Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 28, 2021 | Jun. 30, 2020 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2020 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | Ceres Classic L.P. | ||
Entity Central Index Key | 0001066656 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Interactive Data Current | Yes | ||
Entity Address, State or Province | NY | ||
Entity Voluntary Filers | No | ||
ICFR Auditor Attestation Flag | false | ||
Class A [Member] | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 6,825,225.338 | ||
Entity Public Float | $ 63,649,416 | ||
Class Z [Member] | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 8,174.129 | ||
Entity Public Float | $ 0 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Equity in trading account: | ||
Unrestricted cash (Note 2e) | $ 44,958,423 | $ 63,462,648 |
Restricted cash (Note 2e) | 15,232,825 | 23,130,597 |
Net unrealized appreciation on open contracts | 4,381,727 | |
Total equity in trading account | 64,572,975 | 86,593,245 |
Expense reimbursement receivable | 9,406 | 18,225 |
Interest receivable (Note 2h) | 2,380 | 70,012 |
Total assets | 64,584,761 | 86,681,482 |
Liabilities: | ||
Net unrealized depreciation on open contracts | 0 | 1,849,620 |
Accrued expenses: | ||
Administrative and General Partner's fees (Note 2i) | 89,047 | 148,476 |
Management fees (Note 3) | 68,694 | 100,221 |
Redemptions payable to Limited Partners (Notes 2n and 2o) | 2,977,462 | 476,333 |
Total liabilities | 3,135,203 | 2,574,650 |
Partners' Capital: | ||
Total partners' capital (net asset value) | 61,449,558 | 84,106,832 |
Total liabilities and partners' capital | 64,584,761 | 86,681,482 |
Class Z [Member] | ||
Partners' Capital: | ||
General Partner, Class Z, 101,536.878 Units outstanding at December 31, 2020 and 2019, respectively | 904,065 | 938,707 |
Total partners' capital (net asset value) | $ 904,065 | $ 938,707 |
Net asset value per Unit: | ||
Net asset value per unit | $ 8.90 | $ 9.24 |
Class A [Member] | ||
Partners' Capital: | ||
Limited Partners, Class A, 2,873,697.998 and 3,744,360.651 Units outstanding at December 31,2020 and December 31, 2019, respectively | $ 60,545,493 | $ 83,168,125 |
Total partners' capital (net asset value) | $ 60,545,493 | $ 83,168,125 |
Net asset value per Unit: | ||
Net asset value per unit | $ 21.07 | $ 22.21 |
Forward Contracts [Member] | ||
Equity in trading account: | ||
Net unrealized appreciation on open contracts | $ 608,548 | |
Liabilities: | ||
Net unrealized depreciation on open contracts | 0 | $ 1,261,911 |
Futures Contracts [Member] | ||
Equity in trading account: | ||
Net unrealized appreciation on open contracts | 3,773,179 | |
Liabilities: | ||
Net unrealized depreciation on open contracts | $ 0 | $ 587,709 |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - shares | Dec. 31, 2020 | Dec. 31, 2019 |
Limited Partners, Units | 2,873,697.998 | 3,744,360.651 |
Class Z [Member] | ||
General Partner, Units | 101,536.878 | 101,536.878 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Dec. 31, 2020USD ($)Contracts | Dec. 31, 2019USD ($)Contracts |
Forward Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open contracts | $ 1,473,522 | $ 766,007 |
Total unrealized depreciation on open contracts | (864,974) | (2,027,918) |
Net unrealized depreciation on open forward contracts | $ 608,548 | $ (1,261,911) |
% of Partners' Capital | 0.99% | (1.50%) |
Forward Contracts [Member] | Total Unrealized Depreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
% of Partners' Capital | (1.41%) | (2.41%) |
Forward Contracts [Member] | Total Unrealized Appreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
% of Partners' Capital | 2.40% | 0.91% |
Forward Contracts [Member] | Commodity [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open contracts | $ 927,155 | $ 221,915 |
Total unrealized depreciation on open contracts | $ (101,800) | $ (703,280) |
Forward Contracts [Member] | Commodity [Member] | Total Unrealized Depreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 38 | 193 |
% of Partners' Capital | (0.17%) | (0.84%) |
Forward Contracts [Member] | Commodity [Member] | Total Unrealized Appreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 74 | 181 |
% of Partners' Capital | 1.51% | 0.26% |
Forward Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Notional Amount | $ 79,799,689 | $ 54,910,028 |
Total unrealized appreciation on open contracts | 546,367 | 544,092 |
Notional Amount | 60,084,486 | 135,994,690 |
Total unrealized depreciation on open contracts | $ (763,174) | $ (1,324,638) |
Forward Contracts [Member] | Currencies [Member] | Total Unrealized Depreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
% of Partners' Capital | (1.24%) | (1.57%) |
Forward Contracts [Member] | Currencies [Member] | Total Unrealized Appreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
% of Partners' Capital | 0.89% | 0.65% |
Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open contracts | $ 4,122,810 | $ 2,519,269 |
Total unrealized depreciation on open contracts | (349,631) | (3,106,978) |
Net unrealized depreciation on open forward contracts | $ 3,773,179 | $ (587,709) |
% of Partners' Capital | 6.14% | (0.70%) |
Futures Contracts [Member] | Commodity [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open contracts | $ 2,132,788 | $ 1,269,325 |
Total unrealized depreciation on open contracts | (117,522) | (779,067) |
Futures Contracts [Member] | Equity [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open contracts | 1,611,029 | 546,906 |
Total unrealized depreciation on open contracts | (43,188) | (500,127) |
Futures Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open contracts | 23,052 | 25,888 |
Total unrealized depreciation on open contracts | (3,228) | (30,980) |
Futures Contracts [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Total unrealized appreciation on open contracts | 355,941 | 677,150 |
Total unrealized depreciation on open contracts | (185,693) | (1,796,804) |
Futures Contracts [Member] | Contracts Purchased [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized depreciation on open forward contracts | $ 3,746,493 | $ (433,073) |
% of Partners' Capital | 6.10% | (0.51%) |
Futures Contracts [Member] | Contracts Purchased [Member] | Commodity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 508 | 667 |
