Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended |
Mar. 31, 2015 | |
Document And Entity Information [Abstract] | |
Document Type | 10-Q |
Amendment Flag | FALSE |
Document Period End Date | 31-Mar-15 |
Document Fiscal Year Focus | 2015 |
Document Fiscal Period Focus | Q1 |
Trading Symbol | MSCG |
Entity Registrant Name | MANAGED FUTURES PREMIER GRAHAM L.P. |
Entity Central Index Key | 1066656 |
Current Fiscal Year End Date | -19 |
Entity Filer Category | Non-accelerated Filer |
Entity Common Stock, Shares Outstanding | 6,824,505.36 |
Statements_of_Financial_Condit
Statements of Financial Condition (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Trading Equity: | ||
Unrestricted cash | $176,345,059 | $145,034,785 |
Restricted cash | 28,792,396 | 22,479,675 |
Total cash | 205,137,455 | 167,514,460 |
Net unrealized gain on open contracts | 2,370,963 | 10,991,449 |
Total Trading Equity | 207,508,418 | 178,505,909 |
Interest receivable | 1,119 | 813 |
Total Assets | 207,509,537 | 178,506,722 |
Liabilities: | ||
Redemptions payable to Limited Partners | 2,795,136 | 2,217,518 |
Accrued ongoing placement agent fees | 344,847 | 285,638 |
Accrued brokerage fees | 344,847 | 285,638 |
Accrued management fees | 301,741 | 249,934 |
Total Liabilities | 3,786,571 | 3,038,728 |
Partners' Capital: | ||
Limited Partners (6,824,505.363 and 6,404,822.920 Units, respectively) | 201,429,400 | 173,548,977 |
General Partner (77,706.890 and 70,821.303 Units, respectively) | 2,293,566 | 1,919,017 |
Total Partners' Capital | 203,722,966 | 175,467,994 |
Total Liabilities and Partners' Capital | $207,509,537 | $178,506,722 |
NET ASSET VALUE PER UNIT | $29.52 | $27.10 |
Statements_of_Financial_Condit1
Statements of Financial Condition (Parenthetical) | Mar. 31, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Limited Partners, Units (in units) | 6,824,505.36 | 6,404,822.92 |
General Partner, Units (in units) | 77,706.89 | 70,821.30 |
Condensed_Schedule_of_Investme
Condensed Schedule of Investments (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Investment Holdings [Line Items] | ||
Unrealized Currency Gain/(Loss) | $215,728 | ($97,932) |
Net unrealized gain/(loss) on open contracts | 2,370,963 | 10,991,449 |
Unrealized Currency Gain/(Loss) Percentage of Partners' Capital (in hundredths) | 0.10% | -0.06% |
Percentage of Partners' Capital (in hundredths) | 1.16% | 6.26% |
Futures and Forward Contracts [Member] | Contracts Purchased [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | 3,160,299 | 4,699,913 |
Percentage of Partners' Capital (in hundredths) | 1.55% | 2.68% |
Futures and Forward Contracts [Member] | Contracts Purchased [Member] | Commodity Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | -56,829 | -1,239,297 |
Percentage of Partners' Capital (in hundredths) | -0.03% | -0.71% |
Futures and Forward Contracts [Member] | Contracts Purchased [Member] | Equity Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | 1,697,164 | 806,619 |
Percentage of Partners' Capital (in hundredths) | 0.83% | 0.46% |
Futures and Forward Contracts [Member] | Contracts Purchased [Member] | Foreign Exchange Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | -869,904 | 123,343 |
Percentage of Partners' Capital (in hundredths) | -0.42% | 0.07% |
Futures and Forward Contracts [Member] | Contracts Purchased [Member] | Interest Rate Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | 2,389,868 | 5,009,248 |
Percentage of Partners' Capital (in hundredths) | 1.17% | 2.86% |
Futures and Forward Contracts [Member] | Contracts Sold [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | -1,005,064 | 6,389,468 |
Percentage of Partners' Capital (in hundredths) | -0.49% | 3.64% |
Futures and Forward Contracts [Member] | Contracts Sold [Member] | Commodity Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | 695,376 | 4,929,775 |
Percentage of Partners' Capital (in hundredths) | 0.34% | 2.81% |
Futures and Forward Contracts [Member] | Contracts Sold [Member] | Equity Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | -238 | -344,353 |
Percentage of Partners' Capital (in hundredths) | -0.20% | |
Futures and Forward Contracts [Member] | Contracts Sold [Member] | Foreign Exchange Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | -1,685,202 | 1,793,920 |
Percentage of Partners' Capital (in hundredths) | -0.82% | 1.02% |
Futures and Forward Contracts [Member] | Contracts Sold [Member] | Interest Rate Contract [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain/(loss) on open contracts | ($15,000) | $10,126 |
Percentage of Partners' Capital (in hundredths) | -0.01% | 0.01% |
Statements_of_Income_and_Expen
Statements of Income and Expenses (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
INVESTMENT INCOME | ||||
Interest income | $3,523 | $10,990 | ||
EXPENSES | ||||
Brokerage fees | 1,013,297 | 881,907 | ||
Ongoing placement agent fees | 1,013,297 | 1,488,218 | ||
Management fees | 886,635 | 881,907 | ||
Total Expenses | 2,913,229 | 3,252,032 | ||
NET INVESTMENT LOSS | -2,909,706 | -3,241,042 | ||
Trading profit (loss) on investments: | ||||
Net realized | 28,738,971 | -11,064,900 | ||
Net change in unrealized | -8,620,486 | -8,156,657 | ||
Total Trading Results | 20,118,485 | -19,221,557 | ||
NET INCOME (LOSS) | 17,208,779 | -22,462,599 | ||
NET INCOME (LOSS) ALLOCATION | ||||
Limited Partners | 17,020,829 | -22,186,997 | ||
General Partner | $187,950 | ($275,602) | ||
NET INCOME (LOSS) PER UNIT | ||||
Limited Partners | $2.42 | [1] | ($2.60) | [1] |
General Partner | $2.42 | [1] | ($2.60) | [1] |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING | 7,048,735.40 | 8,596,259.75 | ||
[1] | Represents the change in net asset value per Unit during the period. |
Statements_of_Changes_in_Partn
Statements of Changes in Partners' Capital (USD $) | Total | Limited Partners [Member] | General Partner [Member] |
Balance at Dec. 31, 2013 | $189,273,872 | $186,979,337 | $2,294,535 |
Balance (in units) at Dec. 31, 2013 | 8,733,557.82 | ||
Subscriptions | 1,794,734 | 1,794,734 | |
Subscriptions (in units) | 88,858.41 | ||
Net Income (Loss) | -22,462,599 | -22,186,997 | -275,602 |
Redemptions | -15,387,573 | -15,387,573 | |
Redemptions (in units) | -787,443.29 | ||
Balance at Mar. 31, 2014 | 153,218,434 | 151,199,501 | 2,018,933 |
Balance (in units) at Mar. 31, 2014 | 8,034,972.94 | ||
Balance at Dec. 31, 2014 | 175,467,994 | 173,548,977 | 1,919,017 |
Balance (in units) at Dec. 31, 2014 | 6,475,644.22 | ||
Subscriptions | 19,506,072 | 19,319,473 | 186,599 |
Subscriptions (in units) | 712,716.80 | ||
Net Income (Loss) | 17,208,779 | 17,020,829 | 187,950 |
Redemptions | -8,459,879 | -8,459,879 | |
Redemptions (in units) | -286,148.77 | ||
Balance at Mar. 31, 2015 | $203,722,966 | $201,429,400 | $2,293,566 |
Balance (in units) at Mar. 31, 2015 | 6,902,212.25 |
Organization
Organization | 3 Months Ended | ||
Mar. 31, 2015 | |||
Accounting Policies [Abstract] | |||
Organization | 1. Organization | ||
Managed Futures Premier Graham L.P. (the “Partnership”) is a Delaware limited partnership organized in 1998 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, “Futures Interests”) (refer to Note 5. Financial Instruments). Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (“Ceres” or the “General Partner”) and commodity pool operator for the Partnership. Ceres is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”). MSSBH is wholly-owned indirectly by Morgan Stanley. Morgan Stanley Smith Barney LLC is doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”). Morgan Stanley Wealth Management acts as the placement agent (the “Placement Agent”) for the Partnership. Morgan Stanley Wealth Management is a principal subsidiary of MSSBH. | |||
