Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Oct. 31, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | MSCG | |
Entity Registrant Name | MANAGED FUTURES PREMIER GRAHAM L.P. | |
Entity Central Index Key | 1,066,656 | |
Current Fiscal Year End Date | --12-30 | |
Entity Filer Category | Non-accelerated Filer | |
Common Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 6,037,869.048 | |
Common Class Z [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 0 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Equity in trading account: | ||
Unrestricted cash | $ 16,718,561 | $ 33,848,156 |
Restricted cash | 18,744,195 | 22,511,507 |
Total equity in trading account | 155,289,394 | 180,364,998 |
Cash at bank | 413 | |
Interest receivable | 4,055 | 5,188 |
Total assets | 155,293,862 | 180,370,186 |
Accrued expenses: | ||
Administrative and General Partner's fees | 261,781 | 303,591 |
Ongoing placement agent fees | 258,840 | 303,591 |
Management fees | 229,059 | 265,642 |
Redemptions payable to General Partner | 50,000 | |
Redemptions payable to Limited Partners | 2,628,877 | 1,678,715 |
Total liabilities | 3,428,557 | 2,551,539 |
Partners' Capital: | ||
Total partners' capital (net asset value) | 151,865,305 | 177,818,647 |
Total liabilities and partners' capital | 155,293,862 | 180,370,186 |
Class of Units A [Member] | ||
Partners' Capital: | ||
General Partner | 1,961,149 | |
Limited Partners | 150,175,712 | 175,857,498 |
Total partners' capital (net asset value) | $ 150,175,712 | $ 177,818,647 |
Net asset value per Unit: | ||
Net asset value per unit | $ 24.37 | $ 26.50 |
Class of Units Z [Member] | ||
Partners' Capital: | ||
General Partner | $ 1,689,593 | |
Total partners' capital (net asset value) | $ 1,689,593 | |
Net asset value per Unit: | ||
Net asset value per unit | $ 9.50 | |
U.S. Treasury Bills [Member] | ||
Equity in trading account: | ||
Investment in U.S. Treasury bills, at fair value (amortized cost $117,926,701 and $120,992,891 at September 30, 2016 and December 31, 2015, respectively) | $ 117,964,721 | $ 120,980,413 |
Futures Contracts [Member] | ||
Equity in trading account: | ||
Net unrealized appreciation (depreciation) on open contracts | 1,061,540 | 1,902,324 |
Forward Contracts [Member] | ||
Equity in trading account: | ||
Net unrealized appreciation (depreciation) on open contracts | $ 800,377 | $ 1,122,598 |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Limited Partners, Units | 6,163,049.874 | 6,635,420.493 |
U.S. Treasury Bills [Member] | ||
Investment in U.S. Treasury bills, cost | $ 117,926,701 | $ 120,992,891 |
Class of Units A [Member] | ||
General Partner, Units | 0 | 73,997.691 |
Class of Units Z [Member] | ||
General Partner, Units | 177,782.627 | 0 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016USD ($)Contracts | Dec. 31, 2015USD ($)Contracts | |
U.S. Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Fair Value | $ 117,964,721 | $ 120,980,413 |
% of Partners' Capital | 77.68% | |
U.S. Treasury Bills [Member] | U.S. Treasury Bills, 0.28% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Face amount | $ 88,000,000 | |
Investment, Maturity Date | Nov. 17, 2016 | |
Investment, Fair Value | $ 87,982,675 | |
% of Partners' Capital | 57.94% | |
U.S. Treasury Bills [Member] | U.S. Treasury Bills, 0.215% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Face amount | $ 25,000,000 | |
Investment, Maturity Date | Dec. 29, 2016 | |
Investment, Fair Value | $ 24,983,536 | |
% of Partners' Capital | 16.45% | |
U.S. Treasury Bills [Member] | U.S. Treasury Bills, 0.10% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Face amount | $ 5,000,000 | |
Investment, Maturity Date | Dec. 8, 2016 | |
Investment, Fair Value | $ 4,998,510 | |
% of Partners' Capital | 3.29% | |
U.S. Treasury Bills [Member] | U.S. Treasury Bills, 0.015% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Face amount | $ 121,000,000 | |
Investment, Maturity Date | Mar. 3, 2016 | |
Investment, Fair Value | $ 120,980,413 | |
% of Partners' Capital | 68.04% | |
Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized appreciation (depreciation) on open contracts | $ 1,061,540 | $ 1,902,324 |
% of Partners' Capital | 0.70% | 1.07% |
Futures Contracts [Member] | Contracts Purchased [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized appreciation (depreciation) on open contracts | $ 1,814,612 | $ (1,306,945) |
% of Partners' Capital | 1.19% | (0.74%) |
Futures Contracts [Member] | Contracts Purchased [Member] | Commodity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 963 | 586 |
Net unrealized appreciation (depreciation) on open contracts | $ 257,782 | $ 230,166 |
% of Partners' Capital | 0.17% | 0.13% |
Futures Contracts [Member] | Contracts Purchased [Member] | Equity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 1,124 | 864 |
Net unrealized appreciation (depreciation) on open contracts | $ 508,661 | $ (496,959) |
% of Partners' Capital | 0.33% | (0.28%) |
Futures Contracts [Member] | Contracts Purchased [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 28 | 50 |
Net unrealized appreciation (depreciation) on open contracts | $ 8,475 | $ (32,105) |
% of Partners' Capital | 0.01% | (0.02%) |
Futures Contracts [Member] | Contracts Purchased [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 3,742 | 3,827 |
Net unrealized appreciation (depreciation) on open contracts | $ 1,039,694 | $ (1,008,047) |