Net unrealized depreciation on open forward contracts | $ 2,034,813 | $ 1,060,773 |
% of Partners' Capital | 3.31% | 1.26% |
Futures Contracts [Member] | Contracts Purchased [Member] | Equity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 570 | 1,328 |
Net unrealized depreciation on open forward contracts | $ 1,527,501 | $ 228,739 |
% of Partners' Capital | 2.49% | 0.27% |
Futures Contracts [Member] | Contracts Purchased [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 5 | 4 |
Net unrealized depreciation on open forward contracts | $ 3,505 | $ 4,495 |
% of Partners' Capital | 0.01% | 0.01% |
Futures Contracts [Member] | Contracts Purchased [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 1,644 | 1,811 |
Net unrealized depreciation on open forward contracts | $ 180,674 | $ (1,727,080) |
% of Partners' Capital | 0.29% | (2.05%) |
Futures Contracts [Member] | Contracts Sold [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized depreciation on open forward contracts | $ 26,686 | $ (154,636) |
% of Partners' Capital | 0.04% | (0.19%) |
Futures Contracts [Member] | Contracts Sold [Member] | Commodity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 189 | 596 |
Net unrealized depreciation on open forward contracts | $ (19,547) | $ (570,515) |
% of Partners' Capital | (0.03%) | (0.68%) |
Futures Contracts [Member] | Contracts Sold [Member] | Equity [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 67 | 231 |
Net unrealized depreciation on open forward contracts | $ 40,340 | $ (181,960) |
% of Partners' Capital | 0.06% | (0.22%) |
Futures Contracts [Member] | Contracts Sold [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 29 | 56 |
Net unrealized depreciation on open forward contracts | $ 16,319 | $ (9,587) |
% of Partners' Capital | 0.03% | (0.01%) |
Futures Contracts [Member] | Contracts Sold [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contracts | 370 | 1,051 |
Net unrealized depreciation on open forward contracts | $ (10,426) | $ 607,426 |
% of Partners' Capital | (0.02%) | 0.72% |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Investment Income: | ||||
Interest income | $ 205,700 | $ 1,243,920 | $ 1,376,893 | |
Expenses: | ||||
Clearing fees | 138,627 | 199,000 | 234,766 | |
Administrative and General Partner's fees (Note 2i) | 1,293,326 | 1,680,915 | 2,132,770 | |
Ongoing placement agent fees (Note 2j) | 1,039,045 | 1,661,523 | 2,108,440 | |
Management fees (Note 3) | 927,355 | 1,161,716 | 1,866,172 | |
Professional Fees | 91 | 17,591 | 276 | |
Total expenses | 3,398,444 | 4,720,745 | 6,342,424 | |
Expenses reimbursed by the General Partner | (138,718) | (216,591) | (235,042) | |
Net expenses | 3,259,726 | 4,504,154 | 6,107,382 | |
Net investment loss | (3,054,026) | (3,260,234) | (4,730,489) | |
Net gains (losses) on trading of commodity interests: | ||||
Net realized gains (losses) on closed contracts | (8,587,761) | 19,166,338 | (10,660,546) | |
Net change in unrealized gains (losses) on open contracts | 6,236,177 | (521,383) | (7,152,042) | |
Total trading results | (2,351,584) | 18,644,955 | (17,812,588) | |
Net income (loss) | (5,405,610) | 15,384,721 | (22,543,077) | |
Class A [Member] | ||||
Net gains (losses) on trading of commodity interests: | ||||
Net income (loss) | $ (5,370,968) | $ 15,170,516 | $ (22,311,810) | |
Net income (loss) per Unit (Note 7): | ||||
Net income (loss) per unit | [1] | $ (1.14) | $ 3.75 | $ (4.68) |
Weighted average Units outstanding: | ||||
Weighted average units outstanding | 3,411,677.656 | 3,997,784.932 | 4,886,957.150 | |
Class Z [Member] | ||||
Net gains (losses) on trading of commodity interests: | ||||
Net income (loss) | $ (34,642) | $ 214,205 | $ (231,267) | |
Net income (loss) per Unit (Note 7): | ||||
Net income (loss) per unit | [1] | $ (0.34) | $ 1.71 | $ (1.72) |
Weighted average Units outstanding: | ||||
Weighted average units outstanding | 101,536.878 | 114,296.697 | 139,930.009 | |
[1] | Represents the change in net asset value per Unit. |
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 | ||||
Balance (in units) at Dec. 31, 2017 | 4,964,459.780 | 4,822,944.482 | 141,515.298 | ||||
Subscriptions | $ 116,187 | $ 9,800,783 | $ 9,800,783 | $ 116,187 | |||
Subscriptions (in units) | 12,560.802 | 425,348.852 | 425,348.852 | 12,560.802 | |||
Redemptions | $ (150,000) | $ (18,848,006) | $ (18,848,006) | $ (150,000) | |||
Redemptions (in units) | (15,432.099) | (901,418.885) | (901,418.885) | (15,432.099) | |||
Net income (loss) | $ (22,543,077) | $ (22,311,810) | $ (231,267) | ||||
Balance at Dec. 31, 2018 | $ 81,279,688 | $ 80,235,186 | $ 1,044,502 | ||||
Balance (in units) at Dec. 31, 2018 | 4,485,518.450 | 4,346,874.449 | 138,644.001 | ||||
Subscriptions | $ 75,624 | $ 75,624 | |||||
Subscriptions (in units) | 3,584.803 | 3,584.803 | |||||
Redemptions | $ (320,000) | $ (12,313,201) | $ (12,313,201) | $ (320,000) | |||
Redemptions (in units) | (37,107.123) | (606,098.601) | (606,098.601) | (37,107.123) | |||
Net income (loss) | $ 15,384,721 | $ 15,170,516 | $ 214,205 | ||||
Balance at Dec. 31, 2019 | $ 84,106,832 | $ 83,168,125 | $ 938,707 | ||||
Balance (in units) at Dec. 31, 2019 | 3,845,897.529 | 3,744,360.651 | 101,536.878 | ||||
Subscriptions | $ 25,000 | $ 25,000 | |||||
Subscriptions (in units) | 1,155.802 | 1,155.802 | |||||
Redemptions | $ (17,276,664) | ||||||
Redemptions (in units) | (871,818.455) | ||||||
Net income (loss) | $ (5,405,610) | $ (5,370,968) | $ (34,642) | ||||
Balance at Dec. 31, 2020 | $ 61,449,558 | $ 60,545,493 | $ 904,065 | ||||
