Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Jul. 31, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | OFFLP | |
Entity Registrant Name | ORION FUTURES FUND LP | |
Entity Central Index Key | 1,227,265 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Class A Redeemable Units [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 343,438.6128 | |
Class Z Redeemable Units [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 2,632.8222 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Assets: | |||
Investment in the Funds, at fair value | [1] | $ 911,922,315 | $ 998,303,064 |
Equity in trading account: | |||
Investment in U.S. Treasury bills, at fair value (amortized cost $152,908,967 and $91,974,799 at June 30, 2016 and December 31, 2015, respectively) | [1] | 911,922,315 | 998,303,064 |
Cash at MS&Co. | 8,875,489 | ||
Cash margin | 19,398,802 | 17,384,114 | |
Total equity in trading account | 187,407,121 | 109,980,280 | |
Cash at bank | 607 | ||
Interest receivable | 7,135 | 3,437 | |
Total assets | 1,099,337,178 | 1,108,286,781 | |
Liabilities: | |||
Cash overdraft | 2,799,232 | ||
Accrued expenses: | |||
Ongoing selling agent fees | 2,823,548 | 2,758,713 | |
Management fees | 902,462 | 885,234 | |
General Partner fees | 685,102 | 688,987 | |
Professional fees | 350,571 | 349,705 | |
Redemptions payable to Limited Partners | 18,166,309 | 10,105,529 | |
Total liabilities | 22,927,992 | 17,587,400 | |
Partners' Capital: | |||
Total partners' capital (net asset value) | 1,076,409,186 | 1,090,699,381 | |
Total liabilities and partners' capital | 1,099,337,178 | 1,108,286,781 | |
Class Z Redeemable Units [Member] | |||
Partners' Capital: | |||
General Partner, Class Z (10,028.8593 and 10,602.7003 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively) | 11,727,007 | 12,017,940 | |
Limited Partners | 3,078,627 | 2,955,841 | |
Total partners' capital (net asset value) | $ 14,805,634 | $ 14,973,781 | |
Net asset value per Redeemable Unit: | |||
Net asset value per Redeemable Unit | $ 1,169.33 | $ 1,133.48 | |
Class A Redeemable Units [Member] | |||
Partners' Capital: | |||
Limited Partners | $ 1,061,603,552 | $ 1,075,725,600 | |
Total partners' capital (net asset value) | $ 1,061,603,552 | $ 1,075,725,600 | |
Net asset value per Redeemable Unit: | |||
Net asset value per Redeemable Unit | $ 3,080.01 | $ 3,004.84 | |
Futures Contracts [Member] | |||
Equity in trading account: | |||
Net unrealized appreciation (depreciation) on open contracts | $ 5,674,060 | $ 137,936 | |
Forward Contracts [Member] | |||
Equity in trading account: | |||
Net unrealized appreciation (depreciation) on open contracts | 500,223 | 467,991 | |
U.S. Treasury Bills [Member] | |||
Assets: | |||
Investment in the Funds, at fair value | 152,958,547 | 91,990,239 | |
Equity in trading account: | |||
Investment in U.S. Treasury bills, at fair value (amortized cost $152,908,967 and $91,974,799 at June 30, 2016 and December 31, 2015, respectively) | $ 152,958,547 | $ 91,990,239 | |
[1] | Defined in Note 1. |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
U.S. Treasury Bills [Member] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 152,908,967 | $ 91,974,799 |
Class Z Redeemable Units [Member] | ||
General Partner Redeemable Units outstanding | 10,028.8593 | 10,602.7003 |
Limited Partners Redeemable Units outstanding | 2,632.8222 | 2,607.7592 |
Class A Redeemable Units [Member] | ||
Limited Partners Redeemable Units outstanding | 344,675.2878 | 357,997.9468 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Jun. 30, 2016USD ($)Contract | Dec. 31, 2015USD ($)Contract | ||
Schedule of Investments [Line Items] | ||||
Fair Value | [1] | $ 911,922,315 | $ 998,303,064 | |
Limited Partners [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 911,922,315 | $ 998,303,064 | ||
% of Partners' Capital | 84.71% | 91.53% | ||
Limited Partners [Member] | CMF Winton Master L.P. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 315,651,086 | $ 351,974,066 | ||
% of Partners' Capital | 29.32% | 32.27% | ||
Limited Partners [Member] | Morgan Stanley Smith Barney TT II, LLC [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 313,682,723 | $ 360,373,336 | ||
% of Partners' Capital | 29.14% | 33.04% | ||
Limited Partners [Member] | CMF Willowbridge Master Fund L.P.[Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 282,588,506 | $ 285,955,662 | ||
% of Partners' Capital | 26.25% | 26.22% | ||
Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Percentage of Partners' Capital | 0.95% | 0.25% | ||
Unrealized Appreciation on Open Forward Contracts | $ 10,162,118 | $ 2,696,643 | ||
Unrealized Depreciation on Open Forward Contracts | (9,661,895) | (2,228,652) | ||
Net unrealized appreciation (depreciation) on open contracts | $ 500,223 | $ 467,991 | ||
Percentage of Partners' Capital | (0.89%) | (0.20%) | ||
% of Partners' Capital | 0.06% | 0.05% | ||
Forward Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Percentage of Partners' Capital | 0.21% | 0.13% | ||
Unrealized Appreciation on Open Forward Contracts | $ 2,212,827 | $ 1,375,041 | ||
Unrealized Depreciation on Open Forward Contracts | $ (2,733,518) | $ (765,188) | ||
Percentage of Partners' Capital | (0.25%) | (0.07%) | ||
Forward Contracts [Member] | Metals [Member] | Net Unrealized Appreciation On Open Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 743 | 506 | ||
Forward Contracts [Member] | Metals [Member] | Net Unrealized Depreciation On Open Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 852 | 346 | ||
Forward Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Percentage of Partners' Capital | 0.74% | 0.12% | ||
Unrealized Appreciation on Open Forward Contracts | $ 7,949,291 | $ 1,321,602 | ||
Notional Amount | 7,949,291 | 106,385,444 | ||
Unrealized Depreciation on Open Forward Contracts | $ (6,928,377) | (1,463,464) | ||
Notional Amount | $ 132,627,103 | |||
Percentage of Partners' Capital | (0.64%) | (0.13%) | ||
Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized appreciation (depreciation) on open contracts | $ 5,674,060 | $ 137,936 | ||
% of Partners' Capital | 0.54% | 0.02% | ||
Futures Contracts [Member] | Long [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized appreciation (depreciation) on open contracts | $ 5,053,539 | $ (338,903) | ||
% of Partners' Capital | 0.47% | (0.03%) | ||
Futures Contracts [Member] | Long [Member] | Energy [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 18 | 9 | ||
Net unrealized appreciation (depreciation) on open contracts | $ (20,381) | $ (12,644) | ||
% of Partners' Capital | 0.00% | 0.00% | [2] | |
Futures Contracts [Member] | Long [Member] | Grains [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 248 | 97 | ||
Net unrealized appreciation (depreciation) on open contracts | $ 267,195 | $ (18,421) | ||
% of Partners' Capital | 0.02% | 0.00% | [2] | |
Futures Contracts [Member] | Long [Member] | Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 175 | 350 | ||
Net unrealized appreciation (depreciation) on open contracts | $ 267,439 | $ (81,722) | ||
% of Partners' Capital | 0.02% | (0.01%) | ||
Futures Contracts [Member] | Long [Member] | Interest Rates U.S. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 1,076 | 1,293 | ||
Net unrealized appreciation (depreciation) on open contracts | $ 945,837 | $ (63,964) | ||
% of Partners' Capital | 0.09% | (0.01%) | ||
Futures Contracts [Member] | Long [Member] | Interest Rates Non-U.S. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 2,932 | 478 | ||
Net unrealized appreciation (depreciation) on open contracts | $ 3,301,593 | $ (155,218) | ||
% of Partners' Capital | 0.31% | (0.01%) | ||
Futures Contracts [Member] | Long [Member] | Livestock [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 62 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (102,900) | |||
% of Partners' Capital | (0.01%) | |||
Futures Contracts [Member] | Long [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 84 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 284,570 | |||
% of Partners' Capital | 0.03% | |||
Futures Contracts [Member] | Long [Member] | Softs [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 109 | 20 | ||
Net unrealized appreciation (depreciation) on open contracts | $ 110,186 | $ (6,934) | ||
% of Partners' Capital | 0.01% | 0.00% | [2] | |
Futures Contracts [Member] | Short [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized appreciation (depreciation) on open contracts | $ 620,521 | $ 476,839 | ||
% of Partners' Capital | 0.07% | 0.05% | ||
Futures Contracts [Member] | Short [Member] | Energy [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 381 | 689 | ||
Net unrealized appreciation (depreciation) on open contracts | $ (255,132) | $ 630,002 | ||
% of Partners' Capital | (0.02%) | 0.06% | ||
Futures Contracts [Member] | Short [Member] | Grains [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 1,134 | 802 | ||
Net unrealized appreciation (depreciation) on open contracts | $ 1,419,297 | $ 454,795 | ||
% of Partners' Capital | 0.13% | 0.04% | ||
Futures Contracts [Member] | Short [Member] | Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 929 | 646 | ||
Net unrealized appreciation (depreciation) on open contracts | $ (263,299) | $ (237,157) | ||
% of Partners' Capital | (0.02%) | (0.02%) | ||
Futures Contracts [Member] | Short [Member] | Interest Rates U.S. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 851 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (38,851) | |||
% of Partners' Capital | [2] | 0.00% | ||
