Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Oct. 31, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | ck0001097396 | |
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 | 1,075,499.476 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 | |
Assets: | |||
Investment in the Master Fund, at fair value | [1] | $ 10,575,287 | $ 13,537,489 |
Cash at bank | 1,000 | ||
Interest receivable | 293 | 598 | |
Total assets | 10,576,580 | 13,538,087 | |
Accrued expenses: | |||
Ongoing placement agent fees | 17,852 | 22,647 | |
General Partner fees | 14,282 | 18,118 | |
Management fees | 13,389 | 16,985 | |
Redemptions payable to Limited Partners | 226,910 | 212,677 | |
Total liabilities | 272,433 | 270,427 | |
Partners' Capital: | |||
General Partner, 12,676.699 and 15,710.066 Units outstanding at September 30, 2016 and December 31, 2015, respectively | 116,159 | 155,804 | |
Limited Partners, 1,111,838.716 and 1,322,204.340 Units outstanding at September 30, 2016 and December 31, 2015, respectively | 10,187,988 | 13,111,856 | |
Total partners' capital (net asset value) | 10,304,147 | 13,267,660 | |
Total liabilities and partners' capital | $ 10,576,580 | $ 13,538,087 | |
Net asset value per Unit | $ 9.16 | $ 9.92 | |
[1] | Defined in Note 1. |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - shares | Sep. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
General Partner, Units outstanding | 12,676.699 | 15,710.066 |
Limited Partners, Units outstanding | 1,111,838.716 | 1,322,204.340 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Investment Income: | ||||
Interest income allocated from the Master Fund | $ 5,799 | $ 1,907 | $ 17,594 | $ 2,326 |
Expenses: | ||||
Ongoing placement agent fees | 56,257 | 68,521 | 185,954 | 205,679 |
General Partner fees | 45,004 | 54,817 | 148,762 | 164,543 |
Management fees | 42,190 | 51,391 | 139,462 | 154,259 |
Incentive fees | 270,499 | 94,111 | 386,005 | |
Total expenses | 143,451 | 445,228 | 568,289 | 910,486 |
Net investment income (loss) | (137,652) | (443,321) | (550,695) | (908,160) |
Net gains (losses) on investment in the Master Fund: | ||||
Net realized gains (losses) on closed contracts allocated from the Master Fund | (283,273) | 1,552,445 | (316,114) | 3,755,887 |
Net change in unrealized gains (losses) on open contracts allocated from the Master Fund | (508,067) | 425,613 | 16,819 | (658,036) |
Total trading results | (791,340) | 1,978,058 | (299,295) | 3,097,851 |
Net income (loss) | $ (928,992) | $ 1,534,737 | $ (849,990) | $ 2,189,691 |
Net income (loss) per Unit | $ (0.79) | $ 1.04 | $ (0.76) | $ 1.45 |
Weighted average number of Units outstanding | 1,169,783.752 | 1,458,295.164 | 1,243,993.288 | 1,523,729.466 |
Statements of Changes in Partne
Statements of Changes in Partners' Capital - USD ($) | Total | Limited Partners [Member] | General Partner [Member] |
Partners' Capital, balance at Dec. 31, 2014 | $ 13,769,331 | $ 13,623,087 | $ 146,244 |
Units of Partnership Interest, balance at Dec. 31, 2014 | 1,621,228.967 | ||
Net Income (Loss) | $ 2,189,691 | 2,164,704 | 24,987 |
Redemptions | $ (1,862,624) | (1,847,624) | (15,000) |
Redemptions (in units) | (203,741.987) | ||
Partners' Capital, balance at Sep. 30, 2015 | $ 14,096,398 | 13,940,167 | 156,231 |
Units of Partnership Interest, balance at Sep. 30, 2015 | 1,417,486.98 | ||
Partners' Capital, balance at Dec. 31, 2015 | $ 13,267,660 | 13,111,856 | 155,804 |
Units of Partnership Interest, balance at Dec. 31, 2015 | 1,337,914.406 | ||
Net Income (Loss) | $ (849,990) | (840,527) | (9,463) |
Redemptions | $ (2,113,523) | (2,083,341) | (30,182) |
Redemptions (in units) | (213,398.991) | ||
Partners' Capital, balance at Sep. 30, 2016 | $ 10,304,147 | $ 10,187,988 | $ 116,159 |
Units of Partnership Interest, balance at Sep. 30, 2016 | 1,124,515.415 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2016 | |
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 4, “Financial Instruments through the Partnership’s Investment in Affiliated Master Fund”). The Futures Interests that are indirectly traded by the Partnership through its investment in Cambridge Master Fund L.P. (the “Master Fund”) are volatile and involve a high degree of market risk. 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. The Partnership is one of the Morgan Stanley Spectrum series of funds, comprised of the Partnership, Morgan Stanley Smith Barney Spectrum Technical L.P., Morgan Stanley Smith Barney Spectrum Select L.P. and Morgan Stanley Smith Barney Spectrum Strategic L.P. 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. All trading decisions for the Partnership are made by The Cambridge Strategy (Asset Management) Limited (“Cambridge” or “Trading Advisor”). On November 1, 2012, the Partnership allocated a portion of its assets to Cambridge for trading through investment in the Master Fund, a limited partnership organized under the partnership laws of the State of Delaware. The 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 the Master Fund. Individual and pooled accounts currently managed by Cambridge, including the Partnership, are permitted to be limited partners of the Master Fund. The General Partner and Cambridge believe that trading through this structure should provide efficiency and economy in the trading process. During the reporting periods ended September 30, 2016 and 2015, the Master Fund’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership/Master Fund also deposits a portion of their cash in a non-trading account at JPMorgan Chase Bank, N.A. Individual and pooled accounts currently managed by the Trading Advisor, including the Partnership, are permitted to be limited partners of the Master Fund. The General Partner and the Trading Advisor believe that