Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Oct. 31, 2017 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | ck0001097396 | |
Entity Registrant Name | CERES TACTICAL CURRENCY 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 | 823,974.111 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | |
Assets: | |||
Investment in the Master Fund, at fair value | [1] | $ 7,938,349 | $ 9,322,120 |
Cash at bank | 1,000 | 1,000 | |
Interest receivable | 2,775 | 489 | |
Total assets | 7,942,124 | 9,323,609 | |
Accrued expenses: | |||
Ongoing placement agent fees | 13,405 | 16,322 | |
General Partner fees | 10,724 | 13,058 | |
Management fees | 10,054 | 12,242 | |
Redemptions payable to Limited Partners | 121,562 | 186,992 | |
Total liabilities | 155,745 | 228,614 | |
Partners' Capital: | |||
General Partner | 101,337 | 112,063 | |
Limited Partners | 7,685,042 | 8,982,932 | |
Total partners' capital (net asset value) | 7,786,379 | 9,094,995 | |
Total liabilities and partners' capital | $ 7,942,124 | $ 9,323,609 | |
Net asset value per Unit | $ 9.11 | $ 8.84 | |
[1] | Defined in Note 1. |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - shares | Sep. 30, 2017 | Dec. 31, 2016 |
Statement of Financial Position [Abstract] | ||
General Partner, Units outstanding | 11,123.904 | 12,676.699 |
Limited Partners, Units outstanding | 843,544.586 | 1,016,152.188 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | ||
Investment Income: | |||||
Interest income allocated from the Master Fund | $ 14,389 | $ 5,799 | $ 35,829 | $ 17,594 | |
Expenses: | |||||
Ongoing placement agent fees | 41,663 | 56,257 | 131,668 | 185,954 | |
General Partner fees | 33,331 | 45,004 | 105,334 | 148,762 | |
Management fees | 31,247 | 42,190 | 98,750 | 139,462 | |
Incentive fees | 94,111 | ||||
Total expenses | 106,241 | 143,451 | 335,752 | 568,289 | |
Net investment income (loss) | (91,852) | (137,652) | (299,923) | (550,695) | |
Net gains (losses) on investment in the Master Fund: | |||||
Net realized gains (losses) on closed contracts allocated from the Master Fund | (231,894) | (283,273) | 473,133 | (316,114) | |
Net change in unrealized gains (losses) on open contracts allocated from the Master Fund | (162,827) | (508,067) | 155,263 | 16,819 | |
Total trading results | (394,721) | (791,340) | 628,396 | (299,295) | |
Net income (loss) | $ (486,573) | $ (928,992) | $ 328,473 | $ (849,990) | |
Net income (loss) per Unit | [1] | $ (0.55) | $ (0.79) | $ 0.27 | $ (0.76) |
Weighted average number of Units outstanding | 878,755.022 | 1,169,783.752 | 937,461.930 | 1,243,993.288 | |
[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] |
Units of Partnership Interest, balance at Dec. 31, 2015 | 1,337,914.406 | ||
Redemptions | (210,365.624) | (3,033.367) | |
Units of Partnership Interest, balance at Sep. 30, 2016 | 1,124,515.415 | ||
Partners' Capital, balance at Dec. 31, 2015 | $ 13,267,660 | $ 13,111,856 | $ 155,804 |
Redemptions - General Partner | (30,182) | (30,182) | |
Redemptions - Limited Partners | (2,083,341) | (2,083,341) | |
Net income (loss) | (849,990) | (840,527) | (9,463) |
Partners' Capital, balance at Sep. 30, 2016 | $ 10,304,147 | $ 10,187,988 | $ 116,159 |
Units of Partnership Interest, balance at Dec. 31, 2016 | 1,028,828.887 | ||
Redemptions | (172,607.602) | (1,552.795) | |
Units of Partnership Interest, balance at Sep. 30, 2017 | 854,668.490 | ||
Partners' Capital, balance at Dec. 31, 2016 | $ 9,094,995 | $ 8,982,932 | $ 112,063 |
Redemptions - General Partner | (15,000) | (15,000) | |
Redemptions - Limited Partners | (1,622,089) | (1,622,089) | |
Net income (loss) | 328,473 | 324,199 | 4,274 |
Partners' Capital, balance at Sep. 30, 2017 | $ 7,786,379 | $ 7,685,042 | $ 101,337 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Ceres Tactical Currency 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 the 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 of the Partnership. As of January 1, 2017, Ceres became a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to January 1, 2017, the General Partner was a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC. All trading decisions for the Partnership are made by The Cambridge Strategy (Asset Management) Limited (“Cambridge” or “Trading Advisor”). During the reporting periods ended September 30, 2017 and 2016, the Partnership’s and the Master Fund’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) may also act as a foreign exchange forward or swap counterparty for the Master Fund. The Partnership/Master Fund also deposit a portion of their cash in a non-trading 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 “master/feeder” structure should provide 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. The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended September 30, 2017. As of September 30, 2017 and December 31, 2016, the Partnership owned approximately 21.1% and 16.3% 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, 2017 | |