Futures Contracts [Member] | Short [Member] | Interest Rates Non-U.S. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 982 | 475 | ||
Net unrealized appreciation (depreciation) on open contracts | $ (41,724) | $ 39,575 | ||
% of Partners' Capital | 0.00% | 0.00% | [2] | |
Futures Contracts [Member] | Short [Member] | Livestock [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 104 | 72 | ||
Net unrealized appreciation (depreciation) on open contracts | $ (48,208) | $ (196,058) | ||
% of Partners' Capital | 0.00% | (0.02%) | ||
Futures Contracts [Member] | Short [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 58 | 185 | ||
Net unrealized appreciation (depreciation) on open contracts | $ (207,883) | $ (156,298) | ||
% of Partners' Capital | (0.02%) | (0.01%) | ||
Futures Contracts [Member] | Short [Member] | Softs [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 60 | 14 | ||
Net unrealized appreciation (depreciation) on open contracts | $ 17,470 | $ (19,169) | ||
% of Partners' Capital | 0.00% | 0.00% | [2] | |
U.S. Government Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 152,958,547 | $ 91,990,239 | ||
% of Partners' Capital | 14.21% | 8.44% | ||
U.S. Government Securities [Member] | U.S. Treasury bills, 0.28% [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 12,999,854 | |||
% of Partners' Capital | 1.21% | |||
U.S. Government Securities [Member] | U.S. Treasury bills, 0.23% [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 114,974,787 | |||
% of Partners' Capital | 10.68% | |||
U.S. Government Securities [Member] | U.S. Treasury bills, 0.135% [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 24,983,906 | |||
% of Partners' Capital | 2.32% | |||
U.S. Government Securities [Member] | U.S. Treasury bills, 0.19% [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 22,998,491 | |||
% of Partners' Capital | 2.11% | |||
U.S. Government Securities [Member] | U.S. Treasury bills, 0.125% [Member] | ||||
Schedule of Investments [Line Items] | ||||
Fair Value | $ 68,991,748 | |||
% of Partners' Capital | 6.33% | |||
[1] | Defined in Note 1. | |||
[2] | Due to rounding. |
Condensed Schedule of Investme5
Condensed Schedule of Investments (Parenthetical) - U.S. Government Securities [Member] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
U.S. Treasury bills, 0.28% [Member] | ||
Schedule of Investments [Line Items] | ||
Face Amount | $ 13,000,000 | |
Maturity Date | Jul. 7, 2016 | |
U.S. Treasury bills, 0.23% [Member] | ||
Schedule of Investments [Line Items] | ||
Face Amount | $ 115,000,000 | |
Maturity Date | Aug. 11, 2016 | |
U.S. Treasury bills, 0.135% [Member] | ||
Schedule of Investments [Line Items] | ||
Face Amount | $ 25,000,000 | |
Maturity Date | Sep. 29, 2016 | |
U.S. Treasury bills, 0.205% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 12,996,225 | |
Investment, interest rate | 0.205% | |
U.S. Treasury bills, 0.29% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 114,927,742 | |
Investment, interest rate | 0.29% | |
U.S. Treasury bills, 0.24% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 24,985,000 | |
Investment, interest rate | 0.24% | |
U.S. Treasury bills, 0.19% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 22,996,601 | |
Investment, interest rate | 0.19% | |
Face Amount | $ 23,000,000 | |
Maturity Date | Jan. 21, 2016 | |
U.S. Treasury bills, 0.125% [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 68,978,198 | |
Investment, interest rate | 0.125% | |
Face Amount | $ 69,000,000 | |
Maturity Date | Feb. 11, 2016 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Investment Income: | |||||
Interest income | $ 107,226 | $ 197,423 | |||
Interest income allocated from the Funds | 429,042 | $ 13,584 | 953,296 | $ 29,919 | |
Total investment income | 536,268 | 13,584 | 1,150,719 | 29,919 | |
Expenses: | |||||
Expenses allocated from the Funds | 1,307,431 | 1,993,407 | 5,101,993 | 10,697,724 | |
Clearing fees related to direct investments | 184,726 | 293,346 | |||
Ongoing selling agent fees | 3,808,783 | 2,943,430 | 7,033,083 | 5,916,243 | |
Management fees | 2,679,165 | 2,699,158 | 5,487,531 | 5,492,685 | |
General Partner fees | 2,016,900 | 2,071,308 | 4,184,642 | 4,287,664 | |
Incentive fees | (1,555,439) | 8,799,365 | |||
Professional fees | 570,867 | 147,228 | 1,195,760 | 269,844 | |
Total expenses | 9,012,433 | 9,854,531 | 23,296,355 | 35,463,525 | |
Net investment income (loss) | (8,476,165) | (9,840,947) | (22,145,636) | (35,433,606) | |
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||||
Net realized gains (losses) on closed contracts | (19,585,440) | (11,056,693) | |||
Net realized gains (losses) on closed contracts allocated from the Funds | (42,556,636) | (85,482,969) | 3,384,116 | 16,188,855 | |
Net change in unrealized gains (losses) on open contracts | 3,048,360 | 5,713,435 | |||
Net change in unrealized gains (losses) on open contracts allocated from the Funds | 45,864,446 | (36,259,499) | 52,296,706 | (53,471,389) | |
Total trading results | (13,229,270) | (121,742,468) | 50,337,564 | (37,282,534) | |
Net income (loss) | (21,705,435) | (131,583,415) | 28,191,928 | (72,716,140) | |
Class A Redeemable Units [Member] | |||||
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||||
Net income (loss) | $ (21,470,579) | $ (129,867,925) | $ 27,686,853 | $ (71,812,582) | |
Weighted average Redeemable Units outstanding: | |||||
Weighted average Redeemable Units outstanding | 351,277.0961 | 363,298.9891 | 355,165.0941 | 362,463.1355 | |
Net asset value per Redeemable Unit | $ 3,080.01 | $ 2,880.27 | $ 3,080.01 | $ 2,880.27 | |
Net income (loss) per Redeemable Unit | [1] | $ (60.65) | $ (357.57) | $ 75.17 | $ (196.51) |
Class Z Redeemable Units [Member] | |||||
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||||
Net income (loss) | $ (234,856) | $ (1,715,490) | $ 505,075 | $ (903,558) | |
Weighted average Redeemable Units outstanding: | |||||
Weighted average Redeemable Units outstanding | 12,636.9728 | 13,106.9195 | 12,826.0760 | 13,017.0667 | |
Net asset value per Redeemable Unit | $ 1,169.33 | $ 1,080.58 | $ 1,169.33 | $ 1,080.58 | |
Net income (loss) per Redeemable Unit | [1] | $ (18.75) | $ (130.85) | $ 35.85 | $ (67.65) |
[1] | Represents the change in net asset value per Redeemable Unit during the period. |
Statements of Income and Expen7
Statements of Income and Expenses (Parenthetical) - shares | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Redeemable units outstanding | 357,336.9693 | 371,208.4063 | 375,621.5643 | 369,267.7373 |
Class A Redeemable Units [Member] | ||||
Redeemable units outstanding | 344,675.2878 | 357,997.9468 | 362,551.8998 | 356,452.4588 |
Class Z Redeemable Units [Member] | ||||
Redeemable units outstanding | 12,661.6815 | 13,210.4595 | 13,069.6645 | 12,815.2785 |
Statements of Changes in Partne
Statements of Changes in Partners' Capital - USD ($) | Total | Limited Partners [Member] | General Partner [Member] | Class A Redeemable Units [Member] | Class A Redeemable Units [Member]Limited Partners [Member] | Class Z Redeemable Units [Member] | Class Z Redeemable Units [Member]Limited Partners [Member] | Class Z Redeemable Units [Member]General Partner [Member] |
Partners' Capital, beginning of period at Dec. 31, 2014 | $ 1,111,440,190 | $ 1,096,725,351 | $ 14,714,839 | |||||
Subscriptions - Limited Partners | $ 85,402,907 | $ 84,887,102 | $ 515,805 | |||||
Redemptions - General Partner | $ (65,756,043) | $ (65,551,790) | $ (204,253) | |||||
Net income (loss) | (72,716,140) | (71,812,582) | (903,558) | |||||
Partners' Capital, end of period at Jun. 30, 2015 | $ 1,058,370,914 | $ 1,044,248,081 | $ 14,122,833 | |||||
Partners' Capital, beginning of period at Dec. 31, 2014 | 369,267.7373 | 356,452.4588 | 12,815.2785 | |||||
Subscriptions - Limited Partners | 27,515.8100 | 27,083.0020 | 432.8080 | |||||
Partners' Capital, end of period at Jun. 30, 2015 | 375,621.5643 | 362,551.8998 | 13,069.6645 | |||||
Redemptions - General Partner | (21,161.9830) | (20,983.5610) | (178.4220) | |||||
Partners' Capital, beginning of period at Dec. 31, 2015 | $ 1,090,699,381 | $ 1,075,725,600 | $ 14,973,781 | |||||
Subscriptions - Limited Partners | $ 43,849,698 | $ 43,797,201 | $ 52,497 | |||||
Redemptions - General Partner | $ (85,631,827) | $ (699,994) | $ (85,606,102) | $ (25,725) | $ (699,994) | |||
Net income (loss) | 28,191,928 | 27,686,853 | 505,075 | |||||
Partners' Capital, end of period at Jun. 30, 2016 | $ 1,076,409,186 | $ 1,061,603,552 | $ 14,805,634 | |||||
Partners' Capital, beginning of period at Dec. 31, 2015 | 371,208.4063 | 357,997.9468 | 13,210.4595 | |||||
Subscriptions - Limited Partners | 14,365.9020 | 14,318.9170 | 46.9850 | |||||
Partners' Capital, end of period at Jun. 30, 2016 | 357,336.9693 | 344,675.2878 | 12,661.6815 | |||||
Redemptions - General Partner | (27,663.4980) | (573.8410) | (27,641.5760) | (21.9220) | (573.8410) |
Organization
