Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 31, 2015 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | MORGAN STANLEY SMITH BARNEY SPECTRUM CURRENCY & COMMODITY L.P. | |
Entity Central Index Key | 1,097,396 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 1,445,439.321 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
ASSETS | ||
Interest receivable | $ 61 | |
Total Assets | $ 13,425,351 | 14,172,143 |
Liabilities: | ||
Redemptions payable | 206,246 | 238,966 |
Accrued ongoing placement agent fees | 22,602 | 22,139 |
Accrued administrative fees | 18,081 | 17,712 |
Accrued management fees | 16,951 | 15,812 |
Accrued incentive fees | 9,020 | 108,183 |
Total Liabilities | 272,900 | 402,812 |
Partners' Capital: | ||
Limited Partners | 12,999,195 | 13,623,087 |
General Partner | 153,256 | 146,244 |
Total Partners' Capital | 13,152,451 | 13,769,331 |
Total Liabilities and Partners' Capital | $ 13,425,351 | $ 14,172,143 |
NET ASSET VALUE PER UNIT | $ 8.90 | $ 8.49 |
Cambridge Master Fund [Member] | ||
ASSETS | ||
Investments | $ 13,425,351 | $ 12,289,754 |
Total Assets | 52,660,591 | 39,046,641 |
Liabilities: | ||
Total Liabilities | 14,553,600 | 48,456 |
Partners' Capital: | ||
Limited Partners | 38,106,991 | 38,998,185 |
General Partner | 0 | 0 |
Total Partners' Capital | 38,106,991 | 38,998,185 |
Total Liabilities and Partners' Capital | $ 52,660,591 | 39,046,641 |
KR Master Fund [Member] | ||
ASSETS | ||
Redemptions receivable | $ 1,882,328 |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - shares | Jun. 30, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Limited Partners, Units | 1,460,525.446 | 1,604,009.847 |
General Partner, Units | 17,219.120 | 17,219.120 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
INVESTMENT INCOME | |||||
Interest income | $ 198 | $ 502 | $ 419 | $ 1,609 | |
EXPENSES | |||||
Ongoing placement agent fees | 68,491 | 137,158 | |||
Administrative fees | 54,793 | 109,726 | |||
Management fees | 51,368 | 52,228 | 102,868 | 109,254 | |
Incentive fees | 9,020 | 115,506 | |||
Brokerage fees | 137,741 | 336,127 | |||
Total Expenses | 183,672 | 189,969 | 465,258 | 445,381 | |
NET INVESTMENT LOSS | (183,474) | (189,467) | (464,839) | (443,772) | |
Trading profit (loss): | |||||
Total Trading Results | 234,784 | 2,319 | 1,119,793 | 227,760 | |
NET INCOME (LOSS) | 51,310 | (187,148) | 654,954 | (216,012) | |
NET INCOME (LOSS) ALLOCATION | |||||
Limited Partners | 50,828 | (183,651) | 647,942 | (212,294) | |
General Partner | $ 482 | $ (3,497) | $ 7,012 | $ (3,718) | |
NET INCOME (LOSS) PER UNIT | |||||
Limited Partners | [1] | $ 0.03 | $ (0.10) | $ 0.41 | $ (0.10) |
General Partner | [1] | $ 0.03 | $ (0.10) | $ 0.41 | $ (0.10) |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING | 1,519,090.813 | 2,071,589.890 | 1,556,988.891 | 2,209,469.236 | |
KR Master Fund [Member] | |||||
Trading profit (loss): | |||||
Net realized gain (loss) allocated | $ (176,481) | $ (417,421) | |||
Net change in unrealized appreciation (depreciation) allocated | 187,704 | 610,652 | |||
Cambridge Master Fund [Member] | |||||
INVESTMENT INCOME | |||||
Interest income | $ 672 | 1,450 | $ 1,433 | 4,427 | |
EXPENSES | |||||
Total Expenses | 57,381 | 32,927 | 85,733 | 99,364 | |
NET INVESTMENT LOSS | (36,769) | (21,773) | (54,375) | (66,719) | |
Trading profit (loss): | |||||
Net realized gain (loss) allocated | 413,585 | 502,901 | 2,203,442 | 398,015 | |
Net change in unrealized appreciation (depreciation) allocated | (178,801) | (511,805) | (1,083,649) | (363,486) | |
Total Trading Results | 688,062 | 176,599 | 3,200,205 | 332,674 | |
NET INCOME (LOSS) | $ 651,293 | $ 154,826 | $ 3,145,830 | $ 265,955 | |
[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 | Limited Partners [Member] | General Partner [Member] |
Balance at Dec. 31, 2013 | $ 17,969,072 | $ 17,703,845 | $ 265,227 |
Balance (in units) at Dec. 31, 2013 | 2,430,680.684 | ||
Net Income (Loss) | $ (216,012) | (212,294) | (3,718) |
Redemptions | $ (3,802,336) | (3,802,336) | |
Redemptions (in units) | (516,729.145) | ||
Balance at Jun. 30, 2014 | $ 13,950,724 | 13,689,215 | 261,509 |
Balance (in units) at Jun. 30, 2014 | 1,913,951.539 | ||
Balance at Dec. 31, 2014 | $ 13,769,331 | 13,623,087 | 146,244 |
Balance (in units) at Dec. 31, 2014 | 1,621,228.967 | ||
Net Income (Loss) | $ 654,954 | 647,942 | 7,012 |
Redemptions | $ (1,271,834) | (1,271,834) | |
Redemptions (in units) | (143,484.401) | ||
Balance at Jun. 30, 2015 | $ 13,152,451 | $ 12,999,195 | $ 153,256 |
Balance (in units) at Jun. 30, 2015 | 1,477,744.566 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization Morgan Stanley Smith Barney Spectrum Currency and Commodity L.P. (the “Partnership”) is a Delaware limited partnership organized in 1999 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, “Futures Interests”) (refer to Note 6. Financial Instruments through the Partnership’s Investment in Affiliated Master Funds Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (“Ceres” or the “General Partner”) and commodity pool operator for the Partnership. Ceres is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”). MSSBH is wholly-owned indirectly by Morgan Stanley. Morgan Stanley Smith Barney LLC is doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”). Morgan Stanley Wealth Management is a principal subsidiary of MSSBH. During June 2015, the General Partner determined to invest a portion of the Partnership’s and Master Fund’s excess cash (the Partnership’s and Master Fund’s assets not used for futures interest trading or required margin for such trading) in United States (“U.S.”) Treasury bills and/or other permitted investments. The Partnership will receive interest on U.S. Treasury bills at the relevant coupon rate. There will be no change to the treatment of the excess cash not invested in U.S. Treasury bills or other permitted investments. The General Partner intends to hold the U.S. Treasury bills until maturity, but in the event that the General Partner is required to liquidate U.S. Treasury bills before they mature, to meet redemption requests or otherwise, the Partnership and Master Fund may incur a loss on such U.S. Treasury bills and/or may be subject to additional fees or other costs. The General Partner will endeavor to maintain sufficient cash in the Partnership’s and Master Fund’s accounts in order to avoid early liquidation of U.S. Treasury bills. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at June 30, 2015 and the results of its operations for the three and six months ended June 30, 2015 and 2014 and changes in partners’ capital for the six months ended June 30, 2015 and 2014. These financial statements present the results of interim periods and do not include all of the disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s December 31, 2014 Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2014. The December 31, 2014 information has been derived from the audited financial statements as of and for the year ended December 31, 2014. Use of Estimates Certain prior period amounts have been reclassified to conform to current period presentation. Amounts reported separately on the Statements of Income and Expenses and Changes in Partners’ Capital as ongoing selling agent fees and clearing fees were previously combined and presented as brokerage commissions. Partnership’s Investment Master Fund’s Investments Investment Company Status Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements Income Taxes Net Income (Loss) per Unit Financial Highlights New Accounting Pronouncements Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected to measure the fair value using the practical expedient. The standard is effective for public business entities for fiscal years beginning after December 15, 2015. Early adoption is permitted. The Partnership has elected to adopt the guidance as of June 30, 2015. As a result of this adoption, the investments that are measured at fair value based on the net asset value per share (or its equivalent) practical expedient have been removed from the fair value hierarchy in all periods presented in these financial statements. There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014. |
Investments in Affiliated Maste
Investments in Affiliated Master Fund | 6 Months Ended |
Jun. 30, 2015 | |
Schedule of Investments [Abstract] | |
Investments in Affiliated Master Fund | 3. Investments in Affiliated Master Fund The clearing commodity broker for the Cambridge Master Fund, and indirectly the Partnership, is Morgan Stanley & Co. LLC (“MS&Co.”). MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. MS&Co. is a wholly-owned subsidiary of Morgan Stanley. The trading advisor to the Partnership is The Cambridge Strategy (Assets Management) Limited (“Cambridge” or the “Trading Advisor”). On November 1, 2012, the Partnership allocated a portion of its assets to Cambridge for trading through investment in the Cambridge Master Fund L.P. (“Cambridge Master Fund”), a limited partnership organized under the partnership laws of the State of Delaware. Cambridge Master Fund was formed to permit accounts managed now and in the future by Cambridge using Cambridge Asian Markets Alpha Programme and, from October 1, 2013, Cambridge Emerging Markets Alpha Programme, to invest together in one trading vehicle. The General Partner is also the general partner of Cambridge Master Fund. Individual and pooled accounts currently managed by Cambridge, including the Partnership, are permitted to be limited partners of Cambridge Master Fund. The General Partner and Cambridge believe that trading through this structure should provide efficiency and economy in the trading process. As of June 30, 2015 and December 31, 2014, the Partnership owned approximately 35.22% and 31.51% of Cambridge Master Fund, respectively. It is the Partnership’s intention to continue to invest in Cambridge Master Fund. The performance of the Partnership is directly affected by the performance of Cambridge Master Fund, and prior to termination on December 31, 2014, KR Master Fund. Effective December 31, 2014, the Partnership fully redeemed its investment from KR Master Fund L.P. (“KR Master Fund”). In addition, Krom River Investment Management (Cayman) Limited and Krom River Trading AG (together, and each separately, “Krom River”) no longer act as commodity trading advisor to the Partnership. Effective on or about January 1, 2015, the Partnership reallocated the assets allocated to Krom River to the existing commodity trading advisor of the Partnership. Cambridge Master Fund’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2015 and December 31, 2014, and Statements of Income and Expenses for the three and six months ended June 30, 2015 and 2014 and Changes in Partners’ Capital for the six months ended June 30, 2015 and 2014 are presented below: Cambridge Master Fund L.P. Statements of Financial Condition June 30, 2015 (Unaudited) December 31, $ $ Assets: Equity in trading account: U.S. Treasury bills, at fair value (amortized cost $34,639,791 and $0, respectively) 34,639,791 — Cash — 26,503,935 Cash margin 18,011,796 9,794,931 Net unrealized appreciation on open forward contracts — 2,739,853 Total Trading Equity 52,651,587 39,038,719 Expense Reimbursement 9,004 7,922 Total Assets 52,660,591 39,046,641 Liabilities and Partners’ Capital: Net unrealized depreciation on open forward contracts 335,331 — Cash overdraft 14,177,153 — Accrued expenses: Professional fees 41,116 48,456 Total Liabilities 14,553,600 48,456 Partners’ Capital: General Partner — — Limited Partners 38,106,991 38,998,185 Total Liabilities and Partners’ Capital 52,660,591 39,046,641 Cambridge Master Fund L.P. Condensed Schedules of Investments June 30, 2015 (Unaudited) Notional Fair Value % of Partners’ $ $ % Unrealized Appreciation on Open Forward Contracts Currencies 617,230,346 8,704,349 22.84 Total unrealized appreciation on open forward contracts 8,704,349 22.84 Unrealized Depreciation on Open Forward Contracts Currencies 687,983,764 (9,039,680 ) (23.72 ) Total unrealized depreciation on open forward contracts (9,039,680 ) (23.72 ) Investment in U.S. Treasury bills Face Amount Maturity Date Description Fair Value % of Partners’ $34,640,000 09/17/2015 U.S. Treasury bills, 0.0025% (amortized cost of $34,639,791) 34,639,791 90.90 Net Fair Value 34,304,460 90.02 December 31, 2014 Notional Fair Value % of Partners’ $ $ % Unrealized Appreciation on Open Forward Contracts Currencies 391,686,862 5,969,177 15.31 Total unrealized appreciation on open forward contracts 5,969,177 15.31 Unrealized Depreciation on Open Forward Contracts Currencies 284,639,685 (3,229,324 ) (8.28 ) Total unrealized depreciation on open forward contracts (3,229,324 ) (8.28 ) Net fair value 2,739,853 7.03 Cambridge Master Fund L.P. Statements of Income and Expenses for the Three and Six Months ended June 30, 2015 and 2014 (Unaudited) For the Three Months For the Six Months 2015 2014 2015 2014 $ $ $ $ INVESTMENT INCOME Interest income 672 1,450 1,433 4,427 EXPENSES Clearing fees 31,202 — 34,525 42,791 Professional fees 26,179 32,927 51,208 56,573 Total Expenses 57,381 32,927 85,733 99,364 Expense reimbursements (19,940 ) (9,704 ) (29,925 ) (28,218 ) Net expenses 37,441 23,223 55,808 71,146 Net investment gain (loss) (36,769 ) (21,773 ) (54,375 ) (66,719 ) TRADING RESULTS: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts 1,172,092 1,576,372 6,275,389 1,199,900 Net change in unrealized gains (losses) on open contracts (484,030 ) (1,399,773 ) (3,075,184 ) (867,226 ) Total Trading Results 688,062 176,599 3,200,205 332,674 NET INCOME 651,293 154,826 3,145,830 265,955 Cambridge Master Fund L.P. Statements of Changes in Partners’ Capital for the Six Months ended June 30, 2015 and 2014 (Unaudited) Partners’ $ Partners’ Capital at December 31, 2014 38,998,185 Net income 3,145,830 Subscriptions 1,636,080 Redemptions (5,671,671 ) Distribution of interest income to feeder funds (1,433 ) Partners’ Capital at June 30, 2015 38,106,991 Partners’ Capital at December 31, 2013 37,521,384 Net income 265,955 Subscriptions 3,000,000 Redemptions (6,524,728 ) Distribution of interest income to feeder funds (4,427 ) Partners’ Capital at June 30, 2014 34,258,184 |
Financial Highlights
Financial Highlights | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Financial Highlights | 4. Financial Highlights Financial highlights of the limited partner class for the Partnership and Cambridge Master Fund for the three and six months ended June 30, 2015 and 2014 were as follows: Financial Highlights of the Partnership For the Three For the Six 2015 2014 2015 2014 Per Unit operating performance: Net asset value at the beginning of period: $ 8.87 $ 7.39 $ 8.49 $ 7.39 Net Investment Loss (2) (0.12 ) (0.10 ) (0.30 ) (0.21 ) Realized/Unrealized Gain 0.15 — (2) 0.71 0.11 Net Gain/(Loss) 0.03 (0.10 ) 0.41 (0.10 ) Net asset value, June 30: $ 8.90 $ 7.29 $ 8.90 $ 7.29 Ratios to average net assets: (1) Net Investment Loss (2) (5.2 )% (5.2 )% (6.0 )% (5.7 )% Expenses before Incentive Fees 5.2 % 5.2 % 5.2 % 5.8 % Incentive Fees 0.1 % — (3) 0.9 % — (3) Expenses after Incentive Fees 5.3 % 5.2 % 6.1 % 5.8 % Total return before Incentive Fees 0.4 % (1.4 )% 5.7 % (1.4 )% Incentive Fees 0.1 % — (3) 0.9 % — (3) Total return after Incentive Fees 0.3 % (1.4 )% 4.8 % (1.4 )% (1) Annualized (except for incentive fees if applicable). (2) Interest income less total expenses. (3) Amount less than $0.005 per Unit. The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets, and includes the income and expenses allocated from the Master Fund. Financial Highlights of Cambridge Master Fund Ratios to average net assets for the three and six months ended June 30, 2015 and 2014 were as follows: For the Three Months For the Six Months 2015 2014 2015 2014 Ratios to average net assets: (1) Net investment income (loss) (2) (0.4 )% (0.2 )% (0.3 )% (0.3 )% Operating expenses 0.4 % 0.2 % 0.3 % 0.4 % Total return 1.6 % 0.4 % 8.1 % 0.7 % (1) Annualized (2) Interest income less total expenses. The above ratios and the return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets. |
Related Party Transactions
Related Party Transactions | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | 5. Related Party Transactions The Master Fund’s cash is on deposit in commodity brokerage accounts with Morgan Stanley. For excess cash which is not invested by the General Partner in U.S. Treasury bills and/or other permitted investments, monthly, MS&Co. pays the Master Fund’s interest income on 100% of the average daily equity maintained in cash in the Master Fund’s account during each month at a rate equal to 80% of the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. retains any interest earned in excess of the interest paid by MS&Co. to the Master Fund. For purposes of such interest payments, net assets do not include monies due to the Master Fund on Futures Interests that have not been received. The Partnership pays a general partner administrative fee to the General Partner and an ongoing placement agent fee to Morgan Stanley Wealth Management. Prior to October 2014, a flat rate brokerage fee was paid to MS&Co. The General Partner pays or reimburses the Partnership for all brokerage fees and costs charged or incurred by MS&Co., the General Partner and/or its affiliates or any other entity acting as a commodity broker for the Partnership. |
Financial Instruments through t
Financial Instruments through the Partnership's Investment in Affiliated Master Funds | 6 Months Ended |
Jun. 30, 2015 | |
Investments, All Other Investments [Abstract] | |
Financial Instruments through the Partnership's Investment in Affiliated Master Funds | 6. Financial Instruments through the Partnership’s Investment in Affiliated Master Funds Cambridge Master Fund, and indirectly the Partnership, trades Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Futures Interests are open commitments until the settlement date, at which time they are realized. They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open contracts. The resulting net change in unrealized gains and losses is reflected in the “Net change in unrealized” trading profit (loss) and “Net change in unrealized depreciation allocated from Cambridge Master Fund” on open contracts from one period to the next on the Statements of Income and Expenses. The Cambridge Master Fund’s contracts are accounted for on a trade-date basis. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility. The fair value of an exchange-traded contract is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated. The U.S. Treasury bills futures, forwards and options traded by the Partnership through its investment in the Master Fund, involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership’s open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date. |
Derivatives and Hedging
