Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | Apr. 30, 2019 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | MANAGED FUTURES PREMIER GRAHAM L.P. | |
Entity Central Index Key | 0001066656 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Trading Symbol | MSCG | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 4,022,573.279 | |
Class Z [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 0 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Equity in trading account: | ||
Unrestricted cash | $ 56,600,295 | $ 68,726,517 |
Restricted cash | 20,718,892 | 16,164,926 |
Net unrealized appreciation on open futures contracts | 5,684,432 | 0 |
Total equity in trading account | 83,003,619 | 84,891,443 |
Interest receivable | 104,081 | 109,350 |
Total assets | 83,107,700 | 85,000,793 |
Liabilities: | ||
Net unrealized depreciation on open contracts | 232,980 | 1,336,773 |
Accrued expenses: | ||
Administrative and General Partner's fees | 128,134 | 148,184 |
Management fees | 86,490 | 129,660 |
Redemptions payable to Limited Partners | 1,664,594 | 2,106,488 |
Total liabilities | 2,112,198 | 3,721,105 |
Partners' Capital: | ||
Total partners' capital (net asset value) | 80,995,502 | 81,279,688 |
Total liabilities and partners' capital | 83,107,700 | 85,000,793 |
Class Z [Member] | ||
Partners' Capital: | ||
General Partner, Class Z, 138,644.001 Units outstanding at March 31, 2019 and December 31, 2018 | 1,113,955 | 1,044,502 |
Total partners' capital (net asset value) | $ 1,113,955 | $ 1,044,502 |
Net asset value per Unit: | ||
Net asset value per unit | $ 8.03 | $ 7.53 |
Class A [Member] | ||
Partners' Capital: | ||
Limited Partners, Class A, 4,077,863.318 and 4,346,874.449 Units outstanding at March 31, 2019 and December 31, 2018, respectively | $ 79,881,547 | $ 80,235,186 |
Total partners' capital (net asset value) | $ 79,881,547 | $ 80,235,186 |
Net asset value per Unit: | ||
Net asset value per unit | $ 19.59 | $ 18.46 |
Forward Contracts [Member] | ||
Equity in trading account: | ||
Net unrealized appreciation on open futures contracts | $ 0 | $ 0 |
Liabilities: | ||
Net unrealized depreciation on open contracts | 232,980 | 283,816 |
Futures Contracts [Member] | ||
Equity in trading account: | ||
Net unrealized appreciation on open futures contracts | 5,684,432 | 0 |
Liabilities: | ||
Net unrealized depreciation on open contracts | $ 0 | $ 1,052,957 |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - shares | Mar. 31, 2019 | Dec. 31, 2018 |
Limited Partners, Units | 4,077,863.318 | 4,346,874.449 |
Class Z [Member] | ||
General Partner, Units | 138,644.001 | 138,644.001 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Mar. 31, 2019USD ($)Contracts | Dec. 31, 2018USD ($)Contracts | |
Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | $ 1,209,843 | $ 1,880,468 | |
Total unrealized depreciation on open contracts | (1,442,823) | (2,164,284) | |
Net unrealized appreciation (depreciation) on open contracts | $ (232,980) | $ (283,816) | |
% of Partners' Capital | (0.29%) | (0.35%) | |
Forward Contracts [Member] | Total Unrealized Depreciation on Open Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | (1.78%) | (2.66%) | |
Forward Contracts [Member] | Total Unrealized Appreciation on Open Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | 1.49% | 2.31% | |
Forward Contracts [Member] | Commodity [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | $ 619,263 | $ 751,884 | |
Total unrealized depreciation on open contracts | $ (576,312) | $ (341,019) | |
Forward Contracts [Member] | Commodity [Member] | Total Unrealized Depreciation on Open Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 201 | 89 | |
% of Partners' Capital | (0.71%) | (0.42%) | |
Forward Contracts [Member] | Commodity [Member] | Total Unrealized Appreciation on Open Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 192 | 264 | |
% of Partners' Capital | 0.76% | 0.92% | |
Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Notional Amount | $ 106,495,074 | $ 70,440,817 | |
Total unrealized appreciation on open contracts | 590,580 | 1,128,584 | |
Notional Amount | 144,483,547 | 118,463,408 | |
Total unrealized depreciation on open contracts | $ (866,511) | $ (1,823,265) | |
Forward Contracts [Member] | Currencies [Member] | Total Unrealized Depreciation on Open Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | (1.07%) | (2.24%) | |
Forward Contracts [Member] | Currencies [Member] | Total Unrealized Appreciation on Open Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | 0.73% | 1.39% | |
Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | $ 6,290,748 | $ 3,370,017 | |
Total unrealized depreciation on open contracts | (606,316) | (4,422,974) | |
Net unrealized appreciation (depreciation) on open contracts | $ 5,684,432 | $ (1,052,957) | |
% of Partners' Capital | 7.02% | (1.30%) | |