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, 2017, the results of its operations for the three and nine months ended September 30, 2017 and 2016 and the changes in partners’ capital for the nine months ended September 30, 2017 and 2016. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K “Form 10-K”) 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 Statement of Cash Flows. Partnership’s Investment Master Fund’s Investments 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 Partnership’s Statements of Income and Expenses. Master Fund’s Cash Income Taxes. Income Taxes, “more-likely-than-not” more-likely-than-not Investment Company Status 2013-08, Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements Net Income (Loss) per Unit Financial Services — Investment Companies.” 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 The Master Fund’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2017 and December 31, 2016, Statements of Income and Expenses for the three and nine months ended September 30, 2017 and 2016 and Changes in Partners’ Capital for the nine months ended September 30, 2017 and 2016 are presented below: Cambridge Master Fund L.P. Statements of Financial Condition September 30, 2017 December 31, Assets: Equity in trading accounts: Unrestricted cash $ 22,706,016 $ 38,139,290 Restricted cash 14,818,884 20,142,391 Net unrealized appreciation on open forward contracts 61,672 - Total equity in trading accounts 37,586,572 58,281,681 Cash at bank 528 217 Expense reimbursements 1,053 568 Total assets $ 37,588,153 $ 58,282,466 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open forward contracts $ - $ 1,094,500 Accrued expenses: Professional fees 37,728 31,100 Total liabilities 37,728 1,125,600 Partners’ Capital: General Partner - - Limited Partners 37,550,425 57,156,866 Total partners’ capital (net asset value) 37,550,425 57,156,866 Total liabilities and partners’ capital $ 37,588,153 $ 58,282,466 Cambridge Master Fund L.P. Condensed Schedules of Investments September 30, 2017 (Unaudited) Notional ($) Fair Value % of Partners’ Capital Unrealized Appreciation on Open Forward Contracts Currencies $ 771,147,960 $ 7,816,787 20.81 % Total unrealized appreciation on open forward contracts 7,816,787 20.81 Unrealized Depreciation on Open Forward Contracts Currencies $ 652,184,029 (7,755,115 ) (20.65) Total unrealized depreciation on open forward contracts (7,755,115 ) (20.65) Net unrealized appreciation on open forward contracts $ 61,672 0.16 % December 31, 2016 Notional ($) Fair Value % of Partners’ Unrealized Appreciation on Open Forward Contracts Currencies $ 574,487,744 $ 10,266,204 17.96 % Total unrealized appreciation on open forward contracts 10,266,204 17.96 Unrealized Depreciation on Open Forward Contracts Currencies $ 606,733,180 (11,360,704 ) (19.88) Total unrealized depreciation on open forward contracts (11,360,704 ) (19.88) Net unrealized depreciation on open forward contracts $ (1,094,500 ) (1.92) % Cambridge Master Fund L.P. Statements of Income and Expenses (Unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2017 2016 2017 2016 Investment Income: Interest income $ 74,300 $ 41,057 $ 200,296 $ 113,589 Expenses: Clearing fees 25,271 32,309 71,649 69,850 Professional fees 14,947 20,103 44,839 61,146 Total expenses 40,218 52,412 116,488 130,996 Expense reimbursements (8,124 ) (7,528 ) (21,916 ) (21,153 ) Net expenses 32,094 44,884 94,572 109,843 Net investment income (loss) 42,206 (3,827 ) 105,724 3,746 Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (1,096,651 ) (1,935,196 ) 2,556,171 (2,239,417 ) Net change in unrealized gains (losses) on open contracts (850,420 ) (3,556,803 ) 1,156,174 (673,999 ) Total trading results (1,947,071 ) (5,491,999 ) 3,712,345 (2,913,416 ) Net income (loss) $ (1,904,865 ) $ (5,495,826 ) $ 3,818,069 $ (2,909,670 ) Cambridge Master Fund L.P. Statements of Changes in Partners’ Capital For the Nine Months Ended September 30, 2017 and 2016 (Unaudited) Partners’ Partners’ Capital, December 31, 2016 $ 57,156,866 Redemptions - Limited Partners (23,241,306 ) Net income (loss) 3,818,069 Distribution of interest income to feeder funds (183,204 ) Partners’ Capital, September 30, 2017 $ 37,550,425 Partners’ Capital, December 31, 2015 $ 59,709,922 Subscriptions - Limited Partners 32,274,427 Redemptions - Limited Partners (16,699,923 ) Net income (loss) (2,909,670 ) Distribution of interest income to feeder funds (29,917 ) Partners’ Capital, September 30, 2016 $ 72,344,839 |
Financial Highlights
Financial Highlights | 9 Months Ended |
Sep. 30, 2017 | |