Derivatives and Hedging | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging | 7. Derivatives and Hedging The Partnership’s objective, through its investment in the Master Fund, is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisor for the Partnership will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its trading strategies. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention. The monthly average notional values of currency forward contracts traded during the three and six months ended June 30, 2015 and 2014 were $3,633,929,625 and $2,571,910,590 and $1,692,098,366 and $1,727,005,333, respectively. The following tables summarize the gross and net amounts recognized relating to assets and liabilities of Cambridge Master Fund’s derivative instruments and transactions eligible for offset subject to master netting agreements or similar agreements as of June 30, 2015 and December 31, 2014, respectively. Offsetting of Derivative Assets and Liabilities as of June 30, 2015: Gross amounts not offset in the Statements of Financial Condition Gross Amounts Gross Amounts Net Amounts Financial Cash Collateral Net Amount $ $ $ $ $ $ Assets Forwards 8,704,349 (8,704,349 ) — — — — Total Assets 8,704,349 (8,704,349 ) — — — — Liabilities Forwards (9,039,680 ) 8,704,349 (335,331 ) — — (335,331 ) Total Liabilities (9,039,680 ) 8,704,349 (335,331 ) — — (335,331 ) Net unrealized depreciation on open forwards contracts (335,331 ) (335,331 )* Offsetting of Derivative Assets and Liabilities as of December 31, 2014: Gross amounts not offset in the Statements of Financial Condition Gross Amounts Gross Amounts Net Amounts Financial Cash Collateral Net Amount $ $ $ $ $ $ Assets Forwards 5,969,177 (3,229,324 ) 2,739,853 — — 2,739,853 Total Assets 5,969,177 (3,229,324 ) 2,739,853 — — 2,739,853 Liabilities Forwards (3,229,324 ) 3,229,324 — — — — Total Liabilities (3,229,324 ) 3,229,324 — — — — Net unrealized appreciation on open forwards contracts 2,739,853 2,739,853 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s off exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown on the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. The following tables indicate the gross fair values of derivative instruments of forward contracts as separate assets and liabilities as of June 30, 2015 and December 31, 2014. June 30, $ Assets Forward Contracts Currencies 8,704,349 Total unrealized appreciation on open forward contracts 8,704,349 Liabilities Forward Contracts Currencies (9,039,680 ) Total unrealized depreciation on open forward contracts (9,039,680 ) Net unrealized depreciation on open forward contracts (335,331 ) * This amount is included in “Net unrealized depreciation on open forward contracts” on the Cambridge Master Fund’s Statements of Financial Condition. December 31, $ Assets Forward Contracts Currencies 5,969,177 Total unrealized appreciation on open forward contracts 5,969,177 Liabilities Forward Contracts Currencies (3,229,324 ) Total unrealized depreciation on open forward contracts (3,229,324 ) Net unrealized appreciation on open forward contracts 2,739,853 * * This amount is included in “Net unrealized appreciation on open forward contracts” on the Cambridge Master Funds’s Statements of Financial Condition. The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2015 and 2014. Three Months Six Months Sector June 30, June 30, June 30, June 30, $ $ $ $ Currencies 688,062 176,599 3,200,205 332,674 Total 688,062 176,599 3,200,205 332,674 ** This amount is included in “Total trading results” on the Cambridge Master Fund’s Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 8. Fair Value Measurements Cambridge Master Fund’s Investments: All commodity interests of the Cambridge Master Fund, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity 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. Unrealized gains or losses on open contracts are included as a component of equity in trading account on 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. Cambridge Master Fund’s Fair Value Measurements: Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Cambridge Master Fund considers prices for exchange-traded commodity futures, forwards, swaps and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended June 30, 2015 and for the year ended December 31, 2014, Cambridge Master Fund did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the period from January 1, 2015 to June 30, 2015, and for the twelve months ended December 31, 2014, there were no transfers of assets or liabilities between Level 1 and Level 2. June 30, 2015 Level 1 Level 2 Level 3 Total $ $ $ $ Assets Investment in U.S. Treasury bills — 34,639,791 — 34,639,791 Forwards — 8,704,349 — 8,704,349 Total Assets — 43,344,140 — 43,344,140 Liabilities Forwards — (9,039,680 ) — (9,039,680 ) Total Liabilities — (9,039,680 ) — (9,039,680 ) Net fair value — 34,304,460 — 34,304,460 December 31, 2014 Level 1 Level 2 Level 3 Total $ $ $ $ Assets Forwards — 5,969,177 — 5,969,177 Total Assets — 5,969,177 — 5,969,177 Liabilities Forwards — (3,229,324 ) — (3,229,324 ) Total Liabilities — (3,229,324 ) — (3,229,324 ) Net fair value — 2,739,853 — 2,739,853 |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | 9. Subsequent Events The General Partner evaluates events that occur after the balance sheet date but before financial statements are issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that, other than the event listed below, there were no subsequent events requiring adjustment of, or disclosure in, the financial statements. On or about July 31, 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 will furnish certain administrative, accounting, regulatory, reporting, tax and other services as agreed from time to time. In addition, the Administrator will maintain certain books and records of the Partnership and Fund. The costs of retaining the Administrator will be allocated among the pools operated by the General Partner, including the Partnership. The General Partner does not expect that such additional expense will have a material impact on the Partnership’s break even point. |
Basis of Presentation and Sum15
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates Certain prior period amounts have been reclassified to conform to current period presentation. Amounts reported separately on the Statements of Income and Expenses and Changes in Partners’ Capital as ongoing selling agent fees and clearing fees were previously combined and presented as brokerage commissions. |
Partnership's Investment | Partnership’s Investment |