% of Partners' Capital | 0.68% | (0.57%) |
Futures Contracts [Member] | Contracts Sold [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized appreciation (depreciation) on open contracts | $ (753,072) | $ 3,209,269 |
% of Partners' Capital | (0.49%) | 1.81% |
Futures Contracts [Member] | Contracts Sold [Member] | Commodity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 1,156 | 2,246 |
Net unrealized appreciation (depreciation) on open contracts | $ (146,835) | $ 3,783,926 |
% of Partners' Capital | (0.10%) | 2.13% |
Futures Contracts [Member] | Contracts Sold [Member] | Equity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 697 | 606 |
Net unrealized appreciation (depreciation) on open contracts | $ (400,245) | $ (729,667) |
% of Partners' Capital | (0.26%) | (0.41%) |
Futures Contracts [Member] | Contracts Sold [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 147 | 70 |
Net unrealized appreciation (depreciation) on open contracts | $ (44,523) | $ 2,440 |
% of Partners' Capital | (0.03%) | 0.00% |
Futures Contracts [Member] | Contracts Sold [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 1,826 | 3,147 |
Net unrealized appreciation (depreciation) on open contracts | $ (161,469) | $ 152,570 |
% of Partners' Capital | (0.10%) | 0.09% |
Forward Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open forward contracts | $ 2,430,464 | $ 2,489,669 |
Percentage of Partners' Capital | (1.07%) | (0.77%) |
Unrealized Depreciation on Open Forward Contracts | $ (1,630,087) | $ (1,367,071) |
Percentage of Partners' Capital | 1.60% | 1.40% |
Net unrealized appreciation (depreciation) on open contracts | $ 800,377 | $ 1,122,598 |
% of Partners' Capital | 0.53% | 0.63% |
Forward Contracts [Member] | Commodity [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open forward contracts | $ 474,231 | $ 550,848 |
Percentage of Partners' Capital | (0.71%) | (0.39%) |
Unrealized Depreciation on Open Forward Contracts | $ (1,085,226) | $ (692,612) |
Percentage of Partners' Capital | 0.31% | 0.31% |
Forward Contracts [Member] | Commodity [Member] | Net Unrealized Appreciation On Open Forward Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 302 | 201 |
Forward Contracts [Member] | Commodity [Member] | Net Unrealized Depreciation On Open Forward Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 232 | 489 |
Forward Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open forward contracts | $ 1,956,233 | $ 1,938,821 |
Percentage of Partners' Capital | (0.36%) | (0.38%) |
Notional Amount | $ 167,095,262 | $ 186,734,125 |
Unrealized Depreciation on Open Forward Contracts | (544,861) | (674,459) |
Notional Amount | $ 164,010,418 | $ 99,908,761 |
Percentage of Partners' Capital | 1.29% | 1.09% |
Condensed Schedule of Investme5
Condensed Schedule of Investments (Parenthetical) - U.S. Treasury Bills [Member] - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, amortized cost | $ 117,926,701 | $ 120,992,891 |
U.S. Treasury Bills, 0.28% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, amortized cost | $ 87,941,138 | |
Investment, Interest rate | 0.28% | |
U.S. Treasury Bills, 0.215% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, amortized cost | $ 24,986,563 | |
Investment, Interest rate | 0.215% | |
U.S. Treasury Bills, 0.10% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, amortized cost | $ 4,999,000 | |
Investment, Interest rate | 0.10% | |
U.S. Treasury Bills, 0.015% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, amortized cost | $ 120,992,891 | |
Investment, Interest rate | 0.015% |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Investment Income: | |||||
Interest income | $ 103,814 | $ 2,251 | $ 267,376 | $ 8,869 | |
Expenses: | |||||
Administrative and General Partner's fees | 817,802 | 929,598 | 2,554,280 | 2,949,577 | |
Ongoing placement agent fees | 808,766 | 929,598 | 2,545,244 | 2,949,577 | |
Management fees | 715,576 | 813,398 | 2,234,994 | 2,580,880 | |
Total expenses | 2,342,144 | 2,672,594 | 7,334,518 | 8,480,034 | |
Net investment loss | (2,238,330) | (2,670,343) | (7,067,142) | (8,471,165) | |
Net gains (losses) on trading of commodity interests: | |||||
Net realized gains (losses) on closed contracts | (689,792) | (9,009,576) | (5,996,409) | 13,729,728 | |
Net change in unrealized gains (losses) on open contracts | (6,076,969) | 8,828,943 | (1,161,415) | (5,724,732) | |
Total trading results | (6,766,761) | (180,633) | (7,157,824) | 8,004,996 | |
Net income (loss) | (9,005,091) | (2,850,976) | (14,224,966) | (466,169) | |
Class of Units A [Member] | |||||
Net gains (losses) on trading of commodity interests: | |||||
Net income (loss) | $ (8,914,226) | $ (2,850,976) | $ (14,134,101) | $ (466,169) | |
Net asset value per Unit: | |||||
Net asset value per unit | $ 24.37 | $ 26.96 | $ 24.37 | $ 26.96 | |
Net income (loss) per Unit: | |||||
Net income (loss) per unit | [1] | $ (1.40) | $ (0.41) | $ (2.13) | $ (0.14) |
Weighted average Units outstanding: | |||||
Weighted average units outstanding | 6,390,775.789 | 6,850,927.457 | 6,634,283.241 | 6,936,411.937 | |
Class of Units Z [Member] | |||||
Net gains (losses) on trading of commodity interests: | |||||
Net income (loss) | $ (90,865) | $ (90,865) | |||
Net asset value per Unit: | |||||
Net asset value per unit | $ 9.50 | $ 9.50 | |||
Net income (loss) per Unit: | |||||
Net income (loss) per unit | [1] | $ (0.50) | $ (0.50) | ||
Weighted average Units outstanding: | |||||