Text Block [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner class as a whole for the three and nine months ended September 30, 2017 and 2016 were as follows: Financial Highlights of the Partnership: For the Three Months Ended For the Nine Months Ended September 30, 2017 2016 2017 2016 Per Unit Performance (for a unit outstanding throughout the period): * Net realized and unrealized gains (losses) $ (0.45) $ (0.67) $ 0.59 $ (0.32) Net investment loss (0.10) (0.12) (0.32) (0.44) Net increase (decrease) for the period (0.55) (0.79) 0.27 (0.76) Net asset value per Unit, beginning of period 9.66 9.95 8.84 9.92 Net asset value per Unit, end of period $ 9.11 $ 9.16 $ 9.11 $ 9.16 For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (4.4) % (5.0) % (4.6) % (5.8) % Operating expenses before incentive fees 5.1 % 5.2 % 5.2 % 5.2 % Incentive fees - % - % - % 0.8 % Operating expenses after incentive fees 5.1 % 5.2 % 5.2 % 6.0 % Total return: Total return before incentive fees (5.7) % (7.9) % 3.1 % (6.9) % Incentive fees - % - % - % (0.8) % Total return after incentive fees (5.7) % (7.9) % 3.1 % (7.7) % * Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees 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 include 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, 2017 and 2016 were as follows: Three Months Ended Nine Months Ended September 2017 2016 2017 2016 Ratios to Average Limited Partners’ Capital:* Net investment income (loss)** 0.4 % (0.0 ) % *** 0.3 % 0.0 % *** Operating expenses before expense reimbursements 0.4 % 0.3 % 0.3 % 0.2 % Expense reimbursements (0.1 ) (0.1 ) (0.1) (0.0) *** Operating expenses after expense reimbursements 0.3 % 0.2 % 0.2 % 0.2 % Total return (4.6) % (6.8) % 6.9 % (3.4) % * Annualized. ** Interest income less total expenses. *** Due to rounding. The above ratios and total return may vary for individual investors in the Master Fund based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class of the Master Fund using the limited partners’ share of income, expenses and average partners’ capital. |
Financial Instruments through t
Financial Instruments through the Partnership's Investment in the Master Fund | 9 Months Ended |
Sep. 30, 2017 | |
Investments, All Other Investments [Abstract] | |
Financial Instruments through the Partnership's Investment in the Master Fund | 4. Financial Instruments through the Partnership’s Investment in the 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 the 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 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 and Futures Interests 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 non-exchange non-exchange In the ordinary course of business, the Partnership, indirectly through its investment in the Master Fund, enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s and Master Fund’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership and the Master Fund. The Partnership and Master Fund consider the risk of any future obligation relating to these indemnifications to be remote. |
Trading Activities
Trading Activities | 9 Months Ended |
Sep. 30, 2017 | |
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. All of the Futures Interests owned by the Master Fund are held for trading purposes. The monthly average notional values of currency forward contracts traded by the Master Fund during the three months ended September 30, 2017 and 2016 were $3,561,017,859 and $4,117,410,931, respectively. The monthly average notional values of currency forward contracts traded by the Master Fund during the nine months ended September 30, 2017 and 2016 were $3,266,444,753 and $3,748,053,926, 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, 2017 and December 31, 2016, respectively. Gross Amounts Gross Amounts Financial Net Amounts Financial Gross Amounts Not Offset in the Net Amount September 30, 2017 Financial Cash Collateral Received/ Assets MS&Co. Forwards $ 255,632 $ (254,729 ) $ 903 $ - $ - $ 903 JPMorgan Forwards 7,561,155 (7,500,386 ) 60,769 - - 60,769 Total assets $ 7,816,787 $ (7,755,115 ) $ 61,672 $ - $ - $ 61,672 Liabilities MS&Co. Forwards $ (254,729 ) $ 254,729 $ - $ - $ - $ - JPMorgan Forwards (7,500,386 ) 7,500,386 - - - - Total liabilities $ (7,755,115 ) $ 7,755,115 $ - $ - $ - $ - Net fair value $ 61,672 * Gross Amounts Gross Amounts Statements of Net Amounts Statements of Gross Amounts Not Offset in the Net December 31, 2016 Financial Cash Collateral Assets MS&Co. Forwards $ 10,266,204 $ (10,266,204 ) $ - $ - $ - $ - Total assets $ 10,266,204 $ (10,266,204 ) $ - $ - $ - $ - Liabilities MS&Co. Forwards $ (11,360,704 ) $ 10,266,204 $ (1,094,500 ) $ - $ - $ (1,094,500) Total liabilities $ (11,360,704 ) $ 10,266,204 $ (1,094,500 ) $ - $ - $ (1,094,500) Net fair value $ (1,094,500) * * In the event of default by the Master Fund, MS&Co., the Master Fund’s commodity futures brokers and a counterparty to certain of the Master Fund’s non-exchange-traded non-exchange-traded The following tables indicate the gross fair values of derivative instruments of forward contracts of the Master Fund as separate assets and liabilities as of September 30, 2017 and December 31, 2016, respectively. September 30, 2017 Assets Forward Contracts Currencies $ 7,816,787 Total unrealized appreciation on open forward contracts 7,816,787 Liabilities Forward Contracts Currencies (7,755,115 ) Total unrealized depreciation on open forward contracts (7,755,115 ) Net unrealized appreciation on open forward contracts $ 61,672 * * This