Master Fund's Investments | Master Fund’s Investments |
Investment Company Status | Investment Company Status Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements |
Income Taxes | Income Taxes |
Net Income (Loss) per Unit | Net Income (Loss) per Unit Financial Highlights |
New Accounting Pronouncements | New Accounting Pronouncements Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected to measure the fair value using the practical expedient. The standard is effective for public business entities for fiscal years beginning after December 15, 2015. Early adoption is permitted. The Partnership has elected to adopt the guidance as of June 30, 2015. As a result of this adoption, the investments that are measured at fair value based on the net asset value per share (or its equivalent) practical expedient have been removed from the fair value hierarchy in all periods presented in these financial statements. There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014. |
Investments in Affiliated Mas16
Investments in Affiliated Master Fund (Tables) - Cambridge Master Fund [Member] | 6 Months Ended |
Jun. 30, 2015 | |
Statements of Financial Condition | Cambridge Master Fund L.P. Statements of Financial Condition June 30, 2015 (Unaudited) December 31, $ $ Assets: Equity in trading account: U.S. Treasury bills, at fair value (amortized cost $34,639,791 and $0, respectively) 34,639,791 — Cash — 26,503,935 Cash margin 18,011,796 9,794,931 Net unrealized appreciation on open forward contracts — 2,739,853 Total Trading Equity 52,651,587 39,038,719 Expense Reimbursement 9,004 7,922 Total Assets 52,660,591 39,046,641 Liabilities and Partners’ Capital: Net unrealized depreciation on open forward contracts 335,331 — Cash overdraft 14,177,153 — Accrued expenses: Professional fees 41,116 48,456 Total Liabilities 14,553,600 48,456 Partners’ Capital: General Partner — — Limited Partners 38,106,991 38,998,185 Total Liabilities and Partners’ Capital 52,660,591 39,046,641 |
Condensed Schedules of Investments | Cambridge Master Fund L.P. Condensed Schedules of Investments June 30, 2015 (Unaudited) Notional Fair Value % of Partners’ $ $ % Unrealized Appreciation on Open Forward Contracts Currencies 617,230,346 8,704,349 22.84 Total unrealized appreciation on open forward contracts 8,704,349 22.84 Unrealized Depreciation on Open Forward Contracts Currencies 687,983,764 (9,039,680 ) (23.72 ) Total unrealized depreciation on open forward contracts (9,039,680 ) (23.72 ) Investment in U.S. Treasury bills Face Amount Maturity Date Description Fair Value % of Partners’ $34,640,000 09/17/2015 U.S. Treasury bills, 0.0025% (amortized cost of $34,639,791) 34,639,791 90.90 Net Fair Value 34,304,460 90.02 December 31, 2014 Notional Fair Value % of Partners’ $ $ % Unrealized Appreciation on Open Forward Contracts Currencies 391,686,862 5,969,177 15.31 Total unrealized appreciation on open forward contracts 5,969,177 15.31 Unrealized Depreciation on Open Forward Contracts Currencies 284,639,685 (3,229,324 ) (8.28 ) Total unrealized depreciation on open forward contracts (3,229,324 ) (8.28 ) Net fair value 2,739,853 7.03 |
Statements of Income and Expenses | Cambridge Master Fund L.P. Statements of Income and Expenses for the Three and Six Months ended June 30, 2015 and 2014 (Unaudited) For the Three Months For the Six Months 2015 2014 2015 2014 $ $ $ $ INVESTMENT INCOME Interest income 672 1,450 1,433 4,427 EXPENSES Clearing fees 31,202 — 34,525 42,791 Professional fees 26,179 32,927 51,208 56,573 Total Expenses 57,381 32,927 85,733 99,364 Expense reimbursements (19,940 ) (9,704 ) (29,925 ) (28,218 ) Net expenses 37,441 23,223 55,808 71,146 Net investment gain (loss) (36,769 ) (21,773 ) (54,375 ) (66,719 ) TRADING RESULTS: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts 1,172,092 1,576,372 6,275,389 1,199,900 Net change in unrealized gains (losses) on open contracts (484,030 ) (1,399,773 ) (3,075,184 ) (867,226 ) Total Trading Results 688,062 176,599 3,200,205 332,674 NET INCOME 651,293 154,826 3,145,830 265,955 |
Statements of Changes in Partners' Capital | Cambridge Master Fund L.P. Statements of Changes in Partners’ Capital for the Six Months ended June 30, 2015 and 2014 (Unaudited) Partners’ $ Partners’ Capital at December 31, 2014 38,998,185 Net income 3,145,830 Subscriptions 1,636,080 Redemptions (5,671,671 ) Distribution of interest income to feeder funds (1,433 ) Partners’ Capital at June 30, 2015 38,106,991 Partners’ Capital at December 31, 2013 37,521,384 Net income 265,955 Subscriptions 3,000,000 Redemptions (6,524,728 ) Distribution of interest income to feeder funds (4,427 ) Partners’ Capital at June 30, 2014 34,258,184 |
Financial Highlights (Tables)
Financial Highlights (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Financial Highlights for Limited Partner Class | Financial highlights of the limited partner class for the Partnership and Cambridge Master Fund for the three and six months ended June 30, 2015 and 2014 were as follows: Financial Highlights of the Partnership For the Three For the Six 2015 2014 2015 2014 Per Unit operating performance: Net asset value at the beginning of period: $ 8.87 $ 7.39 $ 8.49 $ 7.39 Net Investment Loss (2) (0.12 ) (0.10 ) (0.30 ) (0.21 ) Realized/Unrealized Gain 0.15 — (2) 0.71 0.11 Net Gain/(Loss) 0.03 (0.10 ) 0.41 (0.10 ) Net asset value, June 30: $ 8.90 $ 7.29 $ 8.90 $ 7.29 Ratios to average net assets: (1) Net Investment Loss (2) (5.2 )% (5.2 )% (6.0 )% (5.7 )% Expenses before Incentive Fees 5.2 % 5.2 % 5.2 % 5.8 % Incentive Fees 0.1 % — (3) 0.9 % — (3) Expenses after Incentive Fees 5.3 % 5.2 % 6.1 % 5.8 % Total return before Incentive Fees 0.4 % (1.4 )% 5.7 % (1.4 )% Incentive Fees 0.1 % — (3) 0.9 % — (3) Total return after Incentive Fees 0.3 % (1.4 )% 4.8 % (1.4 )% (1) Annualized (except for incentive fees if applicable). (2) Interest income less total expenses. (3) Amount less than $0.005 per Unit. The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets, and includes the income and expenses allocated from the Master Fund. Financial Highlights of Cambridge Master Fund Ratios to average net assets for the three and six months ended June 30, 2015 and 2014 were as follows: For the Three Months For the Six Months 2015 2014 2015 2014 Ratios to average net assets: (1) Net investment income (loss) (2) (0.4 )% (0.2 )% (0.3 )% (0.3 )% Operating expenses 0.4 % 0.2 % 0.3 % 0.4 % Total return 1.6 % 0.4 % 8.1 % 0.7 % (1) Annualized (2) Interest income less total expenses. |
