in the Funds net assets was due to $12.5 million in net realized losses and $1.1 million in net unrealized appreciation on the Funds portfolio during the period, a net investment loss of $4.8
million, $26.2 million of distributions to shareholders, and $2.1 million in share repurchases.
During the nine month period
ended September 30, 2013, the Funds collateral investments generated interest income of $359,359, which represents 0.09% of average net assets for the nine month period ended September 30, 2013.
The net asset value per share on September 30, 2013, was $20.48. This represents a decrease of 9.86% in net asset value (not
including an assumed reinvestment of distributions) from the $22.72 net asset value as of December 31, 2012. The Fund declared distributions totaling $1.395 per share to shareholders during the nine month period. When an assumed reinvestment of
these distributions is taken into account, the cumulative total return for the Fund on net asset value was -3.77% for the nine month period ended September 30, 2013.
The Fund generated a net loss of $16.2 million for the nine month period ended September 30, 2013, resulting from interest income of $0.4 million, net expenses of $5.2 million, net realized losses of
$12.5 million, and net unrealized appreciation of $1.1 million.
The Nine Months Ended September 30, 2013Overall
Commodity Market Commentary
The year began on a positive note for the broad commodity market, but prices turned volatile
amid global economic uncertainty, geopolitical tensions in the Middle East and North Africa, and speculation about the timing of the U.S. Federal Reserve QE tapering. In the broad commodities market, as measured by the DJ-UBSCI, declines in the
first and second quarters (-1.2% and -9.5%, respectively) overwhelmed a slight gain (2.1%) in the third quarter, for an overall loss of 8.6% for the nine month period ended September 30, 2013. In contrast, the Index (the Funds benchmark)
returned 3.2%, as the ability to take short positions was advantageous in declining markets. Among the commodity groups represented in the Index, metals posted the largest gain by far, followed by modestly positive performance in livestock and
agriculture. The energy group, however, fell during the nine month period.
Energy commodities represented 47.8% of the Index
at the end of the nine month period, and were its most significant commodity group by weight. Within the Index, the energy group lost approximately 1.8% due to switching between flat and long positions, driven by price volatility during the period.
Agricultural commodities made up 28.8% of the Index at the end of the nine month period. Soybean and soybean meal rose during
the period, but corn, wheat, and soybean oil had much larger declines. The Index advanced approximately 2.8%, bolstered by a short position in corn, whose prices subsequently dropped on fears of oversupply.
The Index includes three metals: gold, silver and copper, which made up a combined 18.9% of the Index at the end of the nine month period.
In the broad markets, as measured by DJ-UBSCI, all three metals sustained double-digit declines: gold plunged 21.2%, silver fell 28.8%, and copper declined 10.5%. However, the Indexs metals group was its best-performing group, rising
approximately 23.3%, as short positions initiated during the first quarter across the board were favorable in a period of falling prices.
Livestock is the smallest group, comprising 4.6% of the Index at the end of the nine month period. Expanding supply early in the year depressed prices for lean hogs and live cattle, but prices rallied
later in the year on stronger summer demand and concerns about tightening supply. Against this backdrop, livestock appreciated approximately 3.4% in the Index. At the end of the third quarter the Index was short live cattle, which ended the period
lower, and long lean hogs, which finished the period higher.
27
The Nine Months Ended September 30, 2013Fund Commodity Portfolio Commentary
In the environment of mostly declining commodity prices over the first nine months of 2013, the Funds commodity
portfolio lost 2.9% (before considering the expenses of the Fund or the performance of the collateral portfolio), which outperformed the long-only DJ-UBSCI, due to the Funds ability to take short positions and write options contracts. However,
the Fund underperformed the Index, which returned 3.2%, a difference of about 6.1%. The Funds total return on net asset value for the nine month period, which includes the effect of the Funds expenses, the performance of the collateral
portfolio, and assumes the reinvestment of the Funds distributions, was a loss of 3.77%. Relative to the Index, the Fund had disappointing results in energy, metals, and agricultural positions on a weighted basis. The livestock group was a
positive relative contributor to weighted performance.