Balance (in units) at Dec. 31, 2020 | 2,975,234.876 | 2,873,697.998 | 101,536.878 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Ceres Classic L.P. (formerly, Managed Futures Premier Graham L.P.) (the “Partnership”) is a Delaware limited partnership organized in 1998 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, 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. The General Partner 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 (the “Placement Agent”) for the Partnership. Morgan Stanley Wealth Management is a principal subsidiary of MSD Holdings. During the periods covered by this report, 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. Effective October 2, 2020, the Partnership changed its name from Managed Futures Premier Graham L.P. to Ceres Classic L.P. As of December 31, 2020, Units of the Partnership are being offered in two share classes (each, a “Class” or collectively, the “Classes”). A Limited Partner will initially receive Class A Units in the Partnership, provided, that certain investors (other than ERISA/IRA investors) who subscribe for Units on a consulting basis, the General Partner and certain employees of Morgan Stanley and/or its subsidiaries (and their family members) may be designated to hold Class Z Units. The Partnership previously offered Units in Class D, however, no Limited Partners hold Class D Units as of December 31, 2020, and Class D Units are no longer offered. Each of Class A and Z U n The General Partner may, at its discretion, offer additional Classes of Units as described in the private placement memorandum of the Partnership, as amended from time to time (the “Memorandum”). Ceres is required to maintain a 1% minimum interest in the equity of the Partnership and income (losses) are shared by Ceres and the limited partners based on their proportional ownership interest. The General Partner has 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. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: a. Use of Estimates. b. Profit Allocation. c. Statement of Cash Flows. “Statement of Cash Flows.” d. Partnership’s Investments. e. Restricted and Unrestricted Cash. f. Foreign Currency Transactions and Translation. g. Income Taxes. “Income Taxes,” h. Revenue Recognition. i. General Partner’s Fee. th th th Effective January 1, 2021, the Partnership directly pays the brokerage fees and other transaction-related fees and expenses, as incurred and also pays its ongoing administrative, operating, offering and organizational expenses (including, but not limited to, periodic legal, accounting, administrative, filing, reporting and data processing fees) and its pro rata share of such expenses of any trading company to which the Registrant has allocated assets. j. Placement Agent Fees. From July 1, 2020 to December 31, 2020, the Partnership paid Morgan Stanley Wealth Management, or any other placement agent or sub-placement agent, an annualized rate equal to 1.00% with respect to Class A Units. Prior to July 1, 2020, the Partnership paid Morgan Stanley Wealth Management, or any other placement agent or sub-placement agent, an annualized rate equal to 2.00% with respect to Class A Units. The Placement Agent pays a portion of the ongoing placement agent fees it receives from the Partnership to the Morgan Stanley Financial Advisor or Private Wealth Advisor responsible for selling the Units to the relevant limited partners. Certain limited partners (other than ERISA/IRA investors) may be deemed to hold Class Z Units. Class Z Units are not subject to ongoing placement agent fees. As of November 1, 2018, the Partnership entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”), and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a non-exclusive sub-selling th th th k. Continuing Offering. No selling commissions or charges related to the initial offering of Units are paid by the limited partners or the Partnership. MS&Co. pays all such costs. l. Equity in Trading Account. The Partnership, in its normal course of business, enters into various contracts with MS&Co. acting as its commodity broker. Pursuant to the brokerage agreement with MS&Co., to the extent that such trading results in unrealized gains or losses, these amounts are offset for the Partnership and are reported on a net basis in the Statements of Financial Condition. The Partnership has offset its unrealized gains or losses executed with the same counterparty as allowable under the terms of its master netting agreement with MS&Co., the counterparty on such contracts. The Partnership has consistently applied its right to offset. m. Investment Company Status. “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements,” n. Redemptions. o. Exchanges. 100 p. Distributions. q. Dissolution of the Partnership. r. Net Income (Loss) per Unit. “Financial Services – Investment Companies.” |
Trading Advisor
Trading Advisor | 12 Months Ended |
Dec. 31, 2020 | |
Brokers and Dealers [Abstract] | |
Trading Advisor | 3. Trading Advisors: Ceres, on behalf of the Partnership, has retained Graham Capital Management L.P. (“Graham”) to make all trading decisions for the Partnership, provided that, as of January 1, 2021, Ceres has retained Graham, Winton Capital Management Limited (“WCM”), EMC Capital Advisors, LLC (“EMC”) and Campbell & Company, LP (“Campbell”) as the commodity trading advisors to the Partnership (each, a “Trading Advisor” and collectively, the “Trading Advisors”). Ceres is responsible for selecting additional commodity trading advisors from time to time and for replacing Trading Advisors as it deems necessary. Trading advisors can be added, removed or replaced at any time by Ceres, or Ceres may determine to adjust the allocation of assets to each Trading Advisor, without the consent of, or advance notice to, the Limited Partners. Compensation to the Trading Advisors by the Partnership consists of a management fee and an incentive fee as follows: Management Fee — th th th Effective as of January 1, 2021, the Partnership pays WCM a flat-rate monthly fee equal to 1/12 th Effective as of January 1, 2021, the Partnership pays Campbell a flat ra t th Effective as of January 1, 2021, the Partnership pays EMC a flat rate monthly fee equal to 1/12 th Incentive Fee — Effective as of January 1, 2021, the Partnership pays WCM a quarterly incentive fee equal to 20% of new trading profits (as defined in the applicable management agreement) earned by WCM in each quarterly period. Pursuant to the management agreement with WCM, no incentive fee will be paid to WCM with respect to the Partnership until it has (i) recouped a certain loss carryforward and (ii) earned new trading profits (as defined in the applicable management agreement) from and after January 1, 2021. The loss carryforward applied to the Partnership will be adjusted according to the Partnership’s assets allocated to WCM as of January 1, 2021. Effective as of January 1, 2021, the Partnership pays Campbell a quarterly incentive fee equal to 20% of trading profits (as defined in the applicable management agreement) earned by Campbell in each quarterly period. Effective as of January 1, 2021, the Partnership pays EMC a quarterly incentive fee equal to 20% of trading profits (as defined in the applicable management agreement) earned by EMC in each quarterly period. Trading profits represent the amount by which profits from trading in Futures Interests exceed losses after ongoing placement agent, management and administrative and General Partner’s fees are deducted. When the Trading Advisor experiences losses with respect to net assets as of the end of such period, the Trading Advisor must recover such losses before the Trading Advisor is eligible for an incentive fee in the future. Cumulative trading losses are adjusted on a pro-rated basis for the amount of each month’s net redemptions. |