amount is in “Net unrealized appreciation on open forward contracts” in the Master Fund’s Statements of Financial Condition. December 31, 2016 Assets Forward Contracts Currencies $ 10,266,204 Total unrealized appreciation on open forward contracts 10,266,204 Liabilities Forward Contracts Currencies (11,360,704 ) Total unrealized depreciation on open forward contracts (11,360,704 ) Net unrealized depreciation on open forward contracts $ (1,094,500 ) * * 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 Master Fund’s trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2017 and 2016, respectively. Three Months Ended September 30, Nine Months Ended September 30, Sector 2017 2016 2017 2016 Currencies $ (1,947,071) $ (5,491,999) $ 3,712,345 $ (2,913,416) Total $ (1,947,071) * $ (5,491,999) * $ 3,712,345 * $ (2,913,416) * * 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, 2017 | |
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 The Master Fund considers prices for exchange-traded commodity futures, forward, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded September 30, 2017 Total Level 1 Level 2 Level 3 Assets Forwards $ 7,816,787 $ - $ 7,816,787 $ - Total assets $ 7,816,787 $ - $ 7,816,787 $ - Liabilities Forwards $ 7,755,115 $ - $ 7,755,115 $ - Total liabilities $ 7,755,115 $ - $ 7,755,115 $ - December 31, 2016 Total Level 1 Level 2 Level 3 Assets Forwards $ 10,266,204 $ - $ 10,266,204 $ - Total assets $ 10,266,204 $ - $ 10,266,204 $ - Liabilities Forwards $ 11,360,704 $ - $ 11,360,704 $ - Total liabilities $ 11,360,704 $ - $ 11,360,704 $ - |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | 7. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Basis of Presentation and Sum13
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates |
Profit Allocation | Profit Allocation |
Statement of Cash Flows | Statement of Cash Flows Statement of Cash Flows. |
Partnership's Investment | Partnership’s Investment |
Master Fund's Investments | Master Fund’s Investments 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 Partnership’s Statements of Income and Expenses. |
Master Fund's Cash | Master Fund’s Cash |
Income Taxes | Income Taxes. Income Taxes, “more-likely-than-not” more-likely-than-not |
Investment Company Status | Investment Company Status 2013-08, Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements |
Net Income (Loss) per Unit | Net Income (Loss) per Unit Financial Services — Investment Companies.” |
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, 2017 | |
Statements of Financial Condition | Cambridge Master Fund L.P. Statements of Financial Condition September 30, 2017 December 31, Assets: Equity in trading accounts: Unrestricted cash $ 22,706,016 $ 38,139,290 Restricted cash 14,818,884 20,142,391 Net unrealized appreciation on open forward contracts 61,672 - Total equity in trading accounts 37,586,572 58,281,681 Cash at bank 528 217 Expense reimbursements 1,053 568 Total assets $ 37,588,153 $ 58,282,466 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open forward contracts $ - $ 1,094,500 Accrued expenses: Professional fees 37,728 31,100 Total liabilities 37,728 1,125,600 Partners’ Capital: General Partner - - Limited Partners 37,550,425 57,156,866 Total partners’ capital (net asset value) 37,550,425 57,156,866 Total liabilities and partners’ capital $ 37,588,153 $ 58,282,466 |
Condensed Schedules of Investments | Cambridge Master Fund L.P. Condensed Schedules of Investments September 30, 2017 (Unaudited) Notional ($) Fair Value % of Partners’ Capital Unrealized Appreciation on Open Forward Contracts Currencies $ 771,147,960 $ 7,816,787 20.81 % Total unrealized appreciation on open forward contracts 7,816,787 20.81 Unrealized Depreciation on Open Forward Contracts Currencies $ 652,184,029 (7,755,115 ) (20.65) Total unrealized depreciation on open forward contracts (7,755,115 ) (20.65) Net unrealized appreciation on open forward contracts $ 61,672 0.16 % December 31, 2016 Notional ($) Fair Value % of Partners’ Unrealized Appreciation on Open Forward Contracts Currencies $ 574,487,744 $ 10,266,204 17.96 % Total unrealized appreciation on open forward contracts 10,266,204 17.96 Unrealized Depreciation on Open Forward Contracts Currencies $ 606,733,180 (11,360,704 ) (19.88) Total unrealized depreciation on open forward contracts (11,360,704 ) (19.88) Net unrealized depreciation on open forward contracts $ (1,094,500 ) (1.92) % |
Statements of Income and Expenses | Cambridge Master Fund L.P. Statements of Income and Expenses (Unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2017 2016 2017 2016 Investment Income: Interest income $ 74,300 $ 41,057 $ 200,296 $ 113,589 Expenses: Clearing fees 25,271 32,309 71,649 69,850 Professional fees 14,947 20,103 44,839 61,146 Total expenses 40,218 52,412 116,488 130,996 Expense reimbursements (8,124 ) (7,528 ) (21,916 ) (21,153 ) Net expenses 32,094 44,884 94,572 109,843 Net investment income (loss) 42,206 (3,827 ) 105,724 3,746 Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (1,096,651 ) (1,935,196 ) 2,556,171 (2,239,417 ) Net change in unrealized gains (losses) on open contracts (850,420 ) (3,556,803 ) 1,156,174 (673,999 ) Total trading results (1,947,071 ) (5,491,999 ) 3,712,345 (2,913,416 ) Net income (loss) $ (1,904,865 ) $ (5,495,826 ) $ 3,818,069 $ (2,909,670 ) |