A key driver of the underperformance in the period was a phenomenon
known as whipsaw. This was most evident earlier in the period as many commodity prices trended sideways and the Funds switching between long and short (or flat in the case of energy) positions more often than the Index, which
switches only once per month, had a negative impact on returns. The Fund has taken steps to limit the frequency of its position shifts thereby mitigating whipsaw risk. In terms of commodity groups, the Fund experienced absolute losses in energy, and
absolute gains in metals, livestock and agriculture. Relative to the Index, the Fund underperformed most notably in energy and metals and slightly underperformed in agriculture. Outperformance in livestock had a marginal impact given the relatively
small weight of the livestock group in the Fund and the Index (4.6% for both as measured at the end of the period).
The
Funds relative underperformance in the energy group was a significant driver of underperformance over the period, accounting for just over half of the shortfall versus the Index, as estimated by Gresham. The Funds energy positions moved
between flat and long positions more often than the Index across many energy commodities including crude oil, gas oil heating oil, gasoline (RBOB), and natural gas. This contributed to underperformance for the group, largely attributable to the
whipsaw effect.
Metals represented the next largest negative relative impact as the Funds metals positions rose
approximately 7.2%, underperforming the Indexs surge of approximately 23.3%. Primarily in gold, but also in silver, the Funds holdings switched often between long and short from the start of the period through early February, again as a
result of the whipsaw impact.
Moderate underperformance in agricultural commodities and slight outperformance in livestock had
a relatively small impact over the period versus the Index.
The Fund writes that is, sells covered options on
its portfolios commodity futures, seeking to limit return volatility, and to provide cash flow for the Funds distributions. Gresham utilizes a strategy that sells exchange-traded commodity put and/or call options on approximately 25% of
the value of each of the Funds commodity futures contracts, when those contracts are deemed to have sufficient trading volume and liquidity. During the nine month period, the Fund sold options on approximately 15% of the value of each
commodity position. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at
or in the money, and the Fund receives cash for the related premiums. Though the majority of the Funds option positions are exercised, which can limit the Funds full participation in gains related to that commodity position, they are an
important tool for reducing the Funds return volatility. For the nine month period, the Funds option program helped to contribute to the commodity portfolios lower volatility when compared to its Index as measured by standard
deviation of return.
The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity
flip positions (i.e. go from a long position to a short position) during the life of a particular option. In this case, the Fund can collect additional premiums. During the period, the Fund was able to sell both puts and calls on several
commodities, including corn, soybean meal, soybeans, cotton, wheat, gold, and lean hogs, which contributed positively to Fund performance.
It is important to remember that a key driver of the Indexs long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of
commodity prices. The
28
Funds commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the
Indexs once per month methodology). This dependence on momentum puts the Index and the Funds commodity portfolio at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift
to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a whipsaw, and the Funds greater potential for trading activity exposes it to greater
whipsaw risk than the more passive Index in certain periods.
Fund Total Returns
The following table presents selected total returns for the Fund as of September 30, 2013. Total returns based on market value and
net asset value are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment
date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset value. The last distribution declared in the period, which is typically paid on the first business day of the following
month, is assumed to be reinvested at the market price per share at the end of the period for total returns based on market value, and at the ending net asset value per share at the end of the period for total returns based on net asset value.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative
|
|
|
|
3 Month
|
|
|
Year to Date
|
|
|
Since Inception
|
|
Market Value
|
|
|
-10.99
|
%
|
|
|
-12.80
|
%
|
|
|
-25.44
|
%
|
Net Asset Value
|
|
|
-0.80
|
%
|
|
|
-3.77
|
%
|
|
|
-7.80
|
%
|
Since inception returns present performance for the period since the Funds commencement
of operations on October 25, 2012.
Returns represent past performance, which is no guarantee of future performance.
Distributions
The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors,
roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Funds projected or actual distribution rate is not a prediction of what the
Funds actual total returns will be over any specific future period.
The Funds ability to make distributions will
depend on a number of factors, including, most importantly, the long-term total returns generated by the Funds commodity investments and the gains generated through the Funds options strategy. The Funds actual financial performance
will likely vary significantly from
month-to-month
and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the
distribution rate exceeds the Funds actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Funds distributions, the Fund may be required to liquidate
investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.
Because
the Funds investment performance since its inception has been negative, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been
drawn from the Funds assets.
As market conditions and portfolio performance may change, the rate of distributions on the
shares and the Funds distribution policy could change. The Manager reserves the right to change the Funds distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce
distributions without a change in policy, at any time and may do so without prior notice to shareholders. The reduction or elimination of the Funds distributions could have the effect of increasing the Managers management fees.