trading though this “master/feeder” structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master Fund are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected. As of September 30, 2016 and December 31, 2015, the Partnership owned approximately 14.6% and 22.7% of the Master Fund, respectively. It is the Partnership’s intention to continue to invest in the Master Fund. The performance of the Partnership is directly affected by the performance of the Master Fund. In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The General Partner pays or reimburses the Partnership, from the General Partner fee it receives from the Partnership, the ordinary administrative expenses of the Partnership. This includes the expenses related to the engagement of the Administrator. Therefore, the engagement of the Administrator did not impact the Partnership’s break-even point. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at September 30, 2016, the results of its operations for the three and nine months ended September 30, 2016 and 2015, and changes in partners’ capital for the nine months ended September 30, 2016 and 2015. These financial statements present the results of interim periods and do not include all of the disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s December 31, 2015 Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2015. The December 31, 2015 information has been derived from the audited financial statements as of and for the year ended December 31, 2015. Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. Use of Estimates Profit Allocation Statement of Cash Flows Partnership’s Investment Master Fund’s Investments Master Fund’s Cash Fair Value Financial Instruments Financial Instruments 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 Services — Investment Companies.” Recent Accounting Pronouncement. Recognition and Measurement of Financial Assets and Financial Liabilities Reclassification There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2015. The Master Fund’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2016 and December 31, 2015 and Statements of Income and Expenses for the three and nine months ended September 30, 2016 and 2015 and Changes in Partners’ Capital for the nine months ended September 30, 2016 and 2015 are presented below: Cambridge Master Fund L.P. Statements of Financial Condition (Unaudited) September 30, December 31, 2016 2015 Assets: Equity in trading account: Investment in U.S. Treasury bills, at fair value (amortized cost $49,973,125 and $49,492,685 at September 30, 2016 and December 31, 2015, respectively) $ 49,967,073 $ 49,496,752 Cash margin 23,335,589 10,495,462 Total equity in trading account 73,302,662 59,992,214 Cash at bank 412 - Expense reimbursements 969 190 Total assets $ 73,304,043 $ 59,992,404 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open forward contracts $ 932,030 $ 258,025 Accrued expenses: Professional fees 27,174 24,457 Total liabilities 959,204 282,482 Partners’ Capital: General Partner - - Limited Partners 72,344,839 59,709,922 Total partners’ capital (net asset value) 72,344,839 59,709,922 Total liabilities and partners’ capital $ 73,304,043 $ 59,992,404 Cambridge Master Fund L.P. Condensed Schedules of Investments September 30, 2016 (Unaudited) % of Partners’ Notional ($) Fair Value Capital Unrealized Appreciation on Open Forward Contracts Currencies $ 871,319,157 $ 8,243,605 11.39 % Total unrealized appreciation on open forward contracts 8,243,605 11.39 Unrealized Depreciation on Open Forward Contracts Currencies $ 1,124,643,579 (9,175,635) (12.68) Total unrealized depreciation on open forward contracts (9,175,635) (12.68) Net unrealized depreciation on open forward contracts $ (932,030) (1.29) % U.S. Government Securities % of Partners’ Face Amount Maturity Date Description Fair Value Capital $ 50,000,000 12/29/2016 U.S. Treasury bills, 0.215%* (Amortized cost of $49,973,125) $ 49,967,073 69.07 % * December 31, 2015 % of Partners’ Notional ($) Fair Value Capital Unrealized Appreciation on Open Forward Contracts Currencies $ 862,295,211 $ 10,602,087 17.76 % Total unrealized appreciation on open forward contracts 10,602,087 17.76 Unrealized Depreciation on Open Forward Contracts Currencies $ 840,603,701 (10,860,112) (18.19) Total unrealized depreciation on open forward contracts (10,860,112) (18.19) Net unrealized depreciation on open forward contracts $ (258,025) (0.43) % U.S. Government Securities % of Partners’ Face Amount Maturity Date Description Fair Value Capital $ 49,500,000 1/21/2016 U.S. Treasury bills, 0.019%* (Amortized cost of $49,492,685) $ 49,496,752 82.90 % * Cambridge Master Fund L.P. Statements of Income and Expenses (Unaudited) Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Investment Income: Interest income $ 41,057 $ 5,255 $ 113,589 $ 6,688 Expenses: Clearing fees 32,309 18,868 69,850 53,393 Professional fees 20,103 23,439 61,146 74,647 Total expenses 52,412 42,307 130,996 128,040 Expense reimbursements (7,528) (14,967) (21,153) (44,892) Net expenses 44,884 27,340 109,843 83,148 Net investment income (loss) (3,827) (22,085) 3,746 (76,460) Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (1,935,196) 4,293,339 (2,239,417) 10,568,728 Net change in unrealized gains (losses) on open contracts (3,556,803) 1,300,491 (673,999) (1,774,693) Total trading results (5,491,999) 5,593,830 (2,913,416) 8,794,035 Net income (loss) $ (5,495,826) $ 5,571,745 $ (2,909,670) $ 8,717,575 Cambridge Master Fund L.P. Statements of Changes in Partners’ Capital For the Nine Months Ended September 30, 2016 and 2015 (Unaudited) Partners’ Capital Partners’ Capital, December 31, 2015 $ 59,709,922 Net Income (Loss) (2,909,670) Subscriptions 32,274,427 Redemptions (16,699,923) Distribution of interest income to feeder funds (29,917) Partners’ Capital, September 30, 2016 $ 72,344,839 Partners’ Capital, December 31, 2014 $ 38,998,185 Net Income (Loss) 8,717,575 Subscriptions 2,019,247 Redemptions (9,402,419) Distribution of interest income to feeder funds (1,523) Partners’ Capital, September 30, 2015 $ 40,331,065 |