Organization | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Organization | 1. Organization: Orion Futures Fund L.P. (the “Partnership”) is a limited partnership organized on March 22, 1999, under the partnership laws of the State of New York, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, U.S. and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership, directly, and indirectly through its investments in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. The General Partner may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner” or with respect to Transtrend Master (defined below), the “Trading Manager”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB 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 June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings, and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. All trading decisions are made for the Partnership by Winton Capital Management Limited (“Winton”), Transtrend B.V. (“Transtrend”), Willowbridge Associates Inc. (“Willowbridge”) and Systematica Investments Limited (“Systematica”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors either directly or indirectly through investments in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major trading advisors (i.e., commodity trading advisors intended to be allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed. On June 1, 2011, the Partnership began offering “Class A” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to June 1, 2011 were deemed Class A Redeemable Units. The rights, powers, duties and obligations associated with investment in Class A Redeemable Units were not changed. Class Z Redeemable Units were first issued on August 1, 2011. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the status of the limited partner, although the General Partner may determine to offer a particular Class of Redeemable Units to investors at its discretion. During the reporting periods ended June 30, 2016 and 2015, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership/Funds also deposit a portion of their cash in a non-trading account at JPMorgan Chase Bank, N.A. Systematica directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Systematica’s BlueTrend Program. CMF Winton Master L.P. (“Winton Master”), Morgan Stanley Smith Barney TT II, LLC (“Transtrend Master”) and CMF Willowbridge Master Fund L.P. (“Willowbridge Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. Winton Master, Transtrend Master and Willowbridge Master are collectively referred to as the “Funds.” Effective March 1, 2014, the Partnership entered into a futures brokerage account agreement with MS&Co. (the “Customer Agreement”) and ceased paying brokerage commissions to MS&Co. Under the Customer Agreement, the Partnership pays MS&Co. (or will reimburse MS&Co. if previously paid) its allocable share of trading fees for the clearing and, where applicable, the execution of transactions, as well as exchange, clearing, user, give-up and National Futures Association (“NFA”) fees (collectively, the “clearing fees”) directly and through its investment in the Funds. MS&Co. clearing fees are allocated to the Partnership based on its proportionate ownership interest of the Funds. All of the Partnership’s assets not held in the Funds’ brokerage accounts at MS&Co. are deposited in the Partnership’s brokerage account at MS&Co. The Partnership’s cash is deposited by MS&Co. in segregated bank accounts to the extent required by Commodity Futures Trading Commission (“CFTC”) regulations. MS&Co. has agreed to pay the Partnership interest on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Fund’s, except for Transtrend Master’s) brokerage account at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. has agreed to pay Transtrend Master interest on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account at the rate equal to the monthly average of the 4-Week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. All interest income earned on U.S. Treasury bills and money market mutual fund securities purchased will be retained by the Partnership and/or the Funds, as applicable. For purposes of these interest credits, daily funds do not include monies due to Transtrend Master on or with respect to futures, forwards, or options contracts that have not been received. The Customer Agreement may generally be terminated upon notice by either party. Effective March 1, 2014, the Partnership entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management receives a monthly ongoing selling agent fee. Effective October 1, 2014, the ongoing selling agent fee is calculated by multiplying the Partnership’s round turn futures transactions by $15.00 each, swaps by up to an equivalent amount and options transactions by $7.50 each per side, with respect to Class A Redeemable Units. The ongoing selling agent fee amount is reduced by applicable floor brokerage fees. Class Z Redeemable Units are currently not subject to an ongoing selling agent fee. Morgan Stanley Wealth Management may pay a portion of its ongoing selling agent fees to other properly licensed and/or registered selling agents who sell Class A Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Class A Redeemable Units. The General Partner fees, management fees, incentive fees and professional fees (formerly, other expenses) of the Partnership are allocated proportionally to each Class based on the net asset value of the Class. 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 cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 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 June 30, 2016, the results of its operations for the three and six months ended June 30, 2016 and 2015, and the changes in partners’ capital for the six months ended June 30, 2016 and 2015. 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 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. The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions, redemptions and losses, if any. Statement of Cash Flows Partnership’s Investments in the Funds Partnership’s/Funds’ Derivative Investments. Partnership’s Cash. Income Taxes Investment Company Status. “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” Net Income (Loss) Per Redeemable Unit. “Financial Services—Investment Companies.” Fair Value of Financial Instruments. “Financial Instruments,” Recent Accounting Pronouncement. “Recognition and Measurement of Financial Assets and Financial Liabilities.” 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. |
Financial Highlights
Financial Highlights | 6 Months Ended |
Jun. 30, 2016 | |
Text Block [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner Classes as a whole for the three and six months ended June 30, 2016 and 2015 were as follows: Three Months Ended Three Months Ended Six Months Ended Six Months Ended Class A Class Z Class A Class Z Class A Class Z Class A Class Z Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ (36.70) $ (13.77) $ (330.73) $ (123.83) $ 136.94 $ 51.95 $ (99.59) $ (37.53) Net investment loss (23.95) (4.98) (26.84) (7.02) (61.77) (16.10) (96.92) (30.12) Increase (decrease) for the period (60.65) (18.75) (357.57) (130.85) 75.17 35.85 (196.51) (67.65) Net asset value per Redeemable Unit, beginning of period 3,140.66 1,188.08 3,237.84 1,211.43 3,004.84 1,133.48 3,076.78 1,148.23 Net asset value per Redeemable Unit, end of period $ 3,080.01 $ 1,169.33 $ 2,880.27 $ 1,080.58 $ 3,080.01 $ 1,169.33 $ 2,880.27 $ 1,080.58 Three Months Ended Three Months Ended Six Months Ended Six Months Ended Class A Class Z Class A Class Z Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital**: Net investment loss*** (3.7) % (2.2) % (3.6) % (2.5) % (3.9) % (2.6) % (5.0) % (4.0) % Operating expenses 4.0 % 2.6 % 3.6 % 2.5 % 3.9 % 2.6 % 3.6 % 2.6 % Incentive fees (0.2) % (0.2) % - % - % 0.2 % 0.2 % 1.4 % 1.4 % Total expenses 3.8 % 2.4 % 3.6 % 2.5 % 4.1 % 2.8 % 5.0 % 4.0 % Total return: Total return before incentive fees (2.1) % (1.8) % (11.0) % (10.8) % 2.7 % 3.4 % (5.0) % (4.5) % Incentive fees 0.2 % 0.2 % - % - % (0.2) % (0.2) % (1.4) % (1.4) % Total return after incentive fees (1.9) % (1.6) % (11.0) % (10.8) % 2.5 % 3.2 % (6.4) % (5.9) % * Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. ** Annualized (except for incentive fees). *** Interest income less total expenses. The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and includes the income and expenses allocated from the Funds. |
Trading Activities
Trading Activities | 6 Months Ended |
Jun. 30, 2016 | |
Brokers and Dealers [Abstract] | |
Trading Activities | 4. Trading Activities: The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses. The Partnership also invests its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Funds’ trading activities are shown in the Statements of Income and Expenses. The Customer Agreement among the Partnership, each of the Funds and MS&Co. gives the Partnership and the Funds the legal right to net unrealized gains and losses on open futures, forward and option contracts in the Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures, forward and option contracts on the Statements of Financial Condition, as the criteria under ASC 210-20, “ Balance Sheet All of the commodity interests owned directly by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three and six months ended June 30, 2016 were 10,141 and 9,743, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three and six months ended June 30, 2016 were 1,551 and 1,344, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the three and six months ended June 30, 2016 were $1,020,221,237 and $850,919,227, respectively. During the period January 1, 2015 to June 30, 2015, the assets of the Partnership were not traded directly. Ongoing selling agent fees and trading and transaction fees are based on the number of trades executed by the Advisors and the Partnership’s percentage ownership of each respective Fund. All clearing fees paid to MS&Co. are borne by the Partnership for its direct trading. In addition, clearing fees are borne by the Funds and are allocated to the limited partners/members, including the