Statements of Changes in Partners' Capital | Cambridge Master Fund L.P. Statements of Changes in Partners’ Capital For the Nine Months Ended September 30, 2017 and 2016 (Unaudited) Partners’ Partners’ Capital, December 31, 2016 $ 57,156,866 Redemptions - Limited Partners (23,241,306 ) Net income (loss) 3,818,069 Distribution of interest income to feeder funds (183,204 ) Partners’ Capital, September 30, 2017 $ 37,550,425 Partners’ Capital, December 31, 2015 $ 59,709,922 Subscriptions - Limited Partners 32,274,427 Redemptions - Limited Partners (16,699,923 ) Net income (loss) (2,909,670 ) Distribution of interest income to feeder funds (29,917 ) Partners’ Capital, September 30, 2016 $ 72,344,839 |
Financial Highlights (Tables)
Financial Highlights (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Financial Highlights | Financial highlights for the limited partner class as a whole for the three and nine months ended September 30, 2017 and 2016 were as follows: Financial Highlights of the Partnership: For the Three Months Ended For the Nine Months Ended September 30, 2017 2016 2017 2016 Per Unit Performance (for a unit outstanding throughout the period): * Net realized and unrealized gains (losses) $ (0.45) $ (0.67) $ 0.59 $ (0.32) Net investment loss (0.10) (0.12) (0.32) (0.44) Net increase (decrease) for the period (0.55) (0.79) 0.27 (0.76) Net asset value per Unit, beginning of period 9.66 9.95 8.84 9.92 Net asset value per Unit, end of period $ 9.11 $ 9.16 $ 9.11 $ 9.16 For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (4.4) % (5.0) % (4.6) % (5.8) % Operating expenses before incentive fees 5.1 % 5.2 % 5.2 % 5.2 % Incentive fees - % - % - % 0.8 % Operating expenses after incentive fees 5.1 % 5.2 % 5.2 % 6.0 % Total return: Total return before incentive fees (5.7) % (7.9) % 3.1 % (6.9) % Incentive fees - % - % - % (0.8) % Total return after incentive fees (5.7) % (7.9) % 3.1 % (7.7) % * Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees if applicable). *** Interest income less total expenses. |
Cambridge Master Fund LP [Member] | |
Financial Highlights | Financial Highlights of the Master Fund: Ratios to average net assets for the three and nine months ended September 30, 2017 and 2016 were as follows: Three Months Ended Nine Months Ended September 2017 2016 2017 2016 Ratios to Average Limited Partners’ Capital:* Net investment income (loss)** 0.4 % (0.0 ) % *** 0.3 % 0.0 % *** Operating expenses before expense reimbursements 0.4 % 0.3 % 0.3 % 0.2 % Expense reimbursements (0.1 ) (0.1 ) (0.1) (0.0) *** Operating expenses after expense reimbursements 0.3 % 0.2 % 0.2 % 0.2 % Total return (4.6) % (6.8) % 6.9 % (3.4) % * Annualized. ** Interest income less total expenses. *** Due to rounding. |
Trading Activities (Tables)
Trading Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Trading Gains and Losses, by Market Sector, on Derivative Instruments | The following tables indicate the Master Fund’s trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2017 and 2016, respectively. Three Months Ended September 30, Nine Months Ended September 30, Sector 2017 2016 2017 2016 Currencies $ (1,947,071) $ (5,491,999) $ 3,712,345 $ (2,913,416) Total $ (1,947,071) * $ (5,491,999) * $ 3,712,345 * $ (2,913,416) * * This amount is in “Total trading results” in the Master Fund’s Statements of Income and Expenses. |
Cambridge Master Fund LP [Member] | |
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, 2017 and December 31, 2016, respectively. Gross Amounts Gross Amounts Financial Net Amounts Financial Gross Amounts Not Offset in the Net Amount September 30, 2017 Financial Cash Collateral Received/ Assets MS&Co. Forwards $ 255,632 $ (254,729 ) $ 903 $ - $ - $ 903 JPMorgan Forwards 7,561,155 (7,500,386 ) 60,769 - - 60,769 Total assets $ 7,816,787 $ (7,755,115 ) $ 61,672 $ - $ - $ 61,672 Liabilities MS&Co. Forwards $ (254,729 ) $ 254,729 $ - $ - $ - $ - JPMorgan Forwards (7,500,386 ) 7,500,386 - - - - Total liabilities $ (7,755,115 ) $ 7,755,115 $ - $ - $ - $ - Net fair value $ 61,672 * Gross Amounts Gross Amounts Statements of Net Amounts Statements of Gross Amounts Not Offset in the Net December 31, 2016 Financial Cash Collateral Assets MS&Co. Forwards $ 10,266,204 $ (10,266,204 ) $ - $ - $ - $ - Total assets $ 10,266,204 $ (10,266,204 ) $ - $ - $ - $ - Liabilities MS&Co. Forwards $ (11,360,704 ) $ 10,266,204 $ (1,094,500 ) $ - $ - $ (1,094,500) Total liabilities $ (11,360,704 ) $ 10,266,204 $ (1,094,500 ) $ - $ - $ (1,094,500) Net fair value $ (1,094,500) * * In the event of default by the Master Fund, MS&Co., the Master Fund’s commodity futures brokers and a counterparty to certain of the Master Fund’s non-exchange-traded non-exchange-traded |