The clearing commodity broker is Morgan Stanley & Co. LLC (“MS&Co.”). MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. MS&Co. is a wholly-owned subsidiary of Morgan Stanley. Graham Capital Management, L.P. (“Graham” or the “Trading Advisor”) is the trading advisor to the Partnership and manages the assets of the Partnership pursuant to its K4D-15V Program, the Trading Advisor’s proprietary, trend-following trading program. A description of the trading activities and focus of the Trading Advisor is included on page 26 under Part I. Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. | |||
Units of limited partnership interest (“Unit(s)”) of the Partnership are being offered in two share classes (each, a “Class” or collectively, the “Classes”). The Class of Units that a limited partner receives depends on the aggregate subscription amount made by such limited partner in the Partnership. | |||
Class of Units | Aggregate Investment | ||
A | Up to $4,999,999 | ||
D | $5,000,000 and above | ||
As of March 31, 2015, all Units are considered Class A Units. The General Partner may, in its discretion, offer additional Classes of Units. |
Basis_of_Presentation_and_Summ
Basis of Presentation and Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies |
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at March 31, 2015 and December 31, 2014 and the results of its operations and changes in partners’ capital for the three months ended March 31, 2015 and 2014. These financial statements present the results of interim periods and do not include all of the disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s December 31, 2014, Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2014. The December 31, 2014 information has been derived from the audited financial statements as of and for the year ended December 31, 2014. | |
Use of Estimates: The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner 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. | |
Partnership’s Investments: The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. | |
Restricted and Unrestricted Cash: As reflected on the Partnership’s Statements of Financial Condition, restricted cash equals the cash portion of assets on deposit to meet margin requirements plus the cash required to offset unrealized losses on foreign currency forwards and options contracts and offset unrealized losses only on the offsetting London Metal Exchange positions. All of these amounts are maintained separately. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. | |
Investment Company Status: The Partnership adopted Accounting Standards Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on management’s assessment, the Partnership has been deemed to be an investment company since inception. | |
Income Taxes: Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. Management has concluded that no provision for income tax is required in the Partnership’s financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2011 through 2014 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability. | |
Net Income (Loss) per Unit: Net income (loss) per Unit is calculated in accordance with investment company guidance. See Note 3. Financial Highlights. | |
New Accounting Pronouncements: In May 2015 Financial Accounting Standards Board issued ASU 2015-07 “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)” which relates to disclosures for investments that calculate net asset value per share (potentially funds of fund structures). The ASU requires investments for which the practical expedient is used to measure fair value at net asset value be removed from the fair value hierarchy. Instead, an entity is required to include those investments as a reconciling line item so that the total fair value amount of investments in the disclosure is consistent with the amount on the balance sheet. Further, the ASU requires entities to provide the disclosures in Accounting Standards Codification 820-10-50-6A only for investments for which they elect to use the net asset value practical expedient to determine fair value. The standard is effective for public business entities for fiscal years beginning after December 15, 2015, early adoption is permitted. Management is currently evaluating the impact that the new pronouncement would have on the Partnership’s financial statements. | |
There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014. |
Financial_Highlights
Financial Highlights | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||
Financial Highlights | 3. Financial Highlights | ||||||||
Financial highlights for the limited partner class for the three months ended March 31, 2015 and 2014 were as follows: | |||||||||
For the Three Months Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Per Unit operating performance: | |||||||||
Net asset value, January 1: | $ | 27.1 | $ | 21.67 | |||||
Interest Income | — | (2) | — | (2) | |||||
Expenses | (0.43 | ) | (0.39 | ) | |||||
Realized/Unrealized Gains/(Losses) | 2.85 | (2.21 | ) | ||||||
Net Income/(Loss) | 2.42 | (2.60 | ) | ||||||
Net asset value, March 31: | $ | 29.52 | $ | 19.07 | |||||
Ratios to average net assets: | |||||||||
Net Investment Loss (1) | (5.7 | )% | (8.0 | )% | |||||
Expenses before Incentive Fees (1) | 5.7 | % | 8.1 | % | |||||
Expenses after Incentive Fees (1) | 5.7 | % | 8.1 | % | |||||
Total return before incentive fees | 8.9 | % | (12.0 | )% | |||||
Total return after incentive fees | 8.9 | % | (12.0 | )% | |||||
(1) | Annualized (except for incentive fees if applicable). | ||||||||
(2) | Amount less than $0.005 per Unit. | ||||||||
The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets. |
Related_Party_Transactions
Related Party Transactions | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
Related Party Transactions [Abstract] | |||||
Related Party Transactions | 4. Related Party Transactions | ||||
The Partnership’s cash is on deposit in commodity brokerage accounts with Morgan Stanley. Monthly, MS&Co. credits the Partnership with interest income on 100% of the average daily equity maintained in cash in the Partnership’s account during each month at a rate equal to 80% of the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. retains any interest earned in excess of the interest paid by MS&Co. to the Partnership. For purposes of these interest credits, daily funds do not include monies due to the Partnership with respect to futures, forwards, or options contracts that have not been received. The Partnership pays a general partner administrative fee to the General Partner. The Partnership pays the Placement Agent ongoing compensation on a monthly basis equal to a percentage of the net asset value of a limited partner’s Unit as of the beginning of each month. The applicable rate payable by each limited partner is determined by the Class of Units held by such limited partner. The Partnership pays the Placement Agent the following percentage in accordance with the following schedule. | |||||