Partnership. The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting or similar arrangements as of June 30, 2016 and December 31, 2015. Gross Amounts Amounts Gross Amounts Not Offset in the June 30, 2016 Gross Statements of Statements of Financial Cash Collateral Net Amount Assets Futures $ 7,104,284 $ (1,430,224) $ 5,674,060 $ - $ - $ 5,674,060 Forwards 10,162,118 (9,661,895) 500,223 - - 500,223 Total assets $ 17,266,402 $ (11,092,119) $ 6,174,283 $ - $ - $ 6,174,283 Liabilities Futures $ (1,430,224) $ 1,430,224 $ - $ - $ - $ - Forwards (9,661,895) 9,661,895 - - - - Total liabilities $ (11,092,119) $ 11,092,119 $ - $ - $ - $ - Net fair value $ 6,174,283 * Gross Amounts Amounts Gross Amounts Not Offset in the December 31, 2015 Gross Statements of Statements of Financial Cash Collateral Net Amount Assets Futures $ 2,021,386 $ (1,883,450) $ 137,936 $ - $ - $ 137,936 Forwards 2,696,643 (2,228,652) 467,991 - - 467,991 Total assets $ 4,718,029 $ (4,112,102) $ 605,927 $ - $ - $ 605,927 Liabilities Futures $ (1,883,450) $ 1,883,450 $ - $ - $ - $ - Forwards (2,228,652) 2,228,652 - - - - Total liabilities $ (4,112,102) $ 4,112,102 $ - $ - $ - $ - Net fair value $ 605,927 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s off-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash 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 Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. The following tables indicate the gross fair values of derivative instruments of futures and forward contracts held directly by the Partnership as separate assets and liabilities as of June 30, 2016 and December 31, 2015. June 30, 2016 Assets Futures Contracts Energy $ 91,399 Grains 1,733,467 Indices 546,147 Interest Rates U.S. 963,868 Interest Rates Non-U.S. 3,337,064 Livestock 18,328 Metals 286,320 Softs 127,691 Total unrealized appreciation on open futures contracts 7,104,284 Liabilities Futures Contracts Energy (366,912) Grains (46,975) Indices (542,007) Interest Rates U.S. (18,031) Interest Rates Non-U.S. (77,195) Livestock (169,436) Metals (209,633) Softs (35) Total unrealized depreciation on open futures contracts (1,430,224) Net unrealized appreciation on open futures contracts $ 5,674,060 * Assets Forward Contracts Currencies $ 7,949,291 Metals 2,212,827 Total unrealized appreciation on open forward contracts 10,162,118 Liabilities Forward Contracts Currencies (6,928,377) Metals (2,733,518) Total unrealized depreciation on open forward contracts (9,661,895) Net unrealized appreciation on open forward contracts $ 500,223 ** * This amount is included in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is included in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2015 Assets Futures Contracts Energy $ 1,053,095 Grains 462,600 Indices 82,629 Interest Rates U.S. 316,861 Interest Rates Non-U.S. 55,080 Metals 49,160 Softs 1,961 Total unrealized appreciation on open futures contracts 2,021,386 Liabilities Futures Contracts Energy (435,737) Grains (26,226) Indices (401,508) Interest Rates U.S. (419,676) Interest Rates Non-U.S. (170,723) Livestock (196,058) Metals (205,458) Softs (28,064) Total unrealized depreciation on open futures contracts (1,883,450) Net unrealized appreciation on open futures contracts $ 137,936 * Assets Forward Contracts Currencies $ 1,321,602 Metals 1,375,041 Total unrealized appreciation on open forward contracts 2,696,643 Liabilities Forward Contracts Currencies (1,463,464) Metals (765,188) Total unrealized depreciation on open forward contracts (2,228,652) Net unrealized appreciation on open forward contracts $ 467,991 ** * This amount is included in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is included in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and six months ended June 30, 2016. During the three and six months ended June 30, 2015, no derivative instruments were traded directly by the Partnership. Sector Three Months Ended 2016 Six Months Ended 2016 Currencies $ (1,418,193) $ 1,159,848 Energy (4,670,620) (2,160,456) Grains 1,481,572 866,392 Indices (12,644,136) (12,393,889) Interest Rates U.S. 240,371 3,412,142 Interest Rates Non-U.S. 3,663,202 8,312,887 Livestock (421,676) (856,829) Metals (2,188,657) (3,102,364) Softs (578,943) (580,989) Total $ (16,537,080) *** $ (5,343,258) *** *** This amount is included in “Total trading results” in the Partnership’s Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 5. Fair Value Measurements: Partnership’s and the Funds’ Fair Value Measurements The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period. The Partnership and the Funds consider 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 forward, swap and certain option contracts for which market quotations are not readily available are priced by broker quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of June 30, 2016 and December 31, 2015 and for the periods ended June 30, 2016 and 2015, the Partnership and the Funds 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. June 30, 2016 Total Level 1 Level 2 Level 3 Assets Futures $ 7,104,284 $ 7,104,284 $ - $ - Forwards 10,162,118 2,212,827 7,949,291 - U.S. Treasury bills 152,958,547 - 152,958,547 - Total assets $ 170,224,949 $ 9,317,111 $ 160,907,838 $ - Liabilities Futures $ 1,430,224 $ 1,430,224 $ - $ - Forwards 9,661,895 2,733,518 6,928,377 - Total liabilities $ 11,092,119 $ 4,163,742 $ 6,928,377 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets Futures $ 2,021,386 $ 2,021,386 $ - $ - Forwards 2,696,643 1,375,041 1,321,602 - U.S. Treasury bills 91,990,239 - 91,990,239 - Total assets $ 96,708,268 $ 3,396,427 $ 93,311,841 $ - Liabilities Futures $ 1,883,450 $ 1,883,450 $ - $ - Forwards 2,228,652 765,188 1,463,464 - Total liabilities $ 4,112,102 $ 2,648,638 $ 1,463,464 $ - |
Investment in the Funds
Investment in the Funds | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Investments [Abstract] | |
Investment in the Funds | 6. Investment in the Funds: On November 1, 2004, the assets allocated to Winton for trading were invested in Winton Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 units of Winton Master with cash equal to $33,594,083 and a contribution of open commodity futures and forwards contracts with a fair value of $1,795,757. Winton Master permits accounts managed by Winton using the Winton Futures Program (formerly, the Winton Diversified Program as applied without equities), a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure promotes efficiency and economy in the trading process. The General Partner and Winton have agreed that Winton will trade the Partnership’s assets allocated to Winton at a level that is up to 1.5 times the amount of assets allocated. On June 1, 2011, the Partnership allocated a portion of its assets with cash equal to $384,370,435 to Transtrend Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Transtrend Master permits accounts managed by Transtrend using the Diversified Trend Program-Enhanced Risk Profile (US Dollar), a proprietary, systematic trading system, to invest together in one trading vehicle. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be non-managing members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process. On August 1, 2014, the assets allocated to Willowbridge for trading were invested in Willowbridge Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 9,633.9313 units of Willowbridge Master with cash equal to $21,000,000. Willowbridge Master permits accounts managed by Willowbridge using its wPraxis Futures Trading Approach, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure promotes efficiency and economy in the trading process. The General Partner and Willowbridge have agreed that Willowbridge will trade the Partnership’s assets at a level that is up to three times the amount of the assets allocated. The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended June 30, 2016. The Funds’ and the Partnership’s trading of futures, forward, swap, and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with MS&Co. Generally, a limited partner/member in the Funds withdraws all or part of its capital contribution and undistributed profits, if any, from the Funds as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner/member elects to redeem and informs the Funds. However, for all Funds other than Winton Master, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day. Management fees, ongoing selling agent fees, the General Partner fees and incentive fees are charged at the Partnership level, except for management and incentive fees payable to Transtrend which are charged at the Transtrend Master level. Clearing fees are borne by the Funds and allocated to the Funds’ limited partners/non-managing members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees are borne by the Funds and allocated to the Partnership, and also charged directly at the Partnership level. At June 30, 2016, the Partnership owned approximately 54.7% of Winton Master, 95.9% of Transtrend Master and 72.6% of Willowbridge Master. At December 31, 2015, the Partnership owned approximately 58.4% of Winton Master, 96.1% of Transtrend Master and 82.0% of Willowbridge Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected. Summarized information reflecting the total assets, liabilities and partners’ capital/members’ capital of the Funds is shown in the following tables: June 30, 2016 Total Assets Total Liabilities Total Capital Winton Master $ 577,134,699 $ 45,523 $ 577,089,176 Transtrend Master 342,296,098 15,095,728 327,200,370 Willowbridge Master 390,739,775 