Additional Disclosures
General
The information included herein represents the performance information of Millennium International, Ltd. (“International”), Millennium USA LP (“USA”) or Millennium Global Estate LP (“Global” and, together with International and USA, the “Feeder Funds”) as indicated, except as otherwise noted below. In considering the prior performance information contained herein, you should bear in mind that past performance may not be indicative of future results. Certain performance information contained herein is only an estimate of performance results and actual results may materially differ from the estimates presented. The footnotes on the page that includes performance information and the information provided below contain important disclosures relating to the performance information contained herein that should be reviewed in connection therewith. In the event of any conflict between the information contained herein and the information contained in the applicable Feeder Fund’s confidential memorandum (each, a “Memorandum”), the information in such Feeder Fund’s Memorandum will control and supersede the information contained herein. The information contained herein is not intended to provide and should not be relied upon for accounting, legal or tax advice or investment recommendations. Please refer to the applicable Feeder Fund’s Memorandum for additional information, which must be reviewed carefully.
The computation of returns may vary based on the timing of capital transactions. Prior to January 2022, the rate of return for a month was calculated by dividing (x) net monthly income by (y) the beginning gross asset value from the current month, including contributions and withdrawals or redemptions at beginning of the month, as applicable. Commencing as of January 2022, the rate of return for a month is calculated by dividing (x) net monthly income by (y) the beginning net asset value from the current month, after deducting incentive compensation, which, as of July 1, 2023 for International and USA, includes the incentive allocation and the incentive floor fee (each as described below and in the applicable Feeder Funds’ Memorandum) accrued as of the beginning of the month (including contributions and withdrawals at the beginning of the month). This change does not impact the Feeder Funds' year-to-date returns.
With respect to the incentive compensation (whether in the form of a fee or an allocation) described throughout these disclosures, such incentive compensation is generally paid or allocated at the end of the year. Yearly net returns are based on money invested as of January 1 and reflect the incentive compensation being paid at the end of the year, if applicable; however, in order to calculate net monthly returns, incentive compensation, if applicable, has been included as if it were a monthly cost except for periods in which the applicable Feeder Fund is below a high water mark. As a result, the yearly net return for a given year may not be able to be derived from the monthly net return figures for such year reflected herein.
The monthly returns for the current year set forth herein have not been audited but are believed by Millennium Management LLC (“Millennium Management”), Millennium International Management LP (“MIM LP”) and Millennium Global Estate GP LLC, in their respective capacities as general partner or investment manager, as the case may be, to be accurate. Financial statements of Millennium Partners, L.P. (“MLP”) and the Feeder Funds are audited by Ernst & Young LLP and are available upon request (unless otherwise noted).
MLP commenced operations in June 1989. This document sets forth the returns of MLP since January 1990. During 1989, MLP had an additional general partner and employed trading strategies that are no longer used. MLP lost 10.31% from June 1989 to December 1989. MLP was restructured in 1990 and new trading strategies were thereafter implemented.
International
Prior to January 1, 1998, investors invested directly in MLP and the results presented through December 31, 1997 are those of MLP. International, which commenced operations on January 1, 1998, invests primarily in MLP and results from and after January 1, 1998 are those of International. With respect to those figures through December 31, 1997, such figures are net of costs of MLP and a 20% incentive allocation payable to MLP’s general partner. Since MLP was not a foreign entity prior to 1999, there was no tax withheld applicable to dividend income from U.S. sources.
Figures from and after January 1, 1998 for International are net of an incentive allocation to MIM LP through June 30, 2011, and an incentive allocation made by Millennium Offshore Intermediate, L.P., an entity through which International invests in MLP, to Millennium Management thereafter, and expenses of International and International's pro rata share of expenses incurred by MLP, as outlined in International’s Memorandum. In addition to the foregoing, return figures from and after July 1, 2023, are also net of an incentive Floor Fee payable to MIM LP beginning effective as of such date, as described in International’s Memorandum. Returns prior to July 1, 2023 do not reflect the incentive floor fee. The incentive allocation is generally paid or allocated at the end of the year. The incentive floor fee is equal to 1/12 of 1% of the month-end balance of each investor’s capital account balance for each month during the relevant period, is generally charged annually in arrears and reduces dollar-for-dollar the incentive allocation, so that it will only result in an incremental charge for investors if the incentive allocation otherwise would have been less than the amount of the incentive floor fee, as described in International’s Memorandum, and in such circumstance such incremental charge incurred by an investor remaining in International will be offset against any future incentive allocation that would otherwise have been borne by such investor. Yearly net returns are based on money invested as of January 1 and reflect the incentive compensation being paid at the end of the year, if applicable; however, in order to calculate net monthly returns, incentive compensation, if applicable, has been included as if it were a monthly cost except for periods in which International is below a high water mark. As a result, the yearly net return for a given year may not be able to be derived from the monthly net return figures for such year reflected herein.