Class of Units | Annualized Rate (%) | ||||
A | 2 | % | |||
D | 0.75 | % | |||
The Placement Agent pays a portion of the ongoing Placement Agent fees it received from the Partnership to the Morgan Stanley Financial Advisor or Private Wealth Advisor responsible for selling the Units to the limited partner. | |||||
For the three months ended March 31, 2015, the fees were $112,400. | |||||
All Units outstanding at March 31, 2015 were Class A Units. |
Financial_Instruments
Financial Instruments | 3 Months Ended | ||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||
Investments, All Other Investments [Abstract] | |||||||||||||||||||||
Financial Instruments | 5. Financial Instruments | ||||||||||||||||||||
The Partnership trades Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Futures Interests are open commitments until the settlement date, at which time they are realized. They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open contracts. The resulting net change in unrealized gains and losses is reflected in the “Net change in unrealized” trading profit (loss) for open contracts from one period to the next on the Statements of Income and Expenses. The Partnership’s contracts are accounted for on a trade-date basis. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility. | |||||||||||||||||||||
The fair value of an exchange-traded contract is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated. | |||||||||||||||||||||
The net unrealized gains/(losses) on open contracts, reported as a component of “Trading Equity” on the Statements of Financial Condition, and their longest contract maturities were as follows: | |||||||||||||||||||||
Net Unrealized Gains/(Losses) on Open Contracts | Longest Maturities | ||||||||||||||||||||
Date | Exchange-Traded | Off-Exchange-Traded | Total | Exchange-Traded | Off-Exchange-Traded | ||||||||||||||||
$ | $ | $ | |||||||||||||||||||
Mar. 31, 2015 | 4,795,119 | (2,424,156 | ) | 2,370,963 | Jun. 2019 | Jun. 2015 | |||||||||||||||
Dec. 31, 2014 | 9,505,992 | 1,485,457 | 10,991,449 | Mar. 2019 | Mar. 2015 | ||||||||||||||||
In general, the risks associated with off-exchange-traded contracts are greater than those associated with exchange-traded contracts because of the greater risk of default by the counterparty to an off-exchange-traded contract. The Partnership has credit risk associated with counterparty nonperformance. As of the date of the financial statements, the credit risk associated with the instruments in which the Partnership trades is limited to the unrealized gain amounts reflected in the Partnership’s Statements of Financial Condition. The net unrealized gain (loss) on open contracts are further disclosed gross by type of contract and corresponding fair value level in Note 7. Fair Value Measurements. | |||||||||||||||||||||
The Partnership also has credit risk because MS&Co. acts as the commodity futures broker, or the counterparty, with respect to most of the Partnership’s assets. Exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are fair valued on a daily basis, with variations | |||||||||||||||||||||
in value settled on a daily basis. MS&Co., which is acting as a commodity futures broker for the Partnership’s exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, is required, pursuant to regulations of the Commodity Futures Trading Commission (“CFTC”), to segregate from its own assets, and for the sole benefit of its commodity customers, total cash held by it with respect to exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, including an amount equal to the net unrealized gains on all open exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, which, in the aggregate, totaled $209,932,574 and $177,020,452 at March 31, 2015 and December 31, 2014, respectively. With respect to the Partnership’s off-exchange-traded forward currency contracts, there are no daily settlements of variation in value, nor is there any requirement that an amount equal to the net unrealized gains (losses) on such contracts be segregated. However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership’s accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MS&Co., for the benefit of MS&Co. With respect to those off-exchange-traded forward currency contracts, the Partnership is at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform. The Partnership has a netting agreement with MS&Co. The primary terms are based on industry standard master netting agreements. This agreement, which seeks to reduce both the Partnership’s and MS&Co.’s exposure on off-exchange-traded forward currency contracts, should materially decrease the Partnership’s credit risk in the event of MS&Co.’s bankruptcy or insolvency. | |||||||||||||||||||||
The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. | |||||||||||||||||||||
The futures, forwards and options traded by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership’s open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date. |
Derivatives_and_Hedging
Derivatives and Hedging | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||
Derivatives and Hedging | 6. Derivatives and Hedging | ||||||||||||||||||||||||
The Partnership’s objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisor for the Partnership will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its trading strategy. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention. | |||||||||||||||||||||||||
The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnership’s derivative instruments and transactions eligible for offset subject to master netting agreements or similar agreements as of March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
Offsetting of Derivative Assets and Liabilities as of March 31, 2015: | |||||||||||||||||||||||||
Gross amounts not offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
Gross Amounts | Gross Amounts | Net Amounts | Financial | Cash Collateral | Net Amount | ||||||||||||||||||||
Recognized | Offset in the | Presented in the | Instruments | Received/Pledged** | |||||||||||||||||||||
Statements of | Statements of | ||||||||||||||||||||||||
Financial | Financial | ||||||||||||||||||||||||
Condition | Condition | ||||||||||||||||||||||||
$ | $ | $ | $ | $ | $ | ||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | 6,507,928 | (1,721,587 | ) | 4,786,341 | * | — | — | 4,786,341 | |||||||||||||||||
Forwards | 1,743,815 | (1,743,815 | ) | — | — | — | — | ||||||||||||||||||
Total Assets | 8,251,743 | (3,465,402 | ) | 4,786,341 | — | — | 4,786,341 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | (1,721,587 | ) | 1,721,587 | — | — | — | — | ||||||||||||||||||
Forwards | (4,374,921 | ) | 1,743,815 | (2,631,106 | )* | — | — | (2,631,106 | ) | ||||||||||||||||
Total Liabilities | (6,096,508 | ) | 3,465,402 | (2,631,106 | ) | — | — | (2,631,106 | ) | ||||||||||||||||
Unrealized currency gain | 215,728 | * | 215,728 | ||||||||||||||||||||||
Total net unrealized gain on open contracts | 2,370,963 | 2,370,963 | ** | ||||||||||||||||||||||
Offsetting of Derivative Assets and Liabilities as of December 31, 2014: | |||||||||||||||||||||||||
Gross amounts not offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
Gross Amounts | Gross Amounts | Net Amounts | Financial | Cash Collateral | Net Amount | ||||||||||||||||||||
Recognized | Offset in the | Presented in the | Instruments | Received/Pledged** | |||||||||||||||||||||