Derivatives and Hedging (Tables
Derivatives and Hedging (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Offsetting Of Derivative Assets And Liabilities | Offsetting of Derivative Assets and Liabilities as of June 30, 2015: Gross amounts not offset in the Statements of Financial Condition Gross Amounts Gross Amounts Net Amounts Financial Cash Collateral Net Amount $ $ $ $ $ $ Assets Forwards 8,704,349 (8,704,349 ) — — — — Total Assets 8,704,349 (8,704,349 ) — — — — Liabilities Forwards (9,039,680 ) 8,704,349 (335,331 ) — — (335,331 ) Total Liabilities (9,039,680 ) 8,704,349 (335,331 ) — — (335,331 ) Net unrealized depreciation on open forwards contracts (335,331 ) (335,331 )* Offsetting of Derivative Assets and Liabilities as of December 31, 2014: Gross amounts not offset in the Statements of Financial Condition Gross Amounts Gross Amounts Net Amounts Financial Cash Collateral Net Amount $ $ $ $ $ $ Assets Forwards 5,969,177 (3,229,324 ) 2,739,853 — — 2,739,853 Total Assets 5,969,177 (3,229,324 ) 2,739,853 — — 2,739,853 Liabilities Forwards (3,229,324 ) 3,229,324 — — — — Total Liabilities (3,229,324 ) 3,229,324 — — — — Net unrealized appreciation on open forwards contracts 2,739,853 2,739,853 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s off exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown on the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. |
Summary of Gross Fair Values of Derivative Instruments | The following tables indicate the gross fair values of derivative instruments of forward contracts as separate assets and liabilities as of June 30, 2015 and December 31, 2014. June 30, $ Assets Forward Contracts Currencies 8,704,349 Total unrealized appreciation on open forward contracts 8,704,349 Liabilities Forward Contracts Currencies (9,039,680 ) Total unrealized depreciation on open forward contracts (9,039,680 ) Net unrealized depreciation on open forward contracts (335,331 ) * This amount is included in “Net unrealized depreciation on open forward contracts” on the Cambridge Master Fund’s Statements of Financial Condition. December 31, $ Assets Forward Contracts Currencies 5,969,177 Total unrealized appreciation on open forward contracts 5,969,177 Liabilities Forward Contracts Currencies (3,229,324 ) Total unrealized depreciation on open forward contracts (3,229,324 ) Net unrealized appreciation on open forward contracts 2,739,853 * * This amount is included in “Net unrealized appreciation on open forward contracts” on the Cambridge Master Funds’s Statements of Financial Condition. |
Summary of Trading Gains and Losses, by Market Sector, on Derivatives Instruments | The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2015 and 2014. Three Months Six Months Sector June 30, June 30, June 30, June 30, $ $ $ $ Currencies 688,062 176,599 3,200,205 332,674 Total 688,062 176,599 3,200,205 332,674 ** This amount is included in “Total trading results” on the Cambridge Master Fund’s Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Cambridge Master Fund [Member] | |
Assets and Liabilities Measured at Fair Value on a Recurring Basis | June 30, 2015 Level 1 Level 2 Level 3 Total $ $ $ $ Assets Investment in U.S. Treasury bills — 34,639,791 — 34,639,791 Forwards — 8,704,349 — 8,704,349 Total Assets — 43,344,140 — 43,344,140 Liabilities Forwards — (9,039,680 ) — (9,039,680 ) Total Liabilities — (9,039,680 ) — (9,039,680 ) Net fair value — 34,304,460 — 34,304,460 December 31, 2014 Level 1 Level 2 Level 3 Total $ $ $ $ Assets Forwards — 5,969,177 — 5,969,177 Total Assets — 5,969,177 — 5,969,177 Liabilities Forwards — (3,229,324 ) — (3,229,324 ) Total Liabilities — (3,229,324 ) — (3,229,324 ) Net fair value — 2,739,853 — 2,739,853 |
Basis of Presentation and Sum20
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2015USD ($) | |
Accounting Policies [Abstract] | |
Provision for income tax | $ 0 |
Investments in Affiliated Mas21
Investments in Affiliated Master Fund - Additional information (Detail) | Jun. 30, 2015 | Dec. 31, 2014 |
Cambridge Master Fund [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Ownership Percentage | 35.22% | 31.51% |
Investments in Affiliated Mas22
Investments in Affiliated Master Fund - Statements of Financial Condition (Detail) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Equity in trading account: | ||
Net unrealized appreciation on open forward contracts | $ (335,331) | $ 2,739,853 |
Total Assets | 13,425,351 | 14,172,143 |
Liabilities and Partners' Capital: | ||
Net unrealized depreciation on open forward contracts | 335,331 | (2,739,853) |
Accrued expenses: | ||
Total Liabilities | 272,900 | 402,812 |
Partners' Capital: | ||
General Partner | 153,256 | 146,244 |
Limited Partners | 12,999,195 | 13,623,087 |
Total Liabilities and Partners' Capital | 13,425,351 | 14,172,143 |
Cambridge Master Fund [Member] | ||
Equity in trading account: | ||
U.S. Treasury bills, at fair value (amortized cost $34,639,791 and $0, respectively) | 2,739,853 | |
Cash | 26,503,935 | |
Cash margin | 18,011,796 | 9,794,931 |
Net unrealized appreciation on open forward contracts | (335,331) | 2,739,853 |
Total Trading Equity | 52,651,587 | 39,038,719 |
Expense Reimbursement | 9,004 | 7,922 |
Total Assets | 52,660,591 | 39,046,641 |
Liabilities and Partners' Capital: | ||
Net unrealized depreciation on open forward contracts | 335,331 | (2,739,853) |
Cash overdraft | 14,177,153 | |
Accrued expenses: | ||
Professional fees | 41,116 | 48,456 |
Total Liabilities | 14,553,600 | 48,456 |
Partners' Capital: | ||
General Partner | 0 | 0 |
Limited Partners | 38,106,991 | 38,998,185 |
Total Liabilities and Partners' Capital | 52,660,591 | $ 39,046,641 |
Cambridge Master Fund [Member] | U.S. Treasury Bills [Member] | ||
Equity in trading account: | ||
U.S. Treasury bills, at fair value (amortized cost $34,639,791 and $0, respectively) | $ 34,639,791 |
Investments in Affiliated Mas23
Investments in Affiliated Master Fund - Statements of Financial Condition (Parenthetical) (Detail) - U.S. Treasury Bills [Member] - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Condensed Balance Sheet Statements, Captions [Line Items] | ||
U.S. Treasury bills, amortized cost | $ 34,639,791 | |
Cambridge Master Fund [Member] | ||