Weighted average units outstanding | 183,045.785 | 183,045.785 | |||
[1] | Represents the change in net asset value per Unit during the period. |
Statements of Income and Expen7
Statements of Income and Expenses (Parenthetical) - shares | Sep. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Dec. 31, 2014 |
Units outstanding | 6,340,832.501 | 6,709,418.184 | 6,749,652.438 | 6,475,644.223 |
Class of Units A [Member] | ||||
Units outstanding | 6,163,049.874 | 6,709,418.184 | 6,749,652.438 | 6,475,644.223 |
Class of Units Z [Member] | ||||
Units outstanding | 177,782.627 | 0 |
Statements of Changes in Partne
Statements of Changes in Partners' Capital - USD ($) | Total | Class of Units A [Member] | Class of Units Z [Member] | Limited Partner [Member] | Limited Partner [Member]Class of Units A [Member] | General Partner [Member] | General Partner [Member]Class of Units A [Member] | General Partner [Member]Class of Units Z [Member] |
Balance at Dec. 31, 2014 | $ 175,467,994 | $ 175,467,994 | ||||||
Subscriptions | $ 25,565,879 | $ 25,565,879 | $ 186,599 | $ 186,599 | ||||
Redemptions | $ (18,687,019) | $ (18,687,019) | $ (100,000) | $ (100,000) | ||||
Net income (loss) | (466,169) | (466,169) | ||||||
Balance at Sep. 30, 2015 | $ 181,967,284 | $ 181,967,284 | ||||||
Balance (in units) at Dec. 31, 2014 | 6,475,644.223 | 6,475,644.223 | ||||||
Subscriptions (in units) | 926,835.355 | 926,835.355 | 6,885.587 | 6,885.587 | ||||
Redemptions (in units) | (656,003.528) | (656,003.528) | (3,709.199) | (3,709.199) | ||||
Balance (in units) at Sep. 30, 2015 | 6,749,652.438 | 6,749,652.438 | 0 | |||||
Balance at Dec. 31, 2015 | $ 177,818,647 | $ 177,818,647 | ||||||
Subscriptions | $ 9,482,749 | $ 9,482,749 | $ 1,830,458 | $ 1,830,458 | ||||
Redemptions | $ (21,081,125) | $ (21,081,125) | $ (1,960,458) | $ (1,910,458) | $ (50,000) | |||
Net income (loss) | (14,224,966) | (14,134,101) | $ (90,865) | |||||
Balance at Sep. 30, 2016 | $ 151,865,305 | $ 150,175,712 | $ 1,689,593 | |||||
Balance (in units) at Dec. 31, 2015 | 6,709,418.184 | 6,709,418.184 | ||||||
Subscriptions (in units) | 371,088.484 | 371,088.484 | 183,045.785 | 183,045.785 | ||||
Redemptions (in units) | (843,459.103) | (843,459.103) | (79,260.849) | (73,997.691) | (5,263.158) | |||
Balance (in units) at Sep. 30, 2016 | 6,340,832.501 | 6,163,049.874 | 177,782.627 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Managed Futures Premier Graham L.P. (“Premier Graham” or 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 4, “Financial Instruments”). The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. 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”). This entity previously acted as a non-clearing commodity broker for the Partnership and currently acts as the placement agent for the Partnership. Morgan Stanley Wealth Management is a principal subsidiary of MSSBH. 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. During the reporting periods ended September 30, 2016 and 2015, the Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co”), a registered futures commission merchant. The Partnership also deposits a portion of its cash in a non-trading account at JPMorgan Chase Bank, N.A. 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. As of September 30, 2016, units of limited partnership interest (“Unit(s)”) of the Partnership are being offered in three share classes (each, a “Class” or collectively, the “Classes”). The Class of Units that a limited partner receives generally depends on the aggregate subscription amount made by such limited partner in the Partnership, although the General Partner may determine to offer units to investors at its discretion. Class of Units Aggregate Investments A Up to $4,999,999 D $5,000,000 and above Z $25,000 and above As of November 1, 2015, the General Partner of the Partnership began offering Class Z Units. All Units issued prior to June 30, 2016 were deemed Class A Units. The rights, liabilities, risks, and fees associated with investment in the Class A Units did not change. Class Z Units were first issued on July 1, 2016 at $10 per Unit. Class Z Units are offered to limited partners who receive advisory services from Morgan Stanley Wealth Management and certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Each of Class A, D and Z Units of the Partnership have the same investment exposure and rights except for the amount of the ongoing placement agent fee charged to each Class of Units; Class Z Units are not subject to an ongoing placement agent fee. In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The General Partner pays or reimburses the Partnership, from the administrative and General Partner fee receives, the ordinary administrative expenses of the Partnership. This includes the expenses related to the engagement of the Administrator. Therefore, the engagement of the Administrator did not impact the Partnership’s break-even point. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2016 | |