Financial Instruments
Financial Instruments | 12 Months Ended |
Dec. 31, 2020 | |
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 21.1% to 46.3% 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 with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account and U.S. Treasury bills 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 General Partner considers the risk of any future obligation relating to these indemnifications to be remote. |
Trading Activities
Trading Activities | 12 Months Ended |
Dec. 31, 2020 | |
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 Advisors 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 years ended December 31, 2020 and 2019 were 3,907 and 6,338, respectively. The monthly average number of metals forward contracts traded during the years ended December 31, 2020 and 2019 were 406 and 650, respectively. The monthly average notional values of currency forward contracts traded during the years ended December 31, 2020 and 2019 were $292,777,322 and $380,666,033, 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 December 31, 2020 and 2019, respectively. December 31, 2020 Gross Gross Amounts Gross Amounts Not Offset Financial Instruments Cash Received/ Net Assets Futures $ 4,122,810 $ (349,631 ) $ 3,773,179 $ 0 $ 0 $ 3,773,179 Forwards 1,473,522 (864,974 ) 608,548 0 0 608,548 Total assets $ 5,596,332 $ (1,214,605 ) $ 4,381,727 $ 0 $ 0 $ 4,381,727 Liabilities Futures $ (349,631 ) $ 349,631 $ 0 $ 0 $ 0 $ 0 Forwards (864,974 ) 864,974 0 0 0 0 Total liabilities $ (1,214,605 ) $ 1,214,605 $ 0 $ 0 $ 0 $ 0 Net fair value $ 4,381,727 * December 31, 2019 Gross Gross Amounts Gross Amounts Not Offset Financial Instruments Cash Received/ Net Assets Futures $ 2,519,269 $ (2,519,269 ) $ — $ — $ — $ — Forwards 766,007 (766,007 ) — — — — Total assets $ 3,285,276 $ (3,285,276 ) $ — $ — $ — $ — Liabilities Futures $ (3,106,978 ) $ 2,519,269 $ (587,709 ) $ — $ 587,709 $ — Forwards (2,027,918 ) 766,007 (1,261,911 ) — 1,261,911 — Total liabilities $ (5,134,896 ) $ 3,285,276 $ (1,849,620 ) $ — $ 1,849,620 $ — 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. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of December 31, 2020 and 2019, respectively. December 31, 2020 Assets Futures Contracts Commodity $ 2,132,788 Equity 1,611,029 Currencies 23,052 Interest Rates 355,941 Total unrealized appreciation on open futures contracts 4,122,810 Liabilities Futures Contracts Commodity (117,522 ) Equity (43,188 ) Currencies (3,228 ) Interest Rates (185,693 ) Total unrealized depreciation on open futures contracts (349,631 ) Net unrealized appreciation on open futures contracts $ 3,773,179 * Assets Forward Contracts Commodity $ 927,155 Currencies 546,367 Total unrealized appreciation on open forward contracts 1,473,522 Liabilities Forward Contracts Commodity (101,800 ) Currencies (763,174 ) Total unrealized depreciation on open forward contracts (864,974 ) Net unrealized appreciation on open forward contracts $ 608,548 ** * 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, 2019 Assets Futures Contracts Commodity $ 1,269,325 Equity 546,906 Currencies 25,888 Interest Rates 677,150 Total unrealized appreciation on open futures contracts 2,519,269 Liabilities Futures Contracts Commodity (779,067 ) Equity (500,127 ) Currencies (30,980 ) Interest Rates (1,796,804 ) Total unrealized depreciation on open futures contracts (3,106,978 ) Net unrealized depreciation on open futures contracts $ (587,709 )* Assets Forward Contracts Commodity $ 221,915 Currencies 544,092 Total unrealized appreciation on open forward contracts 766,007 Liabilities Forward Contracts Commodity (703,280 ) Currencies (1,324,638 ) Total unrealized depreciation on open forward contracts (2,027,918 ) Net unrealized depreciation on open forward contracts $ (1,261,911 )** * 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 years ended December 31, 2020, 2019 and 2018, respectively. Sector 2020 2019 2018 Commodity $ 4,100,183 $ (9,168,467 ) $ (4,944,164 ) Equity (15,340,684 ) 15,551,437 (6,517,413 ) Currencies (4,430,163 ) (658,803 ) (4,275,072 ) Interest Rates 13,319,080 12,920,788 (2,075,939 ) Total $ (2,351,584 )*** $ 18,644,955 *** $ (17,812,588 )*** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 6. Fair Value Measurements: Partnership’s Fair Value Measurements. 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 and for the years ended December 31, 2020 and 2019, 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). December 31, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 4,122,810 $ 4,122,810 $ 0 $ 0 Forwards 1,473,522 0 1,473,522 0 Total assets $ 5,596,332 $ 4,122,810 $ 1,473,522 $ 0 Liabilities Futures $ 349,631 $ 349,631 $ 0 $ 0 Forwards 864,974 0 864,974 0 Total liabilities $ 1,214,605 $ 349,631 $ 864,974 $ 0 December 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 2,519,269 $ 2,519,269 $ — $ — Forwards 766,007 — 766,007 — Total assets $ 3,285,276 $ 2,519,269 $ 766,007 $ — Liabilities Futures $ 3,106,978 $ 3,106,978 $ — $ — Forwards 2,027,918 — 2,027,918 — Total liabilities $ 5,134,896 $ 3,106,978 $ 2,027,918 $ — |
Financial Highlights
Financial Highlights | 12 Months Ended |
Dec. 31, 2020 | |
Investment Company [Abstract] | |