Financial Highlights
Financial Highlights | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner class as a whole for the Partnership and the Master Fund for the three and nine months ended September 30, 2016 and 2015 were as follows: Financial Highlights of the Partnership: For the Three Months Ended For the Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Per Unit Performance (for a unit outstanding throughout the period): * Net realized and unrealized gains (losses) $ (0.67) $ 1.35 $ (0.32) $ 2.05 Net investment loss (0.12) (0.31) (0.44) (0.60) Net increase (decrease) for the period (0.79) 1.04 (0.76) 1.45 Net asset value per Unit, beginning of period 9.95 8.90 9.92 8.49 Net asset value per Unit, end of period $ 9.16 $ 9.94 $ 9.16 $ 9.94 For the Three Months Ended For the Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (5.0)% (7.0)% (5.8)% (7.9)% Operating expenses before incentive fees 5.2 % 5.0 % 5.2 % 5.1 % Incentive fees - % 2.0 % 0.8 % 2.8 % Operating expenses after incentive fees 5.2 % 7.0 % 6.0 % 7.9 % Total return: Total return before incentive fees (7.9)% 13.7 % (6.9)% 19.9 % Incentive fees - % (2.0)% (0.8)% (2.8)% Total return after incentive fees (7.9)% 11.7 % (7.7)% 17.1 % * Net investment loss per Unit is calculated by dividing the expenses net of interest income by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees if applicable). *** Interest income less total expenses. The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average limited partners’ capital, and includes the income and expenses allocated from the Master Fund. Financial Highlights of the Master Fund: Ratios to average net assets for the three and nine months ended September 30, 2016 and 2015 were as follows: Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Ratios to average net assets:* Net investment income (loss)** (0.0) %*** (0.3) % 0.0 %*** (0.3) % Operating expenses before expense reimbursements 0.3 % 0.4 % 0.2 0.4 % Expense reimbursements (0.1) (0.1) 0.0 *** (0.1) Operating expenses after expense reimbursements 0.2 % 0.3 % 0.2 % 0.3 % Total return (6.8) % 14.7 % (3.4) 24.0 % * Annualized. ** Interest income less total expenses. *** Due to rounding. 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 partners’ capital. |
Financial Instruments through t
Financial Instruments through the Partnership's Investment in Affiliated Master Fund | 9 Months Ended |
Sep. 30, 2016 | |
Investments, All Other Investments [Abstract] | |
Financial Instruments through the Partnership's Investment in Affiliated Master Fund | 4. Financial Instruments through the Partnership’s Investment in Affiliated Master Fund: The 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 net unrealized gain or loss on open contracts. The resulting net change in unrealized gains and losses is reflected in “Net change in unrealized gains (losses) on open contracts allocated from Cambridge Master Fund” from one period to the next in the Statements of Income and Expenses. The Master Fund’s contracts are accounted for on a trade-date basis. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. 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 Master Fund does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations due to changes in market prices of investments held. Such fluctuations are included in total trading results in the Master Fund’s Statements of Income and Expenses. The U.S. Treasury bills, futures, forwards and options traded by the Partnership, indirectly 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 option 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 option contracts are settled on an agreed-upon settlement date. |
Trading Activities
Trading Activities | 9 Months Ended |
Sep. 30, 2016 | |
Brokers and Dealers [Abstract] | |
Trading Activities | 5. Trading Activities: 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 Master Fund 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 nine months ended September 30, 2016 and 2015 were $4,117,410,931 and $2,260,334,402, and $3,748,053,926 and $2,468,051,861, respectively. The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master Fund’s derivative instruments and transactions eligible for offset subject to master netting agreements or similar agreements as of September 30, 2016 and December 31, 2015, respectively. Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ September 30, 2016 Recognized Condition Condition Instruments Pledged* Net Amount Assets Forwards $ 8,243,605 $ (8,243,605) $ - $ - $ - $ - Total assets $ 8,243,605 $ (8,243,605) $ - $ - $ - $ - Liabilities Forwards $ (9,175,635) $ 8,243,605 $ (932,030) $ - $ - $ (932,030) Total liabilities $ (9,175,635) $ 8,243,605 $ (932,030) $ - $ - $ (932,030) Net fair value $ (932,030) * Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ December 31, 2015 Recognized Condition Condition Instruments Pledged* Net Amount Assets Forwards $ 10,602,087 $ (10,602,087) $ - $ - $ - $ - Total assets $ 10,602,087 $ (10,602,087) $ - $ - $ - $ - Liabilities Forwards $ (10,860,112) $ 10,602,087 $ (258,025) $ - $ - $ (258,025) Total liabilities $ (10,860,112) $ 10,602,087 $ (258,025) $ - $ - $ (258,025) Net fair value $ (258,025) * * In the event of default by the Master Fund, MS&Co., the Master Fund’s commodity futures broker and the sole counterparty to the Master Fund’s off exchange-traded contracts, as applicable, has the right to offset the Master Fund’s