Statements of | Statements of | ||||||||||||||||||||||||
Financial | Financial | ||||||||||||||||||||||||
Condition | Condition | ||||||||||||||||||||||||
$ | $ | $ | $ | $ | $ | ||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | 12,491,366 | (2,280,167 | ) | 10,211,199 | * | — | — | 10,211,199 | |||||||||||||||||
Forwards | 2,508,601 | (1,630,419 | ) | 878,182 | * | — | — | 878,182 | |||||||||||||||||
Total Assets | 14,999,967 | (3,910,586 | ) | 11,089,381 | — | — | 11,089,381 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | (2,280,167 | ) | 2,280,167 | — | — | — | — | ||||||||||||||||||
Forwards | (1,630,419 | ) | 1,630,419 | — | — | — | — | ||||||||||||||||||
Total Liabilities | (3,910,586 | ) | 3,910,586 | — | — | — | — | ||||||||||||||||||
Unrealized currency loss | (97,932 | )* | (97,932 | ) | |||||||||||||||||||||
Total net unrealized gain on open contracts | 10,991,449 | 10,991,449 | ** | ||||||||||||||||||||||
* | Included as a component of “Net unrealized gain on open contracts” on the Statements of Financial Condition. | ||||||||||||||||||||||||
** | In the event of default by the Partnership, MS&Co., the sole counterparty to the Partnership’s derivative contracts, has the right to offset the Partnership’s obligation with the cash held by the Partnership, thereby minimizing the counterparty’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown on the Statements of Financial Condition. | ||||||||||||||||||||||||
The effect of Trading Activities on the Statements of Financial Condition as of March 31, 2015: | |||||||||||||||||||||||||
Futures and Forward Contracts | Long | Long | Short | Short | Net | Average | |||||||||||||||||||
Unrealized | Unrealized | Unrealized | Unrealized | Unrealized | number of | ||||||||||||||||||||
Gain | Loss | Gain | Loss | Gain/(Loss) | contracts | ||||||||||||||||||||
outstanding | |||||||||||||||||||||||||
for the three | |||||||||||||||||||||||||
months | |||||||||||||||||||||||||
(absolute | |||||||||||||||||||||||||
quantity) | |||||||||||||||||||||||||
$ | $ | $ | $ | $ | |||||||||||||||||||||
Commodity | 234,884 | (291,713 | ) | 1,800,463 | (1,105,087 | ) | 638,547 | 3,739 | |||||||||||||||||
Equity | 2,295,377 | (598,213 | ) | 2,074 | (2,312 | ) | 1,696,926 | 2,206 | |||||||||||||||||
Foreign currency | 652,713 | (1,522,617 | ) | 788,144 | (2,473,346 | ) | (2,555,106 | ) | 2,179 | ||||||||||||||||
Interest rate | 2,478,051 | (88,183 | ) | 37 | (15,037 | ) | 2,374,868 | 8,122 | |||||||||||||||||
Total | 5,661,025 | (2,500,726 | ) | 2,590,718 | (3,595,782 | ) | 2,155,235 | ||||||||||||||||||
Unrealized currency gain | 215,728 | ||||||||||||||||||||||||
Total net unrealized gain on open contracts | 2,370,963 | ||||||||||||||||||||||||
The effect of Trading Activities on the Statements of Financial Condition as of December 31, 2014: | |||||||||||||||||||||||||
Futures and Forward Contracts | Long | Long | Short | Short | Net | Average | |||||||||||||||||||
Unrealized | Unrealized | Unrealized | Unrealized | Unrealized | number of | ||||||||||||||||||||
Gain | Loss | Gain | Loss | Gain/(Loss) | contracts | ||||||||||||||||||||
outstanding | |||||||||||||||||||||||||
for the year | |||||||||||||||||||||||||
(absolute | |||||||||||||||||||||||||
quantity) | |||||||||||||||||||||||||
$ | $ | $ | $ | $ | |||||||||||||||||||||
Commodity | 200,049 | (1,439,346 | ) | 5,341,142 | (411,367 | ) | 3,690,478 | 3,481 | |||||||||||||||||
Equity | 1,829,639 | (1,023,020 | ) | 7,571 | (351,924 | ) | 462,266 | 2,032 | |||||||||||||||||
Foreign currency | 272,443 | (149,100 | ) | 1,960,060 | (166,140 | ) | 1,917,263 | 3,005 | |||||||||||||||||
Interest rate | 5,377,201 | (367,953 | ) | 11,862 | (1,736 | ) | 5,019,374 | 7,382 | |||||||||||||||||
Total | 7,679,332 | (2,979,419 | ) | 7,320,635 | (931,167 | ) | 11,089,381 | ||||||||||||||||||
Unrealized currency loss | (97,932 | ) | |||||||||||||||||||||||
Total net unrealized gain on open contracts | 10,991,449 | ||||||||||||||||||||||||
The following tables summarize the net trading results of the Partnership for the three months ended March 31, 2015 and 2014, respectively. | |||||||||||||||||||||||||
The effect of Trading Activities on the Statements of Income and Expenses for the Three Months Ended March 31, 2015 included in Total Trading Results: | |||||||||||||||||||||||||
Type of Instrument | $ | ||||||||||||||||||||||||
Commodity | (1,806,887 | ) | |||||||||||||||||||||||
Equity | 6,882,570 | ||||||||||||||||||||||||
Foreign currency | 7,585,734 | ||||||||||||||||||||||||
Interest rate | 7,143,408 | ||||||||||||||||||||||||
Unrealized currency gain | 313,660 | ||||||||||||||||||||||||
Total | 20,118,485 | ||||||||||||||||||||||||
Line items on the Statements of Income and Expenses for the Three Months Ended March 31, 2015: | |||||||||||||||||||||||||
Trading Results | $ | ||||||||||||||||||||||||
Net realized | 28,738,971 | ||||||||||||||||||||||||
Net change in unrealized | (8,620,486 | ) | |||||||||||||||||||||||
Total Trading Results | 20,118,485 | ||||||||||||||||||||||||
The effect of Trading Activities on the Statements of Income and Expenses for the Three Months Ended March 31, 2014 included in Total Trading Results: | |||||||||||||||||||||||||
Type of Instrument | $ | ||||||||||||||||||||||||
Commodity | (12,416,678 | ) | |||||||||||||||||||||||
Equity | (9,881,631 | ) | |||||||||||||||||||||||
Foreign currency | 1,647,444 | ||||||||||||||||||||||||
Interest rate | 1,406,756 | ||||||||||||||||||||||||
Unrealized currency gain | 22,552 | ||||||||||||||||||||||||
Total | (19,221,557 | ) | |||||||||||||||||||||||
Line items on the Statements of Income and Expenses for the Three Months Ended March 31, 2014: | |||||||||||||||||||||||||
Trading Results | $ | ||||||||||||||||||||||||
Net realized | (11,064,900 | ) | |||||||||||||||||||||||
Net change in unrealized | (8,156,657 | ) | |||||||||||||||||||||||
Total Trading Results | (19,221,557 | ) | |||||||||||||||||||||||
Fair_Value_Measurements
Fair Value Measurements | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||
Fair Value Measurements | 7. Fair Value Measurements | ||||||||||||||||
Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 — unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 — inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates and credit risk); and Level 3 — unobservable inputs for the asset or liability (including the Partnership’s own assumptions used in determining the fair value of investments). | |||||||||||||||||
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Partnership’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and consideration of factors specific to the investment. | |||||||||||||||||
Transfers between levels are recognized at the end of the reporting period. During the period from January 1, 2015 to March 31, 2015, and the twelve months ended December 31, 2014, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2. | |||||||||||||||||
The Partnership’s assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements. | |||||||||||||||||
March 31, 2015 | Unadjusted | Significant | Significant | Total | |||||||||||||
Quoted Prices in | Other | Unobservable | |||||||||||||||
Active Markets | Observable | Inputs | |||||||||||||||
for Identical | Inputs | (Level 3) | |||||||||||||||
Assets and | (Level 2) | ||||||||||||||||
Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
$ | $ | $ | $ | ||||||||||||||
Assets | |||||||||||||||||
Futures | 6,507,928 | — | n/a | 6,507,928 | |||||||||||||
Forwards | 353,316 | 1,390,499 | n/a | 1,743,815 | |||||||||||||
Total Assets | 6,861,244 | 1,390,499 | n/a | 8,251,743 | |||||||||||||
Liabilities | |||||||||||||||||
Futures | 1,721,587 | — | n/a | 1,721,587 | |||||||||||||
Forwards | 560,266 | 3,814,655 | n/a | 4,374,921 | |||||||||||||
Total Liabilities | 2,281,853 | 3,814,655 | n/a | 6,096,508 | |||||||||||||
Unrealized currency gain | 215,728 | ||||||||||||||||
*Net fair value | 4,579,391 | (2,424,156 | ) | n/a | 2,370,963 | ||||||||||||
December 31, 2014 | Unadjusted | Significant | Significant | Total | |||||||||||||
Quoted Prices in | Other | Unobservable | |||||||||||||||
Active Markets | Observable | Inputs | |||||||||||||||
for Identical | Inputs | (Level 3) | |||||||||||||||
Assets and | (Level 2) | ||||||||||||||||
Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
$ | $ | $ | $ | ||||||||||||||
Assets | |||||||||||||||||
Futures | 12,491,366 | — | n/a | 12,491,366 | |||||||||||||
Forwards | 742,680 | 1,765,921 | n/a | 2,508,601 | |||||||||||||
Total Assets | 13,234,046 | 1,765,921 | n/a | 14,999,967 | |||||||||||||
Liabilities | |||||||||||||||||
Futures | 2,280,167 | — | n/a | 2,280,167 | |||||||||||||
Forwards | 1,349,955 | 280,464 | n/a | 1,630,419 | |||||||||||||
Total Liabilities | 3,630,122 | 280,464 | n/a | 3,910,586 | |||||||||||||
Unrealized currency loss | (97,932 | ) | |||||||||||||||
*Net fair value | 9,603,924 | 1,485,457 | n/a | 10,991,449 | |||||||||||||
* | This amount comprises the “Net unrealized gain on open contracts” on the Statements of Financial Condition. |
Subsequent_Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | 8. Subsequent Events |
Management of the Partnership performed its evaluation of subsequent events through the date of filing, and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements. |
Basis_of_Presentation_and_Summ1
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Partnership's Investments | Partnership’s Investments: The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. |
Restricted and Unrestricted Cash | Restricted and Unrestricted Cash: As reflected on the Partnership’s Statements of Financial Condition, restricted cash equals the cash portion of assets on deposit to meet margin requirements plus the cash required to offset unrealized losses on foreign currency forwards and options contracts and offset unrealized losses only on the offsetting London Metal Exchange positions. All of these amounts are maintained separately. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. |
Investment Company Status | Investment Company Status: The Partnership adopted Accounting Standards Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on management’s assessment, the Partnership has been deemed to be an investment company since inception. |
Income Taxes | Income Taxes: Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. Management has concluded that no provision for income tax is required in the Partnership’s financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2011 through 2014 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability. |
Net Income (Loss) per Unit | Net Income (Loss) per Unit: Net income (loss) per Unit is calculated in accordance with investment company guidance. See Note 3. Financial Highlights. |
New Accounting Pronouncements | New Accounting Pronouncements: In May 2015 Financial Accounting Standards Board issued ASU 2015-07 “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)” which relates to disclosures for investments that calculate net asset value per share (potentially funds of fund structures). The ASU requires investments for which the practical expedient is used to measure fair value at net asset value be removed from the fair value hierarchy. Instead, an entity is required to include those investments as a reconciling line item so that the total fair value amount of investments in the disclosure is consistent with the amount on the balance sheet. Further, the ASU requires entities to provide the disclosures in Accounting Standards Codification 820-10-50-6A only for investments for which they elect to use the net asset value practical expedient to determine fair value. The standard is effective for public business entities for fiscal years beginning after December 15, 2015, early adoption is permitted. Management is currently evaluating the impact that the new pronouncement would have on the Partnership’s financial statements. |
There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014. |
Organization_Tables
Organization (Tables) | 3 Months Ended | ||
Mar. 31, 2015 | |||
Accounting Policies [Abstract] | |||
Summary of Limited Partner Capital Account by Class | The Class of Units that a limited partner receives depends on the aggregate subscription amount made by such limited partner in the Partnership. | ||
Class of Units | Aggregate Investment | ||
A | Up to $4,999,999 | ||
D | $5,000,000 and above |
Financial_Highlights_Tables
Financial Highlights (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||
Financial Highlights for Limited Partner Class | Financial highlights for the limited partner class for the three months ended March 31, 2015 and 2014 were as follows: | ||||||||
For the Three Months Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Per Unit operating performance: | |||||||||
Net asset value, January 1: | $ | 27.1 | $ | 21.67 | |||||
Interest Income | — | (2) | — | (2) | |||||
Expenses | (0.43 | ) | (0.39 | ) | |||||
Realized/Unrealized Gains/(Losses) | 2.85 | (2.21 | ) | ||||||
Net Income/(Loss) | 2.42 | (2.60 | ) | ||||||
Net asset value, March 31: | $ | 29.52 | $ | 19.07 | |||||
Ratios to average net assets: | |||||||||
Net Investment Loss (1) | (5.7 | )% | (8.0 | )% | |||||
Expenses before Incentive Fees (1) | 5.7 | % | 8.1 | % | |||||
Expenses after Incentive Fees (1) | 5.7 | % | 8.1 | % | |||||
Total return before incentive fees | 8.9 | % | (12.0 | )% | |||||
Total return after incentive fees | 8.9 | % | (12.0 | )% | |||||
(1) | Annualized (except for incentive fees if applicable). | ||||||||
(2) | Amount less than $0.005 per Unit. |
Related_Party_Transactions_Tab
Related Party Transactions (Tables) | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
Related Party Transactions [Abstract] | |||||
Schedule of Percentage Payment to Placement Agent | The Partnership pays the Placement Agent the following percentage in accordance with the following schedule. | ||||
Class of Units | Annualized Rate (%) | ||||
A | 2 | % | |||
D | 0.75 | % |
Financial_Instruments_Tables
Financial Instruments (Tables) | 3 Months Ended | ||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||
Investments, All Other Investments [Abstract] | |||||||||||||||||||||
Net Unrealized Gains/(Losses) on Open Contracts | The net unrealized gains/(losses) on open contracts, reported as a component of “Trading Equity” on the Statements of Financial Condition, and their longest contract maturities were as follows: | ||||||||||||||||||||
Net Unrealized Gains/(Losses) on Open Contracts | Longest Maturities | ||||||||||||||||||||
Date | Exchange-Traded | Off-Exchange-Traded | Total | Exchange-Traded | Off-Exchange-Traded | ||||||||||||||||