Financial Highlights | 7. Financial Highlights: Financial highlights for the limited partner class as a whole for the years ended December 31, 2020, 2019 and 2018 were as follows: 2020 2019 2018 Class A Class A Class A Per Unit Performance (for a unit outstanding throughout the year):* Net realized and unrealized gains (losses) $ (0.25 ) $ 4.56 $ (3.72 ) Net investment loss (0.89 ) (0.81 ) (0.96 ) Increase (decrease) for the year (1.14 ) 3.75 (4.68 ) Net asset value per Unit, beginning of year 22.21 18.46 23.14 Net asset value per Unit, end of year $ 21.07 $ 22.21 $ 18.46 2020 2019 2018 Class A Class A Class A Ratios to Average Limited Partners’ Capital: Net investment loss ** (4.5 )% (3.9 )% (4.6 )% Operating expenses 5.0 % 5.7 % 6.1 % Expenses reimbursed by the General Partner (0.2 )% (0.3 )% (0.2 )% Incentive fees 0 % — % — % Total expenses 4.8 % 5.4 % 5.9 % Total return: Total return before incentive fees (5.1 )% 20.3 % (20.2 )% Incentive fees 0 % — % — % Total return after incentive fees (5.1 )% 20.3 % (20.2 )% * Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the year. 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. ** 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 year. 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. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | 8. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that, except as described under Note 1, “Organization,” Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” and Note 3, “Trading Advisors,” and otherwise as included below, there were no subsequent events requiring adjustment to or disclosure in the financial statements. Effective as of January 1, 2021, the General Partner has retained Campbell as a Trading Advisor to the Partnership. The General Partner has initially selected the Campbell Managed Futures Portfolio strategy for the Partnership’s assets allocated to Campbell. Campbell will trade the initial allocation at a trading level confirmed to Campbell by the General Partner, and the General Partner and Campbell may agree in writing to change the trading level applied to the assets allocated to Campbell by the General Partner from time to time. The applicable management agreement expires on December 31, 2021, provided, that, if it is not terminated as of that date, it will automatically renew for an additional one-year one-year Effective as of January 1, 2021, the General Partner has retained EMC as a Trading Advisor to the Partnership. The General Partner has initially selected the EMC Classic Program for the Partnership’s assets allocated to EMC. EMC will trade the initial allocation at a trading level confirmed to EMC by the General Partner, and the General Partner and EMC may agree in writing to change the trading level applied to the assets allocated to EMC by the General Partner from time to time. The applicable management agreement expires on December 31, 2021, provided, that, if it is not terminated as of that date, it will automatically renew for an additional one-year one-year Effective as of January 1, 2021, the General Partner has retained WCM as a Trading Advisor to the Partnership. The General Partner has initially selected the Winton Diversified Macro Strategies Program for the Partnership’s assets allocated to WCM. WCM will apply leverage to the Partnership’s assets allocated to it of 1.5 times the Partnership’s net assets allocated to WCM, which such leverage may be adjusted from time to time in accordance with the applicable management agreement. The applicable management agreement automatically renews on July 3, 2021 unless otherwise terminated in accordance with its terms. Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2020 and 2019 are summarized below: For the period from For the period from For the period from For the period from Interest income $ 9,045 $ 11,149 $ 14,705 $ 170,801 Net expenses (634,983) (681,484) (892,998) (1,050,261) Total trading results 5,043,741 3,506,566 3,197,311 (14,099,202) Net income (loss) $ 4,417,803 $ 2,836,231 $ 2,319,018 $ (14,978,662) Increase (decrease) in net asset value per Unit: Class A $ 1.43 $ 0.79 $ 0.63 $ (3.99) Class Z $ 0.62 $ 0.35 $ 0.31 $ (1.62) For the period from For the period from For the period from For the period from Interest income $ 249,740 $ 317,882 $ 332,267 $ 344,031 Net expenses (1,181,841) (1,165,273) (1,089,663) (1,067,377) Total trading results (2,206,949) 10,156,554 5,287,695 5,407,655 Net income (loss) $ (3,139,050) $ 9,309,163 $ 4,530,299 $ 4,684,309 Increase (decrease) in net asset value per Unit: Class A $ (0.83) $ 2.35 $ 1.10 $ 1.13 Class Z $ (0.30) $ 1.01 $ 0.50 $ 0.50 |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates. |
Profit Allocation | Profit Allocation. |
Statement of Cash Flows | Statement of Cash Flows. “Statement of Cash Flows.” |
Partnership's Investments | Partnership’s Investments. |
Restricted and Unrestricted Cash | Restricted and Unrestricted Cash. |
Foreign Currency Transactions and Translation | Foreign Currency Transactions and Translation. |
Income Taxes | Income Taxes. “Income Taxes,” |
Revenue Recognition | Revenue Recognition. |
Administrative and General Partner's Fee | General Partner’s Fee. th th th |
Placement Agent Fees | Placement Agent Fees. non-exclusive sub-selling th th th |
Continuing Offering | Continuing Offering. |
Equity in Trading Account | Equity in Trading Account. The Partnership, in its normal course of business, enters into various contracts with MS&Co. acting as its commodity broker. Pursuant to the brokerage agreement with MS&Co., to the extent that such trading results in unrealized gains or losses, these amounts are offset for the Partnership and are reported on a net basis in the Statements of Financial Condition. The Partnership has offset its unrealized gains or losses executed with the same counterparty as allowable under the terms of its master netting agreement with MS&Co., the counterparty on such contracts. The Partnership has consistently applied its right to offset. |
Investment Company Status | Investment Company Status. “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements,” |
Redemptions | Redemptions. |
Exchanges | Exchanges. 100 |
Distributions | Distributions. |
Dissolution of the Partnership | Dissolution of the Partnership. |
Net Income (Loss) per Unit | Net Income (Loss) per Unit. “Financial Services – Investment Companies.” |
Trading Activities (Tables)