Futures Contracts [Member] | Commodity [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | $ 972,420 | $ 1,479,301 | |
Total unrealized depreciation on open contracts | (120,481) | (1,605,268) | |
Futures Contracts [Member] | Equity [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 1,524,348 | 603,645 | |
Total unrealized depreciation on open contracts | (297,552) | (1,004,340) | |
Futures Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 31,487 | 12,269 | |
Total unrealized depreciation on open contracts | (864) | (61,986) | |
Futures Contracts [Member] | Interest Rates [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 3,762,493 | 1,274,802 | |
Total unrealized depreciation on open contracts | (187,419) | (1,751,380) | |
Futures Contracts [Member] | Contracts Purchased [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation (depreciation) on open contracts | $ 4,878,907 | $ (802,838) | |
% of Partners' Capital | 6.02% | (0.99%) | |
Futures Contracts [Member] | Contracts Purchased [Member] | Commodity [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 193 | 127 | |
Net unrealized appreciation (depreciation) on open contracts | $ 14,805 | $ (1,086,825) | |
% of Partners' Capital | 0.02% | (1.34%) | |
Futures Contracts [Member] | Contracts Purchased [Member] | Equity [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 1,363 | 178 | |
Net unrealized appreciation (depreciation) on open contracts | $ 1,229,350 | $ (922,603) | |
% of Partners' Capital | 1.52% | (1.13%) | |
Futures Contracts [Member] | Contracts Purchased [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 48 | 59 | |
Net unrealized appreciation (depreciation) on open contracts | $ 24,221 | $ (54,022) | |
% of Partners' Capital | 0.03% | (0.07%) | |
Futures Contracts [Member] | Contracts Purchased [Member] | Interest Rates [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 3,401 | 1,988 | |
Net unrealized appreciation (depreciation) on open contracts | $ 3,610,531 | $ 1,260,612 | |
% of Partners' Capital | 4.45% | 1.55% | |
Futures Contracts [Member] | Contracts Sold [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation (depreciation) on open contracts | $ 805,525 | $ (250,119) | |
% of Partners' Capital | 1.00% | (0.31%) | |
Futures Contracts [Member] | Contracts Sold [Member] | Commodity [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 804 | 713 | |
Net unrealized appreciation (depreciation) on open contracts | $ 837,134 | $ 960,858 | |
% of Partners' Capital | 1.03% | 1.18% | |
Futures Contracts [Member] | Contracts Sold [Member] | Equity [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 7 | 392 | |
Net unrealized appreciation (depreciation) on open contracts | $ (2,554) | $ 521,908 | |
% of Partners' Capital | (0.00%) | [1] | 0.64% |
Futures Contracts [Member] | Contracts Sold [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 9 | 10 | |
Net unrealized appreciation (depreciation) on open contracts | $ 6,402 | $ 4,305 | |
% of Partners' Capital | 0.01% | 0.01% | |
Futures Contracts [Member] | Contracts Sold [Member] | Interest Rates [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contracts | 259 | 1,550 | |
Net unrealized appreciation (depreciation) on open contracts | $ (35,457) | $ (1,737,190) | |
% of Partners' Capital | (0.04%) | (2.14%) | |
[1] | Due to rounding. |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Investment Income: | |||
Interest income | $ 344,031 | $ 327,985 | |
Expenses: | |||
Administrative and General Partner's fees | 390,811 | 602,513 | |
Ongoing placement agent fees | 385,669 | 595,892 | |
Management fees | 290,897 | 527,198 | |
Total expenses | 1,067,377 | 1,725,603 | |
Net investment loss | (723,346) | (1,397,618) | |
Net gains (losses) on trading of commodity interests: | |||
Net realized gains (losses) on closed contracts | (1,377,969) | (2,194,296) | |
Net change in unrealized gains (losses) on open contracts | 6,785,624 | (5,148,491) | |
Total trading results | 5,407,655 | (7,342,787) | |
Net income (loss) | 4,684,309 | (8,740,405) | |
Class A [Member] | |||
Net gains (losses) on trading of commodity interests: | |||
Net income (loss) | $ 4,614,856 | $ (8,660,587) | |
Net income (loss) per Unit: | |||
Net income (loss) per unit | [1] | $ 1.13 | $ (1.68) |
Weighted average Units outstanding: | |||
Weighted average units outstanding | 4,250,516.054 | 5,183,546.190 | |
Class Z [Member] | |||
Net gains (losses) on trading of commodity interests: | |||
Net income (loss) | $ 69,453 | $ (79,818) | |
Net income (loss) per Unit: | |||
Net income (loss) per unit | [1] | $ 0.50 | $ (0.62) |
Weighted average Units outstanding: | |||
Weighted average units outstanding | 138,644.001 | 143,788.034 | |
[1] | Represents the change in net asset value per Unit during the period. |
Statements of Changes in Partne