obligation with the Master Fund’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master Fund is exposed to the amount shown in the Master Fund’s Statements of Financial Condition. In the case of exchange-traded contracts, the Master Fund’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 September 30, 2016 and December 31, 2015, respectively. September 30, 2016 Assets Forward Contracts Currencies $ 8,243,605 Total unrealized appreciation on open forward contracts 8,243,605 Liabilities Forward Contracts Currencies (9,175,635) Total unrealized depreciation on open forward contracts (9,175,635) Net unrealized depreciation on open forward contracts $ (932,030) * * This amount is in “Net unrealized depreciation on open forward contracts” in the Master Fund’s Statements of Financial Condition. December 31, 2015 Assets Forward Contracts Currencies $ 10,602,087 Total unrealized appreciation on open forward contracts 10,602,087 Liabilities Forward Contracts Currencies (10,860,112) Total unrealized depreciation on open forward contracts (10,860,112) Net unrealized depreciation on open forward contracts $ (258,025) * * This amount is in “Net unrealized depreciation on open forward contracts” in the Master Fund’s Statements of Financial Condition. The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2016 and 2015. Three Months Ended September 30, Nine Months Ended September 30, Sector 2016 2015 2016 2015 Currencies $ (5,491,999) $ 5,593,830 $ (2,913,416) $ 8,794,035 Total $ (5,491,999) * $ 5,593,830 * $ (2,913,416) * $ 8,794,035 * * This amount is in “Total trading results” in the Master Fund’s Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 6. Fair Value Measurements: The Master Fund’s Fair Value Measurements. The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. 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 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 U.S. Treasury bills, non-exchange-traded forwards, swaps and certain option contracts for which market quotations are not readily available are priced by broker-dealers or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of September 30, 2016 and December 31, 2015 and for the periods ended September 30, 2016 and 2015, the Master Fund did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2. September 30, 2016 Total Level 1 Level 2 Level 3 Assets Forwards $ 8,243,605 $ - $ 8,243,605 $ - U.S. Treasury bills 49,967,073 - 49,967,073 - Total Assets $ 58,210,678 $ - $ 58,210,678 $ - Liabilities Forwards $ 9,175,635 $ - $ 9,175,635 $ - Total Liabilities $ 9,175,635 $ - $ 9,175,635 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets Forwards $ 10,602,087 $ - $ 10,602,087 $ - U.S. Treasury bills 49,496,752 - 49,496,752 - Total Assets $ 60,098,839 $ - $ 60,098,839 $ - Liabilities Forwards $ 10,860,112 $ - $ 10,860,112 $ - Total Liabilities $ 10,860,112 $ - $ 10,860,112 $ - |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | 7. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before financial statements are issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that, other than the event listed below, there were no subsequent events requiring adjustment to or disclosure in the financial statements. Effective November 1, 2016, the Partnership changed its name from Morgan Stanley Smith Barney Spectrum Currency and Commodity L.P. to Ceres Tactical Currency L.P. |
Basis of Presentation and Sum13
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates |
Profit Allocation | Profit Allocation |
Statement of Cash Flows | Statement of Cash Flows |
Partnership's Investment | Partnership’s Investment |
Master Fund's Investments | Master Fund’s Investments |
Master Fund's Cash | Master Fund’s Cash |
Fair Value Financial Instruments | Fair Value Financial Instruments Financial Instruments |
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 Services — Investment Companies.” |
Recent Accounting Pronouncements | Recent Accounting Pronouncement. Recognition and Measurement of Financial Assets and Financial Liabilities |
Reclassification | Reclassification |
Basis of Presentation and Sum14
Basis of Presentation and Summary of Significant Accounting Policies (Tables) - Cambridge Master Fund LP [Member] | 9 Months Ended |
Sep. 30, 2016 | |
Statements of Financial Condition | The Master Fund’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2016 and December 31, 2015 and Statements of Income and Expenses for the three and nine months ended September 30, 2016 and 2015 and Changes in Partners’ Capital for the nine months ended September 30, 2016 and 2015 are presented below: Cambridge Master Fund L.P. Statements of Financial Condition (Unaudited) September 30, December 31, 2016 2015 Assets: Equity in trading account: Investment in U.S. Treasury bills, at fair value (amortized cost $49,973,125 and $49,492,685 at September 30, 2016 and December 31, 2015, respectively) $ 49,967,073 $ 49,496,752 Cash margin 23,335,589 10,495,462 Total equity in trading account 73,302,662 59,992,214 Cash at bank 412 - Expense reimbursements 969 190 Total assets $ 73,304,043 $ 59,992,404 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open forward contracts $ 932,030 $ 258,025 Accrued expenses: Professional fees 27,174 24,457 Total liabilities 959,204 282,482 Partners’ Capital: General Partner - - Limited Partners 72,344,839 59,709,922 Total partners’ capital (net asset value) 72,344,839 59,709,922 Total liabilities and partners’ capital $ 73,304,043 $ 59,992,404 |