Condensed Balance Sheet Statements, Captions [Line Items] | ||
U.S. Treasury bills, amortized cost | $ 34,639,791 | $ 0 |
Investments in Affiliated Mas24
Investments in Affiliated Master Fund - Condensed Schedules of Investments (Detail) - Cambridge Master Fund [Member] - USD ($) | 6 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Investment Holdings [Line Items] | ||
Total unrealized depreciation on open forward contracts, Fair Value | $ (9,039,680) | $ 3,229,324 |
Net Fair Value | 34,304,460 | |
Total unrealized appreciation on open forward contracts, Fair Value | $ 8,704,349 | 5,969,177 |
Investment, Fair Value | $ 2,739,853 | |
Net fair value, Percentage of Partners' Capital | 7.03% | |
Percentage of Partners' Capital | 90.02% | |
Currencies [Member] | ||
Investment Holdings [Line Items] | ||
Total unrealized depreciation on open forward contracts, Fair Value | $ (9,039,680) | $ 3,229,324 |
Total unrealized appreciation on open forward contracts, Fair Value | 8,704,349 | $ 5,969,177 |
U.S. Treasury Bills [Member] | ||
Investment Holdings [Line Items] | ||
Investment, Face Amount | $ 34,640,000 | |
Investment, Maturity Date | Sep. 17, 2015 | |
Investment, Fair Value | $ 34,639,791 | |
Percentage of Partners' Capital | 90.90% | |
Unrealized Appreciation on Open Forward Contracts [Member] | ||
Investment Holdings [Line Items] | ||
Percentage of Partners' Capital | 22.84% | 15.31% |
Unrealized Appreciation on Open Forward Contracts [Member] | Currencies [Member] | ||
Investment Holdings [Line Items] | ||
Investment, Face Amount | $ 617,230,346 | $ 391,686,862 |
Percentage of Partners' Capital | 22.84% | 15.31% |
Unrealized Depreciation on Open Forward Contracts [Member] | ||
Investment Holdings [Line Items] | ||
Percentage of Partners' Capital | (23.72%) | (8.28%) |
Unrealized Depreciation on Open Forward Contracts [Member] | Currencies [Member] | ||
Investment Holdings [Line Items] | ||
Investment, Face Amount | $ 687,983,764 | $ 284,639,685 |
Percentage of Partners' Capital | (23.72%) | (8.28%) |
Investments in Affiliated Mas25
Investments in Affiliated Master Fund - Condensed Schedules of Investments (Parenthetical) (Detail) - Jun. 30, 2015 - U.S. Treasury Bills [Member] - USD ($) | Total |
Investment Holdings [Line Items] | |
Investment in U.S. Treasury bills, Amortized cost | $ 34,639,791 |
Investment, Interest rate | 0.0025% |
Investments in Affiliated Mas26
Investments in Affiliated Master Fund - Statements of Income and Expenses (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
INVESTMENT INCOME | ||||
Interest income | $ 198 | $ 502 | $ 419 | $ 1,609 |
EXPENSES | ||||
Total Expenses | 183,672 | 189,969 | 465,258 | 445,381 |
NET INVESTMENT LOSS | (183,474) | (189,467) | (464,839) | (443,772) |
Net gains (losses) on trading of commodity interests: | ||||
Total Trading Results | 234,784 | 2,319 | 1,119,793 | 227,760 |
NET INCOME | 51,310 | (187,148) | 654,954 | (216,012) |
Cambridge Master Fund [Member] | ||||
INVESTMENT INCOME | ||||
Interest income | 672 | 1,450 | 1,433 | 4,427 |
EXPENSES | ||||
Clearing fees | 31,202 | 34,525 | 42,791 | |
Professional fees | 26,179 | 32,927 | 51,208 | 56,573 |
Total Expenses | 57,381 | 32,927 | 85,733 | 99,364 |
Expense reimbursements | (19,940) | (9,704) | (29,925) | (28,218) |
Net expenses | 37,441 | 23,223 | 55,808 | 71,146 |
NET INVESTMENT LOSS | (36,769) | (21,773) | (54,375) | (66,719) |
Net gains (losses) on trading of commodity interests: | ||||
Net realized gains (losses) on closed contracts | 1,172,092 | 1,576,372 | 6,275,389 | 1,199,900 |
Net change in unrealized gains (losses) on open contracts | (484,030) | (1,399,773) | (3,075,184) | (867,226) |
Total Trading Results | 688,062 | 176,599 | 3,200,205 | 332,674 |
NET INCOME | $ 651,293 | $ 154,826 | $ 3,145,830 | $ 265,955 |
Investments in Affiliated Mas27
Investments in Affiliated Master Fund - Statements of Changes in Partners' Capital (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Limited Partners' Capital Account [Line Items] | ||||
Balance | $ 13,769,331 | $ 17,969,072 | ||
NET INCOME | $ 51,310 | $ (187,148) | 654,954 | (216,012) |
Redemptions | (1,271,834) | (3,802,336) | ||
Balance | 13,152,451 | 13,950,724 | 13,152,451 | 13,950,724 |
Cambridge Master Fund [Member] | ||||
Limited Partners' Capital Account [Line Items] | ||||
Balance | 38,998,185 | 37,521,384 | ||
NET INCOME | 651,293 | 154,826 | 3,145,830 | 265,955 |
Subscriptions | 1,636,080 | 3,000,000 | ||
Redemptions | (5,671,671) | (6,524,728) | ||
Distribution of interest income to feeder funds | (1,433) | (4,427) | ||
Balance | $ 38,106,991 | $ 34,258,184 | $ 38,106,991 | $ 34,258,184 |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Class (Detail) - $ / shares | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Per Unit operating performance: | |||||
Net asset value at the beginning of period | $ 8.87 | $ 7.39 | $ 8.49 | $ 7.39 | |
Net Investment Loss | (0.12) | (0.10) | (0.30) | (0.21) | |
Realized/Unrealized Gain | 0.15 | 0.71 | 0.11 | ||
Net Gain/(Loss) | [1] | 0.03 | (0.10) | 0.41 | (0.10) |
Net asset value, end of period | $ 8.90 | $ 7.29 | $ 8.90 | $ 7.29 | |
Ratios to average net assets: | |||||
Net investment income (loss) | (5.20%) | (5.20%) | (6.00%) | (5.70%) | |
Expenses before Incentive Fees | 5.20% | 5.20% | 5.20% | 5.80% | |
Incentive Fees | 0.10% | 0.90% | |||
Expenses after Incentive Fees | 5.30% | 5.20% | 6.10% | 5.80% | |
Total return before Incentive Fees | 0.40% | (1.40%) | 5.70% | (1.40%) | |
Incentive Fees | 0.10% | 0.90% | |||
Total return after Incentive Fees | 0.30% | (1.40%) | 4.80% | (1.40%) | |
Cambridge Master Fund [Member] | |||||
Ratios to average net assets: | |||||
Net investment income (loss) | (0.40%) | (0.20%) | (0.30%) | (0.30%) | |
Operating expenses | 0.40% | 0.20% | 0.30% | 0.40% | |
Total return | 1.60% | 0.40% | 8.10% | 0.70% | |
[1] | Represents the change in net asset value per Unit during the period. |
Financial Highlights - Financ29
Financial Highlights - Financial Highlights for Limited Partner Class (Parenthetical) (Detail) | 6 Months Ended |
Jun. 30, 2014$ / shares | |
Maximum [Member] | |
Financial Highlights Disclosures [Line Items] | |
Interest income | $ 0.005 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Cash holdings percentage for margin requirements used in interest income calculation (in hundredths) | 100.00% |