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 September 30, 2016, the results of its operations for the three and nine months ended September 30, 2016 and 2015 and changes in partners’ capital for the nine months ended September 30, 2016 and 2015. 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 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, 2015. The December 31, 2015 information has been derived from the audited financial statements as of and for the year ended December 31, 2015. 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. Use of Estimates Profit Allocation. Statement of Cash Flows. Partnership’s Investments Restricted and Unrestricted Cash Income Taxes. Investment Company Status. Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements Net Income (Loss) per Unit Financial Services – Investment Companies Fair Value of Financial Instruments. “Financial Instruments,” Recent Accounting Pronouncement “Recognition and Measurement of Financial Assets and Financial Liabilities.” Reclassification. 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, 2015. |
Financial Highlights
Financial Highlights | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner class as a whole for the three and nine months ended September 30, 2016 and 2015 were as follows: Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Class A Class A Class A Class A Per Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ (1.06) $ (0.01) $ (1.07) $ 1.11 Net investment loss (0.34) (0.40) (1.06) (1.25) Increase (decrease) for the period (1.40) (0.41) (2.13) (0.14) Net asset value per Unit, beginning of period 25.77 27.37 26.50 27.10 Net asset value per Unit, end of period $ 24.37 $ 26.96 $ 24.37 $ 26.96 Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Class A Class A Class A Class A Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (5.6) % (5.8) % (5.6) % (5.9) % Operating expenses 5.8 % 5.8 % 5.9 % 5.9 % Incentive fees - - - - Total expenses 5.8 % 5.8 % 5.9 % 5.9 % Total return: Total return before incentive fees (5.4) % (1.5) % (8.0) % (0.5) % Incentive fees - - - - Total return after incentive fees (5.4) % (1.5) % (8.0) % (0.5) % * Net investment loss per Unit is calculated by dividing the expenses net of interest income by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees). *** Interest income less total expenses. 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 partners’ capital. |
Financial Instruments
Financial Instruments | 9 Months Ended |
Sep. 30, 2016 | |
Investments, All Other Investments [Abstract] | |
Financial Instruments | 4. Financial Instruments: The Partnership trades Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. 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 Partnership’s contracts are accounted for on a trade-date basis. Gains or losses are realized when the contracts are liquidated and are determined using the first-in, first-out method. 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 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 and exchange-traded forward contracts are fair valued on a daily basis, with variations in value settled on a daily basis. 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 Partnership does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s Statements of Income and Expenses. 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 U.S. Treasury bills, futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions. The futures, forwards and options traded, and the U.S. Treasury bills held 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 and exchange-traded forward contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. |
Trading Activities
Trading Activities | 9 Months Ended |
Sep. 30, 2016 | |
Brokers and Dealers [Abstract] | |
Trading Activities | 5. Trading Activities: The Partnership’s objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisor 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. All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the three months ended September 30, 2016 and 2015 were 10,279 and 11,410, respectively. The monthly average number of futures contracts traded during the nine months ended September 30, 2016 and 2015 were 10,709 and 12,330, respectively. The monthly average number of metals forward contracts traded during the three months ended September 30, 2016 and 2015 were 1,033 and 1,625, respectively. The monthly average number of metals forward contracts traded during the nine months ended September 30, 2016 and 2015 were 1,107 and 1,483, respectively. The monthly average notional values of currency forward contracts held during the three months ended September 30, 2016 and 2015 were $544,187,733 and $521,641,474, respectively. The monthly average notional values of currency forward contracts held during the nine months ended September 30, 2016 and 2015 were $574,739,732 and $556,962,419, respectively. 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 September 30, 2016 and December 31, 2015, respectively. Gross Amounts Amounts Offset in the Presented in the Gross Amounts Not Offset in the Gross Statements of Statements of Statements of Financial Condition Amounts Financial Financial Financial Cash Collateral September 30, 2016 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 4,038,276 $ (2,976,736) $ 1,061,540 $ - $ - $ 1,061,540 Forwards 2,430,464 (1,630,087) 800,377 - - 800,377 Total assets $ 6,468,740 $ (4,606,823) $ 1,861,917 $ - $ - $ 1,861,917 Liabilities Futures $ (2,976,736) $ 2,976,736 $ - $ - $ - $ - Forwards (1,630,087) 1,630,087 - - - - Total liabilities $ (4,606,823) $ 4,606,823 $ - $ - $ - $ - Net fair value $ 1,861,917 * Gross Amounts Amounts Offset in the Presented in the Gross Amounts Not Offset in the Gross Statements of Statements of Statements of Financial Condition Amounts Financial Financial Financial