Condensed Schedules of Investments | Cambridge Master Fund L.P. Condensed Schedules of Investments September 30, 2016 (Unaudited) % of Partners’ Notional ($) Fair Value Capital Unrealized Appreciation on Open Forward Contracts Currencies $ 871,319,157 $ 8,243,605 11.39 % Total unrealized appreciation on open forward contracts 8,243,605 11.39 Unrealized Depreciation on Open Forward Contracts Currencies $ 1,124,643,579 (9,175,635) (12.68) Total unrealized depreciation on open forward contracts (9,175,635) (12.68) Net unrealized depreciation on open forward contracts $ (932,030) (1.29) % U.S. Government Securities % of Partners’ Face Amount Maturity Date Description Fair Value Capital $ 50,000,000 12/29/2016 U.S. Treasury bills, 0.215%* (Amortized cost of $49,973,125) $ 49,967,073 69.07 % * December 31, 2015 % of Partners’ Notional ($) Fair Value Capital Unrealized Appreciation on Open Forward Contracts Currencies $ 862,295,211 $ 10,602,087 17.76 % Total unrealized appreciation on open forward contracts 10,602,087 17.76 Unrealized Depreciation on Open Forward Contracts Currencies $ 840,603,701 (10,860,112) (18.19) Total unrealized depreciation on open forward contracts (10,860,112) (18.19) Net unrealized depreciation on open forward contracts $ (258,025) (0.43) % U.S. Government Securities % of Partners’ Face Amount Maturity Date Description Fair Value Capital $ 49,500,000 1/21/2016 U.S. Treasury bills, 0.019%* (Amortized cost of $49,492,685) $ 49,496,752 82.90 % * |
Statements of Income and Expenses | Cambridge Master Fund L.P. Statements of Income and Expenses (Unaudited) Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Investment Income: Interest income $ 41,057 $ 5,255 $ 113,589 $ 6,688 Expenses: Clearing fees 32,309 18,868 69,850 53,393 Professional fees 20,103 23,439 61,146 74,647 Total expenses 52,412 42,307 130,996 128,040 Expense reimbursements (7,528) (14,967) (21,153) (44,892) Net expenses 44,884 27,340 109,843 83,148 Net investment income (loss) (3,827) (22,085) 3,746 (76,460) Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (1,935,196) 4,293,339 (2,239,417) 10,568,728 Net change in unrealized gains (losses) on open contracts (3,556,803) 1,300,491 (673,999) (1,774,693) Total trading results (5,491,999) 5,593,830 (2,913,416) 8,794,035 Net income (loss) $ (5,495,826) $ 5,571,745 $ (2,909,670) $ 8,717,575 |
Statements of Changes in Partners' Capital | Cambridge Master Fund L.P. Statements of Changes in Partners’ Capital For the Nine Months Ended September 30, 2016 and 2015 (Unaudited) Partners’ Capital Partners’ Capital, December 31, 2015 $ 59,709,922 Net Income (Loss) (2,909,670) Subscriptions 32,274,427 Redemptions (16,699,923) Distribution of interest income to feeder funds (29,917) Partners’ Capital, September 30, 2016 $ 72,344,839 Partners’ Capital, December 31, 2014 $ 38,998,185 Net Income (Loss) 8,717,575 Subscriptions 2,019,247 Redemptions (9,402,419) Distribution of interest income to feeder funds (1,523) Partners’ Capital, September 30, 2015 $ 40,331,065 |
Financial Highlights (Tables)
Financial Highlights (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Text Block [Abstract] | |
Financial Highlights for Limited Partner Class | Financial highlights for the limited partner class as a whole for the Partnership and the Master Fund for the three and nine months ended September 30, 2016 and 2015 were as follows: Financial Highlights of the Partnership: For the Three Months Ended For the Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Per Unit Performance (for a unit outstanding throughout the period): * Net realized and unrealized gains (losses) $ (0.67) $ 1.35 $ (0.32) $ 2.05 Net investment loss (0.12) (0.31) (0.44) (0.60) Net increase (decrease) for the period (0.79) 1.04 (0.76) 1.45 Net asset value per Unit, beginning of period 9.95 8.90 9.92 8.49 Net asset value per Unit, end of period $ 9.16 $ 9.94 $ 9.16 $ 9.94 For the Three Months Ended For the Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (5.0)% (7.0)% (5.8)% (7.9)% Operating expenses before incentive fees 5.2 % 5.0 % 5.2 % 5.1 % Incentive fees - % 2.0 % 0.8 % 2.8 % Operating expenses after incentive fees 5.2 % 7.0 % 6.0 % 7.9 % Total return: Total return before incentive fees (7.9)% 13.7 % (6.9)% 19.9 % Incentive fees - % (2.0)% (0.8)% (2.8)% Total return after incentive fees (7.9)% 11.7 % (7.7)% 17.1 % * Net investment loss per Unit is calculated by dividing the expenses net of interest income by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees if applicable). *** Interest income less total expenses. The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average limited partners’ capital, and includes the income and expenses allocated from the Master Fund. Financial Highlights of the Master Fund: Ratios to average net assets for the three and nine months ended September 30, 2016 and 2015 were as follows: Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 Ratios to average net assets:* Net investment income (loss)** (0.0) %*** (0.3) % 0.0 %*** (0.3) % Operating expenses before expense reimbursements 0.3 % 0.4 % 0.2 0.4 % Expense reimbursements (0.1) (0.1) 0.0 *** (0.1) Operating expenses after expense reimbursements 0.2 % 0.3 % 0.2 % 0.3 % Total return (6.8) % 14.7 % (3.4) 24.0 % * Annualized. ** Interest income less total expenses. *** Due to rounding. |
Trading Activities (Tables)
Trading Activities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Brokers and Dealers [Abstract] | |