Trading Activities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 December 31, 2020 and 2019, respectively. December 31, 2020 Gross Gross Amounts Gross Amounts Not Offset Financial Instruments Cash Received/ Net Assets Futures $ 4,122,810 $ (349,631 ) $ 3,773,179 $ 0 $ 0 $ 3,773,179 Forwards 1,473,522 (864,974 ) 608,548 0 0 608,548 Total assets $ 5,596,332 $ (1,214,605 ) $ 4,381,727 $ 0 $ 0 $ 4,381,727 Liabilities Futures $ (349,631 ) $ 349,631 $ 0 $ 0 $ 0 $ 0 Forwards (864,974 ) 864,974 0 0 0 0 Total liabilities $ (1,214,605 ) $ 1,214,605 $ 0 $ 0 $ 0 $ 0 Net fair value $ 4,381,727 * December 31, 2019 Gross Gross Amounts Gross Amounts Not Offset Financial Instruments Cash Received/ Net Assets Futures $ 2,519,269 $ (2,519,269 ) $ — $ — $ — $ — Forwards 766,007 (766,007 ) — — — — Total assets $ 3,285,276 $ (3,285,276 ) $ — $ — $ — $ — Liabilities Futures $ (3,106,978 ) $ 2,519,269 $ (587,709 ) $ — $ 587,709 $ — Forwards (2,027,918 ) 766,007 (1,261,911 ) — 1,261,911 — Total liabilities $ (5,134,896 ) $ 3,285,276 $ (1,849,620 ) $ — $ 1,849,620 $ — 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. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
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 December 31, 2020 and 2019, respectively. December 31, 2020 Assets Futures Contracts Commodity $ 2,132,788 Equity 1,611,029 Currencies 23,052 Interest Rates 355,941 Total unrealized appreciation on open futures contracts 4,122,810 Liabilities Futures Contracts Commodity (117,522 ) Equity (43,188 ) Currencies (3,228 ) Interest Rates (185,693 ) Total unrealized depreciation on open futures contracts (349,631 ) Net unrealized appreciation on open futures contracts $ 3,773,179 * Assets Forward Contracts Commodity $ 927,155 Currencies 546,367 Total unrealized appreciation on open forward contracts 1,473,522 Liabilities Forward Contracts Commodity (101,800 ) Currencies (763,174 ) Total unrealized depreciation on open forward contracts (864,974 ) Net unrealized appreciation on open forward contracts $ 608,548 ** * 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, 2019 Assets Futures Contracts Commodity $ 1,269,325 Equity 546,906 Currencies 25,888 Interest Rates 677,150 Total unrealized appreciation on open futures contracts 2,519,269 Liabilities Futures Contracts Commodity (779,067 ) Equity (500,127 ) Currencies (30,980 ) Interest Rates (1,796,804 ) Total unrealized depreciation on open futures contracts (3,106,978 ) Net unrealized depreciation on open futures contracts $ (587,709 )* Assets Forward Contracts Commodity $ 221,915 Currencies 544,092 Total unrealized appreciation on open forward contracts 766,007 Liabilities Forward Contracts Commodity (703,280 ) Currencies (1,324,638 ) Total unrealized depreciation on open forward contracts (2,027,918 ) Net unrealized depreciation on open forward contracts $ (1,261,911 )** * 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 years ended December 31, 2020, 2019 and 2018, respectively. Sector 2020 2019 2018 Commodity $ 4,100,183 $ (9,168,467 ) $ (4,944,164 ) Equity (15,340,684 ) 15,551,437 (6,517,413 ) Currencies (4,430,163 ) (658,803 ) (4,275,072 ) Interest Rates 13,319,080 12,920,788 (2,075,939 ) Total $ (2,351,584 )*** $ 18,644,955 *** $ (17,812,588 )*** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis | December 31, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 4,122,810 $ 4,122,810 $ 0 $ 0 Forwards 1,473,522 0 1,473,522 0 Total assets $ 5,596,332 $ 4,122,810 $ 1,473,522 $ 0 Liabilities Futures $ 349,631 $ 349,631 $ 0 $ 0 Forwards 864,974 0 864,974 0 Total liabilities $ 1,214,605 $ 349,631 $ 864,974 $ 0 December 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 2,519,269 $ 2,519,269 $ — $ — Forwards 766,007 — 766,007 — Total assets $ 3,285,276 $ 2,519,269 $ 766,007 $ — Liabilities Futures $ 3,106,978 $ 3,106,978 $ — $ — Forwards 2,027,918 — 2,027,918 — Total liabilities $ 5,134,896 $ 3,106,978 $ 2,027,918 $ — |
Financial Highlights (Tables)
Financial Highlights (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investment Company [Abstract] | |
Financial Highlights for Limited Partner Class | Financial highlights for the limited partner class as a whole for the years ended December 31, 2020, 2019 and 2018 were as follows: 2020 2019 2018 Class A Class A Class A Per Unit Performance (for a unit outstanding throughout the year):* Net realized and unrealized gains (losses) $ (0.25 ) $ 4.56 $ (3.72 ) Net investment loss (0.89 ) (0.81 ) (0.96 ) Increase (decrease) for the year (1.14 ) 3.75 (4.68 ) Net asset value per Unit, beginning of year 22.21 18.46 23.14 Net asset value per Unit, end of year $ 21.07 $ 22.21 $ 18.46 2020 2019 2018 Class A Class A Class A Ratios to Average Limited Partners’ Capital: Net investment loss ** (4.5 )% (3.9 )% (4.6 )% Operating expenses 5.0 % 5.7 % 6.1 % Expenses reimbursed by the General Partner (0.2 )% (0.3 )% (0.2 )% Incentive fees 0 % — % — % Total expenses 4.8 % 5.4 % 5.9 % Total return: Total return before incentive fees (5.1 )% 20.3 % (20.2 )% Incentive fees 0 % — % — % Total return after incentive fees (5.1 )% 20.3 % (20.2 )% * Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the year. 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. ** Interest income less total expenses. |
Subsequent Events (Tables)
Subsequent Events (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Selected Quarterly Financial Information [Abstract] | |
Quarterly Financial Information | Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2020 and 2019 are summarized below: For the period from For the period from For the period from For the period from Interest income $ 9,045 $ 11,149 $ 14,705 $ 170,801 Net expenses (634,983) (681,484) (892,998) (1,050,261) Total trading results 5,043,741 3,506,566 3,197,311 (14,099,202) Net income (loss) $ 4,417,803 $ 2,836,231 $ 2,319,018 $ (14,978,662) Increase (decrease) in net asset value per Unit: Class A $ 1.43 $ 0.79 $ 0.63 $ (3.99) Class Z $ 0.62 $ 0.35 $ 0.31 $ (1.62) For the period from For the period from For the period from For the period from Interest income $ 249,740 $ 317,882 $ 332,267 $ 344,031 Net expenses (1,181,841) (1,165,273) (1,089,663) (1,067,377) Total trading results (2,206,949) 10,156,554 5,287,695 5,407,655 Net income (loss) $ (3,139,050) $ 9,309,163 $ 4,530,299 $ 4,684,309 Increase (decrease) in net asset value per Unit: Class A $ (0.83) $ 2.35 $ 1.10 $ 1.13 Class Z $ (0.30) $ 1.01 $ 0.50 $ 0.50 |
Organization - Additional Infor
Organization - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2020Class | |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | |
Number of share classes | 2 |
Required interest in the equity of each Partnership | 1.00% |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | Jan. 01, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 |