Statements of Changes in Partners' Capital - USD ($) | Total | General Partner [Member] | Limited Partner [Member] | Class A [Member] | Class A [Member]Limited Partner [Member] | Class Z [Member] | Class Z [Member]General Partner [Member] |
Balance at Dec. 31, 2017 | $ 112,903,801 | $ 111,594,219 | $ 1,309,582 | ||||
Subscriptions | $ 116,187 | $ 9,480,783 | $ 9,480,783 | $ 116,187 | |||
Redemptions | $ (150,000) | $ (3,477,975) | $ (3,477,975) | $ (150,000) | |||
Net income (loss) | (8,740,405) | (8,660,587) | (79,818) | ||||
Balance at Mar. 31, 2018 | $ 110,132,391 | $ 108,936,440 | $ 1,195,951 | ||||
Balance (in units) at Dec. 31, 2017 | 4,964,459.780 | 4,822,944.482 | 141,515.298 | ||||
Subscriptions (in units) | 12,560.802 | 409,714.028 | 409,714.028 | 12,560.802 | |||
Redemptions (in units) | (15,432.099) | (156,218.984) | (156,218.984) | (15,432.099) | |||
Balance (in units) at Mar. 31, 2018 | 5,215,083.527 | 5,076,439.526 | 138,644.001 | ||||
Balance at Dec. 31, 2018 | $ 81,279,688 | $ 80,235,186 | $ 1,044,502 | ||||
Subscriptions | $ 15,624 | $ 15,624 | |||||
Redemptions | $ (4,984,119) | $ (4,984,119) | |||||
Net income (loss) | 4,684,309 | 4,614,856 | 69,453 | ||||
Balance at Mar. 31, 2019 | $ 80,995,502 | $ 79,881,547 | $ 1,113,955 | ||||
Balance (in units) at Dec. 31, 2018 | 4,485,518.450 | 4,346,874.449 | 138,644.001 | ||||
Subscriptions (in units) | 846.360 | 846.360 | |||||
Redemptions (in units) | (269,857.491) | (269,857.491) | |||||
Balance (in units) at Mar. 31, 2019 | 4,216,507.319 | 4,077,863.318 | 138,644.001 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2019 | |
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, 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 of the Partnership. Ceres is a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Morgan Stanley Smith Barney LLC is doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”). This entity currently acts as the placement agent for the Partnership. Morgan Stanley Wealth Management is a principal subsidiary of MSD Holdings. 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. The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2019. During the reporting periods ended March 31, 2019 and 2018, the Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. 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. The Partnership deposited a portion of its cash in a non-trading bank account at JPMorgan Chase Bank, N.A. As of March 31, 2019, 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 Investment A Up to $ 4,999,999 D $ 5,000,000 Z All 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. Effective February 1, 2019, (i) the monthly management fee paid by the Partnership to the Trading Advisor was reduced to 1/12 th 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’s fee it receives, the ordinary administrative expenses of the Partnership, including the expenses related to the engagement of the Administrator. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2019 | |
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, 2019, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2019 and 2018. 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, 2018. The December 31, 2018 information has been derived from the audited financial statements as of and for the year ended December 31, 2018. 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 . 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, and those differences could be material. Profit Allocation. The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions or redemptions and losses, if any. Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended March 31, 2019 and 2018, the Partnership carried no debt and all of the Partnership’s investments were carried at fair value and classified as Level 1 or Level 2 measurements. Partnership’s Investments . All Futures Interests held by the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The Futures Interests are recorded on trade date and open contracts are recorded at fair value (as described in Note 6, “Fair Value Measurements”) at the measurement date. Investments in Futures Interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. Net unrealized gains or losses on open contracts are included as a component of equity in trading account in the Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Statements of Income and Expenses. 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 Statements of Income and Expenses. Restricted and Unrestricted Cash . The cash held by the Partnership that is available for Futures Interests trading is on deposit in a commodity brokerage account with MS&Co. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. All of these amounts are maintained separately. At March 31, 2019 and December 31, 2018, the amount of cash held for margin requirements was $20,718,892 and $16,164,926, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. Restricted and unrestricted cash includes cash denominated in foreign currencies of $(1,708,620) (proceeds of $1,709,187) and $(361,312) (proceeds of $364,480) as of March 31, 2019 and December 31, 2018, respectively. Income Taxes. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “Income Taxes,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the more-likely-than-not threshold would be recorded as a tax benefit or liability in the Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Statements of Income and Expenses in the periods in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2015 through 2018 tax years remain subject to examination by U.S. federal and most state tax authorities. Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “ Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements ” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses. Net Income (Loss) per Unit. Net income (loss) per Unit is calculated in accordance with ASC 946, “Financial Services – Investment Companies.” See Note 3, “Financial Highlights.” 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, 2018. |
Financial Highlights
Financial Highlights | 3 Months Ended |
Mar. 31, 2019 | |
Investment Company [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner class as a whole for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 Class A Class A Per Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ 1.30 $ (1.41) Net investment loss (0.17) (0.27) Increase (decrease) for the period 1.13 (1.68) Net asset value per Unit, beginning of period 18.46 23.14 Net asset value per Unit, end of period $ 19.59 $ 21.46 Three Months Ended March 31, 2019 2018 Class A Class A Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (3.7) % (4.9) % Operating expenses 5.5 % 6.1 % Incentive fees - - Total expenses 5.5 % 6.1 % Total return: Total return before incentive fees 6.1 % (7.3) % Incentive fees - - Total return after incentive fees 6.1 % (7.3) % * Net investment loss per Unit is calculated by dividing the interest income less total expenses 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 of the Partnership. |
Financial Instruments
Financial Instruments | 3 Months Ended |
Mar. 31, 2019 | |
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 General Partner estimates that, at any given time, approximately 40.3% to 68.8% of the Partnership’s contracts are traded over-the-counter. In general, the risks associated with non-exchange-traded contracts are greater than those associated with exchange-traded contracts because of the greater risk of default by the counterparty to a non-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 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 non-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 non-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 non-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 mitigate 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 Interests 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 non-exchange-traded forward currency contracts are settled upon termination of the contract. In the ordinary course of business, the Partnership enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership. The Partnership considers the risk of any future obligation relating to these indemnifications to be remote. |
Trading Activities
Trading Activities | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [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 Futures Interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the three months ended March 31, 2019 and 2018 were 5,424 and 8,041, respectively. The monthly average number of metals forward contracts traded during the three months ended March 31, 2019 and 2018 were 657 and 938, respectively. The monthly average notional values of currency forward contracts traded during the three months ended March 31, 2019 and 2018 were $338,086,322 and $550,540,086, 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 arrangements as of March 31, 2019 and December 31, 2018, 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 March 31, 2019 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 6,290,748 $ (606,316 ) $ 5,684,432 $ - $ - $ 5,684,432 Forwards 1,209,843 (1,209,843 ) - - - - Total assets $ 7,500,591 $ (1,816,159 ) $ 5,684,432 $ - $ - $ 5,684,432 Liabilities Futures $ (606,316 ) $ 606,316 $ - $ - $ - $ - Forwards (1,442,823 ) 1,209,843 (232,980 ) - 232,980 - Total liabilities $ (2,049,139 ) $ 1,816,159 $ (232,980 ) $ - $ 232,980 $ - Net fair value $ 5,684,432 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, 2018 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 3,370,017 $ (3,370,017 ) $ - $ - $ - $ - Forwards 1,880,468 (1,880,468 ) - - - - Total assets $ 5,250,485 $ (5,250,485 ) $ - $ - $ - $ - Liabilities Futures $ (4,422,974 ) $ 3,370,017 $ (1,052,957 ) $ - $ 1,052,957 $ - Forwards (2,164,284 ) 1,880,468 (283,816 ) - 283,816 - Total liabilities $ (6,587,258 ) $ 5,250,485 $ (1,336,773 ) $ - $ 1,336,773 $ - Net fair value $ - * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-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. In certain instances, MS&Co. may not post collateral 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 funds 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 March 31, 2019 and December 31, 2018, respectively. March 31, 2019 Assets Futures Contracts Commodity $ 972,420 Equity 1,524,348 Currencies 31,487 Interest Rates 3,762,493 Total unrealized appreciation on open futures contracts 6,290,748 Liabilities Futures Contracts Commodity (120,481 ) Equity (297,552 ) Currencies (864 ) Interest Rates (187,419 ) Total unrealized depreciation on open futures contracts (606,316 ) Net unrealized appreciation on open futures contracts $ 5,684,432 * Assets Forward Contracts Commodity $ 619,263 Currencies 590,580 Total unrealized appreciation on open forward contracts 1,209,843 Liabilities Forward Contracts Commodity (576,312 ) Currencies (866,511 ) Total unrealized depreciation on open forward contracts (1,442,823 ) Net unrealized depreciation on open forward contracts $ (232,980 ) ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2018 Assets Futures Contracts Commodity $ 1,479,301 Equity 603,645 Currencies 12,269 Interest Rates 1,274,802 Total unrealized appreciation on open futures contracts 3,370,017 Liabilities Futures Contracts Commodity (1,605,268 ) Equity (1,004,340 ) Currencies (61,986 ) Interest Rates (1,751,380 ) Total unrealized depreciation on open futures contracts (4,422,974 ) Net unrealized depreciation on open futures contracts $ (1,052,957 )* Assets Forward Contracts Commodity $ 751,884 Currencies 1,128,584 Total unrealized appreciation on open forward contracts 1,880,468 Liabilities Forward Contracts Commodity (341,019 ) Currencies (1,823,265 ) Total unrealized depreciation on open forward contracts (2,164,284 ) Net unrealized depreciation on open forward contracts $ (283,816 )** * This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation 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 months ended March 31, 2019 and 2018, respectively. Three Months Ended March 31, Sector 2019 2018 Commodity $ (2,787,456 ) $ (2,232,589 ) Equity 3,619,810 (2,305,253 ) Currencies 441,949 (1,283,403 ) Interest Rates 4,133,352 (1,521,542 ) Total $ 5,407,655 *** $ (7,342,787 )*** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 6. Fair Value Measurements: Partnership’s Fair Value Measurements. Fair value is defined as the value 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 commodity futures, 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 pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of March 31, 2019 and December 31, 2018 and for the periods ended March 31, 2019 and 2018, 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). March 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 6,290,748 $ 6,290,748 $ - $ - Forwards 1,209,843 - 1,209,843 - Total assets $ 7,500,591 $ 6,290,748 $ 1,209,843 $ - Liabilities Futures $ 606,316 $ 606,316 $ - $ - Forwards 1,442,823 - 1,442,823 - Total liabilities $ 2,049,139 $ 606,316 $ 1,442,823 $ - December 31, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 3,370,017 $ 3,370,017 $ - $ - Forwards 1,880,468 - 1,880,468 - Total assets $ 5,250,485 $ 3,370,017 $ 1,880,468 $ - Liabilities Futures $ 4,422,974 $ 4,422,974 $ - $ - Forwards 2,164,284 - 2,164,284 - Total liabilities $ 6,587,258 $ 4,422,974 $ 2,164,284 $ - |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | 7. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Use of Estimates | 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, and those differences could be material. |
Profit Allocation | Profit Allocation. The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions or redemptions and losses, if any. |
Statement of Cash Flows | Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended March 31, 2019 and 2018, the Partnership carried no debt and all of the Partnership’s investments were carried at fair value and classified as Level 1 or Level 2 measurements. |
Partnership's Investments | Partnership’s Investments . All Futures Interests held by the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The Futures Interests are recorded on trade date and open contracts are recorded at fair value (as described in Note 6, “Fair Value Measurements”) at the measurement date. Investments in Futures Interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. Net unrealized gains or losses on open contracts are included as a component of equity in trading account in the Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Statements of Income and Expenses. 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 Statements of Income and Expenses. |