Offsetting of Derivative Assets and Liabilities | The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master Fund’s derivative instruments and transactions eligible for offset subject to master netting agreements or similar agreements as of September 30, 2016 and December 31, 2015, respectively. Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ September 30, 2016 Recognized Condition Condition Instruments Pledged* Net Amount Assets Forwards $ 8,243,605 $ (8,243,605) $ - $ - $ - $ - Total assets $ 8,243,605 $ (8,243,605) $ - $ - $ - $ - Liabilities Forwards $ (9,175,635) $ 8,243,605 $ (932,030) $ - $ - $ (932,030) Total liabilities $ (9,175,635) $ 8,243,605 $ (932,030) $ - $ - $ (932,030) Net fair value $ (932,030) * Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ December 31, 2015 Recognized Condition Condition Instruments Pledged* Net Amount Assets Forwards $ 10,602,087 $ (10,602,087) $ - $ - $ - $ - Total assets $ 10,602,087 $ (10,602,087) $ - $ - $ - $ - Liabilities Forwards $ (10,860,112) $ 10,602,087 $ (258,025) $ - $ - $ (258,025) Total liabilities $ (10,860,112) $ 10,602,087 $ (258,025) $ - $ - $ (258,025) Net fair value $ (258,025) * * In the event of default by the Master Fund, MS&Co., the Master Fund’s commodity futures broker and the sole counterparty to the Master Fund’s off exchange-traded contracts, as applicable, has the right to offset the Master Fund’s obligation with the Master Fund’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master Fund is exposed to the amount shown in the Master Fund’s Statements of Financial Condition. In the case of exchange-traded contracts, the Master Fund’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. |
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 forward contracts as separate assets and liabilities as of September 30, 2016 and December 31, 2015, respectively. September 30, 2016 Assets Forward Contracts Currencies $ 8,243,605 Total unrealized appreciation on open forward contracts 8,243,605 Liabilities Forward Contracts Currencies (9,175,635) Total unrealized depreciation on open forward contracts (9,175,635) Net unrealized depreciation on open forward contracts $ (932,030) * * This amount is in “Net unrealized depreciation on open forward contracts” in the Master Fund’s Statements of Financial Condition. December 31, 2015 Assets Forward Contracts Currencies $ 10,602,087 Total unrealized appreciation on open forward contracts 10,602,087 Liabilities Forward Contracts Currencies (10,860,112) Total unrealized depreciation on open forward contracts (10,860,112) Net unrealized depreciation on open forward contracts $ (258,025) * * This amount is in “Net unrealized depreciation on open forward contracts” in the Master Fund’s Statements of Financial Condition. |
Trading Gains and Losses, by Market Sector, on Derivative Instruments | The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2016 and 2015. Three Months Ended September 30, Nine Months Ended September 30, Sector 2016 2015 2016 2015 Currencies $ (5,491,999) $ 5,593,830 $ (2,913,416) $ 8,794,035 Total $ (5,491,999) * $ 5,593,830 * $ (2,913,416) * $ 8,794,035 * * This amount is in “Total trading results” in the Master Fund’s Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Derivative Instrument Fair Value Based on Hierarchy | September 30, 2016 Total Level 1 Level 2 Level 3 Assets Forwards $ 8,243,605 $ - $ 8,243,605 $ - U.S. Treasury bills 49,967,073 - 49,967,073 - Total Assets $ 58,210,678 $ - $ 58,210,678 $ - Liabilities Forwards $ 9,175,635 $ - $ 9,175,635 $ - Total Liabilities $ 9,175,635 $ - $ 9,175,635 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets Forwards $ 10,602,087 $ - $ 10,602,087 $ - U.S. Treasury bills 49,496,752 - 49,496,752 - Total Assets $ 60,098,839 $ - $ 60,098,839 $ - Liabilities Forwards $ 10,860,112 $ - $ 10,860,112 $ - Total Liabilities $ 10,860,112 $ - $ 10,860,112 $ - |
Organization - Additional Infor
Organization - Additional Information (Detail) - Vehicle | Sep. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2016 |
Cambridge Master Fund [Member] | |||
Schedule Of Trading Advisors [Line Items] | |||
Number of trading vehicle | 1 | ||
Cambridge Master Fund LP [Member] | |||
Schedule Of Trading Advisors [Line Items] | |||
Percentage of Partnership owned | 14.60% | 22.70% |
Basis of Presentation and Sum19
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Cash denominated in foreign currencies | $ 840 | $ 817 |
Cost of foreign currencies | 880 | 863 |
Cash margin | 39,523,300 | 23,516,491 |
Provision for income tax | 0 | |
MS&Co [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Cash margin | 23,335,589 | 10,495,462 |
Cambridge Master Fund LP [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Cash margin | $ 23,335,589 | 10,495,462 |
Cash overdraft | $ 13,021,029 |
Basis of Presentation and Sum20
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Detail) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | |
Equity in trading account: | |||||
Investment in U.S. Treasury bills, at fair value (amortized cost $49,973,125 and $49,492,685 at September 30, 2016 and December 31, 2015, respectively) | [1] | $ 10,575,287 | $ 13,537,489 | ||
Cash margin | 39,523,300 | 23,516,491 | |||
Cash at bank | 1,000 | ||||
Total assets | 10,576,580 | 13,538,087 | |||
Accrued expenses: | |||||
Total liabilities | 272,433 | 270,427 | |||
Partners' Capital: | |||||
General Partner | 116,159 | 155,804 | |||
Limited Partners | 10,187,988 | 13,111,856 | |||
Total partners' capital (net asset value) | 10,304,147 | 13,267,660 | $ 14,096,398 | $ 13,769,331 | |
Total liabilities and partners' capital | 10,576,580 | 13,538,087 | |||
Forward Contracts [Member] | |||||
Liabilities: | |||||
Net unrealized depreciation on open forward contracts | (932,030) | (258,025) | |||
Cambridge Master Fund LP [Member] | |||||
Equity in trading account: | |||||
Investment in U.S. Treasury bills, at fair value (amortized cost $49,973,125 and $49,492,685 at September 30, 2016 and December 31, 2015, respectively) | 49,967,073 | 49,496,752 | |||
Cash margin | 23,335,589 | 10,495,462 | |||
Total equity in trading account | 73,302,662 | 59,992,214 | |||
Cash at bank | 412 | ||||
Expense reimbursements | 969 | 190 | |||
Total assets | 73,304,043 | 59,992,404 | |||
Accrued expenses: | |||||