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 of the Master Fund as separate assets and liabilities as of September 30, 2017 and December 31, 2016, respectively. September 30, 2017 Assets Forward Contracts Currencies $ 7,816,787 Total unrealized appreciation on open forward contracts 7,816,787 Liabilities Forward Contracts Currencies (7,755,115 ) Total unrealized depreciation on open forward contracts (7,755,115 ) Net unrealized appreciation on open forward contracts $ 61,672 * * This amount is in “Net unrealized appreciation on open forward contracts” in the Master Fund’s Statements of Financial Condition. December 31, 2016 Assets Forward Contracts Currencies $ 10,266,204 Total unrealized appreciation on open forward contracts 10,266,204 Liabilities Forward Contracts Currencies (11,360,704 ) Total unrealized depreciation on open forward contracts (11,360,704 ) Net unrealized depreciation on open forward contracts $ (1,094,500 ) * * This amount is in “Net unrealized depreciation on open forward contracts” in the Master Fund’s Statements of Financial Condition. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Cambridge Master Fund LP [Member] | |
Derivative Instrument Fair Value Based on Hierarchy | September 30, 2017 Total Level 1 Level 2 Level 3 Assets Forwards $ 7,816,787 $ - $ 7,816,787 $ - Total assets $ 7,816,787 $ - $ 7,816,787 $ - Liabilities Forwards $ 7,755,115 $ - $ 7,755,115 $ - Total liabilities $ 7,755,115 $ - $ 7,755,115 $ - December 31, 2016 Total Level 1 Level 2 Level 3 Assets Forwards $ 10,266,204 $ - $ 10,266,204 $ - Total assets $ 10,266,204 $ - $ 10,266,204 $ - Liabilities Forwards $ 11,360,704 $ - $ 11,360,704 $ - Total liabilities $ 11,360,704 $ - $ 11,360,704 $ - |
Organization - Additional Infor
Organization - Additional Information (Detail) | Sep. 30, 2017 | Dec. 31, 2016 |
Cambridge Master Fund LP [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of Partnership owned | 21.10% | 16.30% |
Basis of Presentation and Sum19
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Cash denominated in foreign currencies | $ 87 | $ 7 |
Cost of foreign currencies | $ 36 | |
Cash denominated in foreign currencies, proceeds | 46 | |
Uncertain tax position | $ 0 | |
Earliest Tax Year [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Open tax year | 2,013 | |
Latest Tax Year [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Open tax year | 2,016 |
Basis of Presentation and Sum20
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Equity in trading accounts: | ||||
Cash at bank | $ 1,000 | $ 1,000 | ||
Total assets | 7,942,124 | 9,323,609 | ||
Accrued expenses: | ||||
Total liabilities | 155,745 | 228,614 | ||
Partners' Capital: | ||||
General Partner | 101,337 | 112,063 | ||
Limited Partners | 7,685,042 | 8,982,932 | ||
Total partners' capital (net asset value) | 7,786,379 | 9,094,995 | $ 10,304,147 | $ 13,267,660 |
Total liabilities and partners' capital | 7,942,124 | 9,323,609 | ||
Cambridge Master Fund LP [Member] | ||||
Equity in trading accounts: | ||||
Unrestricted cash | 22,706,016 | 38,139,290 | ||
Restricted cash | 14,818,884 | 20,142,391 | ||
Net unrealized appreciation on open contracts | 61,672 | |||
Total equity in trading accounts | 37,586,572 | 58,281,681 | ||
Cash at bank | 528 | 217 | ||
Expense reimbursements | 1,053 | 568 | ||
Total assets | 37,588,153 | 58,282,466 | ||
Liabilities: | ||||
Net unrealized depreciation on open contracts | 1,094,500 | |||
Accrued expenses: | ||||
Professional fees | 37,728 | 31,100 | ||
Total liabilities | 37,728 | 1,125,600 | ||
Partners' Capital: | ||||
General Partner | 0 | 0 | ||
Limited Partners | 37,550,425 | 57,156,866 | ||
Total partners' capital (net asset value) | 37,550,425 | 57,156,866 | $ 72,344,839 | $ 59,709,922 |
Total liabilities and partners' capital | 37,588,153 | 58,282,466 | ||
Cambridge Master Fund LP [Member] | Forward Contracts [Member] | ||||
Equity in trading accounts: | ||||
Net unrealized appreciation on open contracts | $ 61,672 | |||
Liabilities: | ||||
Net unrealized depreciation on open contracts | $ 1,094,500 |
Basis of Presentation and Sum21
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedules of Investments (Detail) - Cambridge Master Fund LP [Member] - Forward Contracts [Member] - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Investments [Line Items] | ||
Net unrealized appreciation (depreciation) on open contracts | $ 61,672 | $ (1,094,500) |
Percentage of Partners' Capital | 0.16% | (1.92%) |
Total unrealized appreciation on open contracts | $ 7,816,787 | $ 10,266,204 |
Total unrealized depreciation on contracts | (7,755,115) | (11,360,704) |
Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Notional | 771,147,960 | 574,487,744 |
Total unrealized appreciation on open contracts | 7,816,787 | 10,266,204 |
Notional | 652,184,029 | 606,733,180 |
Total unrealized depreciation on contracts | $ (7,755,115) | $ (11,360,704) |
Net Total Unrealized Appreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Percentage of Partners' Capital | 20.81% | 17.96% |