Cash Collateral December 31, 2015 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 5,512,072 $ (3,609,748) $ 1,902,324 $ - $ - $ 1,902,324 Forwards 2,489,669 (1,367,071) 1,122,598 - - 1,122,598 Total assets $ 8,001,741 $ (4,976,819) $ 3,024,922 $ - $ - $ 3,024,922 Liabilities Futures $ (3,609,748) $ 3,609,748 $ - $ - $ - $ - Forwards (1,367,071) 1,367,071 - - - - Total liabilities $ (4,976,819) $ 4,976,819 $ - $ - $ - $ - Net fair value $ 3,024,922 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and/or the sole counterparty to the Partnership’s off-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’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 in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of September 30, 2016 and December 31, 2015, respectively. September 30, 2016 Assets Futures Contracts Commodity $ 1,924,675 Equity 978,352 Currencies 14,454 Interest Rates 1,120,795 Total unrealized appreciation on open futures contracts 4,038,276 Liabilities Futures Contracts Commodity (1,813,728) Equity (869,936) Currencies (50,502) Interest Rates (242,570) Total unrealized depreciation on open futures contracts (2,976,736) Net unrealized appreciation on open futures contracts $ 1,061,540 * Assets Forward Contracts Commodity $ 474,231 Currencies 1,956,233 Total unrealized appreciation on open forward contracts 2,430,464 Liabilities Forward Contracts Commodity (1,085,226) Currencies (544,861) Total unrealized depreciation on open forward contracts (1,630,087) Net unrealized appreciation on open forward contracts $ 800,377 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2015 Assets Futures Contracts Commodity $ 4,810,742 Equity 64,107 Currencies 47,763 Interest Rates 589,460 Total unrealized appreciation on open futures contracts 5,512,072 Liabilities Futures Contracts Commodity (796,650) Equity (1,290,733) Currencies (77,428) Interest Rates (1,444,937) Total unrealized depreciation on open futures contracts (3,609,748) Net unrealized appreciation on open futures contracts $ 1,902,324 * Assets Forward Contracts Commodity $ 550,848 Currencies 1,938,821 Total unrealized appreciation on open forward contracts 2,489,669 Liabilities Forward Contracts Commodity (692,612) Currencies (674,459) Total unrealized depreciation on open forward contracts (1,367,071) Net unrealized appreciation on open forward contracts $ 1,122,598 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2016 and 2015, respectively. Three Months Ended Nine Months Ended September 30, September 30, Sector 2016 2015 2016 2015 Commodity $ (11,065,460) $ 5,626,655 $ (13,502,972) $ (3,334,782) Equity 5,930,163 (10,905,356) (190,374) 799,090 Currencies (101,274) 1,673,486 (2,223,719) 8,803,522 Interest Rates (1,530,190) 3,424,582 8,759,241 1,737,166 Total $ (6,766,761) *** $ (180,633) *** $ (7,157,824) *** $ 8,004,996 *** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 6. Fair Value Measurements: Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The fair value of exchange-traded futures, forward and option contracts is determined by the various 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. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period. The Partnership considers prices for exchange-traded commodity futures, forward, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by broker quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of September 30, 2016 and December 31, 2015 and for the periods ended September 30, 2016 and 2015, the Partnership did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2. September 30, 2016 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 117,964,721 $ - $ 117,964,721 $ - Futures 4,038,276 4,038,276 - - Forwards 2,430,464 474,231 1,956,233 - Total assets $ 124,433,461 $ 4,512,507 $ 119,920,954 $ - Liabilities Futures $ 2,976,736 $ 2,976,736 $ - $ - Forwards 1,630,087 1,085,226 544,861 - Total liabilities $ 4,606,823 $ 4,061,962 $ 544,861 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 120,980,413 $ - $ 120,980,413 $ - Futures 5,512,072 5,512,072 - - Forwards 2,489,669 550,848 1,938,821 - Total assets $ 128,982,154 $ 6,062,920 $ 122,919,234 $ - Liabilities Futures $ 3,609,748 $ 3,609,748 $ - $ - Forwards 1,367,071 692,612 674,459 - Total liabilities $ 4,976,819 $ 4,302,360 $ 674,459 $ - |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | 7. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before financial statements are issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Basis of Presentation and Sum16
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates |
Profit Allocation | Profit Allocation. |
Statement of Cash Flows | Statement of Cash Flows. |
Partnership's Investments | Partnership’s Investments |
Restricted and Unrestricted Cash | Restricted and Unrestricted Cash |
Income Taxes | Income Taxes. |
Investment Company Status | Investment Company Status. Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements |
Net Income (Loss) per Unit | Net Income (Loss) per Unit Financial Services – Investment Companies |
Fair Value of Financial Instruments | Fair Value of Financial Instruments. “Financial Instruments,” |
Recent Accounting Pronouncement | Recent Accounting Pronouncement “Recognition and Measurement of Financial Assets and Financial Liabilities.” |
Reclassification | Reclassification. |
Subsequent Events | Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before financial statements are issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Organization (Tables)