Professional fees | 27,174 | 24,457 | |||
Total liabilities | 959,204 | 282,482 | |||
Partners' Capital: | |||||
General Partner | 0 | 0 | |||
Limited Partners | 72,344,839 | 59,709,922 | |||
Total partners' capital (net asset value) | 72,344,839 | 59,709,922 | $ 40,331,065 | $ 38,998,185 | |
Total liabilities and partners' capital | 73,304,043 | 59,992,404 | |||
Cambridge Master Fund LP [Member] | Forward Contracts [Member] | |||||
Liabilities: | |||||
Net unrealized depreciation on open forward contracts | $ (932,030) | $ (258,025) | |||
[1] | Defined in Note 1. |
Basis of Presentation and Sum21
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Parenthetical) (Detail) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Cambridge Master Fund LP [Member] | ||
Condensed Financial Statements, Captions [Line Items] | ||
Investment in U.S. Treasury bills, cost | $ 49,973,125 | $ 49,492,685 |
Basis of Presentation and Sum22
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedules of Investments (Detail) - USD ($) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Investments [Line Items] | |||
Investment, Fair Value | [1] | $ 10,575,287 | $ 13,537,489 |
Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | (932,030) | (258,025) | |
Cambridge Master Fund LP [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Fair Value | 49,967,073 | 49,496,752 | |
Cambridge Master Fund LP [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | $ (932,030) | $ (258,025) | |
Percentage of Partners' Capital | (1.29%) | (0.43%) | |
Cambridge Master Fund LP [Member] | U.S. Treasury Bills, 0.215% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 50,000,000 | ||
Investment, Maturity Date | Dec. 29, 2016 | ||
Investment, Fair Value | $ 49,967,073 | ||
Percentage of Partners' Capital | 69.07% | ||
Cambridge Master Fund LP [Member] | U.S. Treasury Bills, 0.019% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 49,500,000 | ||
Investment, Maturity Date | Jan. 21, 2016 | ||
Investment, Fair Value | $ 49,496,752 | ||
Percentage of Partners' Capital | 82.90% | ||
Cambridge Master Fund LP [Member] | Net Unrealized Depreciation On Open Forward Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized depreciation on forward contracts | $ (9,175,635) | $ (10,860,112) | |
Percentage of Partners' Capital | (12.68%) | (18.19%) | |
Cambridge Master Fund LP [Member] | Net Unrealized Depreciation On Open Forward Contracts [Member] | Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Notional | $ 1,124,643,579 | $ 840,603,701 | |
Total unrealized depreciation on forward contracts | $ (9,175,635) | $ (10,860,112) | |
Percentage of Partners' Capital | (12.68%) | (18.19%) | |
Cambridge Master Fund LP [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open forward contracts | $ 8,243,605 | $ 10,602,087 | |
Percentage of Partners' Capital | 11.39% | 17.76% | |
Cambridge Master Fund LP [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Notional | $ 871,319,157 | $ 862,295,211 | |
Total unrealized appreciation on open forward contracts | $ 8,243,605 | $ 10,602,087 | |
Percentage of Partners' Capital | 11.39% | 17.76% | |
[1] | Defined in Note 1. |
Basis of Presentation and Sum23
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedules of Investments (Parenthetical) (Detail) - Cambridge Master Fund LP [Member] - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 49,973,125 | $ 49,492,685 |
U.S. Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, interest rate | 0.215% | 0.019% |
Investment in U.S. Treasury bills, Amortized cost | $ 49,973,125 | $ 49,492,685 |
Basis of Presentation and Sum24
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Investment Income: | ||||
Interest income | $ 5,799 | $ 1,907 | $ 17,594 | $ 2,326 |
Expenses: | ||||
Total expenses | 143,451 | 445,228 | 568,289 | 910,486 |
Net investment income (loss) | (137,652) | (443,321) | (550,695) | (908,160) |
Net gains (losses) on trading of commodity interests: | ||||
Net realized gains (losses) on closed contracts | (283,273) | 1,552,445 | (316,114) | 3,755,887 |
Net change in unrealized gains (losses) on open contracts | (508,067) | 425,613 | 16,819 | (658,036) |
Total trading results | (791,340) | 1,978,058 | (299,295) | 3,097,851 |
Net Income (Loss) | (928,992) | 1,534,737 | (849,990) | 2,189,691 |
Cambridge Master Fund LP [Member] | ||||
Investment Income: | ||||
Interest income | 41,057 | 5,255 | 113,589 | 6,688 |
Expenses: | ||||
Clearing fees | 32,309 | 18,868 | 69,850 | 53,393 |
Professional fees | 20,103 | 23,439 | 61,146 | 74,647 |
Total expenses | 52,412 | 42,307 | 130,996 | 128,040 |
Expense reimbursements | (7,528) | (14,967) | (21,153) | (44,892) |
Net expenses | 44,884 | 27,340 | 109,843 | 83,148 |
Net investment income (loss) | (3,827) | (22,085) | 3,746 | (76,460) |
Net gains (losses) on trading of commodity interests: | ||||
Net realized gains (losses) on closed contracts | (1,935,196) | 4,293,339 | (2,239,417) | 10,568,728 |
Net change in unrealized gains (losses) on open contracts | (3,556,803) | 1,300,491 | (673,999) | (1,774,693) |
Total trading results | (5,491,999) | 5,593,830 | (2,913,416) | 8,794,035 |
Net Income (Loss) | $ (5,495,826) | $ 5,571,745 | $ (2,909,670) | $ 8,717,575 |
Basis of Presentation and Sum25
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Changes in Partners' Capital (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Limited Partners' Capital Account [Line Items] | ||||
Partners' Capital, balance | $ 13,267,660 | $ 13,769,331 | ||
Net Income (Loss) | $ (928,992) | $ 1,534,737 | (849,990) | 2,189,691 |
Redemptions | (2,113,523) | (1,862,624) | ||
Partners' Capital, balance | 10,304,147 | 14,096,398 | 10,304,147 | 14,096,398 |
Cambridge Master Fund LP [Member] | ||||
Limited Partners' Capital Account [Line Items] | ||||