Beginning in June 1999, included in the returns is income from "hot issues" or "new issues" which is allocated to investors who are eligible to participate in such issues. If an investor in International did not own an interest that was eligible for "hot issue" or "new issue" income, its returns were decreased by the following amounts: 1999 0.80%; 2000 0.23%; 2001 0.04%; 2002 0.02%; 2003 0.02%; 2004 0.20%; 2005 0.30%; 2006 0.23%; 2007 0.33%; 2008 0.06%; 2009 0.06%; 2010 0.11%; 2011 0.16%; 2012 0.17%; 2013 0.45%; 2014 0.47%; 2015 0.13%; 2016 0.07%; 2017 0.17%; 2018 0.46%; 2019 0.36%; 2020 1.15%; 2021 0.95%; 2022 0.04%; 2023 0.13%; 2024 0.02% (as of February 29, 2024).
The -3.07% return in 2008 is inclusive of a -2.61% write-down of all International’s exposure to Lehman Brothers. In the absence of the Lehman Brothers write-down, the return would have been -0.46% in 2008. The aggregate amounts ultimately recovered from the Lehman Brothers estate and the liquidation of International’s remaining exposure, which were allocated to the holders (including former holders) of interests in International at the time of the write -down, exceeded the amount of the initial write-down. The returns from 2009 through 2015 include the gains attributable to a recovery in value of International’s exposure to the Lehman Brothers estate.
Additional information relating to the Euro-denominated sub-classes of International (the “Euro Shares”)
The Euro Shares were first issued in October 2010.
The performance information of the Euro Shares also reflects the expenses of currency conversions in connection with subscriptions and redemptions and the expenses, as well as profits or losses of currency hedging activities undertaken in relationship to the Euro Shares.
Included in the returns is income from “hot issues” or “new issues” which is allocated to investors who are eligible to participate in such issues. If an investor in International did not own an interest that was eligible for “hot issue” or “new issue” income, its returns were decreased by the following amounts: 2010 0.05%; 2011 0.15%; 2012 0.17%; 2013 0.44%; 2014 0.48%; 2015 0.13%; 2016 0.07%; 2017 0.17%; 2018 0.45%; 2019: 0.35%; 2020: 1.12%; 2021: 0.95%; 2022: 0.04%; 2023: 0.12%; 2024: 0.02% (as of February 29, 2024).
Additional Information relating to the Japanese Yen-denominated sub-classes of International (the “Yen Shares”)
The Yen Shares were first issued in September 2011.
The performance information of the Yen Shares also reflects the expenses of currency conversions in connection with subscriptions and redemptions and the expenses, as well as profits or losses of currency hedging activities undertaken in relationship to the Yen Shares.
Additional Information relating to Class SC Shares of International (“Class SC Shares”)
Millennium Strategic Capital, Ltd. ("Strategic, Ltd.") commenced operations in September 2011 and as of December 31, 2015 its structure was altered such that instead of being a separate fund investing indirectly in MLP, its key terms are reflected in Class SC Shares of International ("SC Shares"). As a result, the performance data contained herein for the period prior to September 2011 and after December 2015 reflects the performance of MLP and International, adjusted to reflect the applicable incentive compensation, as described in more detail below.
Prior to January 1, 1998, investors invested directly in MLP and the results presented through December 31, 1997 are those of MLP. International, which commenced operations on January 1, 1998, invests primarily in MLP and results from and after January 1, 1998 are those of International. With respect to those figures through December 31, 1997, such figures are net of costs of MLP and a 18% incentive allocation payable to MLP’s general partner. Since MLP was not a foreign entity prior to 1999, there was no tax withheld applicable to dividend income from U.S. sources.