29
Commodity Weightings
The table below presents the composition of the Funds commodity portfolio and the Index as of September 30, 2013. The September 30, 2013 composition serves as a guide to how the
composition of the Funds commodity portfolio compared to that of the Index.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
|
Index
|
|
Commodity Group
|
|
Commodity
|
|
Exposure
(1)
|
|
Composition
|
|
|
Exposure
(1)
|
|
Composition
|
|
Energy
|
|
Crude Oil
|
|
Long
|
|
|
20.41
|
%
|
|
Long
|
|
|
20.52
|
%
|
|
|
Heating OilGas Oil
|
|
Long
|
|
|
8.32
|
%
|
|
Long
|
|
|
8.32
|
%
|
|
|
Unleaded Gas
|
|
Long
|
|
|
6.49
|
%
|
|
Long
|
|
|
6.50
|
%
|
|
|
Natural Gas
|
|
Flat
|
|
|
6.28
|
%
|
|
Flat
|
|
|
6.30
|
%
|
|
|
Heating OilNo. 2
|
|
Flat
|
|
|
6.15
|
%
|
|
Long
|
|
|
6.13
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47.65
|
%
|
|
|
|
|
47.77
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture
|
|
Corn
|
|
Short
|
|
|
7.46
|
%
|
|
Short
|
|
|
7.39
|
%
|
|
|
Soybean
|
|
Long
|
|
|
7.27
|
%
|
|
Long
|
|
|
7.18
|
%
|
|
|
Wheat
|
|
Short
|
|
|
3.66
|
%
|
|
Short
|
|
|
3.66
|
%
|
|
|
Sugar
|
|
Short
|
|
|
3.30
|
%
|
|
Short
|
|
|
3.35
|
%
|
|
|
Soybean Oil
|
|
Short
|
|
|
2.23
|
%
|
|
Short
|
|
|
2.22
|
%
|
|
|
Coffee
|
|
Short
|
|
|
2.21
|
%
|
|
Short
|
|
|
2.22
|
%
|
|
|
Soybean Meal
|
|
Long
|
|
|
1.53
|
%
|
|
Long
|
|
|
1.52
|
%
|
|
|
Cotton
|
|
Long
|
|
|
1.23
|
%
|
|
Long
|
|
|
1.23
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28.89
|
%
|
|
|
|
|
28.77
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
Gold
|
|
Short
|
|
|
11.98
|
%
|
|
Short
|
|
|
11.98
|
%
|
|
|
Silver
|
|
Short
|
|
|
4.48
|
%
|
|
Short
|
|
|
4.47
|
%
|
|
|
Copper
|
|
Short
|
|
|
2.43
|
%
|
|
Short
|
|
|
2.44
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18.89
|
%
|
|
|
|
|
18.89
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
Live Cattle
|
|
Short
|
|
|
3.05
|
%
|
|
Short
|
|
|
3.07
|
%
|
|
|
Lean Hogs
|
|
Long
|
|
|
1.52
|
%
|
|
Long
|
|
|
1.50
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.57
|
%
|
|
|
|
|
4.57
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
|
100.00
|
%
|
|
|
|
|
100.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Fund and the Index may take long and short positions on commodity futures contracts. The Fund and the Index will not short energy futures contracts due to prices of
energy futures contracts generally being more sensitive to geopolitical events than to economic factors. References to a flat position mean that instead of shorting an energy futures contracts when market signals dictate, the Fund will not have a
futures contract position for that energy commodity, and will instead move that position to cash.
|
Liquidity and Capital
Resources
The Fund implements its strategy by taking long and/or short positions in commodity futures contracts with a
portion of the Funds assets, writing put and call options pursuant to the long/short commodity investment program, and by investing the remaining assets of the Fund as collateral in cash equivalents, U.S. government securities and other
short-term, high grade debt securities. The Funds investment activity in futures contracts and writing commodity options does not require a significant outlay of capital. The Fund currently expects to post approximately 15% of its net assets
in a margin account with Barclays Capital Inc., the Funds clearing broker, to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-advisor. The Fund believes
the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market
30
volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Funds other collateral pool to meet
variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of
return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund also generates
cash from the premiums it receives when writing options on the Funds futures contracts.
The Funds investments in
commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain
commodity futures contract prices during a single day by regulations referred to as daily limits. During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular
commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have
occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.