Organization (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Summary of Limited Partner Capital Account by Class | The Class of Units that a limited partner receives generally depends on the aggregate subscription amount made by such limited partner in the Partnership, although the General Partner may determine to offer units to investors at its discretion. Class of Units Aggregate Investments A Up to $4,999,999 D $5,000,000 and above Z $25,000 and above |
Financial Highlights (Tables)
Financial Highlights (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Financial Highlights for Limited Partner Class as a Whole | Financial highlights for the limited partner class as a whole for the three and nine months ended September 30, 2016 and 2015 were as follows: Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Class A Class A Class A Class A Per Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ (1.06) $ (0.01) $ (1.07) $ 1.11 Net investment loss (0.34) (0.40) (1.06) (1.25) Increase (decrease) for the period (1.40) (0.41) (2.13) (0.14) Net asset value per Unit, beginning of period 25.77 27.37 26.50 27.10 Net asset value per Unit, end of period $ 24.37 $ 26.96 $ 24.37 $ 26.96 Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Class A Class A Class A Class A Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (5.6) % (5.8) % (5.6) % (5.9) % Operating expenses 5.8 % 5.8 % 5.9 % 5.9 % Incentive fees - - - - Total expenses 5.8 % 5.8 % 5.9 % 5.9 % Total return: Total return before incentive fees (5.4) % (1.5) % (8.0) % (0.5) % Incentive fees - - - - Total return after incentive fees (5.4) % (1.5) % (8.0) % (0.5) % * Net investment loss per Unit is calculated by dividing the expenses net of interest income by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees). *** Interest income less total expenses. |
Trading Activities (Tables)
Trading Activities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Brokers and Dealers [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 September 30, 2016 and December 31, 2015, respectively. Gross Amounts Amounts Offset in the Presented in the Gross Amounts Not Offset in the Gross Statements of Statements of Statements of Financial Condition Amounts Financial Financial Financial Cash Collateral September 30, 2016 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 4,038,276 $ (2,976,736) $ 1,061,540 $ - $ - $ 1,061,540 Forwards 2,430,464 (1,630,087) 800,377 - - 800,377 Total assets $ 6,468,740 $ (4,606,823) $ 1,861,917 $ - $ - $ 1,861,917 Liabilities Futures $ (2,976,736) $ 2,976,736 $ - $ - $ - $ - Forwards (1,630,087) 1,630,087 - - - - Total liabilities $ (4,606,823) $ 4,606,823 $ - $ - $ - $ - Net fair value $ 1,861,917 * Gross Amounts Amounts Offset in the Presented in the Gross Amounts Not Offset in the Gross Statements of Statements of Statements of Financial Condition Amounts Financial Financial Financial Cash Collateral December 31, 2015 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 5,512,072 $ (3,609,748) $ 1,902,324 $ - $ - $ 1,902,324 Forwards 2,489,669 (1,367,071) 1,122,598 - - 1,122,598 Total assets $ 8,001,741 $ (4,976,819) $ 3,024,922 $ - $ - $ 3,024,922 Liabilities Futures $ (3,609,748) $ 3,609,748 $ - $ - $ - $ - Forwards (1,367,071) 1,367,071 - - - - Total liabilities $ (4,976,819) $ 4,976,819 $ - $ - $ - $ - Net fair value $ 3,024,922 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and/or the sole counterparty to the Partnership’s off-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’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 in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. |
Summary of Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities | The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of September 30, 2016 and December 31, 2015, respectively. September 30, 2016 Assets Futures Contracts Commodity $ 1,924,675 Equity 978,352 Currencies 14,454 Interest Rates 1,120,795 Total unrealized appreciation on open futures contracts 4,038,276 Liabilities Futures Contracts Commodity (1,813,728) Equity (869,936) Currencies (50,502) Interest Rates (242,570) Total unrealized depreciation on open futures contracts (2,976,736) Net unrealized appreciation on open futures contracts $ 1,061,540 * Assets Forward Contracts Commodity $ 474,231 Currencies 1,956,233 Total unrealized appreciation on open forward contracts 2,430,464 Liabilities Forward Contracts Commodity (1,085,226) Currencies (544,861) Total unrealized depreciation on open forward contracts (1,630,087) Net unrealized appreciation on open forward contracts $ 800,377 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2015 Assets Futures Contracts Commodity $ 4,810,742 Equity 64,107 Currencies 47,763 Interest Rates 589,460 Total unrealized appreciation on open futures contracts 5,512,072 Liabilities Futures Contracts Commodity (796,650) Equity (1,290,733) Currencies (77,428) Interest Rates (1,444,937) Total unrealized depreciation on open futures contracts (3,609,748) Net unrealized appreciation on open futures contracts $ 1,902,324 * Assets Forward Contracts Commodity $ 550,848 Currencies 1,938,821 Total unrealized appreciation on open forward contracts 2,489,669 Liabilities Forward Contracts Commodity (692,612) Currencies (674,459) Total unrealized depreciation on open forward contracts (1,367,071) Net unrealized appreciation on open forward contracts $ 1,122,598 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. |