Restricted and Unrestricted Cash | Restricted and Unrestricted Cash . The cash held by the Partnership that is available for Futures Interests trading is on deposit in a commodity brokerage account with MS&Co. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. All of these amounts are maintained separately. At March 31, 2019 and December 31, 2018, the amount of cash held for margin requirements was $20,718,892 and $16,164,926, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. Restricted and unrestricted cash includes cash denominated in foreign currencies of $(1,708,620) (proceeds of $1,709,187) and $(361,312) (proceeds of $364,480) as of March 31, 2019 and December 31, 2018, respectively. |
Income Taxes | Income Taxes. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “Income Taxes,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the more-likely-than-not threshold would be recorded as a tax benefit or liability in the Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Statements of Income and Expenses in the periods in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2015 through 2018 tax years remain subject to examination by U.S. federal and most state tax authorities. |
Investment Company Status | Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “ Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements ” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses. |
Net Income (Loss) per Unit | Net Income (Loss) per Unit. Net income (loss) per Unit is calculated in accordance with ASC 946, “Financial Services – Investment Companies.” See Note 3, “Financial Highlights.” 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, 2018. |
Organization (Tables)
Organization (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 Investment A Up to $ 4,999,999 D $ 5,000,000 Z All |
Financial Highlights (Tables)
Financial Highlights (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Investment Company [Abstract] | |
Financial Highlights for Limited Partner Class | Financial highlights for the limited partner class as a whole for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 Class A Class A Per Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ 1.30 $ (1.41) Net investment loss (0.17) (0.27) Increase (decrease) for the period 1.13 (1.68) Net asset value per Unit, beginning of period 18.46 23.14 Net asset value per Unit, end of period $ 19.59 $ 21.46 Three Months Ended March 31, 2019 2018 Class A Class A Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (3.7) % (4.9) % Operating expenses 5.5 % 6.1 % Incentive fees - - Total expenses 5.5 % 6.1 % Total return: Total return before incentive fees 6.1 % (7.3) % Incentive fees - - Total return after incentive fees 6.1 % (7.3) % * Net investment loss per Unit is calculated by dividing the interest income less total expenses 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) | 3 Months Ended |
Mar. 31, 2019 | |
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 arrangements as of March 31, 2019 and December 31, 2018, 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 March 31, 2019 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 6,290,748 $ (606,316 ) $ 5,684,432 $ - $ - $ 5,684,432 Forwards 1,209,843 (1,209,843 ) - - - - Total assets $ 7,500,591 $ (1,816,159 ) $ 5,684,432 $ - $ - $ 5,684,432 Liabilities Futures $ (606,316 ) $ 606,316 $ - $ - $ - $ - Forwards (1,442,823 ) 1,209,843 (232,980 ) - 232,980 - Total liabilities $ (2,049,139 ) $ 1,816,159 $ (232,980 ) $ - $ 232,980 $ - Net fair value $ 5,684,432 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, 2018 Recognized Condition Condition Instruments Received/Pledged* Net Amount Assets Futures $ 3,370,017 $ (3,370,017 ) $ - $ - $ - $ - Forwards 1,880,468 (1,880,468 ) - - - - Total assets $ 5,250,485 $ (5,250,485 ) $ - $ - $ - $ - Liabilities Futures $ (4,422,974 ) $ 3,370,017 $ (1,052,957 ) $ - $ 1,052,957 $ - Forwards (2,164,284 ) 1,880,468 (283,816 ) - 283,816 - Total liabilities $ (6,587,258 ) $ 5,250,485 $ (1,336,773 ) $ - $ 1,336,773 $ - Net fair value $ - * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-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. In certain instances, MS&Co. may not post collateral 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 funds 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 March 31, 2019 and December 31, 2018, respectively. March 31, 2019 Assets Futures Contracts Commodity $ 972,420 Equity 1,524,348 Currencies 31,487 Interest Rates 3,762,493 Total unrealized appreciation on open futures contracts 6,290,748 Liabilities Futures Contracts Commodity (120,481 ) Equity (297,552 ) Currencies (864 ) Interest Rates (187,419 ) Total unrealized depreciation on open futures contracts (606,316 ) Net unrealized appreciation on open futures contracts $ 5,684,432 * Assets Forward Contracts Commodity $ 619,263 Currencies 590,580 Total unrealized appreciation on open forward