Accounting Policies [Line Items] | ||||||
Cash held for margin requirements | $ 15,232,825 | $ 15,232,825 | $ 23,130,597 | |||
Cash denominated in foreign currencies | (415,847) | (415,847) | (555,456) | |||
Cash denominated in foreign currencies, proceeds | $ 415,309 | $ 415,309 | $ 550,088 | |||
Uncertain tax position | $ 0 | |||||
Open tax year | 2017 2018 2019 2020 | |||||
Percentage basis of funds on deposit for interest income recognition | 100.00% | |||||
Partnership assets percentage not deposited as margin credit for interest income | 80.00% | |||||
General Partner flat rate annual brokerage fee on net assets | 1.75% | 2.00% | ||||
General Partner flat rate monthly brokerage fee on net assets | 0.14583% | 0.16666% | ||||
Percentage basis Partnership offer price to net asset value per Unit | 100.00% | 100.00% | ||||
Limited partners unit that can be redeemed | 100.00% | 100.00% | ||||
Forecast [Member] | ||||||
Accounting Policies [Line Items] | ||||||
Percentage basis of funds on deposit for interest income recognition | 100.00% | |||||
Partnership assets percentage not deposited as margin credit for interest income | 100.00% | |||||
General Partner flat rate annual brokerage fee on net assets | 0.75% | |||||
General Partner flat rate monthly brokerage fee on net assets | 0.0625% | |||||
Minimum [Member] | ||||||
Accounting Policies [Line Items] | ||||||
Minimum partnership subscription amount | $ 10,000 | $ 10,000 | ||||
ERISA/IRA Investors [Member] | ||||||
Accounting Policies [Line Items] | ||||||
Minimum partnership subscription amount | 10,000 | 10,000 | ||||
Class A [Member] | ||||||
Accounting Policies [Line Items] | ||||||
Minimum partnership subscription amount | $ 25,000 | $ 25,000 | ||||
Placement agent fees, based on net asset value | 1.00% | 2.00% | ||||
Agent Fees Payable Annual Percentage | 2.00% | 1.00% | ||||
Placement Agent Fees Payable MonthlyP ercentage | 0.0625% | 0.0625% | ||||
Class A [Member] | Forecast [Member] | ||||||
Accounting Policies [Line Items] | ||||||
Placement agent fees, based on net asset value | 0.75% | |||||
Agent Fees Payable Annual Percentage | 0.75% | |||||
Placement Agent Fees Payable MonthlyP ercentage | 0.0625% |
Trading Advisor - Additional In
Trading Advisor - Additional Information (Detail) | Jan. 01, 2021 | Feb. 01, 2019 | Jan. 01, 2019 | Jan. 31, 2019 | Dec. 31, 2020 |
Wealth Capital Management LP [Member] | Forecast [Member] | |||||
Trading Advisors [Line Items] | |||||
Management fee, monthly basis | 0.125% | ||||
Management fee, annual basis | 1.50% | ||||
Incentive fee, monthly trading profits basis | 20.00% | ||||
Graham LP [Member] | |||||
Trading Advisors [Line Items] | |||||
Management fee, monthly basis | 0.14583% | 0.1125% | |||
Management fee, annual basis | 1.75% | 1.35% | |||
Incentive fee, monthly trading profits basis | 18.00% | 20.00% | |||
Graham LP [Member] | Forecast [Member] | |||||
Trading Advisors [Line Items] | |||||
Management fee, monthly basis | 0.10416% | ||||
Management fee, annual basis | 1.25% | ||||
Campbell And Company LP [Member] | Forecast [Member] | |||||
Trading Advisors [Line Items] | |||||
Management fee, monthly basis | 0.10416% | ||||
Management fee, annual basis | 1.25% | ||||
Incentive fee, monthly trading profits basis | 20.00% | ||||
EMC Capital Advisors LLC [Member] | Forecast [Member] | |||||
Trading Advisors [Line Items] | |||||
Management fee, monthly basis | 0.07292% | ||||
Management fee, annual basis | 0.875% | ||||
Incentive fee, monthly trading profits basis | 20.00% |
Financial Instruments - Additio
Financial Instruments - Additional Information (Detail) - Credit Concentration Risk [Member] - Contracts [Member] - Over the Counter [Member] | 12 Months Ended |
Dec. 31, 2020 | |
Minimum [Member] | |
Concentration Risk [Line Items] | |
Percentage of investment contracts | 21.10% |
Maximum [Member] | |
Concentration Risk [Line Items] | |
Percentage of investment contracts | 46.30% |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Average number of futures contracts traded | 3,907 | 6,338 |
Average number of metals forward contracts traded | 406 | 650 |
Average notional value of currency forward contracts | $ 292,777,322 | $ 380,666,033 |
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 ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Gross Amounts Recognized | $ 5,596,332 | $ 3,285,276 |
Gross Amounts Offset in the Statements of Financial Condition | (1,214,605) | (3,285,276) |
Net Amounts Presented in the Statements of Financial Condition | 4,381,727 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Cash Collateral (Received)/Pledged | 0 | |
Net Amount, Assets | 4,381,727 | |
Gross Amounts Recognized | (1,214,605) | (5,134,896) |
Gross Amounts Offset in the Statements of Financial Condition | 1,214,605 | 3,285,276 |
Net Amounts Presented in the Statements of Financial Condition | 0 | (1,849,620) |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Cash Collateral (Received)/Pledged | 0 | 1,849,620 |
Net Amount, Liabilities | 0 | |
Net fair value | 4,381,727 | |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized | 4,122,810 | 2,519,269 |
Gross Amounts Offset in the Statements of Financial Condition | (349,631) | (2,519,269) |
Net Amounts Presented in the Statements of Financial Condition | 3,773,179 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Cash Collateral (Received)/Pledged | 0 | |
Net Amount, Assets | 3,773,179 | |
Gross Amounts Recognized | (349,631) | (3,106,978) |
Gross Amounts Offset in the Statements of Financial Condition | 349,631 | 2,519,269 |
Net Amounts Presented in the Statements of Financial Condition | 0 | (587,709) |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Cash Collateral (Received)/Pledged | 0 | 587,709 |
Net Amount, Liabilities | 0 | |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized | 1,473,522 | 766,007 |
Gross Amounts Offset in the Statements of Financial Condition | (864,974) | (766,007) |
Net Amounts Presented in the Statements of Financial Condition | 608,548 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Assets, Cash Collateral (Received)/Pledged | 0 | |
Net Amount, Assets | 608,548 | |
Gross Amounts Recognized | (864,974) | (2,027,918) |
Gross Amounts Offset in the Statements of Financial Condition | 864,974 | 766,007 |