Partners' Capital, balance | 59,709,922 | 38,998,185 | ||
Net Income (Loss) | (5,495,826) | 5,571,745 | (2,909,670) | 8,717,575 |
Subscriptions | 32,274,427 | 2,019,247 | ||
Redemptions | (16,699,923) | (9,402,419) | ||
Distribution of interest income to feeder funds | (29,917) | (1,523) | ||
Partners' Capital, balance | $ 72,344,839 | $ 40,331,065 | $ 72,344,839 | $ 40,331,065 |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Class (Detail) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net asset value per Unit, beginning of period | $ 9.92 | |||
Net asset value per Unit, end of period | $ 9.16 | $ 9.16 | ||
Cambridge Master Fund LP [Member] | ||||
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | 0.00% | (0.30%) | 0.00% | (0.30%) |
Operating expenses before expense reimbursements | 0.30% | 0.40% | 0.20% | 0.40% |
Expense reimbursements | (0.10%) | (0.10%) | 0.00% | (0.10%) |
Operating expenses after expense reimbursements | 0.20% | 0.30% | 0.20% | 0.30% |
Total return | (6.80%) | 14.70% | (3.40%) | 24.00% |
Limited Partners [Member] | ||||
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | $ (0.67) | $ 1.35 | $ (0.32) | $ 2.05 |
Net investment loss | (0.12) | (0.31) | (0.44) | (0.60) |
Net increase (decrease) for the period | (0.79) | 1.04 | (0.76) | 1.45 |
Net asset value per Unit, beginning of period | 9.95 | 8.90 | 9.92 | 8.49 |
Net asset value per Unit, end of period | $ 9.16 | $ 9.94 | $ 9.16 | $ 9.94 |
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | (5.00%) | (7.00%) | (5.80%) | (7.90%) |
Operating expenses before incentive fees | 5.20% | 5.00% | 5.20% | 5.10% |
Incentive fees | 2.00% | 0.80% | 2.80% | |
Operating expenses after incentive fees | 5.20% | 7.00% | 6.00% | 7.90% |
Total return: | ||||
Total return before incentive fees | (7.90%) | 13.70% | (6.90%) | 19.90% |
Incentive fees | (2.00%) | (0.80%) | (2.80%) | |
Total return after incentive fees | (7.90%) | 11.70% | (7.70%) | 17.10% |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Forward Contracts [Member] | Currencies [Member] | Weighted Average [Member] | ||||
Derivative [Line Items] | ||||
Average notional values of currency forward contracts | $ 4,117,410,931 | $ 3,748,053,926 | $ 2,260,334,402 | $ 2,468,051,861 |
Trading Activities - Offsetting
Trading Activities - Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 8,243,605 | $ 10,602,087 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (8,243,605) | (10,602,087) |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 0 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 0 | 0 |
Gross Amounts Recognized, Liabilities | (9,175,635) | (10,860,112) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 8,243,605 | 10,602,087 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (932,030) | (258,025) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | (932,030) | (258,025) |
Net fair value | (932,030) | (258,025) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 8,243,605 | 10,602,087 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (8,243,605) | (10,602,087) |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 0 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 0 | 0 |
Gross Amounts Recognized, Liabilities | (9,175,635) | (10,860,112) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 8,243,605 | 10,602,087 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (932,030) | (258,025) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | $ (932,030) | $ (258,025) |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) - Forward Contracts [Member] - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Net unrealized appreciation (depreciation) on open forward contracts | $ (932,030) | $ (258,025) |
Liabilities [Member] | ||
Derivative [Line Items] | ||
Total unrealized depreciation on open forward contracts | (9,175,635) | (10,860,112) |
Liabilities [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized depreciation on open forward contracts | (9,175,635) | (10,860,112) |
Assets [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open forward contracts | 8,243,605 | 10,602,087 |
Assets [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open forward contracts | $ 8,243,605 | $ 10,602,087 |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative [Line Items] | ||||
Trading gains and losses | $ (5,491,999) | $ 5,593,830 | $ (2,913,416) | $ 8,794,035 |
Currencies [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | $ (5,491,999) | $ 5,593,830 | $ (2,913,416) | $ 8,794,035 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - Cambridge Master Fund LP [Member] - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Transfers of assets between Level 1 and Level 2 | $ 0 | $ 0 |
Transfers of liabilities between Level 1 and Level 2 | $ 0 | $ 0 |
Fair Value Measurements - Deriv
Fair Value Measurements - Derivative Instrument Fair Value Based on Hierarchy (Detail) - Cambridge Master Fund LP [Member] - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative assets | $ 58,210,678 | $ 60,098,839 |
Derivative liabilities | 9,175,635 | 10,860,112 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 8,243,605 | 10,602,087 |
Derivative liabilities | 9,175,635 | 10,860,112 |
U.S. Treasury Bills [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 49,967,073 | 49,496,752 |
Level 2 [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 58,210,678 | 60,098,839 |
Derivative liabilities | 9,175,635 | 10,860,112 |
Level 2 [Member] | Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative assets | 8,243,605 | 10,602,087 |
Derivative liabilities | 9,175,635 | 10,860,112 |
Level 2 [Member] | U.S. Treasury Bills [Member] | ||
Derivative [Line Items] | ||
Derivative assets | $ 49,967,073 | $ 49,496,752 |