contracts 1,209,843 Liabilities Forward Contracts Commodity (576,312 ) Currencies (866,511 ) Total unrealized depreciation on open forward contracts (1,442,823 ) Net unrealized depreciation on open forward contracts $ (232,980 ) ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2018 Assets Futures Contracts Commodity $ 1,479,301 Equity 603,645 Currencies 12,269 Interest Rates 1,274,802 Total unrealized appreciation on open futures contracts 3,370,017 Liabilities Futures Contracts Commodity (1,605,268 ) Equity (1,004,340 ) Currencies (61,986 ) Interest Rates (1,751,380 ) Total unrealized depreciation on open futures contracts (4,422,974 ) Net unrealized depreciation on open futures contracts $ (1,052,957 )* Assets Forward Contracts Commodity $ 751,884 Currencies 1,128,584 Total unrealized appreciation on open forward contracts 1,880,468 Liabilities Forward Contracts Commodity (341,019 ) Currencies (1,823,265 ) Total unrealized depreciation on open forward contracts (2,164,284 ) Net unrealized depreciation on open forward contracts $ (283,816 )** * This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation 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 months ended March 31, 2019 and 2018, respectively. Three Months Ended March 31, Sector 2019 2018 Commodity $ (2,787,456 ) $ (2,232,589 ) Equity 3,619,810 (2,305,253 ) Currencies 441,949 (1,283,403 ) Interest Rates 4,133,352 (1,521,542 ) Total $ 5,407,655 *** $ (7,342,787 )*** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis | March 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 6,290,748 $ 6,290,748 $ - $ - Forwards 1,209,843 - 1,209,843 - Total assets $ 7,500,591 $ 6,290,748 $ 1,209,843 $ - Liabilities Futures $ 606,316 $ 606,316 $ - $ - Forwards 1,442,823 - 1,442,823 - Total liabilities $ 2,049,139 $ 606,316 $ 1,442,823 $ - December 31, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 3,370,017 $ 3,370,017 $ - $ - Forwards 1,880,468 - 1,880,468 - Total assets $ 5,250,485 $ 3,370,017 $ 1,880,468 $ - Liabilities Futures $ 4,422,974 $ 4,422,974 $ - $ - Forwards 2,164,284 - 2,164,284 - Total liabilities $ 6,587,258 $ 4,422,974 $ 2,164,284 $ - |
Organization - Additional Infor
Organization - Additional Information (Detail) | Feb. 01, 2019 | Mar. 31, 2019Class | Jul. 01, 2016$ / shares |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | |||
Number of share classes | Class | 3 | ||
Management Fees Payable Monthly Percentage | 0.1458% | ||
Annualized ongoing placement agent fee | 1.35% | ||
Incentive Fee Rate Trading Advisor | 18.00% | ||
Class 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) | Mar. 31, 2019USD ($) |
Class 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 |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Accounting Policies [Line Items] | ||
Cash held for margin requirements | $ 20,718,892 | $ 16,164,926 |
Cash denominated in foreign currencies | (1,708,620) | (361,312) |
Cash denominated in foreign currencies, proceeds | 1,709,187 | $ 364,480 |
Uncertain tax position | $ 0 |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Class (Detail) - $ / shares | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Class A [Member] | ||
Per Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Unit, beginning of period | $ 18.46 | |
Net asset value per Unit, end of period | $ 19.59 | |
Limited Partner [Member] | ||
Ratios to Average Limited Partners' Capital: | ||
Incentive fees | 0.00% | 0.00% |
Total return: | ||
Incentive fees | 0.00% | 0.00% |
Limited Partner [Member] | Class A [Member] | ||
Per Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | $ 1.30 | $ (1.41) |
Net investment loss | (0.17) | (0.27) |
Increase (decrease) for the period | 1.13 | (1.68) |
Net asset value per Unit, beginning of period | 18.46 | 23.14 |
Net asset value per Unit, end of period | $ 19.59 | $ 21.46 |
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (3.70%) | (4.90%) |
Operating expenses | 5.50% | 6.10% |
Total expenses | 5.50% | 6.10% |
Total return: | ||
Total return before incentive fees | 6.10% | (7.30%) |
Total return after incentive fees | 6.10% | (7.30%) |
Financial Instruments - Additio
Financial Instruments - Additional Information (Detail) - Credit Concentration Risk [Member] - Contracts [Member] - Over the Counter [Member] | 3 Months Ended |
Mar. 31, 2019 | |
Minimum [Member] | |
Concentration Risk [Line Items] | |
Percentage of investment contracts | 40.30% |
Maximum [Member] | |
Concentration Risk [Line Items] | |
Percentage of investment contracts | 68.80% |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Average number of futures contracts traded | 5,424 | 8,041 |
Average number of metals forward contracts traded | 657 | 938 |
Average notional value of currency forward contracts | $ 338,086,322 | $ 550,540,086 |
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 ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Gross Amounts Recognized | $ 7,500,591 | $ 5,250,485 |