Percentage of monthly average of 4-week U.S. treasury bill discount rate as rate from partnership interest income (in hundredths) | 80.00% |
Derivatives and Hedging - Addit
Derivatives and Hedging - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Average notional values of currency forward contracts | $ 3,633,929,625 | $ 1,692,098,366 | $ 2,571,910,590 | $ 1,727,005,333 |
Derivatives and Hedging - Offse
Derivatives and Hedging - Offsetting Of Derivative Assets and Liabilities (Detail) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Trading Activity, Gains and Losses, Net [Line Items] | ||
Gross Amounts Recognized, Total Assets | $ 8,704,349 | $ 5,969,177 |
Gross Amounts Offset in the Statements of Financial Condition, Total Assets | (8,704,349) | (3,229,324) |
Net Amounts Presented in the Statement of Financial Condition, Total Assets | 2,739,853 | |
Financial Instruments, Total Assets | 0 | 0 |
Cash Collateral Received/Pledged, Total Assets | 0 | 0 |
Net Amount, Assets, Total Assets | 2,739,853 | |
Gross Amounts Recognized, Total Liabilities | (9,039,680) | (3,229,324) |
Gross Amounts Offset in the Statement of Financial Condition, Total Liabilities | 8,704,349 | 3,229,324 |
Net Amounts Presented in the Statement of Financial Condition, Total Liabilities | (335,331) | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Total Liabilities | (335,331) | |
Net unrealized appreciation (depreciation) on open forwards contracts | (335,331) | 2,739,853 |
Total net unrealized gain (loss) on open contracts, amounts not offset | (335,331) | 2,739,853 |
Forward Contracts [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Gross Amounts Recognized, Total Assets | 8,704,349 | 5,969,177 |
Gross Amounts Offset in the Statements of Financial Condition, Total Assets | (8,704,349) | (3,229,324) |
Net Amounts Presented in the Statement of Financial Condition, Total Assets | 2,739,853 | |
Financial Instruments, Total Assets | 0 | 0 |
Cash Collateral Received/Pledged, Total Assets | 0 | 0 |
Net Amount, Assets, Total Assets | 2,739,853 | |
Gross Amounts Recognized, Total Liabilities | (9,039,680) | (3,229,324) |
Gross Amounts Offset in the Statement of Financial Condition, Total Liabilities | 8,704,349 | 3,229,324 |
Net Amounts Presented in the Statement of Financial Condition, Total Liabilities | (335,331) | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | $ 0 |
Net Amount, Total Liabilities | $ (335,331) |
Derivatives and Hedging - Summa
Derivatives and Hedging - Summary of Gross Fair Values of Derivative Instruments (Detail) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Cambridge Master Fund [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open forward contracts, Fair Value | $ 8,704,349 | $ 5,969,177 |
Total unrealized depreciation on open forward contracts, Fair Value | 9,039,680 | (3,229,324) |
Net unrealized appreciation (depreciation) on open forward contracts | 2,739,853 | |
Cambridge Master Fund [Member] | Currencies [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open forward contracts, Fair Value | 8,704,349 | 5,969,177 |
Total unrealized depreciation on open forward contracts, Fair Value | 9,039,680 | (3,229,324) |
Forward Contracts [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open forward contracts, Fair Value | 8,704,349 | |
Total unrealized depreciation on open forward contracts, Fair Value | (9,039,680) | |
Net unrealized appreciation (depreciation) on open forward contracts | (335,331) | |
Forward Contracts [Member] | Currencies [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open forward contracts, Fair Value | 8,704,349 | |
Total unrealized depreciation on open forward contracts, Fair Value | $ (9,039,680) | |
Forward Contracts [Member] | Cambridge Master Fund [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open forward contracts, Fair Value | 5,969,177 | |
Total unrealized depreciation on open forward contracts, Fair Value | (3,229,324) | |
Net unrealized appreciation (depreciation) on open forward contracts | 2,739,853 | |
Forward Contracts [Member] | Cambridge Master Fund [Member] | Currencies [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open forward contracts, Fair Value | 5,969,177 | |
Total unrealized depreciation on open forward contracts, Fair Value | $ (3,229,324) |
Derivatives and Hedging - Sum34
Derivatives and Hedging - Summary of Trading Gains and Losses, by Market Sector, on Derivatives Instruments (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Trading gains and losses, by market sector | $ 234,784 | $ 2,319 | $ 1,119,793 | $ 227,760 |
Cambridge Master Fund [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Trading gains and losses, by market sector | 688,062 | 176,599 | 3,200,205 | 332,674 |
Cambridge Master Fund [Member] | Currencies [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Trading gains and losses, by market sector | $ 688,062 | $ 176,599 | $ 3,200,205 | $ 332,674 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Cambridge Master Fund [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Transfers of assets or liabilities between Level 1 and Level 2 | $ 0 | $ 0 |
Fair Value Measurements - Asset
Fair Value Measurements - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Detail) - Cambridge Master Fund [Member] - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Assets | ||
Investment in U.S. Treasury bills | $ 2,739,853 | |
Liabilities | ||
Net fair value | $ 34,304,460 | |
U.S. Treasury Bills [Member] | ||
Assets | ||
Investment in U.S. Treasury bills | 34,639,791 | |
Fair Value, Measurements, Recurring [Member] | ||
Assets | ||
Forwards | 8,704,349 | 5,969,177 |
Total Assets | 43,344,140 | 5,969,177 |
Liabilities | ||
Forwards | (9,039,680) | (3,229,324) |
Total Liabilities | (9,039,680) | (3,229,324) |
Net fair value | 34,304,460 | 2,739,853 |
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Bills [Member] | ||
Assets | ||
Investment in U.S. Treasury bills | 34,639,791 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||
Assets | ||
Forwards | 8,704,349 | 5,969,177 |
Total Assets | 43,344,140 | 5,969,177 |
Liabilities | ||
Forwards | (9,039,680) | (3,229,324) |
Total Liabilities | (9,039,680) | (3,229,324) |
Net fair value | 34,304,460 | $ 2,739,853 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | U.S. Treasury Bills [Member] | ||
Assets | ||
Investment in U.S. Treasury bills | $ 34,639,791 |