General | 9 Months Ended |
Sep. 30, 2014 |
Accounting Policies [Abstract] | ' |
General | ' |
1 | General: | | | | | | | | | | | | | | | |
Potomac Futures Fund L.P. (the “Partnership”) is a limited partnership organized on March 14, 1997 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The commodity interests that are indirectly traded by the Partnership through its investment in CMF Campbell Master Fund L.P., a limited partnership organized under the partnership laws of the state of New York, (the “Master”) are volatile and involve a high degree of market risk. The Partnership was authorized to sell an unlimited number of redeemable units of limited partnership interest (“Redeemable Units”) during its initial offering period. The Partnership privately and continuously offers Redeemable Units in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. |
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of September 30, 2014, all trading decisions for the Partnership are made by Campbell & Company, Inc. (the “Advisor”). |
On January 1, 2005, the Partnership allocated substantially all of its capital to the Master. The Partnership purchased 173,788.6446 units of the Master with cash equal to $172,205,653 and a contribution of open commodity futures and forward contracts with a fair value of $1,582,992. The Master was formed in order to permit accounts managed by the Advisor using the Campbell Managed Futures Portfolio (formerly, Financial, Metal and Energy Large Portfolio), a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. During the three months ended September 30, 2014, the Partnership’s/Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”) a registered futures commission merchant. During the prior periods included in this report, Citigroup Global Markets Inc. (“CGM”) also served as a commodity broker. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected. |
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended September 30, 2014. |
During the second quarter of 2013, the Master entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&Co. The Master commenced foreign exchange trading through an account at MS&Co. on or about May 1, 2013. The Master commenced futures trading through an account at MS&Co. on or about June 10, 2013. Effective August 2, 2013, the Partnership entered into a futures brokerage account agreement with MS&Co. and began transferring the brokerage account of the Partnership from CGM to MS&Co. The Partnership, through its investment in the Master, pays MS&Co. trading fees for the clearing and, where applicable, execution of transactions. |
Effective October 1, 2013, the Partnership ceased paying a brokerage fee to CGM and CGM ceased acting as a selling agent for the Partnership. Also effective October 1, 2013, the Partnership entered into a selling agreement with Morgan Stanley Smith Barney LLC (d/b/a Morgan Stanley Wealth Management). Pursuant to the selling agreement, Morgan Stanley Wealth Management received a monthly selling agent fee equal to 5.5% per year of the Partnership’s month-end net assets. The selling agent fee received by Morgan Stanley Wealth Management will be shared with the properly registered/licensed financial advisers of Morgan Stanley Wealth Management who sell redeemable units in the Partnership. |
Effective April 1, 2014, the monthly ongoing selling agent fee was reduced from an annual rate of 5.5% to an annual rate of 3.0%. |
Effective June 1, 2014, the management fee paid to the Advisor was reduced from an annual rate of 2.0% to an annual rate of 1.5%. |
Effective October 1, 2014, the monthly ongoing selling agent fee was reduced from an annual rate of 3.00% to an annual rate of 2.00%. As of the same date, the Partnership will begin paying an administrative fee to the General Partner at an annual rate of 1.00%. The October 1, 2014 fee changes will offset each other and, accordingly, there will be no change to the aggregate fees incurred by the Partnership. |
|
Certain prior period amounts have been reclassified to conform to current period presentation. Amounts reported on the Statements of Income and Expenses and Changes in Partners’ Capital as ongoing selling agent fees were previously presented as brokerage fees. |
As of September 30, 2014 and December 31, 2013, the Partnership owned 100% of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. During the nine months ended September 30, 2014, the Master engaged in such trading through a commodity brokerage account maintained with MS&Co. During prior periods covered by this report, the Master engaged in such trading through commodity brokerage accounts maintained with CGM. The Master’s Statements of Financial Condition, including Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital, are included herein. |
The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions and losses, if any. |
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2014 and December 31, 2013, and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2014 and 2013. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2013. |