Trading Gains and Losses, by Market Sector, on Derivative Instruments | The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2016 and 2015, respectively. Three Months Ended Nine Months Ended September 30, September 30, Sector 2016 2015 2016 2015 Commodity $ (11,065,460) $ 5,626,655 $ (13,502,972) $ (3,334,782) Equity 5,930,163 (10,905,356) (190,374) 799,090 Currencies (101,274) 1,673,486 (2,223,719) 8,803,522 Interest Rates (1,530,190) 3,424,582 8,759,241 1,737,166 Total $ (6,766,761) *** $ (180,633) *** $ (7,157,824) *** $ 8,004,996 *** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis | September 30, 2016 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 117,964,721 $ - $ 117,964,721 $ - Futures 4,038,276 4,038,276 - - Forwards 2,430,464 474,231 1,956,233 - Total assets $ 124,433,461 $ 4,512,507 $ 119,920,954 $ - Liabilities Futures $ 2,976,736 $ 2,976,736 $ - $ - Forwards 1,630,087 1,085,226 544,861 - Total liabilities $ 4,606,823 $ 4,061,962 $ 544,861 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 120,980,413 $ - $ 120,980,413 $ - Futures 5,512,072 5,512,072 - - Forwards 2,489,669 550,848 1,938,821 - Total assets $ 128,982,154 $ 6,062,920 $ 122,919,234 $ - Liabilities Futures $ 3,609,748 $ 3,609,748 $ - $ - Forwards 1,367,071 692,612 674,459 - Total liabilities $ 4,976,819 $ 4,302,360 $ 674,459 $ - |
Organization - Additional Infor
Organization - Additional Information (Detail) | Sep. 30, 2016Class | Jul. 01, 2016$ / shares |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Number of share classes | Class | 3 | |
Class of Units Z [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Redeemable units per share | $ / shares | $ 10 |
Organization - Summary of Limit
Organization - Summary of Limited Partner Unit Class Threshold Subscription (Detail) | Sep. 30, 2016USD ($) |
Class of Units A [Member] | |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | |
Limited partner unit class threshold subscription, maximum | $ 4,999,999 |
Class of Units D [Member] | |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | |
Limited partner unit class threshold subscription, minimum | 5,000,000 |
Class of Units Z [Member] | |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | |
Limited partner unit class threshold subscription, minimum | $ 25,000 |
Basis of Presentation and Sum23
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Accounting Policies [Abstract] | ||
Cash denominated in foreign currencies | $ 587,427 | $ 1,636,531 |
Cash denominated in foreign currencies, proceeds | 587,112 | |
Cash denominated in foreign currencies, cost | $ 1,638,436 | |
Provision for income tax | $ 0 | |
Provision for income tax, description | The General Partner concluded that no provision for income tax is required in the Partnership's financial statements. |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Class as a Whole (Detail) - Class of Units A [Member] - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net asset value per Unit, beginning of period | $ 26.50 | |||
Net asset value per Unit, end of period | $ 24.37 | $ 26.96 | 24.37 | $ 26.96 |
Limited Partner [Member] | ||||
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | (1.06) | (0.01) | (1.07) | 1.11 |
Net investment loss | (0.34) | (0.40) | (1.06) | (1.25) |
Increase (decrease) for the period | (1.40) | (0.41) | (2.13) | (0.14) |
Net asset value per Unit, beginning of period | 25.77 | 27.37 | 26.50 | 27.10 |
Net asset value per Unit, end of period | $ 24.37 | $ 26.96 | $ 24.37 | $ 26.96 |
Ratios to Average Limited Partners' Capital: | ||||
Net investment loss | (5.60%) | (5.80%) | (5.60%) | (5.90%) |
Operating expenses | 5.80% | 5.80% | 5.90% | 5.90% |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total expenses | 5.80% | 5.80% | 5.90% | 5.90% |
Total return: | ||||
Total return before incentive fees | (5.40%) | (1.50%) | (8.00%) | (0.50%) |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | (5.40%) | (1.50%) | (8.00%) | (0.50%) |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Average number of futures contracts traded | 10,279 | 11,410 | 10,709 | 12,330 |
Average number of metals forward contracts traded | 1,033 | 1,625 | 1,107 | 1,483 |
Average notional value of currency forward contracts | $ 544,187,733 | $ 521,641,474 | $ 574,739,732 | $ 556,962,419 |
Trading Activities - Summary of
Trading Activities - 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 ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Gross Amounts Recognized | $ 6,468,740 | $ 8,001,741 |
Gross Amounts Offset in the Statements of Financial Condition | (4,606,823) | (4,976,819) |
Net Amounts Presented in the Statements of Financial Condition | 1,861,917 | 3,024,922 |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Cash Collateral (Received)/Pledged | 0 | 0 |
Net Amount, Assets | 1,861,917 | 3,024,922 |
Gross Amounts Recognized | (4,606,823) | (4,976,819) |
Gross Amounts Offset in the Statements of Financial Condition | 4,606,823 | 4,976,819 |
Net Amounts Presented in the Statements of Financial Condition | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Cash Collateral (Received)/Pledged | 0 | 0 |
Net Amount, Liabilities | 0 | 0 |
Net fair value | 1,861,917 | 3,024,922 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized | 4,038,276 | 5,512,072 |