Net Amounts Presented in the Statements of Financial Condition | 0 | (1,261,911) |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Liabilities, Cash Collateral (Received)/Pledged | 0 | $ 1,261,911 |
Net Amount, Liabilities | $ 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 ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | $ 4,122,810 | $ 2,519,269 |
Total unrealized depreciation on open contracts | (349,631) | (3,106,978) |
Net unrealized appreciation (depreciation) on open contracts | 3,773,179 | (587,709) |
Futures Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 2,132,788 | 1,269,325 |
Total unrealized depreciation on open contracts | (117,522) | (779,067) |
Futures Contracts [Member] | Equity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,611,029 | 546,906 |
Total unrealized depreciation on open contracts | (43,188) | (500,127) |
Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 23,052 | 25,888 |
Total unrealized depreciation on open contracts | (3,228) | (30,980) |
Futures Contracts [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 355,941 | 677,150 |
Total unrealized depreciation on open contracts | (185,693) | (1,796,804) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,473,522 | 766,007 |
Total unrealized depreciation on open contracts | (864,974) | (2,027,918) |
Net unrealized appreciation (depreciation) on open contracts | 608,548 | (1,261,911) |
Forward Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 927,155 | 221,915 |
Total unrealized depreciation on open contracts | (101,800) | (703,280) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 546,367 | 544,092 |
Total unrealized depreciation on open contracts | $ (763,174) | $ (1,324,638) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | |||
Gain (loss) from trading | $ (2,351,584) | $ 18,644,955 | $ (17,812,588) |
Commodity [Member] | |||
Derivative [Line Items] | |||
Gain (loss) from trading | 4,100,183 | (9,168,467) | (4,944,164) |
Equity [Member] | |||
Derivative [Line Items] | |||
Gain (loss) from trading | (15,340,684) | 15,551,437 | (6,517,413) |
Currencies [Member] | |||
Derivative [Line Items] | |||
Gain (loss) from trading | (4,430,163) | (658,803) | (4,275,072) |
Interest Rates [Member] | |||
Derivative [Line Items] | |||
Gain (loss) from trading | $ 13,319,080 | $ 12,920,788 | $ (2,075,939) |
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 ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | $ 5,596,332 | $ 3,285,276 |
Liabilities | 1,214,605 | 5,134,896 |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 1,473,522 | 766,007 |
Liabilities | 864,974 | 2,027,918 |
Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 4,122,810 | 2,519,269 |
Liabilities | 349,631 | 3,106,978 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 4,122,810 | 2,519,269 |
Liabilities | 349,631 | 3,106,978 |
Level 1 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 0 | |
Liabilities | 0 | |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 4,122,810 | 2,519,269 |
Liabilities | 349,631 | 3,106,978 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 1,473,522 | 766,007 |
Liabilities | 864,974 | 2,027,918 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 1,473,522 | 766,007 |
Liabilities | 864,974 | $ 2,027,918 |
Level 2 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 0 | |
Liabilities | 0 | |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 0 | |
Liabilities | 0 | |
Level 3 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 0 | |
Liabilities | 0 | |
Level 3 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 0 | |
Liabilities | $ 0 |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Class (Detail) - Class A [Member] - $ / shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Per Unit Performance (for a unit outstanding throughout the period): | |||
Net asset value per Unit, beginning of period | $ 22.21 | ||
Net asset value per Unit, end of period | 21.07 | $ 22.21 | |
Limited Partner [Member] | |||
Per Unit Performance (for a unit outstanding throughout the period): | |||
Net realized and unrealized gains (losses) | (0.25) | 4.56 | $ (3.72) |
Net investment loss | (0.89) | (0.81) | (0.96) |
Increase (decrease) for the period | (1.14) | 3.75 | (4.68) |
Net asset value per Unit, beginning of period | 22.21 | 18.46 | 23.14 |
Net asset value per Unit, end of period | $ 21.07 | $ 22.21 | $ 18.46 |
Ratios to Average Limited Partners' Capital: | |||
Net investment loss | (4.50%) | (3.90%) | (4.60%) |
Operating expenses | 5.00% | 5.70% | 6.10% |
Expenses reimbursed by the General Partner | (0.20%) | (0.30%) | (0.20%) |
Incentive fees | 0.00% | ||
Total expenses | 4.80% | 5.40% | 5.90% |
Total return: | |||
Total return before incentive fees | (5.10%) | 20.30% | (20.20%) |
Incentive fees | 0.00% | ||
Total return after incentive fees | (5.10%) | 20.30% | (20.20%) |
Subsequent Events - Quarterly F
Subsequent Events - Quarterly Financial Data (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||||
Interest income | $ 9,045 | $ 11,149 | $ 14,705 | $ 170,801 | $ 249,740 | $ 317,882 | $ 332,267 | $ 344,031 | $ 205,700 | $ 1,243,920 | $ 1,376,893 | |||
Net expenses | (634,983) | (681,484) | (892,998) | (1,050,261) | (1,181,841) | (1,165,273) | (1,089,663) | (1,067,377) | (3,259,726) | (4,504,154) | (6,107,382) | |||
Total trading results | 5,043,741 | 3,506,566 | 3,197,311 | (14,099,202) | (2,206,949) | 10,156,554 | 5,287,695 | 5,407,655 | (2,351,584) | 18,644,955 | (17,812,588) | |||
Net income (loss) | $ 4,417,803 | $ 2,836,231 | $ 2,319,018 | $ (14,978,662) | $ (3,139,050) | $ 9,309,163 | $ 4,530,299 | $ 4,684,309 | (5,405,610) | 15,384,721 | (22,543,077) | |||
Class A [Member] | ||||||||||||||
Net income (loss) | $ (5,370,968) | $ 15,170,516 | $ (22,311,810) | |||||||||||
Increase (decrease) in net asset value per Unit: | ||||||||||||||
Net income (loss) per unit | $ 1.43 | $ 0.79 | $ 0.63 | $ (3.99) | $ (0.83) | $ 2.35 | $ 1.10 | $ 1.13 | $ (1.14) | [1] | $ 3.75 | [1] | $ (4.68) | [1] |
Class Z [Member] | ||||||||||||||
Net income (loss) | $ (34,642) | $ 214,205 | $ (231,267) | |||||||||||
Increase (decrease) in net asset value per Unit: | ||||||||||||||
Net income (loss) per unit | $ 0.62 | $ 0.35 | $ 0.31 | $ (1.62) | $ (0.30) | $ 1.01 | $ 0.50 | $ 0.50 | $ (0.34) | [1] | $ 1.71 | [1] | $ (1.72) | [1] |
[1] | Represents the change in net asset value per Unit. |