$ | $ | $ | |||||||||||||||||||
Mar. 31, 2015 | 4,795,119 | (2,424,156 | ) | 2,370,963 | Jun. 2019 | Jun. 2015 | |||||||||||||||
Dec. 31, 2014 | 9,505,992 | 1,485,457 | 10,991,449 | Mar. 2019 | Mar. 2015 |
Derivatives_and_Hedging_Tables
Derivatives and Hedging (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||
Summary of Gross and Net Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivative Instruments and Transactions Eligible for Offset Subject to Master Netting Agreements or Similar Agreements | The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnership’s derivative instruments and transactions eligible for offset subject to master netting agreements or similar agreements as of March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||||||||||
Offsetting of Derivative Assets and Liabilities as of March 31, 2015: | |||||||||||||||||||||||||
Gross amounts not offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
Gross Amounts | Gross Amounts | Net Amounts | Financial | Cash Collateral | Net Amount | ||||||||||||||||||||
Recognized | Offset in the | Presented in the | Instruments | Received/Pledged** | |||||||||||||||||||||
Statements of | Statements of | ||||||||||||||||||||||||
Financial | Financial | ||||||||||||||||||||||||
Condition | Condition | ||||||||||||||||||||||||
$ | $ | $ | $ | $ | $ | ||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | 6,507,928 | (1,721,587 | ) | 4,786,341 | * | — | — | 4,786,341 | |||||||||||||||||
Forwards | 1,743,815 | (1,743,815 | ) | — | — | — | — | ||||||||||||||||||
Total Assets | 8,251,743 | (3,465,402 | ) | 4,786,341 | — | — | 4,786,341 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | (1,721,587 | ) | 1,721,587 | — | — | — | — | ||||||||||||||||||
Forwards | (4,374,921 | ) | 1,743,815 | (2,631,106 | )* | — | — | (2,631,106 | ) | ||||||||||||||||
Total Liabilities | (6,096,508 | ) | 3,465,402 | (2,631,106 | ) | — | — | (2,631,106 | ) | ||||||||||||||||
Unrealized currency gain | 215,728 | * | 215,728 | ||||||||||||||||||||||
Total net unrealized gain on open contracts | 2,370,963 | 2,370,963 | ** | ||||||||||||||||||||||
Offsetting of Derivative Assets and Liabilities as of December 31, 2014: | |||||||||||||||||||||||||
Gross amounts not offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
Gross Amounts | Gross Amounts | Net Amounts | Financial | Cash Collateral | Net Amount | ||||||||||||||||||||
Recognized | Offset in the | Presented in the | Instruments | Received/Pledged** | |||||||||||||||||||||
Statements of | Statements of | ||||||||||||||||||||||||
Financial | Financial | ||||||||||||||||||||||||
Condition | Condition | ||||||||||||||||||||||||
$ | $ | $ | $ | $ | $ | ||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | 12,491,366 | (2,280,167 | ) | 10,211,199 | * | — | — | 10,211,199 | |||||||||||||||||
Forwards | 2,508,601 | (1,630,419 | ) | 878,182 | * | — | — | 878,182 | |||||||||||||||||
Total Assets | 14,999,967 | (3,910,586 | ) | 11,089,381 | — | — | 11,089,381 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | (2,280,167 | ) | 2,280,167 | — | — | — | — | ||||||||||||||||||
Forwards | (1,630,419 | ) | 1,630,419 | — | — | — | — | ||||||||||||||||||
Total Liabilities | (3,910,586 | ) | 3,910,586 | — | — | — | — | ||||||||||||||||||
Unrealized currency loss | (97,932 | )* | (97,932 | ) | |||||||||||||||||||||
Total net unrealized gain on open contracts | 10,991,449 | 10,991,449 | ** | ||||||||||||||||||||||
* | Included as a component of “Net unrealized gain on open contracts” on the Statements of Financial Condition. | ||||||||||||||||||||||||
** | In the event of default by the Partnership, MS&Co., the sole counterparty to the Partnership’s derivative contracts, has the right to offset the Partnership’s obligation with the cash held by the Partnership, thereby minimizing the counterparty’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown on the Statements of Financial Condition. | ||||||||||||||||||||||||
Schedule of Effect of Trading Activities on Statements of Financial Condition | The effect of Trading Activities on the Statements of Financial Condition as of March 31, 2015: | ||||||||||||||||||||||||
Futures and Forward Contracts | Long | Long | Short | Short | Net | Average | |||||||||||||||||||
Unrealized | Unrealized | Unrealized | Unrealized | Unrealized | number of | ||||||||||||||||||||
Gain | Loss | Gain | Loss | Gain/(Loss) | contracts | ||||||||||||||||||||
outstanding | |||||||||||||||||||||||||
for the three | |||||||||||||||||||||||||
months | |||||||||||||||||||||||||
(absolute | |||||||||||||||||||||||||
quantity) | |||||||||||||||||||||||||
$ | $ | $ | $ | $ | |||||||||||||||||||||
Commodity | 234,884 | (291,713 | ) | 1,800,463 | (1,105,087 | ) | 638,547 | 3,739 | |||||||||||||||||
Equity | 2,295,377 | (598,213 | ) | 2,074 | (2,312 | ) | 1,696,926 | 2,206 | |||||||||||||||||
Foreign currency | 652,713 | (1,522,617 | ) | 788,144 | (2,473,346 | ) | (2,555,106 | ) | 2,179 | ||||||||||||||||
Interest rate | 2,478,051 | (88,183 | ) | 37 | (15,037 | ) | 2,374,868 | 8,122 | |||||||||||||||||
Total | 5,661,025 | (2,500,726 | ) | 2,590,718 | (3,595,782 | ) | 2,155,235 | ||||||||||||||||||
Unrealized currency gain | 215,728 | ||||||||||||||||||||||||
Total net unrealized gain on open contracts | 2,370,963 | ||||||||||||||||||||||||
The effect of Trading Activities on the Statements of Financial Condition as of December 31, 2014: | |||||||||||||||||||||||||
Futures and Forward Contracts | Long | Long | Short | Short | Net | Average | |||||||||||||||||||
Unrealized | Unrealized | Unrealized | Unrealized | Unrealized | number of | ||||||||||||||||||||
Gain | Loss | Gain | Loss | Gain/(Loss) | contracts | ||||||||||||||||||||
outstanding | |||||||||||||||||||||||||
for the year | |||||||||||||||||||||||||
(absolute | |||||||||||||||||||||||||
quantity) | |||||||||||||||||||||||||
$ | $ | $ | $ | $ | |||||||||||||||||||||
Commodity | 200,049 | (1,439,346 | ) | 5,341,142 | (411,367 | ) | 3,690,478 | 3,481 | |||||||||||||||||
Equity | 1,829,639 | (1,023,020 | ) | 7,571 | (351,924 | ) | 462,266 | 2,032 | |||||||||||||||||
Foreign currency | 272,443 | (149,100 | ) | 1,960,060 | (166,140 | ) | 1,917,263 | 3,005 | |||||||||||||||||
Interest rate | 5,377,201 | (367,953 | ) | 11,862 | (1,736 | ) | 5,019,374 | 7,382 | |||||||||||||||||
Total | 7,679,332 | (2,979,419 | ) | 7,320,635 | (931,167 | ) | 11,089,381 | ||||||||||||||||||
Unrealized currency loss | (97,932 | ) | |||||||||||||||||||||||
Total net unrealized gain on open contracts | 10,991,449 | ||||||||||||||||||||||||
Schedule of Effect of Trading Activities on Statements of Income and Expenses | The effect of Trading Activities on the Statements of Income and Expenses for the Three Months Ended March 31, 2015 included in Total Trading Results: | ||||||||||||||||||||||||
Type of Instrument | $ | ||||||||||||||||||||||||
Commodity | (1,806,887 | ) | |||||||||||||||||||||||
Equity | 6,882,570 | ||||||||||||||||||||||||
Foreign currency | 7,585,734 | ||||||||||||||||||||||||
Interest rate | 7,143,408 | ||||||||||||||||||||||||
Unrealized currency gain | 313,660 | ||||||||||||||||||||||||
Total | 20,118,485 | ||||||||||||||||||||||||
Line items on the Statements of Income and Expenses for the Three Months Ended March 31, 2015: | |||||||||||||||||||||||||
Trading Results | $ | ||||||||||||||||||||||||