1,675,338 389,064,437 December 31, 2015 Total Assets Total Liabilities Total Capital Winton Master $ 603,348,671 $ 307,301 $ 603,041,370 Transtrend Master 375,412,557 351,832 375,060,725 Willowbridge Master 366,002,932 17,302,983 348,699,949 Summarized information reflecting the net investment income (loss), total trading results and net income (loss) of the Funds is shown in the following tables: For the three months ended June 30, 2016 Net Investment Total Trading Net Income (Loss) Winton Master $ 137,398 $ 17,050,084 $ 17,187,482 Transtrend Master (955,861) 209,565 (746,296) Willowbridge Master (74,889) (8,464,297) (8,539,186) For the six months ended June 30, 2016 Net Investment Total Trading Net Income (Loss) Winton Master $ 291,478 $ 39,555,173 $ 39,846,651 Transtrend Master (4,537,812) 42,469,634 37,931,822 Willowbridge Master (184,455) (10,557,807) (10,742,262) For the three months ended June 30, 2015 Net Investment Total Trading Net Income (Loss) Winton Master $ (234,782) $ (63,902,539) $ (64,137,321) Transtrend Master (1,710,837) (63,033,724) (64,744,561) Willowbridge Master (213,266) (24,855,443) (25,068,709) For the six months ended June 30, 2015 Net Investment Total Trading Net Income (Loss) Winton Master $ (451,479) $ (658,745) $ (1,110,224) Transtrend Master (10,293,850) (27,413,537) (37,707,387) Willowbridge Master (490,804) (13,622,175) (14,112,979) Summarized information reflecting the Partnership’s investments in and the Partnership’s pro rata share of the results of operations of the Funds are shown in the following tables: June 30, 2016 For the three months ended June 30, 2016 % of Fair Income Expenses Management Incentive Net Investment Redemptions Funds Clearing Professional Winton Master 29.32 % $ 315,651,086 $ 9,451,315 $ 88,716 $ 11,252 $ - $ - $ 9,351,347 Commodity Monthly Transtrend Master 29.14 % 313,682,723 300,025 445,675 216 751,972 (177,577) (720,261) Commodity Monthly Willowbridge Master 26.25 % 282,588,506 (6,014,488) 172,253 14,924 - - (6,201,665) Commodity Monthly Total $ 911,922,315 $ 3,736,852 $ 706,644 $ 26,392 $ 751,972 $ (177,577) $ 2,429,421 June 30, 2016 For the six months ended June 30, 2016 Funds % of Fair Income Expenses Management Incentive Net Investment Redemptions Clearing Professional Winton Master 29.32 % $ 315,651,086 $ 22,928,315 $ 184,013 $ 22,979 $ - $ - $ 22,721,323 Commodity Monthly Transtrend Master 29.14 % 313,682,723 41,036,881 847,117 377 1,601,268 2,019,251 36,568,868 Commodity Monthly Willowbridge Master 26.25 % 282,588,506 (7,331,078) 396,562 30,426 - - (7,758,066) Commodity Monthly Total $ 911,922,315 $ 56,634,118 $ 1,427,692 $ 53,782 $ 1,601,268 $ 2,019,251 $ 51,532,125 December 31, 2015 For the three months ended June 30, 2015 % of Partners’ Fair Value Income Expenses Management Net Income Investment Redemptions Funds Clearing Professional Winton Master 32.27 % $ 351,974,066 $ (40,127,273) $ 137,830 $ 16,996 $ - $ (40,282,099) Commodity Monthly Transtrend Master 33.04 % 360,373,336 (61,438,364) 386,039 - 1,272,576 (63,096,979) Commodity Monthly Willowbridge Master 26.22 % 285,955,662 (20,163,247) 161,249 18,717 - (20,343,213) Commodity Monthly Total $ 998,303,064 $ (121,728,884) $ 685,118 $ 35,713 $ 1,272,576 $ (123,722,291) December 31, 2015 For the six months ended June 30, 2015 % of Partners’ Fair Value Income Expenses Management Incentive Net Income Investment Redemptions Funds Clearing Professional Winton Master 32.27 % $ 351,974,066 $ 1,008,087 $ 262,945 $ 41,816 $ - $ - $ 703,326 Commodity Monthly Transtrend Master 33.04 % 360,373,336 (26,827,035) 805,566 - 2,614,762 6,569,923 (36,817,286) Commodity Monthly Willowbridge Master 26.22 % 285,955,662 (11,433,667) 358,353 44,359 - - (11,836,379) Commodity Monthly Total $ 998,303,064 $ (37,252,615) $ 1,426,864 $ 86,175 $ 2,614,762 $ 6,569,923 $ (47,950,339) |
Financial Instrument Risks
Financial Instrument Risks | 6 Months Ended |
Jun. 30, 2016 | |
Risks and Uncertainties [Abstract] | |
Financial Instrument Risks | 7. Financial Instrument Risks: In the normal course of business, the Partnership and the Funds are party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options, and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 28.3% to 35.4% of the Partnership’s/Funds’ contracts are traded OTC. Futures Contracts Forward Foreign Currency Contracts London Metals Exchange Forward Contracts Options As both a buyer and seller of options, the Partnership/Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees. The Partnership and the Funds do 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/Funds’ Statements of Income and Expenses. Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Partnership’s/Funds’ Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as MS&Co. or an MS&Co. affiliate is the sole counterparty or broker with respect to the Partnership’s and the Funds’ assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Funds’ counterparty is an exchange or clearing organization. The General Partner monitors and attempts to control the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions. The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ business, these instruments may not be held to maturity. The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | 8. 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 there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Basis of Presentation and Sum17
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates. The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions, redemptions and losses, if any. |
Statement of Cash Flows | Statement of Cash Flows |
Partnership's Investments in the Funds | Partnership’s Investments in the Funds |
Partnership's/Funds' Derivative Investments | Partnership’s/Funds’ Derivative Investments. |
Partnership's Cash | Partnership’s Cash. |
Income Taxes | Income Taxes |
Investment Company Status | Investment Company Status. “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” |
Net Income (Loss) Per Redeemable Unit. | Net Income (Loss) Per Redeemable Unit. “Financial Services—Investment Companies.” |
Fair Value of Financial Instruments | Fair Value of Financial Instruments. “Financial Instruments,” |
Recent Accounting Pronouncement | Recent Accounting Pronouncement. “Recognition and Measurement of Financial Assets and Financial Liabilities.” |
Financial Highlights (Tables)
Financial Highlights (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Text Block [Abstract] | |
Schedule of Changes in Net Asset Value | Financial highlights for the limited partner Classes as a whole for the three and six months ended June 30, 2016 and 2015 were as follows: Three Months Ended Three Months Ended Six Months Ended Six Months Ended Class A Class Z Class A Class Z Class A Class Z Class A Class Z Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ (36.70) $ (13.77) $ (330.73) $ (123.83) $ 136.94 $ 51.95 $ (99.59) $ (37.53) Net investment loss (23.95) (4.98) (26.84) (7.02) (61.77) (16.10) (96.92) (30.12) Increase (decrease) for the period (60.65) (18.75) (357.57) (130.85) 75.17 35.85 (196.51) (67.65) Net asset value per Redeemable Unit, beginning of period 3,140.66 1,188.08 3,237.84 1,211.43 3,004.84 1,133.48 3,076.78 1,148.23 Net asset value per Redeemable Unit, end of period $ 3,080.01 $ 1,169.33 $ 2,880.27 $ 1,080.58 $ 3,080.01 $ 1,169.33 $ 2,880.27 $ 1,080.58 |
Ratios to Average Limited Partners' Capital | Three Months Ended Three Months Ended Six Months Ended Six Months Ended Class A Class Z Class A Class Z Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital**: Net investment loss*** (3.7) % (2.2) % (3.6) % (2.5) % (3.9) % (2.6) % (5.0) % (4.0) % Operating expenses 4.0 % 2.6 % 3.6 % 2.5 % 3.9 % 2.6 % 3.6 % 2.6 % Incentive fees (0.2) % (0.2) % - % - % 0.2 % 0.2 % 1.4 % 1.4 % Total expenses 3.8 % 2.4 % 3.6 % 2.5 % 4.1 % 2.8 % 5.0 % 4.0 % Total return: Total return before incentive fees (2.1) % (1.8) % (11.0) % (10.8) % 2.7 % 3.4 % (5.0) % (4.5) % Incentive fees 0.2 % 0.2 % - % - % (0.2) % (0.2) % (1.4) % (1.4) % Total return after incentive fees (1.9) % (1.6) % (11.0) % (10.8) % 2.5 % 3.2 % (6.4) % (5.9) % * Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. ** Annualized (except for incentive fees). *** Interest income less total expenses. |
Trading Activities (Tables)
Trading Activities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Brokers and Dealers [Abstract] | |
Summary of Gross and Net Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivatives | The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting or similar arrangements as of June 30, 2016 and December 31, 2015. Gross Amounts Amounts Gross Amounts Not Offset in the June 30, 2016 Gross Statements of Statements of Financial Cash Collateral Net Amount Assets Futures $ 7,104,284 $ (1,430,224) $ 5,674,060 $ - $ - $ 5,674,060 Forwards 10,162,118 (9,661,895) 500,223 - - 500,223 Total assets $ 17,266,402 $ (11,092,119) $ 6,174,283 $ - $ - $ 6,174,283 Liabilities Futures $ (1,430,224) $ 1,430,224 $ - $ - $ - $ - Forwards (9,661,895) 9,661,895 - - - - Total liabilities $ (11,092,119) $ 11,092,119 $ - $ - $ - $ - Net fair value $ 6,174,283 * Gross Amounts Amounts Gross Amounts Not Offset in the December 31, 2015 Gross Statements of Statements of Financial Cash Collateral Net Amount Assets Futures $ 2,021,386 $ (1,883,450) $ 137,936 $ - $ - $ 137,936 Forwards 2,696,643 (2,228,652) 467,991 - - 467,991 Total assets $ 4,718,029 $ (4,112,102) $ 605,927 $ - $ - $ 605,927 Liabilities Futures $ (1,883,450) $ 1,883,450 $ - $ - $ - $ - Forwards (2,228,652) 2,228,652 - - - - Total liabilities $ (4,112,102) $ 4,112,102 $ - $ - $ - $ - Net fair value $ 605,927 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s off-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash 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 Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. |
