SAE Foundation Annual Report 2013 - Cover3

SAE FOUNDATION
Notes to the Financial Statements (Continued)
Note 7 - Fair Values Measured on a Recurring Basis (Continued)
The Foundation's investment in managed futures is valued using the partnership's net asset
per unit value at the balance sheet date. Orion Managed Futures Fund (the Fund) represents an
investment in an on-shore limited partnership. The Fund aims to achieve substantial capital
appreciation through speculative trading in U.S. and international markets for currencies, interest
rates, stock indices, agricultural and energy products and precious and base metals. The Fund
may employ futures, options on futures, and forward contracts in those markets. The Fund may
also enter into swap transactions relating to the value of crude oil and other energy related
products. The fair value of the investments has been estimated using the net asset value per
share of the partnerships. The Fund's terms require that it has monthly liquidity, with no
redemption fee, and no gated exit. Redemptions are processed as long as requests are received 3
business days before month end. The proceeds are received within 12 business days of the
following month. The Foundation does not have any remaining unfunded commitments related to
this investment.
At the end of each reporting period, the Foundation determines if transfers between levels
of the fair value hierarchy have occurred based on information available, including pricing inputs
and other market data, including trade activity.

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SAE Foundation Annual Report 2013

Table of Contents for the Digital Edition of SAE Foundation Annual Report 2013

SAE Foundation Annual Report 2013 - Cover1
SAE Foundation Annual Report 2013 - Cover2
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