The Funds shares trade on the NYSE MKT, and shares are not redeemed by the Fund in the normal course of business (although the
Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On March 14, 2013, the Fund announced the adoption of an open-market share repurchase
program pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares. During 2013, the Fund has repurchased 117,500 shares at a weighted average price of $17.89 per share. Refer to Part
IIItem 2. Unregistered Sales of Equity Securities and Use of Proceeds in this Report for details of repurchase activity during the nine months ended September 30, 2013.
The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the
Funds liquidity needs.
Because the Fund invests in commodity futures contracts, its capital is at risk from changes in
the value of these contracts (market risk) or the potential inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Investing in commodity futures contracts involves the Fund
entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Funds commitments to purchase commodities will be limited to the gross or face amount of the
contracts held.
The Funds exposure to market risk may be influenced by a number of factors, including changes in
international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and
other factors. These factors also affect the Funds investments in options on commodity futures contracts. The inherent uncertainty of the Funds investments as well as the development of drastic market occurrences could ultimately lead to
a loss of all, or substantially all, of investors capital.
Credit Risk
The Fund may be exposed to credit risk from its investments in commodity futures contracts and options on commodity futures contracts
resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting
from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of
banks or other financial
31
institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.
The Fund attempts to minimize market risks, and the Commodity Sub-advisor attempts to minimize credit risks, by abiding by various
investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-advisor implements procedures which include, but are not limited to:
|
|
|
Employing the options strategy to limit directional risk (although there is no guarantee that the Funds options strategy will be successful);
|
|
|
|
Executing and clearing trades only with counterparties the Commodity Sub-advisor believes are creditworthy;
|
|
|
|
Limiting the amount of margin or premium required for any one commodity contract or all commodity contracts combined; and
|
|
|
|
Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.
|
A commodity broker, when acting as the Funds futures commission merchant, is required by the Commodity
Futures Trading Commission (CFTC) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the
commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Funds futures commission merchant, to hold in a secured account the assets of the Fund related to foreign futures investments and
not commingle such assets with assets of the commodity broker.
As it relates to the Funds assets held as collateral for
its investments in commodity futures contracts, there is credit risk present in the securities used to invest the Funds cash. While these consist of cash equivalents, U.S. government securities and other short-term, high-grade debt securities,
like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.
Off-Balance Sheet
Arrangements
As of September 30, 2013, the Fund has not utilized, nor does it expect to utilize in the future,
special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may
include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Funds exposure under such indemnification provisions cannot be estimated,
these general business indemnifications are not expected to have a material impact on the Funds financial position.
Contractual
Obligations
The Funds contractual obligations are with the Manager, the Commodity Sub-advisor, the Collateral
Sub-advisor, the custodian, the transfer agent and the commodity broker. Management fee payments made to the Manager are calculated as a percentage of the Funds assets. The custodian fee is primarily based on the Funds assets and trading
activity. The transfer agent fee is calculated based on the Funds total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn basis. The Manager cannot anticipate the amount of
payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.
32
Critical Accounting Policies
The Funds critical accounting policies are as follows:
|
|
|
Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States of
America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Funds application of these policies involves judgments and actual results may differ from the estimates used.
|
|
|
|
The Fund holds a significant portion of its assets in futures contracts, options contracts, and short-term, high grade debt instruments, all of which
are recorded on a trade date basis and recognized at fair value in the financial statements, with changes in fair value reported on the Statements of Operations as changes in net unrealized appreciation (depreciation).
|
|
|
|
The use of fair value to measure financial instruments, with related unrealized appreciation or depreciation recognized in earnings in each period, is
fundamental to the Funds financial statements.
|
|
|
|
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date.
|
|
|
|
Generally, commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price or
official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. Options on commodity futures contracts not traded on an exchange will be valued, in order of hierarchy,
by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.
|
|
|
|
Market quotations for exchange-traded commodity futures contracts and options on commodity futures contracts may not be readily available as a result
of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of
the market, but prior to the determination of the Funds net asset value, which may affect the values of the Funds investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is
reflective of fair market value.
|
|
|
|
Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and
recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.
|
|
|
|
Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an
accrual basis.
|
Refer to note 2 of the Funds Notes to Financial Statements in Part
1Item 1. Financial Statements of this Report for the summary of significant accounting policies of the Fund.
33