Gross Amounts Offset in the Statements of Financial Condition | (2,976,736) | (3,609,748) |
Net Amounts Presented in the Statements of Financial Condition | 1,061,540 | 1,902,324 |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Cash Collateral (Received)/Pledged | 0 | 0 |
Net Amount, Assets | 1,061,540 | 1,902,324 |
Gross Amounts Recognized | (2,976,736) | (3,609,748) |
Gross Amounts Offset in the Statements of Financial Condition | 2,976,736 | 3,609,748 |
Net Amounts Presented in the Statements of Financial Condition | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Cash Collateral (Received)/Pledged | 0 | 0 |
Net Amount, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized | 2,430,464 | 2,489,669 |
Gross Amounts Offset in the Statements of Financial Condition | (1,630,087) | (1,367,071) |
Net Amounts Presented in the Statements of Financial Condition | 800,377 | 1,122,598 |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Cash Collateral (Received)/Pledged | 0 | 0 |
Net Amount, Assets | 800,377 | 1,122,598 |
Gross Amounts Recognized | (1,630,087) | (1,367,071) |
Gross Amounts Offset in the Statements of Financial Condition | 1,630,087 | 1,367,071 |
Net Amounts Presented in the Statements of Financial Condition | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Cash Collateral (Received)/Pledged | 0 | 0 |
Net Amount, Liabilities | $ 0 | $ 0 |
Trading Activities - Summary 27
Trading Activities - Summary of Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative assets | $ 1,861,917 | $ 3,024,922 |
Derivative liabilities | (4,606,823) | (4,976,819) |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 1,061,540 | 1,902,324 |
Total unrealized appreciation on open futures and forward contracts | 4,038,276 | 5,512,072 |
Derivative liabilities | (2,976,736) | (3,609,748) |
Total unrealized depreciation on open futures and forward contracts | (2,976,736) | (3,609,748) |
Net unrealized appreciation on open forward contracts | 1,061,540 | 1,902,324 |
Futures Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 1,924,675 | 4,810,742 |
Derivative liabilities | (1,813,728) | (796,650) |
Futures Contracts [Member] | Equity [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 978,352 | 64,107 |
Derivative liabilities | (869,936) | (1,290,733) |
Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 14,454 | 47,763 |
Derivative liabilities | (50,502) | (77,428) |
Futures Contracts [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 1,120,795 | 589,460 |
Derivative liabilities | (242,570) | (1,444,937) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 800,377 | 1,122,598 |
Total unrealized appreciation on open futures and forward contracts | 2,430,464 | 2,489,669 |
Derivative liabilities | (1,630,087) | (1,367,071) |
Total unrealized depreciation on open futures and forward contracts | (1,630,087) | (1,367,071) |
Net unrealized appreciation on open forward contracts | 800,377 | 1,122,598 |
Forward Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 474,231 | 550,848 |
Derivative liabilities | (1,085,226) | (692,612) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 1,956,233 | 1,938,821 |
Derivative liabilities | $ (544,861) | $ (674,459) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative [Line Items] | ||||
Gain (loss) from trading | $ (6,766,761) | $ (180,633) | $ (7,157,824) | $ 8,004,996 |
Commodity [Member] | ||||
Derivative [Line Items] | ||||
Gain (loss) from trading | (11,065,460) | 5,626,655 | (13,502,972) | (3,334,782) |
Equity [Member] | ||||
Derivative [Line Items] | ||||
Gain (loss) from trading | 5,930,163 | (10,905,356) | (190,374) | 799,090 |
Currencies [Member] | ||||
Derivative [Line Items] | ||||
Gain (loss) from trading | (101,274) | 1,673,486 | (2,223,719) | 8,803,522 |
Interest Rates [Member] | ||||
Derivative [Line Items] | ||||
Gain (loss) from trading | $ (1,530,190) | $ 3,424,582 | $ 8,759,241 | $ 1,737,166 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value Disclosures [Abstract] | ||
Transfers of assets between Level 1 and Level 2 | $ 0 | $ 0 |
Transfers of liabilities between Level 1 and Level 2 | $ 0 | $ 0 |
Fair Value Measurements - Asset
Fair Value Measurements - Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) - Fair Value Measured on a Recurring Basis [Member] - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | $ 124,433,461 | $ 128,982,154 |
Liabilities | 4,606,823 | 4,976,819 |
U.S. Treasury Bills [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 117,964,721 | 120,980,413 |
Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 4,038,276 | 5,512,072 |
Liabilities | 2,976,736 | 3,609,748 |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 2,430,464 | 2,489,669 |
Liabilities | 1,630,087 | 1,367,071 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 4,512,507 | 6,062,920 |
Liabilities | 4,061,962 | 4,302,360 |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 4,038,276 | 5,512,072 |
Liabilities | 2,976,736 | 3,609,748 |
Level 1 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 474,231 | 550,848 |
Liabilities | 1,085,226 | 692,612 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 119,920,954 | 122,919,234 |
Liabilities | 544,861 | 674,459 |
Level 2 [Member] | U.S. Treasury Bills [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 117,964,721 | 120,980,413 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 1,956,233 | 1,938,821 |
Liabilities | $ 544,861 | $ 674,459 |