Net Total Unrealized Appreciation on Open Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Percentage of Partners' Capital | 20.81% | 17.96% |
Net Total Unrealized Depreciation on Open Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Percentage of Partners' Capital | (20.65%) | (19.88%) |
Net Total Unrealized Depreciation on Open Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Percentage of Partners' Capital | (20.65%) | (19.88%) |
Basis of Presentation and Sum22
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Investment Income: | ||||||
Interest income | $ 14,389 | $ 5,799 | $ 35,829 | $ 17,594 | ||
Expenses: | ||||||
Total expenses | 106,241 | 143,451 | 335,752 | 568,289 | ||
Net investment income (loss) | (91,852) | (137,652) | (299,923) | (550,695) | ||
Net gains (losses) on trading of commodity interests: | ||||||
Net realized gains (losses) on closed contracts | (231,894) | (283,273) | 473,133 | (316,114) | ||
Net change in unrealized gains (losses) on open contracts | (162,827) | (508,067) | 155,263 | 16,819 | ||
Total trading results | (394,721) | (791,340) | 628,396 | (299,295) | ||
Net income (loss) | (486,573) | (928,992) | 328,473 | (849,990) | $ 328,473 | $ (849,990) |
Cambridge Master Fund LP [Member] | ||||||
Investment Income: | ||||||
Interest income | 74,300 | 41,057 | 200,296 | 113,589 | ||
Expenses: | ||||||
Clearing fees | 25,271 | 32,309 | 71,649 | 69,850 | ||
Professional fees | 14,947 | 20,103 | 44,839 | 61,146 | ||
Total expenses | 40,218 | 52,412 | 116,488 | 130,996 | ||
Expense reimbursements | (8,124) | (7,528) | (21,916) | (21,153) | ||
Net expenses | 32,094 | 44,884 | 94,572 | 109,843 | ||
Net investment income (loss) | 42,206 | (3,827) | 105,724 | 3,746 | ||
Net gains (losses) on trading of commodity interests: | ||||||
Net realized gains (losses) on closed contracts | (1,096,651) | (1,935,196) | 2,556,171 | (2,239,417) | ||
Net change in unrealized gains (losses) on open contracts | (850,420) | (3,556,803) | 1,156,174 | (673,999) | ||
Total trading results | (1,947,071) | (5,491,999) | 3,712,345 | (2,913,416) | ||
Net income (loss) | $ (1,904,865) | $ (5,495,826) | $ 3,818,069 | $ (2,909,670) | $ 3,818,069 | $ (2,909,670) |
Basis of Presentation and Sum23
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Changes in Partners' Capital (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Limited Partners' Capital Account [Line Items] | ||||||
Partners' Capital, balance | $ 9,094,995 | $ 13,267,660 | $ 9,094,995 | $ 13,267,660 | ||
Net income (loss) | $ (486,573) | $ (928,992) | 328,473 | (849,990) | 328,473 | (849,990) |
Partners' Capital, balance | 7,786,379 | 10,304,147 | ||||
Limited Partners [Member] | ||||||
Limited Partners' Capital Account [Line Items] | ||||||
Partners' Capital, balance | 8,982,932 | 13,111,856 | 8,982,932 | 13,111,856 | ||
Net income (loss) | 324,199 | (840,527) | ||||
Partners' Capital, balance | 7,685,042 | 10,187,988 | ||||
Cambridge Master Fund LP [Member] | ||||||
Limited Partners' Capital Account [Line Items] | ||||||
Partners' Capital, balance | 57,156,866 | 59,709,922 | 57,156,866 | 59,709,922 | ||
Net income (loss) | $ (1,904,865) | $ (5,495,826) | $ 3,818,069 | $ (2,909,670) | 3,818,069 | (2,909,670) |
Distribution of interest income to feeder funds | (183,204) | (29,917) | ||||
Partners' Capital, balance | 37,550,425 | 72,344,839 | ||||
Cambridge Master Fund LP [Member] | Limited Partners [Member] | ||||||
Limited Partners' Capital Account [Line Items] | ||||||
Subscriptions - Limited Partners | 32,274,427 | |||||
Redemptions - Limited Partners | $ (23,241,306) | $ (16,699,923) |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Class (Detail) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net asset value per Unit, beginning of period | $ 8.84 | |||
Net asset value per Unit, end of period | $ 9.11 | $ 9.11 | ||
Cambridge Master Fund LP [Member] | ||||
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | 0.40% | 0.00% | 0.30% | 0.00% |
Operating expenses before expense reimbursements | 0.40% | 0.30% | 0.30% | 0.20% |
Expense reimbursements | (0.10%) | (0.10%) | (0.10%) | 0.00% |
Operating expenses after expense reimbursements | 0.30% | 0.20% | 0.20% | 0.20% |
Total return | (4.60%) | (6.80%) | 6.90% | (3.40%) |
Limited Partners [Member] | ||||
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | $ (0.45) | $ (0.67) | $ 0.59 | $ (0.32) |
Net investment loss | (0.10) | (0.12) | (0.32) | (0.44) |
Net increase (decrease) for the period | (0.55) | (0.79) | 0.27 | (0.76) |
Net asset value per Unit, beginning of period | 9.66 | 9.95 | 8.84 | 9.92 |
Net asset value per Unit, end of period | $ 9.11 | $ 9.16 | $ 9.11 | $ 9.16 |
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | (4.40%) | (5.00%) | (4.60%) | (5.80%) |
Operating expenses before incentive fees | 5.10% | 5.20% | 5.20% | 5.20% |
Incentive fees | 0.80% | |||
Operating expenses after incentive fees | 5.10% | 5.20% | 5.20% | 6.00% |
Total return: | ||||