All figures from January 1, 1998 through August 31, 2011, are those of International and are net of incentive compensation (adjusted on a pro forma basis from 20% to 18%), International’s costs and a share of costs incurred by MLP, as outlined in International’s Memorandum.
All figures from September 1, 2011 through December 31, 2015 are those of Strategic, Ltd., and are net of the incentive allocation to Millennium Management, Strategic, Ltd.’s costs and a share of costs incurred by MLP, as outlined in Strategic, Ltd.’s Memorandum.
All figures subsequent to December 31, 2015 are those of International and are net of the Incentive Allocation to Millennium Management, International’s costs and a share of costs incurred by MLP, as outlined in the International’s Memorandum.
Although International’s financial statements are audited, the pro forma performance results have not been audited. Past performance of International and Strategic, Ltd. is not a guarantee or representation of the future performance of Class SC Shares, and there can be no assurance Class SC Shares will achieve comparable results. An investment in Class SC Shares is speculative and involves substantial risks.
USA
Prior to January 1, 1998, investors invested directly in MLP and the results presented through December 31, 1997 are those of MLP and results from and after January 1, 1998 are those of USA. With respect to those figures through December 31, 1997, such figures are net of costs of MLP and a 20% incentive allocation payable to MLP’s general partner.
Figures from and after January 1, 1998 for USA are net of the incentive allocation to Millennium Management, expenses of USA and USA’s pro rata share of expenses incurred by MLP, as outlined in USA’s Memorandum. In addition to the foregoing, return figures from and after July 1, 2023, are also net of an incentive floor fee payable to MIM LP beginning effective as of such date, as described in the USA’s Memorandum. Returns prior to July 1, 2023 do not reflect the incentive floor fee. The incentive allocation is generally paid or allocated at the end of the year. The incentive floor fee is equal to 1/12 of 1% of the month-end balance of each investor’s capital account balance for each month during the relevant period, is generally charged annually in arrears and reduces dollar-for-dollar the incentive allocation, so that it will only result in an incremental charge for investors if the incentive allocation otherwise would have been less than the amount of the incentive floor fee, as described in USA’s Memorandum, and in such circumstance such incremental charge incurred by an investor remaining in USA will be offset against any future incentive allocation that would otherwise have been borne by such investor. Yearly net returns are based on money invested as of January 1 and reflect the incentive compensation being paid at the end of the year, if applicable; however, in order to calculate net monthly returns, incentive compensation, if applicable, has been included as if it were a monthly cost except for periods in which USA is below a high water mark. As a result, the yearly net return for a given year may not be able to be derived from the monthly net return figures for such year reflected herein.
Beginning in June 1999, included in the returns is income from "hot issues" or "new issues" which is allocated to investors who are eligible to participate in such issues. If an investor in USA did not own an interest that was eligible for "hot issue" or "new issue" income, its returns were decreased by the following amounts: 1999 0.80%; 2000 0.23%; 2001 0.04%; 2002 0.02%; 2003 0.02%; 2004 0.20%; 2005 0.30%; 2006 0.23%; 2007 0.33%; 2008 0.06%; 2009 0.06%; 2010 0.11%; 2011 0.16%; 2012 0.17%; 2013 0.45%; 2014 0.47%; 2015 0.13%; 2016 0.07%; 2017 0.17%; 2018 0.46%; 2019 0.36%; 2020 1.16%; 2021 0.95%; 2022 0.04%; 2023 0.12%; 2024: 0.02% (as of February 29, 2024).
The -3.50% return in 2008 is inclusive of a -2.51% write-down of all USA's exposure to Lehman Brothers. In the absence of the Lehman Brothers write-down, the return would have been -0.99% in 2008. The amounts ultimately recovered from the Lehman Brothers estate and the liquidation of USA’s remaining exposure exceeded the amount of the initial write-down, which were allocated to holders of interests in USA at the time of the write-down. The returns from 2009 through 2015 include the gains attributable to a recovery in value of USA’s exposure to the Lehman Brothers estate.