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. |
Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. |
|
The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2014 and December 31, 2013 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2014 and 2013 are presented below: |
CMF Campbell Master Fund L.P. |
Statements of Financial Condition |
|
| | | | | | | | | | | | | | | | |
| | (Unaudited) | | | December 31, | | | | | | | | | |
September 30, | 2013 | | | | | | | | |
2014 | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity in trading account: | | | | | | | | | | | | | | | | |
Cash | | $ | 21,945,308 | | | $ | 22,870,367 | | | | | | | | | |
Cash margin | | | 3,606,442 | | | | 6,942,397 | | | | | | | | | |
Net unrealized appreciation on open futures contracts | | | 876,595 | | | | 840,448 | | | | | | | | | |
Net unrealized appreciation on open forward contracts | | | 1,400,954 | | | | 123,992 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total assets | | $ | 27,829,299 | | | $ | 30,777,204 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Liabilities and Partners’ Capital: | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | |
Clearing fees due to MS& Co. | | | 1,970 | | | | 3,922 | | | | | | | | | |
Professional fees | | | 18,101 | | | | 26,460 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total liabilities | | | 20,071 | | | | 30,382 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Partners’ Capital: | | | | | | | | | | | | | | | | |
General Partner, 0.0000 Unit equivalents at September 30, 2014 and December 31, 2013 | | | — | | | | — | | | | | | | | | |
Limited Partners, 15,728.8056 and 19,021.4007 units outstanding at September 30, 2014 and December 31, 2013, respectively | | | 27,809,228 | | | | 30,746,822 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total liabilities and partners’ capital | | $ | 27,829,299 | | | $ | 30,777,204 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net asset value per unit | | $ | 1,768.04 | | | $ | 1,616.43 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
|
|
CMF Campbell Master Fund L.P. |
Condensed Schedule of Investments |
30-Sep-14 |
(Unaudited) |
|
| | | | | | | | | | | | | | | | |
| | Notional ($)/ Number | | | Fair Value | | | % of Partners’ | | | | | |
of Contracts | Capital | | | | |
Futures Contracts Purchased | | | | | | | | | | | | | | | | |
Energy | | | 9 | | | $ | 1,400 | | | | 0.01 | % | | | | |
Grains | | | 15 | | | | (11,936 | ) | | | (0.04 | ) | | | | |
Indices | | | 212 | | | | (82,396 | ) | | | (0.30 | ) | | | | |
Interest Rates Non-U.S. | | | 513 | | | | 200,025 | | | | 0.72 | | | | | |
Interest Rates U.S. | | | 100 | | | | (16,414 | ) | | | (0.06 | ) | | | | |
Livestock | | | 13 | | | | 7,480 | | | | 0.03 | | | | | |
Metals | | | 4 | | | | (9,888 | ) | | | (0.04 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts purchased | | | | | | | 88,271 | | | | 0.32 | | | | | |
| | | | | | | | | | | | | | | | |
Futures Contracts Sold | | | | | | | | | | | | | | | | |
Energy | | | 89 | | | | 249,392 | | | | 0.89 | | | | | |
Grains | | | 179 | | | | 363,425 | | | | 1.31 | | | | | |
Indices | | | 17 | | | | 2,312 | | | | 0.01 | | | | | |
Interest Rates Non-U.S. | | | 93 | | | | (6,062 | ) | | | (0.02 | ) | | | | |
Interest Rates U.S. | | | 106 | | | | (1,447 | ) | | | (0.01 | ) | | | | |
Metals | | | 44 | | | | 204,950 | | | | 0.74 | | | | | |
Softs | | | 63 | | | | (24,246 | ) | | | (0.09 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts sold | | | | | | | 788,324 | | | | 2.83 | | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on open futures contracts | | | | | | | 876,595 | | | | 3.15 | | | | | |
| | | | | | | | | | | | | | | | |
Unrealized Appreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 112,502,752 | | | | 3,323,145 | | | | 11.95 | | | | | |
Metals | | | 63 | | | | 216,980 | | | | 0.78 | | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized appreciation on open forward contracts | | | | | | | 3,540,125 | | | | 12.73 | | | | | |
| | | | | | | | | | | | | | | | |
Unrealized Depreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 78,270,045 | | | | (1,857,915 | ) | | | (6.68 | ) | | | | |
Metals | | | 116 | | | | (281,256 | ) | | | (1.01 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized depreciation on open forward contracts | | | | | | | (2,139,171 | ) | | | (7.69 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on open forward contracts | | | | | | $ | 1,400,954 | | | | 5.04 | | | | | |
| | | | | | | | | | | | | | | | |
Net fair value | | | | | | $ | 2,277,549 | | | | 8.19 | % | | | | |
| | | | | | | | | | | | | | | | |
|
CMF Campbell Master Fund L.P. |
Condensed Schedule of Investments |
December 31, 2013 |
|
| | | | | | | | | | | | | | | | |
| | Notional ($)/ | | | Fair | | | % of Partners' | | | | | |
Number of | Value | Capital | | | | |
Contracts | | | | | | |
Futures Contracts Purchased | | | | | | | | | | | | | | | | |
Energy | | | 76 | | | $ | (53,457 | ) | | | (0.18 | )% | | | | |
Grains | | | 28 | | | | (34,952 | ) | | | (0.11 | ) | | | | |
Indices | | | 353 | | | | 795,421 | | | | 2.59 | | | | | |