Gross Amounts Offset in the Statements of Financial Condition | (1,816,159) | (5,250,485) |
Net Amounts Presented in the Statements of Financial Condition | 5,684,432 | 0 |
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 | 5,684,432 | 0 |
Gross Amounts Recognized | (2,049,139) | (6,587,258) |
Gross Amounts Offset in the Statements of Financial Condition | 1,816,159 | 5,250,485 |
Net Amounts Presented in the Statements of Financial Condition | (232,980) | (1,336,773) |
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 | 232,980 | 1,336,773 |
Net Amount, Liabilities | 0 | 0 |
Net fair value | 5,684,432 | 0 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized | 6,290,748 | 3,370,017 |
Gross Amounts Offset in the Statements of Financial Condition | (606,316) | (3,370,017) |
Net Amounts Presented in the Statements of Financial Condition | 5,684,432 | 0 |
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 | 5,684,432 | 0 |
Gross Amounts Recognized | (606,316) | (4,422,974) |
Gross Amounts Offset in the Statements of Financial Condition | 606,316 | 3,370,017 |
Net Amounts Presented in the Statements of Financial Condition | 0 | (1,052,957) |
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 | 1,052,957 |
Net Amount, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized | 1,209,843 | 1,880,468 |
Gross Amounts Offset in the Statements of Financial Condition | (1,209,843) | (1,880,468) |
Net Amounts Presented in the Statements of Financial Condition | 0 | 0 |
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 | 0 | 0 |
Gross Amounts Recognized | (1,442,823) | (2,164,284) |
Gross Amounts Offset in the Statements of Financial Condition | 1,209,843 | 1,880,468 |
Net Amounts Presented in the Statements of Financial Condition | (232,980) | (283,816) |
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 | 232,980 | 283,816 |
Net Amount, Liabilities | $ 0 | $ 0 |
Trading Activities - Summary _2
Trading Activities - Summary of Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | $ 6,290,748 | $ 3,370,017 |
Total unrealized depreciation on open contracts | (606,316) | (4,422,974) |
Net unrealized appreciation (depreciation) on open contracts | 5,684,432 | (1,052,957) |
Futures Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 972,420 | 1,479,301 |
Total unrealized depreciation on open contracts | (120,481) | (1,605,268) |
Futures Contracts [Member] | Equity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,524,348 | 603,645 |
Total unrealized depreciation on open contracts | (297,552) | (1,004,340) |
Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 31,487 | 12,269 |
Total unrealized depreciation on open contracts | (864) | (61,986) |
Futures Contracts [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 3,762,493 | 1,274,802 |
Total unrealized depreciation on open contracts | (187,419) | (1,751,380) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,209,843 | 1,880,468 |
Total unrealized depreciation on open contracts | (1,442,823) | (2,164,284) |
Net unrealized appreciation (depreciation) on open contracts | (232,980) | (283,816) |
Forward Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 619,263 | 751,884 |
Total unrealized depreciation on open contracts | (576,312) | (341,019) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 590,580 | 1,128,584 |
Total unrealized depreciation on open contracts | $ (866,511) | $ (1,823,265) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Derivative [Line Items] | ||
Gain (loss) from trading | $ 5,407,655 | $ (7,342,787) |
Commodity [Member] | ||
Derivative [Line Items] | ||
Gain (loss) from trading | (2,787,456) | (2,232,589) |
Equity [Member] | ||
Derivative [Line Items] | ||
Gain (loss) from trading | 3,619,810 | (2,305,253) |
Currencies [Member] | ||
Derivative [Line Items] | ||
Gain (loss) from trading | 441,949 | (1,283,403) |
Interest Rates [Member] | ||
Derivative [Line Items] | ||
Gain (loss) from trading | $ 4,133,352 | $ (1,521,542) |
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 ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | $ 7,500,591 | $ 5,250,485 |
Liabilities | 2,049,139 | 6,587,258 |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 1,209,843 | 1,880,468 |
Liabilities | 1,442,823 | 2,164,284 |
Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 6,290,748 | 3,370,017 |
Liabilities | 606,316 | 4,422,974 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 6,290,748 | 3,370,017 |
Liabilities | 606,316 | 4,422,974 |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 6,290,748 | 3,370,017 |
Liabilities | 606,316 | 4,422,974 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 1,209,843 | 1,880,468 |
Liabilities | 1,442,823 | 2,164,284 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 1,209,843 | 1,880,468 |
Liabilities | $ 1,442,823 | $ 2,164,284 |