Net realized | 28,738,971 | ||||||||||||||||||||||||
Net change in unrealized | (8,620,486 | ) | |||||||||||||||||||||||
Total Trading Results | 20,118,485 | ||||||||||||||||||||||||
The effect of Trading Activities on the Statements of Income and Expenses for the Three Months Ended March 31, 2014 included in Total Trading Results: | |||||||||||||||||||||||||
Type of Instrument | $ | ||||||||||||||||||||||||
Commodity | (12,416,678 | ) | |||||||||||||||||||||||
Equity | (9,881,631 | ) | |||||||||||||||||||||||
Foreign currency | 1,647,444 | ||||||||||||||||||||||||
Interest rate | 1,406,756 | ||||||||||||||||||||||||
Unrealized currency gain | 22,552 | ||||||||||||||||||||||||
Total | (19,221,557 | ) | |||||||||||||||||||||||
Line items on the Statements of Income and Expenses for the Three Months Ended March 31, 2014: | |||||||||||||||||||||||||
Trading Results | $ | ||||||||||||||||||||||||
Net realized | (11,064,900 | ) | |||||||||||||||||||||||
Net change in unrealized | (8,156,657 | ) | |||||||||||||||||||||||
Total Trading Results | (19,221,557 | ) | |||||||||||||||||||||||
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||
Assets and Liabilities Measured at Fair Value on Recurring Basis | The Partnership’s assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements. | ||||||||||||||||
March 31, 2015 | Unadjusted | Significant | Significant | Total | |||||||||||||
Quoted Prices in | Other | Unobservable | |||||||||||||||
Active Markets | Observable | Inputs | |||||||||||||||
for Identical | Inputs | (Level 3) | |||||||||||||||
Assets and | (Level 2) | ||||||||||||||||
Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
$ | $ | $ | $ | ||||||||||||||
Assets | |||||||||||||||||
Futures | 6,507,928 | — | n/a | 6,507,928 | |||||||||||||
Forwards | 353,316 | 1,390,499 | n/a | 1,743,815 | |||||||||||||
Total Assets | 6,861,244 | 1,390,499 | n/a | 8,251,743 | |||||||||||||
Liabilities | |||||||||||||||||
Futures | 1,721,587 | — | n/a | 1,721,587 | |||||||||||||
Forwards | 560,266 | 3,814,655 | n/a | 4,374,921 | |||||||||||||
Total Liabilities | 2,281,853 | 3,814,655 | n/a | 6,096,508 | |||||||||||||
Unrealized currency gain | 215,728 | ||||||||||||||||
*Net fair value | 4,579,391 | (2,424,156 | ) | n/a | 2,370,963 | ||||||||||||
December 31, 2014 | Unadjusted | Significant | Significant | Total | |||||||||||||
Quoted Prices in | Other | Unobservable | |||||||||||||||
Active Markets | Observable | Inputs | |||||||||||||||
for Identical | Inputs | (Level 3) | |||||||||||||||
Assets and | (Level 2) | ||||||||||||||||
Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
$ | $ | $ | $ | ||||||||||||||
Assets | |||||||||||||||||
Futures | 12,491,366 | — | n/a | 12,491,366 | |||||||||||||
Forwards | 742,680 | 1,765,921 | n/a | 2,508,601 | |||||||||||||
Total Assets | 13,234,046 | 1,765,921 | n/a | 14,999,967 | |||||||||||||
Liabilities | |||||||||||||||||
Futures | 2,280,167 | — | n/a | 2,280,167 | |||||||||||||
Forwards | 1,349,955 | 280,464 | n/a | 1,630,419 | |||||||||||||
Total Liabilities | 3,630,122 | 280,464 | n/a | 3,910,586 | |||||||||||||
Unrealized currency loss | (97,932 | ) | |||||||||||||||
*Net fair value | 9,603,924 | 1,485,457 | n/a | 10,991,449 | |||||||||||||
* | This amount comprises the “Net unrealized gain on open contracts” on the Statements of Financial Condition. |
Organization_Summary_of_Limite
Organization - Summary of Limited Partner Unit Class Threshold Subscription (Detail) (USD $) | Mar. 31, 2015 |
Class of Units A [Member] | |
Related Party Transaction [Line Items] | |
Limited partner unit class threshold subscription, maximum | $4,999,999 |
Class of Units D [Member] | |
Related Party Transaction [Line Items] | |
Limited partner unit class threshold subscription, minimum | $5,000,000 |
Basis_of_Presentation_and_Summ2
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) (USD $) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Provision for income tax | $0 |
Financial_Highlights_Financial
Financial Highlights - Financial Highlights for Limited Partner Class (Detail) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Per Unit operating performance [Abstract] | ||||
Net asset value, period start (in dollars per unit) | $27.10 | $21.67 | ||
Expenses (in dollars per unit) | ($0.43) | ($0.39) | ||
Realized/Unrealized Gains (Losses) (in dollars per unit) | $2.85 | ($2.21) | ||
Net Income/(Loss) (in dollars per unit) | $2.42 | [1] | ($2.60) | [1] |
Net asset value, period end (in dollars per unit) | $29.52 | $19.07 | ||
Ratios to average net assets [Abstract] | ||||
Net Investment Loss (in hundredths) | -5.70% | -8.00% | ||
Expenses before Incentive Fees (in hundredths) | 5.70% | 8.10% | ||
Expenses after Incentive Fees (in hundredths) | 5.70% | 8.10% | ||
Total return before incentive fees (in hundredths) | 8.90% | -12.00% | ||
Total return after incentive fees (in hundredths) | 8.90% | -12.00% | ||
[1] | Represents the change in net asset value per Unit during the period. |
Financial_Highlights_Financial1
Financial Highlights - Financial Highlights for Limited Partner Class (Parenthetical) (Detail) (Maximum [Member], USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Maximum [Member] | ||
Financial Highlights Disclosures [Line Items] | ||
Interest Income (in dollars per unit) | $0.01 | $0.01 |
Related_Party_Transactions_Add
Related Party Transactions - Additional Information (Detail) (USD $) | 3 Months Ended |
Mar. 31, 2015 | |
Related Party Transactions [Abstract] | |
Percentage of interest paid on average daily equity maintained in cash in partnership account | 100.00% |
Percentage monthly average of 4 week U.S. Treasury bill discount rate | 80.00% |
Related party transaction fees | $112,400 |
Related_Party_Transactions_Sch
Related Party Transactions - Schedule of Percentage Payment to Placement Agent (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Class of Units A [Member] | |
Related Party Transaction [Line Items] | |
Annualized Rate (in hundredths) | 2.00% |
Class of Units D [Member] | |
Related Party Transaction [Line Items] | |
Annualized Rate (in hundredths) | 0.75% |
Financial_Instruments_Net_Unre
Financial Instruments - Net Unrealized Gains/(Losses) on Open Contracts (Detail) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Investment Holdings [Line Items] | ||
Net unrealized gain on open contracts | $2,370,963 | $10,991,449 |
Exchange-Traded [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain on open contracts | 4,795,119 | 9,505,992 |
Longest maturity date | 30-Jun-19 | 31-Mar-19 |
Off-Exchange-Traded [Member] | ||
Investment Holdings [Line Items] | ||
Net unrealized gain on open contracts | ($2,424,156) | $1,485,457 |
Longest maturity date | 30-Jun-15 | 31-Mar-15 |
Financial_Instruments_Addition
Financial Instruments - Additional Information (Detail) (MS&Co [Member], USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
MS&Co [Member] | ||
Investment Holdings [Line Items] | ||
Cash held by acting commodity futures brokers administrating open contracts | $209,932,574 | $177,020,452 |
Derivatives_and_Hedging_Summar
Derivatives and Hedging - Summary of Gross and Net Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivative Instruments and Transactions Eligible for Offset Subject to Master Netting Agreements or Similar Agreements (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Offsetting of Derivative Liabilities [Line Items] | ||