Additional Information relating to Class SC Interests of USA (“Class SC Interests”)
Millennium Strategic Capital LP ("Strategic LP") commenced operations in July 2011 and as of December 31, 2016 its structure was altered such that instead of being a separate fund investing directly in MLP, its key terms are reflected in Class SC limited partner interests of USA. As a result, the performance data contained herein for the period prior to July 2011 and after December 2016 reflects the performance of MLP and USA, adjusted to reflect the applicable incentive compensation, as described in more detail below.
USA, which commenced operations on January 1, 1998, invests primarily in MLP. Prior to January 1, 1998, investors invested directly in MLP and the results presented through December 31, 1997 are those of MLP and results from and after January 1, 1998 are those of USA. With respect to those figures through December 31, 1997, such figures are net of costs of MLP and an 18% incentive allocation payable to MLP's general partner.
All figures from January 1, 1998 through June 30, 2011 are those of USA and are net of the incentive allocation (adjusted on a pro forma basis from 20% to 18%), to Millennium Management, costs of USA and USA’s pro rata share of costs incurred by MLP, as outlined in USA’s Memorandum.
All figures from July 1, 2011 through December 31, 2016 are those of Strategic LP and are net of the incentive allocation to Millennium Management, costs of Strategic LP and Strategic LP's share of costs incurred by MLP, as outlined in USA’s Memorandum.
All figures subsequent to December 31, 2016 are those of USA and are net of the incentive allocation to Millennium Management, USA’s costs and a share of costs incurred by MLP, as outlined in the USA’s Memorandum.
Although USA’s financial statements are audited, the pro forma performance results have not been audited. Past performance of USA and Strategic LP is not a guarantee or representation of the future performance of Class SC Interests, and there can be no assurance Class SC Interests will achieve comparable results. An investment in Class SC Interests is speculative and involves substantial risks.
Global
Returns for the period prior to January 1, 2008 reflect Global’s fee structure that was in place prior to January 1, 2008, which included an incentive allocation equal to 20% of net capital appreciation, each as described in Global’s Memorandum. For purposes of such calculation, net capital appreciation was deemed reduced by the amount of any unrecovered prior losses allocable to the accounts of investors bearing the incentive allocation. The incentive allocation generally was reallocated at the end of a fiscal year. However, to calculate monthly performance, which is used to compute the monthly rate of return, the incentive allocation has been included as a monthly expense. Yearly rates of return are based on money invested as of January 1 and reflect the incentive allocation being charged at the end of the year. As of January 1, 2008, the incentive allocation was replaced with an asset-based management fee equal to 2.5% (per annum), which is reflected as a monthly expense in returns subsequent to such date, as described in Global’s Memorandum. The rate of return figures for all periods are based on the net return on investments held by Global, reduced by the incentive allocation or asset-based management fee described above, as applicable, as well as the direct and indirect expenses of Global.
The monthly returns reflect only the income and expenses of Global, and do not reflect the effect of any fees or expenses charged by life insurance companies with respect to the variable life insurance or annuity contracts that have funds allocated to Global. If these expenses were included, the return under variable life insurance or annuity contracts that allow allocation of cash values to Global would be decreased.
Included in the returns is income from "hot issues" or "new issues." Certain holders of variable life insurance or annuity contracts may not be permitted to participate in such issues. In such cases returns allocated to the cash value of contracts held by such persons were decreased by the following amounts: 2001 0.00%; 2002 0.02%; 2003 0.02%; 2004 0.03%; 2005 0.00%; 2006 0.19%; 2007 0.37%; 2008 0.06%; 2009 0.08%; 2010 0.13%; 2011 0.23%; 2012 0.40%; 2013 0.65%; 2014 0.88%, 2015 0.40%; 2016 0.12%; 2017 0.22%; 2018 0.56%; 2019 0.44%; 2020 1.40%; 2021 1.16%; 2022 0.05%; 2023 0.15%; 2024 0.02% (as of February 29, 2024).
The -6.00% return in 2008 is inclusive of a -2.44% write-down of all the Global’s exposure to Lehman Brothers. In the absence of the Lehman Brothers write-down, the return would have been - 3.57% in 2008. The amounts ultimately recovered from the Lehman Brothers estate and the liquidation of the Global’s remaining exposure exceeded the amount of the initial write-down, which were allocated to holders of interests in the Fund at the time of the write-down. The returns from 2009 through 2015 include the gains attributable to a recovery in value of the Global’s exposure to the Lehman Brothers estate.