Gross Fair Values of Derivative Instruments of Futures and Forward Contracts Traded | The following tables indicate the gross fair values of derivative instruments of futures and forward contracts held directly by the Partnership as separate assets and liabilities as of June 30, 2016 and December 31, 2015. June 30, 2016 Assets Futures Contracts Energy $ 91,399 Grains 1,733,467 Indices 546,147 Interest Rates U.S. 963,868 Interest Rates Non-U.S. 3,337,064 Livestock 18,328 Metals 286,320 Softs 127,691 Total unrealized appreciation on open futures contracts 7,104,284 Liabilities Futures Contracts Energy (366,912) Grains (46,975) Indices (542,007) Interest Rates U.S. (18,031) Interest Rates Non-U.S. (77,195) Livestock (169,436) Metals (209,633) Softs (35) Total unrealized depreciation on open futures contracts (1,430,224) Net unrealized appreciation on open futures contracts $ 5,674,060 * Assets Forward Contracts Currencies $ 7,949,291 Metals 2,212,827 Total unrealized appreciation on open forward contracts 10,162,118 Liabilities Forward Contracts Currencies (6,928,377) Metals (2,733,518) Total unrealized depreciation on open forward contracts (9,661,895) Net unrealized appreciation on open forward contracts $ 500,223 ** * This amount is included in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is included in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2015 Assets Futures Contracts Energy $ 1,053,095 Grains 462,600 Indices 82,629 Interest Rates U.S. 316,861 Interest Rates Non-U.S. 55,080 Metals 49,160 Softs 1,961 Total unrealized appreciation on open futures contracts 2,021,386 Liabilities Futures Contracts Energy (435,737) Grains (26,226) Indices (401,508) Interest Rates U.S. (419,676) Interest Rates Non-U.S. (170,723) Livestock (196,058) Metals (205,458) Softs (28,064) Total unrealized depreciation on open futures contracts (1,883,450) Net unrealized appreciation on open futures contracts $ 137,936 * Assets Forward Contracts Currencies $ 1,321,602 Metals 1,375,041 Total unrealized appreciation on open forward contracts 2,696,643 Liabilities Forward Contracts Currencies (1,463,464) Metals (765,188) Total unrealized depreciation on open forward contracts (2,228,652) Net unrealized appreciation on open forward contracts $ 467,991 ** * This amount is included in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is included in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. |
Trading Gains and Losses by Market Sector on Derivative Instruments Traded | The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and six months ended June 30, 2016. During the three and six months ended June 30, 2015, no derivative instruments were traded directly by the Partnership. Sector Three Months Ended 2016 Six Months Ended 2016 Currencies $ (1,418,193) $ 1,159,848 Energy (4,670,620) (2,160,456) Grains 1,481,572 866,392 Indices (12,644,136) (12,393,889) Interest Rates U.S. 240,371 3,412,142 Interest Rates Non-U.S. 3,663,202 8,312,887 Livestock (421,676) (856,829) Metals (2,188,657) (3,102,364) Softs (578,943) (580,989) Total $ (16,537,080) *** $ (5,343,258) *** *** This amount is included in “Total trading results” in the Partnership’s Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Derivative Instruments Priced at Fair Value Using Unobservable Inputs | During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2. June 30, 2016 Total Level 1 Level 2 Level 3 Assets Futures $ 7,104,284 $ 7,104,284 $ - $ - Forwards 10,162,118 2,212,827 7,949,291 - U.S. Treasury bills 152,958,547 - 152,958,547 - Total assets $ 170,224,949 $ 9,317,111 $ 160,907,838 $ - Liabilities Futures $ 1,430,224 $ 1,430,224 $ - $ - Forwards 9,661,895 2,733,518 6,928,377 - Total liabilities $ 11,092,119 $ 4,163,742 $ 6,928,377 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets Futures $ 2,021,386 $ 2,021,386 $ - $ - Forwards 2,696,643 1,375,041 1,321,602 - U.S. Treasury bills 91,990,239 - 91,990,239 - Total assets $ 96,708,268 $ 3,396,427 $ 93,311,841 $ - Liabilities Futures $ 1,883,450 $ 1,883,450 $ - $ - Forwards 2,228,652 765,188 1,463,464 - Total liabilities $ 4,112,102 $ 2,648,638 $ 1,463,464 $ - |
Investment in the Funds (Tables
Investment in the Funds (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Investments [Abstract] | |
Assets, Liabilities and Partners' Capital/Members' Capital of Funds | Summarized information reflecting the total assets, liabilities and partners’ capital/members’ capital of the Funds is shown in the following tables: June 30, 2016 Total Assets Total Liabilities Total Capital Winton Master $ 577,134,699 $ 45,523 $ 577,089,176 Transtrend Master 342,296,098 15,095,728 327,200,370 Willowbridge Master 390,739,775 1,675,338 389,064,437 December 31, 2015 Total Assets Total Liabilities Total Capital Winton Master $ 603,348,671 $ 307,301 $ 603,041,370 Transtrend Master 375,412,557 351,832 375,060,725 Willowbridge Master 366,002,932 17,302,983 348,699,949 |
Net Investment Income (Loss), Trading Results and Net Income (Loss) for Funds | Summarized information reflecting the net investment income (loss), total trading results and net income (loss) of the Funds is shown in the following tables: For the three months ended June 30, 2016 Net Investment Total Trading Net Income (Loss) Winton Master $ 137,398 $ 17,050,084 $ 17,187,482 Transtrend Master (955,861) 209,565 (746,296) Willowbridge Master (74,889) (8,464,297) (8,539,186) For the six months ended June 30, 2016 Net Investment Total Trading Net Income (Loss) Winton Master $ 291,478 $ 39,555,173 $ 39,846,651 Transtrend Master (4,537,812) 42,469,634 37,931,822 Willowbridge Master (184,455) (10,557,807) (10,742,262) For the three months ended June 30, 2015 Net Investment Total Trading Net Income (Loss) Winton Master $ (234,782) $ (63,902,539) $ (64,137,321) Transtrend Master (1,710,837) (63,033,724) (64,744,561) Willowbridge Master (213,266) (24,855,443) (25,068,709) For the six months ended June 30, 2015 Net Investment Total Trading Net Income (Loss) Winton Master $ (451,479) $ (658,745) $ (1,110,224) Transtrend Master (10,293,850) (27,413,537) (37,707,387) Willowbridge Master (490,804) (13,622,175) (14,112,979) |
Partnership's Investments in, and Partners' Pro Rata Share of Results of Operations of, the Funds | Summarized information reflecting the Partnership’s investments in and the Partnership’s pro rata share of the results of operations of the Funds are shown in the following tables: June 30, 2016 For the three months ended June 30, 2016 % of Fair Income Expenses Management Incentive Net Investment Redemptions Funds Clearing Professional Winton Master 29.32 % $ 315,651,086 $ 9,451,315 $ 88,716 $ 11,252 $ - $ - $ 9,351,347 Commodity Monthly Transtrend Master 29.14 % 313,682,723 300,025 445,675 216 751,972 (177,577) (720,261) Commodity Monthly Willowbridge Master 26.25 % 282,588,506 (6,014,488) 172,253 14,924 - - (6,201,665) Commodity Monthly Total $ 911,922,315 $ 3,736,852 $ 706,644 $ 26,392 $ 751,972 $ (177,577) $ 2,429,421 June 30, 2016 For the six months ended June 30, 2016 Funds % of Fair Income Expenses Management Incentive Net Investment Redemptions Clearing Professional Winton Master 29.32 % $ 315,651,086 $ 22,928,315 $ 184,013 $ 22,979 $ - $ - $ 22,721,323 Commodity Monthly Transtrend Master 29.14 % 313,682,723 41,036,881 847,117 377 1,601,268 2,019,251 36,568,868 Commodity Monthly Willowbridge Master 26.25 % 282,588,506 (7,331,078) 396,562 30,426 - - (7,758,066) Commodity Monthly Total $ 911,922,315 $ 56,634,118 $ 1,427,692 $ 53,782 $ 1,601,268 $ 2,019,251 $ 51,532,125 December 31, 2015 For the three months ended June 30, 2015 % of Partners’ Fair Value Income Expenses Management Net Income Investment Redemptions Funds Clearing Professional Winton Master 32.27 % $ 351,974,066 $ (40,127,273) $ 137,830 $ 16,996 $ - $ (40,282,099) Commodity Monthly Transtrend Master 33.04 % 360,373,336 (61,438,364) 386,039 - 1,272,576 (63,096,979) Commodity Monthly Willowbridge Master 26.22 % 285,955,662 (20,163,247) 161,249 18,717 - (20,343,213) Commodity Monthly Total $ 998,303,064 $ (121,728,884) $ 685,118 $ 35,713 $ 1,272,576 $ (123,722,291) December 31, 2015 For the six months ended June 30, 2015 % of Partners’ Fair Value Income Expenses Management Incentive Net Income Investment Redemptions Funds Clearing Professional Winton Master 32.27 % $ 351,974,066 $ 1,008,087 $ 262,945 $ 41,816 $ - $ - $ 703,326 Commodity Monthly Transtrend Master 33.04 % 360,373,336 (26,827,035) 805,566 - 2,614,762 6,569,923 (36,817,286) Commodity Monthly Willowbridge Master 26.22 % 285,955,662 (11,433,667) 358,353 44,359 - - (11,836,379) Commodity Monthly Total $ 998,303,064 $ (37,252,615) $ 1,426,864 $ 86,175 $ 2,614,762 $ 6,569,923 $ (47,950,339) |
Organization - Additional Infor
Organization - Additional Information (Detail) | Oct. 01, 2014$ / Half_Turn_Trade$ / Round_Turn_Trade | Mar. 01, 2014 | Jun. 30, 2016shares |
Partnership Organization And Basis Of Presentation [Line Items] | |||
Maximum number of Redeemable Units sold by the Partnership | shares | 0 | ||
MS & Co [Member] | |||
Partnership Organization And Basis Of Presentation [Line Items] | |||
Percentage of average daily equity maintained in cash | 100.00% | ||
MS & Co [Member] | Morgan Stanley Smith Barney TT II, LLC [Member] | |||