Interest Rates Non-U.S. | | | 243 | | | | (40,242 | ) | | | (0.13 | ) | | | | |
Interest Rates U.S. | | | 259 | | | | (62,513 | ) | | | (0.20 | ) | | | | |
Livestock | | | 9 | | | | 1,170 | | | | 0 | * | | | | |
Softs | | | 13 | | | | 6,270 | | | | 0.02 | | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts purchased | | | | | | | 611,697 | | | | 1.99 | | | | | |
| | | | | | | | | | | | | | | | |
Futures Contracts Sold | | | | | | | | | | | | | | | | |
Energy | | | 2 | | | | 250 | | | | 0 | * | | | | |
Grains | | | 212 | | | | 105,941 | | | | 0.34 | | | | | |
Indices | | | 23 | | | | (5,333 | ) | | | (0.02 | ) | | | | |
Interest Rates Non-U.S. | | | 182 | | | | 68,165 | | | | 0.22 | | | | | |
Interest Rates U.S. | | | 215 | | | | 30,680 | | | | 0.1 | | | | | |
Livestock | | | 38 | | | | 23,980 | | | | 0.08 | | | | | |
Metals | | | 42 | | | | 21,755 | | | | 0.07 | | | | | |
Softs | | | 132 | | | | (16,687 | ) | | | (0.05 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts sold | | | | | | | 228,751 | | | | 0.74 | | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on open futures contracts | | | | | | | 840,448 | | | | 2.73 | | | | | |
| | | | | | | | | | | | | | | | |
Unrealized Appreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 134,592,112 | | | | 1,317,766 | | | | 4.29 | | | | | |
Metals | | | 147 | | | | 150,666 | | | | 0.49 | | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized appreciation on open forward contracts | | | | | | | 1,468,432 | | | | 4.78 | | | | | |
| | | | | | | | | | | | | | | | |
Unrealized Depreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 142,674,457 | | | | (1,124,774 | ) | | | (3.66 | ) | | | | |
Metals | | | 151 | | | | (219,666 | ) | | | (0.71 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized depreciation on open forward contracts | | | | | | | (1,344,440 | ) | | | (4.37 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on open forward contracts | | | | | | | 123,992 | | | | 0.41 | | | | | |
| | | | | | | | | | | | | | | | |
Net fair value | | | | | | $ | 964,440 | | | | 3.14 | % | | | | |
| | | | | | | | | | | | | | | | |
* Due to rounding. |
|
|
CMF Campbell Master Fund L.P. |
Statements of Income and Expenses and Changes in Partners’ Capital |
(Unaudited) |
|
| | | | | | | | | | | | | | | | |
| | Three Months Ended | | | Nine Months Ended | |
September 30, | September 30, |
| | 2014 | | | 2013 | | | 2014 | | | 2013 | |
Investment Income: | | | | | | | | | | | | | | | | |
Interest income | | $ | 654 | | | $ | 1,155 | | | $ | 3,446 | | | $ | 6,129 | |
| | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | |
Clearing fees | | | 35,380 | | | | 45,114 | | | | 138,910 | | | | 156,044 | |
Professional fees | | | 30,523 | | | | 17,179 | | | | 73,632 | | | | 53,749 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 65,903 | | | | 62,293 | | | | 212,542 | | | | 209,793 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (65,249 | ) | | | (61,138 | ) | | | (209,096 | ) | | | (203,664 | ) |
| | | | | | | | | | | | | | | | |
Trading Results: | | | | | | | | | | | | | | | | |
Net gains (losses) on trading of commodity interests: | | | | | | | | | | | | | | | | |
Net realized gains (losses) on closed contracts | | | 2,375,311 | | | | 221,214 | | | | 894,975 | | | | 4,713,998 | |
Change in net unrealized gains (losses) on open contracts | | | 1,405,822 | | | | (704,196 | ) | | | 1,313,109 | | | | (1,178,209 | ) |
| | | | | | | | | | | | | | | | |
Total trading results | | | 3,781,133 | | | | (482,982 | ) | | | 2,208,084 | | | | 3,535,789 | |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | 3,715,884 | | | | (544,120 | ) | | | 1,998,988 | | | | 3,332,125 | |
Subscriptions — Limited Partners | | | 125,000 | | | | 1,933,472 | | | | 3,686,764 | | | | 5,564,675 | |
Redemptions — Limited Partners | | | (2,833,130 | ) | | | (5,084,373 | ) | | | (8,619,900 | ) | | | (10,662,778 | ) |
Distribution of interest income to feeder funds | | | (654 | ) | | | (1,155 | ) | | | (3,446 | ) | | | (6,129 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in Partners’ capital | | | 1,007,100 | | | | (3,696,176 | ) | | | (2,937,594 | ) | | | (1,772,107 | ) |
Partners’ Capital, beginning of period | | | 26,802,128 | | | | 32,395,857 | | | | 30,746,822 | | | | 30,471,788 | |
| | | | | | | | | | | | | | | | |
Partners’ Capital, end of period | | $ | 27,809,228 | | | $ | 28,699,681 | | | $ | 27,809,228 | | | $ | 28,699,681 | |
| | | | | | | | | | | | | | | | |
Net asset value per unit (15,728.8056 and 18,588.3324 units outstanding at September 30, 2014 and 2013, respectively) | | $ | 1,768.04 | | | $ | 1,543.96 | | | $ | 1,768.04 | | | $ | 1,543.96 | |
| | | | | | | | | | | | | | | | |
Net income (loss) per unit* | | $ | 231.8 | | | $ | (28.97 | ) | | $ | 151.78 | | | $ | 159.85 | |
| | | | | | | | | | | | | | | | |
Weighted average units outstanding | | | 16,896.01 | | | | 20,433.26 | | | | 18,736.84 | | | | 21,022.55 | |
| | | | | | | | | | | | | | | | |
|
* | Based on change in net asset value per unit before distribution of interest income to feeder funds. | | | | | | | | | | | | | | | |