Gross Amounts Recognized | $8,251,743 | $14,999,967 |
Gross Amounts Offset in the Statement of Financial Condition | -3,465,402 | -3,910,586 |
Net Amounts Presented in the Statement of Financial Condition | 4,786,341 | 11,089,381 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received, Assets | 0 | 0 |
Net Amount, Assets | 4,786,341 | 11,089,381 |
Gross Amounts Recognized | -6,096,508 | -3,910,586 |
Gross Amounts Offset in the Statements of Financial Condition | 3,465,402 | 3,910,586 |
Net Amounts Presented in the Statements of Financial Condition | -2,631,106 | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received, Liabilities | 0 | 0 |
Net Amount, Liabilities | -2,631,106 | |
Unrealized currency gain (loss) | 215,728 | -97,932 |
Total net unrealized gain on open contracts | 2,370,963 | 10,991,449 |
Unrealized currency gain (loss), amounts not offset | 215,728 | -97,932 |
Total net unrealized gain on open contracts, amounts not offset | 2,370,963 | 10,991,449 |
Future Contracts [Member] | ||
Offsetting of Derivative Liabilities [Line Items] | ||
Gross Amounts Recognized | 6,507,928 | 12,491,366 |
Gross Amounts Offset in the Statement of Financial Condition | -1,721,587 | -2,280,167 |
Net Amounts Presented in the Statement of Financial Condition | 4,786,341 | 10,211,199 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received, Assets | 0 | 0 |
Net Amount, Assets | 4,786,341 | 10,211,199 |
Gross Amounts Recognized | -1,721,587 | -2,280,167 |
Gross Amounts Offset in the Statements of Financial Condition | 1,721,587 | 2,280,167 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Offsetting of Derivative Liabilities [Line Items] | ||
Gross Amounts Recognized | 1,743,815 | 2,508,601 |
Gross Amounts Offset in the Statement of Financial Condition | -1,743,815 | -1,630,419 |
Net Amounts Presented in the Statement of Financial Condition | 878,182 | |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received, Assets | 0 | 0 |
Net Amount, Assets | 878,182 | |
Gross Amounts Recognized | -4,374,921 | -1,630,419 |
Gross Amounts Offset in the Statements of Financial Condition | 1,743,815 | 1,630,419 |
Net Amounts Presented in the Statements of Financial Condition | -2,631,106 | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received, Liabilities | 0 | 0 |
Net Amount, Liabilities | ($2,631,106) |
Derivatives_and_Hedging_Schedu
Derivatives and Hedging - Schedule of Effect of Trading Activities on Statements of Financial Condition (Detail) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Unrealized currency gain (loss) | $215,728 | ($97,932) | |
Net unrealized gain on open contracts | 2,370,963 | 10,991,449 | |
Unrealized currency gain (loss) | 313,660 | 22,552 | |
Trading results | 20,118,485 | -19,221,557 | |
Net realized | 28,738,971 | -11,064,900 | |
Net change in unrealized | -8,620,486 | -8,156,657 | |
Total Trading Results | 20,118,485 | -19,221,557 | |
Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Net unrealized gain on open contracts | 2,155,235 | 11,089,381 | |
Contracts Purchased [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 5,661,025 | 7,679,332 | |
Unrealized loss | -2,500,726 | -2,979,419 | |
Contracts Sold [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 2,590,718 | 7,320,635 | |
Unrealized loss | -3,595,782 | -931,167 | |
Commodity [Member] | |||
Derivative [Line Items] | |||
Trading results | -1,806,887 | -12,416,678 | |
Commodity [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Net unrealized gain on open contracts | 638,547 | 3,690,478 | |
Average number of contracts outstanding | 3,739 | 3,481 | |
Commodity [Member] | Contracts Purchased [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 234,884 | 200,049 | |
Unrealized loss | -291,713 | -1,439,346 | |
Commodity [Member] | Contracts Sold [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 1,800,463 | 5,341,142 | |
Unrealized loss | -1,105,087 | -411,367 | |
Equity [Member] | |||
Derivative [Line Items] | |||
Trading results | 6,882,570 | -9,881,631 | |
Equity [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Net unrealized gain on open contracts | 1,696,926 | 462,266 | |
Average number of contracts outstanding | 2,206 | 2,032 | |
Equity [Member] | Contracts Purchased [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 2,295,377 | 1,829,639 | |
Unrealized loss | -598,213 | -1,023,020 | |
Equity [Member] | Contracts Sold [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 2,074 | 7,571 | |
Unrealized loss | -2,312 | -351,924 | |
Foreign Currency [Member] | |||
Derivative [Line Items] | |||
Trading results | 7,585,734 | 1,647,444 | |
Foreign Currency [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Net unrealized gain on open contracts | -2,555,106 | 1,917,263 | |
Average number of contracts outstanding | 2,179 | 3,005 | |
Foreign Currency [Member] | Contracts Purchased [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 652,713 | 272,443 | |
Unrealized loss | -1,522,617 | -149,100 | |
Foreign Currency [Member] | Contracts Sold [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 788,144 | 1,960,060 | |
Unrealized loss | -2,473,346 | -166,140 | |
Interest Rate [Member] | |||
Derivative [Line Items] | |||
Trading results | 7,143,408 | 1,406,756 | |
Interest Rate [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Net unrealized gain on open contracts | 2,374,868 | 5,019,374 | |
Average number of contracts outstanding | 8,122 | 7,382 | |
Interest Rate [Member] | Contracts Purchased [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 2,478,051 | 5,377,201 | |
Unrealized loss | -88,183 | -367,953 | |
Interest Rate [Member] | Contracts Sold [Member] | Futures and Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Unrealized gain | 37 | 11,862 | |
Unrealized loss | ($15,037) | ($1,736) |
Fair_Value_Measurements_and_Di
Fair Value Measurements and Disclosures - Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Assets and Liabilities Measured at Fair Value | ||
Unrealized currency gain (loss) | $215,728 | ($97,932) |
Net fair value | 2,370,963 | 10,991,449 |
Fair Value Measured on a Recurring Basis [Member] | ||
Assets | ||
Futures | 6,507,928 | 12,491,366 |
Forwards | 1,743,815 | 2,508,601 |
Total Assets | 8,251,743 | 14,999,967 |
Liabilities | ||
Futures | 1,721,587 | 2,280,167 |
Forwards | 4,374,921 | 1,630,419 |
Total Liabilities | 6,096,508 | 3,910,586 |
Assets and Liabilities Measured at Fair Value | ||
Unrealized currency gain (loss) | 215,728 | -97,932 |
Net fair value | 2,370,963 | 10,991,449 |
Fair Value Measured on a Recurring Basis [Member] | Unadjusted Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Assets | ||
Futures | 6,507,928 | 12,491,366 |
Forwards | 353,316 | 742,680 |
Total Assets | 6,861,244 | 13,234,046 |
Liabilities | ||
Futures | 1,721,587 | 2,280,167 |
Forwards | 560,266 | 1,349,955 |
Total Liabilities | 2,281,853 | 3,630,122 |
Assets and Liabilities Measured at Fair Value | ||
Net fair value | 4,579,391 | 9,603,924 |
Fair Value Measured on a Recurring Basis [Member] | Significant Other Observable Inputs (Level 2) [Member] | ||
Assets | ||
Forwards | 1,390,499 | 1,765,921 |
Total Assets | 1,390,499 | 1,765,921 |
Liabilities | ||
Forwards | 3,814,655 | 280,464 |
Total Liabilities | 3,814,655 | 280,464 |
Assets and Liabilities Measured at Fair Value | ||
Net fair value | ($2,424,156) | $1,485,457 |