Partnership Organization And Basis Of Presentation [Line Items] | |||
Percentage of average daily equity maintained in cash | 100.00% | ||
U.S. Treasury bill discount rate | 0.15% | ||
Morgan Stanley Wealth Management [Member] | Class A Redeemable Units [Member] | |||
Partnership Organization And Basis Of Presentation [Line Items] | |||
Brokerage commission payable per round-turn | $ / Round_Turn_Trade | 15 | ||
Brokerage commission payable per half turn | $ / Half_Turn_Trade | 7.50 | ||
Maximum [Member] | |||
Partnership Organization And Basis Of Presentation [Line Items] | |||
Percentage of partnership assets allocated | 10.00% |
Basis of Presentation and Sum23
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Accounting Policies [Abstract] | ||
Cash denominated in foreign currencies | $ (6,759,019) | $ (3,091,422) |
Cash denominated in foreign currencies, proceeds | $ 6,918,026 | $ 3,105,350 |
Income tax examination, description | No income tax returns are currently under examination. The 2012 through 2015 tax years remain subject to examination by U.S. federal and most state tax authorities. |
Financial Highlights - Schedule
Financial Highlights - Schedule of Changes in Net Asset Value (Detail) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Class A Redeemable Units [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | $ (36.70) | $ (330.73) | $ 136.94 | $ (99.59) |
Net investment loss | (23.95) | (26.84) | (61.77) | (96.92) |
Increase (decrease) for the period | (60.65) | (357.57) | 75.17 | (196.51) |
Net asset value per Redeemable Unit, beginning of period | 3,140.66 | 3,237.84 | 3,004.84 | 3,076.78 |
Net asset value per Redeemable Unit, end of period | 3,080.01 | 2,880.27 | 3,080.01 | 2,880.27 |
Class Z Redeemable Units [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | (13.77) | (123.83) | 51.95 | (37.53) |
Net investment loss | (4.98) | (7.02) | (16.10) | (30.12) |
Increase (decrease) for the period | (18.75) | (130.85) | 35.85 | (67.65) |
Net asset value per Redeemable Unit, beginning of period | 1,188.08 | 1,211.43 | 1,133.48 | 1,148.23 |
Net asset value per Redeemable Unit, end of period | $ 1,169.33 | $ 1,080.58 | $ 1,169.33 | $ 1,080.58 |
Financial Highlights - Ratios t
Financial Highlights - Ratios to Average Limited Partners' Capital (Detail) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Class A Redeemable Units [Member] | ||||
Ratios to Average Limited Partners' Capital: | ||||
Net investment loss | (3.70%) | (3.60%) | (3.90%) | (5.00%) |
Operating expenses | 4.00% | 3.60% | 3.90% | 3.60% |
Incentive fees | (0.20%) | 0.20% | 1.40% | |
Total expenses | 3.80% | 3.60% | 4.10% | 5.00% |
Total return before incentive fees | (2.10%) | (11.00%) | 2.70% | (5.00%) |
Incentive fees | 0.20% | (0.20%) | (1.40%) | |
Total return after incentive fees | (1.90%) | (11.00%) | 2.50% | (6.40%) |
Class Z Redeemable Units [Member] | ||||
Ratios to Average Limited Partners' Capital: | ||||
Net investment loss | (2.20%) | (2.50%) | (2.60%) | (4.00%) |
Operating expenses | 2.60% | 2.50% | 2.60% | 2.60% |
Incentive fees | (0.20%) | 0.20% | 1.40% | |
Total expenses | 2.40% | 2.50% | 2.80% | 4.00% |
Total return before incentive fees | (1.80%) | (10.80%) | 3.40% | (4.50%) |
Incentive fees | 0.20% | (0.20%) | (1.40%) | |
Total return after incentive fees | (1.60%) | (10.80%) | 3.20% | (5.90%) |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016USD ($)Contracts | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)Contracts | Jun. 30, 2015USD ($) | |
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | $ (13,229,270) | $ (121,742,468) | $ 50,337,564 | $ (37,282,534) |
Derivative [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (16,537,080) | $ 0 | (5,343,258) | $ 0 |
Metals [Member] | Derivative [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (2,188,657) | (3,102,364) | ||
Currencies [Member] | Derivative [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | $ (1,418,193) | $ 1,159,848 | ||
Futures Contracts [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Average number of derivative contracts held | Contracts | 10,141 | 9,743 | ||
Forward Contracts [Member] | Metals [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Average number of derivative contracts held | Contracts | 1,551 | 1,344 | ||
Forward Contracts [Member] | Currencies [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Average notional value of derivative | $ 1,020,221,237 | $ 850,919,227 |
Trading Activities - Summary of
Trading Activities - Summary of Gross and Net Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivatives (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 17,266,402 | $ 4,718,029 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (11,092,119) | (4,112,102) |
Amounts Presented in the Statements of Financial Condition, Assets | 6,174,283 | 605,927 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 6,174,283 | 605,927 |
Gross Amounts Recognized, Liabilities | (11,092,119) | (4,112,102) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 11,092,119 | 4,112,102 |
Amounts Presented in the Statements of Financial Condition, Liabilities | 0 | 0 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | 0 | 0 |
Net fair value | 6,174,283 | 605,927 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 7,104,284 | 2,021,386 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (1,430,224) | (1,883,450) |
Amounts Presented in the Statements of Financial Condition, Assets | 5,674,060 | 137,936 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 5,674,060 | 137,936 |
Gross Amounts Recognized, Liabilities | (1,430,224) | (1,883,450) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 1,430,224 | 1,883,450 |
Amounts Presented in the Statements of Financial Condition, Liabilities | 0 | 0 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 10,162,118 | 2,696,643 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (9,661,895) | (2,228,652) |
Amounts Presented in the Statements of Financial Condition, Assets | 500,223 | 467,991 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 500,223 | 467,991 |
Gross Amounts Recognized, Liabilities | (9,661,895) | (2,228,652) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 9,661,895 | 2,228,652 |
Amounts Presented in the Statements of Financial Condition, Liabilities | 0 | 0 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | $ 0 | $ 0 |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts Traded (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Futures Contracts [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | $ 7,104,284 | $ 2,021,386 |
Total unrealized depreciation on open contracts | (1,430,224) | (1,883,450) |
Net unrealized appreciation (depreciation) on open contracts | 5,674,060 | 137,936 |
Futures Contracts [Member] | Energy [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 91,399 | 1,053,095 |
Total unrealized depreciation on open contracts | (366,912) | (435,737) |
Futures Contracts [Member] | Grains [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 1,733,467 | 462,600 |
Total unrealized depreciation on open contracts | (46,975) | (26,226) |
Futures Contracts [Member] | Indices [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 546,147 | 82,629 |
Total unrealized depreciation on open contracts | (542,007) | (401,508) |
Futures Contracts [Member] | Interest Rates U.S. [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 963,868 | 316,861 |
Total unrealized depreciation on open contracts | (18,031) | (419,676) |
Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 3,337,064 | 55,080 |
Total unrealized depreciation on open contracts | (77,195) | (170,723) |
Futures Contracts [Member] | Livestock [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 18,328 | |
Total unrealized depreciation on open contracts | (169,436) | (196,058) |
Futures Contracts [Member] | Metals [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 286,320 | 49,160 |
Total unrealized depreciation on open contracts | (209,633) | (205,458) |
Futures Contracts [Member] | Softs [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 127,691 | 1,961 |
Total unrealized depreciation on open contracts | (35) | (28,064) |
Forward Contracts [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 10,162,118 | 2,696,643 |
Total unrealized depreciation on open contracts | (9,661,895) | (2,228,652) |
Net unrealized appreciation (depreciation) on open contracts | 500,223 | 467,991 |
Forward Contracts [Member] | Metals [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 2,212,827 | 1,375,041 |
Total unrealized depreciation on open contracts | (2,733,518) | (765,188) |
Forward Contracts [Member] | Currencies [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Total unrealized appreciation on open contracts | 7,949,291 | 1,321,602 |
Total unrealized depreciation on open contracts | $ (6,928,377) | $ (1,463,464) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses by Market Sector on Derivative Instruments Traded (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | $ (13,229,270) | $ (121,742,468) | $ 50,337,564 | $ (37,282,534) |
Derivative [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (16,537,080) | $ 0 | (5,343,258) | $ 0 |
Derivative [Member] | Currencies [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (1,418,193) | 1,159,848 | ||
Derivative [Member] | Energy [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (4,670,620) | (2,160,456) | ||