Total return before incentive fees | (5.70%) | (7.90%) | 3.10% | (6.90%) |
Incentive fees | (0.80%) | |||
Total return after incentive fees | (5.70%) | (7.90%) | 3.10% | (7.70%) |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Cambridge Master Fund LP [Member] | Forward Contracts [Member] | Currencies [Member] | Weighted Average [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Average notional values of currency forward contracts | $ 3,561,017,859 | $ 4,117,410,931 | $ 3,266,444,753 | $ 3,748,053,926 |
Trading Activities - Offsetting
Trading Activities - Offsetting of Derivative Assets and Liabilities (Detail) - Cambridge Master Fund LP [Member] - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 7,816,787 | $ 10,266,204 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (7,755,115) | (10,266,204) |
Amounts Presented in the Statements of Financial Condition, Assets | 61,672 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Assets | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Assets | 0 | 0 |
Net Amount, Assets | 61,672 | |
Gross Amounts Recognized, Liabilities | (7,755,115) | (11,360,704) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 7,755,115 | 10,266,204 |
Net Amounts Presented in the Statements of Financial Condition, Liabilities | (1,094,500) | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liabilities | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | (1,094,500) | |
Net fair value | 61,672 | (1,094,500) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Amounts Presented in the Statements of Financial Condition, Assets | 61,672 | |
Net Amounts Presented in the Statements of Financial Condition, Liabilities | (1,094,500) | |
Forward Contracts [Member] | MS&Co. [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 255,632 | 10,266,204 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (254,729) | (10,266,204) |
Amounts Presented in the Statements of Financial Condition, Assets | 903 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Assets | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Assets | 0 | 0 |
Net Amount, Assets | 903 | |
Gross Amounts Recognized, Liabilities | (254,729) | (11,360,704) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 254,729 | 10,266,204 |
Net Amounts Presented in the Statements of Financial Condition, Liabilities | (1,094,500) | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liabilities | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | $ (1,094,500) | |
Forward Contracts [Member] | JPMorgan [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 7,561,155 | |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (7,500,386) | |
Amounts Presented in the Statements of Financial Condition, Assets | 60,769 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Assets | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Assets | 0 | |
Net Amount, Assets | 60,769 | |
Gross Amounts Recognized, Liabilities | (7,500,386) | |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 7,500,386 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liabilities | 0 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Liabilities | $ 0 |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts Traded (Detail) - Cambridge Master Fund LP [Member] - Forward Contracts [Member] - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | $ 7,816,787 | $ 10,266,204 |
Total unrealized depreciation on open contracts | (7,755,115) | (11,360,704) |
Net unrealized appreciation on open contracts | 61,672 | (1,094,500) |
Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 7,816,787 | 10,266,204 |
Total unrealized depreciation on open contracts | $ (7,755,115) | $ (11,360,704) |
Trading Activities - Schedule o
Trading Activities - Schedule of Trading Gains and Losses by Market Sector, on Derivative Instruments (Detail) - Cambridge Master Fund LP [Member] - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Derivative [Line Items] | ||||
Trading Results | $ (1,947,071) | $ (5,491,999) | $ 3,712,345 | $ (2,913,416) |
Currencies [Member] | ||||
Derivative [Line Items] | ||||
Trading Results | $ (1,947,071) | $ (5,491,999) | $ 3,712,345 | $ (2,913,416) |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value Disclosures [Abstract] | ||
Transfers of assets between Level 1 and Level 2 | $ 0 | $ 0 |
Transfers of liabilities between Level 1 and Level 2 | $ 0 | $ 0 |
Fair Value Measurements - Deriv
Fair Value Measurements - Derivative Instrument Fair Value Based on Hierarchy (Detail) - Cambridge Master Fund LP [Member] - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | $ 7,816,787 | $ 10,266,204 |
Derivative liabilities | 7,755,115 | 11,360,704 |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | 7,816,787 | 10,266,204 |
Derivative liabilities | 7,755,115 | 11,360,704 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | 7,816,787 | 10,266,204 |
Derivative liabilities | 7,755,115 | 11,360,704 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | 7,816,787 | 10,266,204 |
Derivative liabilities | $ 7,755,115 | $ 11,360,704 |