Derivative [Member] | Grains [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | 1,481,572 | 866,392 | ||
Derivative [Member] | Indices [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (12,644,136) | (12,393,889) | ||
Derivative [Member] | Interest Rates U.S. [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | 240,371 | 3,412,142 | ||
Derivative [Member] | Interest Rates Non-U.S. [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | 3,663,202 | 8,312,887 | ||
Derivative [Member] | Livestock [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (421,676) | (856,829) | ||
Derivative [Member] | Metals [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | (2,188,657) | (3,102,364) | ||
Derivative [Member] | Softs [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Total Trading Results | $ (578,943) | $ (580,989) |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value Disclosures [Abstract] | ||
Investment in Funds | $ 0 | $ 0 |
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 Instruments Priced at Fair Value Using Unobservable Inputs (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Assets | ||
Total assets | $ 170,224,949 | $ 96,708,268 |
Liabilities | ||
Total liabilities | 11,092,119 | 4,112,102 |
Forward Contracts [Member] | ||
Assets | ||
Total assets | 10,162,118 | 2,696,643 |
Liabilities | ||
Total liabilities | 9,661,895 | 2,228,652 |
Futures Contracts [Member] | ||
Assets | ||
Total assets | 7,104,284 | 2,021,386 |
Liabilities | ||
Total liabilities | 1,430,224 | 1,883,450 |
U.S. Treasury Bills [Member] | ||
Assets | ||
Total assets | 152,958,547 | 91,990,239 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Assets | ||
Total assets | 9,317,111 | 3,396,427 |
Liabilities | ||
Total liabilities | 4,163,742 | 2,648,638 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Forward Contracts [Member] | ||
Assets | ||
Total assets | 2,212,827 | 1,375,041 |
Liabilities | ||
Total liabilities | 2,733,518 | 765,188 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Futures Contracts [Member] | ||
Assets | ||
Total assets | 7,104,284 | 2,021,386 |
Liabilities | ||
Total liabilities | 1,430,224 | 1,883,450 |
Significant Other Observable Inputs (Level 2) [Member] | ||
Assets | ||
Total assets | 160,907,838 | 93,311,841 |
Liabilities | ||
Total liabilities | 6,928,377 | 1,463,464 |
Significant Other Observable Inputs (Level 2) [Member] | Forward Contracts [Member] | ||
Assets | ||
Total assets | 7,949,291 | 1,321,602 |
Liabilities | ||
Total liabilities | 6,928,377 | 1,463,464 |
Significant Other Observable Inputs (Level 2) [Member] | U.S. Treasury Bills [Member] | ||
Assets | ||
Total assets | $ 152,958,547 | $ 91,990,239 |
Investment in the Funds - Addit
Investment in the Funds - Additional Information (Detail) - USD ($) | Aug. 01, 2014 | Nov. 01, 2004 | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 01, 2011 |
Willowbridge Associates Inc [Member] | |||||
Investment [Line Items] | |||||
Maximum amount of partnership assets allocated to trading advisor | 3 times | ||||
CMF Winton Master L.P. [Member] | |||||
Investment [Line Items] | |||||
Number of units purchased by partnership | 35,389.8399 | ||||
Cash paid for units purchased by partnership | $ 33,594,083 | ||||
Investment in Funds, at fair value | $ 1,795,757 | ||||
Percentage owned by partnership | 54.70% | 58.40% | |||
CMF Winton Master L.P. [Member] | Maximum [Member] | |||||
Investment [Line Items] | |||||
Maximum amount of partnership assets allocated to trading advisor | 1.5 times | ||||
Morgan Stanley Smith Barney TT II, LLC [Member] | |||||
Investment [Line Items] | |||||
Allocation of portion of assets by partnership | $ 384,370,435 | ||||
Percentage owned by partnership | 95.90% | 96.10% | |||
CMF Willowbridge Master Fund L.P.[Member] | |||||
Investment [Line Items] | |||||
Cash paid for units purchased by partnership | $ 21,000,000 | ||||
Number of units purchased by partnership | 9,633.9313 | ||||
Percentage owned by partnership | 72.60% | 82.00% |
Investment in the Funds - Asset
Investment in the Funds - Assets, Liabilities and Partners' Capital/Members' Capital of Funds (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
CMF Winton Master L.P. [Member] | ||
Investment Holdings [Line Items] | ||
Total Assets | $ 577,134,699 | $ 603,348,671 |
Total Liabilities | 45,523 | 307,301 |
Total Capital | 577,089,176 | 603,041,370 |
Morgan Stanley Smith Barney TT II, LLC [Member] | ||
Investment Holdings [Line Items] | ||
Total Assets | 342,296,098 | 375,412,557 |
Total Liabilities | 15,095,728 | 351,832 |
Total Capital | 327,200,370 | 375,060,725 |
CMF Willowbridge Master Fund L.P.[Member] | ||
Investment Holdings [Line Items] | ||
Total Assets | 390,739,775 | 366,002,932 |
Total Liabilities | 1,675,338 | 17,302,983 |
Total Capital | $ 389,064,437 | $ 348,699,949 |
Investment in the Funds - Net I
Investment in the Funds - Net Investment Income (Loss), Trading Results and Net Income (Loss) for Funds (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Investment [Line Items] | ||||
Total Trading Results | $ (13,229,270) | $ (121,742,468) | $ 50,337,564 | $ (37,282,534) |
Net income (loss) | (21,705,435) | (131,583,415) | 28,191,928 | (72,716,140) |
CMF Winton Master L.P. [Member] | ||||
Investment [Line Items] | ||||
Net Investment Income (Loss) | 137,398 | (234,782) | 291,478 | (451,479) |
Total Trading Results | 17,050,084 | (63,902,539) | 39,555,173 | (658,745) |
Net income (loss) | 17,187,482 | (64,137,321) | 39,846,651 | (1,110,224) |
Morgan Stanley Smith Barney TT II, LLC [Member] | ||||
Investment [Line Items] | ||||
Net Investment Income (Loss) | (955,861) | (1,710,837) | (4,537,812) | (10,293,850) |
Total Trading Results | 209,565 | (63,033,724) | 42,469,634 | (27,413,537) |
Net income (loss) | (746,296) | (64,744,561) | 37,931,822 | (37,707,387) |
CMF Willowbridge Master Fund L.P.[Member] | ||||
Investment [Line Items] | ||||
Net Investment Income (Loss) | (74,889) | (213,266) | (184,455) | (490,804) |
Total Trading Results | (8,464,297) | (24,855,443) | (10,557,807) | (13,622,175) |
Net income (loss) | $ (8,539,186) | $ (25,068,709) | $ (10,742,262) | $ (14,112,979) |
Investment in the Funds - Partn
Investment in the Funds - Partnership's Investments in, and Partners' Pro Rata Share of Results of Operations of, the Funds (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||
Investment Holdings [Line Items] | ||||||
Fair Value | [1] | $ 911,922,315 | $ 911,922,315 | $ 998,303,064 | ||
Income (Loss) | (13,229,270) | $ (121,742,468) | 50,337,564 | $ (37,282,534) | ||
Expenses, Clearing Fees | 184,726 | 293,346 | ||||
Management fees | 2,679,165 | 2,699,158 | 5,487,531 | 5,492,685 | ||
Incentive Fee | (1,555,439) | 8,799,365 | ||||
Net income (loss) | (21,705,435) | (131,583,415) | 28,191,928 | (72,716,140) | ||
Investment in Funds [Member] | ||||||
Investment Holdings [Line Items] | ||||||
Fair Value | 911,922,315 | 911,922,315 | $ 998,303,064 | |||
Income (Loss) | 3,736,852 | (121,728,884) | 56,634,118 | (37,252,615) | ||
Expenses, Clearing Fees | 706,644 | 685,118 | 1,427,692 | 1,426,864 | ||
Expenses, Other | 26,392 | 35,713 | 53,782 | 86,175 | ||
Management fees | 751,972 | 1,272,576 | 1,601,268 | 2,614,762 | ||
Incentive Fee | (177,577) | 2,019,251 | 6,569,923 | |||
Net income (loss) | $ 2,429,421 | (123,722,291) | $ 51,532,125 | (47,950,339) | ||
Investment in Funds [Member] | Commodity Portfolio [Member] | CMF Winton Master L.P. [Member] | ||||||
Investment Holdings [Line Items] | ||||||
% of Partners' Capital | 29.32% | 29.32% | 32.27% | |||
Fair Value | $ 315,651,086 | $ 315,651,086 | $ 351,974,066 | |||
Income (Loss) | 9,451,315 | (40,127,273) | 22,928,315 | 1,008,087 | ||
Expenses, Clearing Fees | 88,716 | 137,830 | 184,013 | 262,945 | ||
Expenses, Other | 11,252 | 16,996 | 22,979 | 41,816 | ||
Net income (loss) | $ 9,351,347 | (40,282,099) | $ 22,721,323 | 703,326 | ||
Investment Objective | Commodity Portfolio | |||||
Redemptions Permitted | Monthly | |||||
Investment in Funds [Member] | Commodity Portfolio [Member] | Morgan Stanley Smith Barney TT II, LLC [Member] | ||||||
Investment Holdings [Line Items] | ||||||
% of Partners' Capital | 29.14% | 29.14% | 33.04% | |||
Fair Value | $ 313,682,723 | $ 313,682,723 | $ 360,373,336 | |||
Income (Loss) | 300,025 | (61,438,364) | 41,036,881 | (26,827,035) | ||
Expenses, Clearing Fees | 445,675 | 386,039 | 847,117 | 805,566 | ||
Expenses, Other | 216 | 377 | ||||
Management fees | 751,972 | 1,272,576 | 1,601,268 | 2,614,762 | ||
Incentive Fee | (177,577) | 2,019,251 | 6,569,923 | |||
Net income (loss) | $ (720,261) | (63,096,979) | $ 36,568,868 | (36,817,286) | ||
Investment Objective | Commodity Portfolio | |||||
Redemptions Permitted | Monthly | |||||
Investment in Funds [Member] | Commodity Portfolio [Member] | CMF Willowbridge Master Fund L.P.[Member] | ||||||
Investment Holdings [Line Items] | ||||||
% of Partners' Capital | 26.25% | 26.25% | 26.22% | |||
Fair Value | $ 282,588,506 | $ 282,588,506 | $ 285,955,662 | |||
Income (Loss) | (6,014,488) | (20,163,247) | (7,331,078) | (11,433,667) | ||
Expenses, Clearing Fees | 172,253 | 161,249 | 396,562 | 358,353 | ||
Expenses, Other | 14,924 | 18,717 | 30,426 | 44,359 | ||
Net income (loss) | $ (6,201,665) | $ (20,343,213) | $ (7,758,066) | $ (11,836,379) | ||
Investment Objective | Commodity Portfolio | |||||
Redemptions Permitted | Monthly | |||||
[1] | Defined in Note 1. |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
General Partner OTC minimum | 28.30% |
General Partner OTC maximum | 35.40% |
Maturity on financial instruments | 1 year |