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. 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 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 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. 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 September 30, 2017. 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, 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 At September 30, 2017, the Partnership owned approximately 45.1% of Winton Master, 95.9% of Transtrend Master and 80.9% of Willowbridge Master. At December 31, 2016, the Partnership owned approximately 51.4% of Winton Master, 94.9% of Transtrend Master and 76.5% 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: September 30, 2017 Total Assets Total Liabilities Total Capital Winton Master $ 392,131,843 $ 3,787,548 $ 388,344,295 Transtrend Master 213,005,872 534,823 212,471,049 Willowbridge Master 341,361,040 4,973,479 336,387,561 December 31, 2016 Total Assets Total Liabilities Total Capital Winton Master $ 495,983,925 $ 1,690,947 $ 494,292,978 Transtrend Master 296,071,844 311,815 295,760,029 Willowbridge Master 396,846,845 5,348,232 391,498,613 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 September 30, 2017 Net Investment Total Trading Net Income Income (Loss) Results (Loss) Winton Master $ 658,957 $ 4,153,467 $ 4,812,424 Transtrend Master (416,574 ) (2,731,879 ) (3,148,453 ) Willowbridge Master 309,222 (18,046,425 ) (17,737,203 ) For the nine months ended September 30, 2017 Net Investment Total Trading Net Income Income (Loss) Results (Loss) Winton Master $ 1,589,800 $ (4,951,903 ) $ (3,362,103 ) Transtrend Master (1,837,311 ) (32,344,271 ) (34,181,582 ) Willowbridge Master 881,779 (21,416,617 ) (20,534,838 ) For the three months ended September 30, 2016 Net Investment Total Trading Net Income Winton Master $ 189,297 $ (9,789,886 ) $ (9,600,589 ) Transtrend Master (1,119,494 ) (1,308,799 ) (2,428,293 ) Willowbridge Master (38,070 ) (8,182,932 ) (8,221,002 ) For the nine months ended September 30, 2016 Net Investment Total Trading Net Income Winton Master $ 480,775 $ 29,765,287 $ 30,246,062 Transtrend Master (5,657,306 ) 41,160,835 35,503,529 Willowbridge Master (222,525 ) (18,740,739 ) (18,963,264 ) Summarized information reflecting the Partnership’s investments in and the Partnership’s pro-rata September 30, 2017 For the three months ended September 30, 2017 % of Expenses Net Partners’ Fair Income Clearing Professional Management Incentive Income Investment Redemptions Funds Capital Value (Loss) Fees Fees Fees Fee (Loss) Objective Permitted Winton Master 22.16 % $ 175,133,616 $ 2,225,016 $ 65,881 $ 7,118 $ - $ - $ 2,152,017 Commodity Portfolio Monthly Transtrend Master 25.79 % 203,745,126 (2,230,361 ) 350,172 185 459,487 - (3,040,205 ) Commodity Portfolio Monthly Willowbridge Master 34.48 % 272,461,515 (14,048,760 ) 363,603 13,966 - - (14,426,329 ) Commodity Portfolio Monthly Total $ 651,340,257 $ (14,054,105 ) $ 779,656 $ 21,269 $ 459,487 $ - $ (15,314,517 ) September 30, 2017 For the nine months ended September 30, 2017 % of Expenses Net Partners’ Fair Income Clearing Professional Management Incentive Income Investment Redemptions Funds Capital Value (Loss) Fees Fees Fees Fee (Loss) Objective Permitted Winton Master 22.16 % $ 175,133,616 $ (1,090,777 ) $ 201,684 $ 21,850 $ - $ - $ (1,314,311 ) Commodity Portfolio Monthly Transtrend Master 25.79 % 203,745,126 (29,714,232 ) 1,179,329 557 1,530,126 25,157 (32,449,401 ) Commodity Portfolio Monthly Willowbridge Master 34.48 % 272,461,515 (15,615,076 ) 775,437 41,121 - - (16,431,634 ) Commodity Portfolio Monthly Total $ 651,340,257 $ (46,420,085 ) $ 2,156,450 $ 63,528 $ 1,530,126 $ 25,157 $ (50,195,346 ) December 31, 2016 For the three months ended September 30, 2016 % of Expenses Net Partners’ Fair Income Clearing Professional Management Incentive Income Investment Redemptions Funds Capital Value (Loss) Fees Fees Fees Fee (Loss) Objective Permitted Winton Master 25.44 % $ 253,912,486 $ (4,969,861 ) $ 81,284 $ 10,594 $ - $ - $ (5,061,739 ) Commodity Portfolio Monthly Transtrend Master 28.12 % 280,645,616 (882,343 ) 389,427 184 752,274 68,932 (2,093,160 ) Commodity Portfolio Monthly Willowbridge Master 30.02 % 299,544,955 (5,885,526 ) 190,114 14,816 - - (6,090,456 ) Commodity Portfolio Monthly Total $ 834,103,057 $ (11,737,730) $ 660,825 $ 25,594 $ 752,274 $ 68,932 $ (13,245,355 ) December 31, 2016 For the nine months ended September 30, 2016 % of Expenses Net Partners’ Fair Income Clearing Professional Management Incentive Income Investment Redemptions Funds Capital Value (Loss) Fees Fees Fees Fee (Loss) Objective Permitted Winton Master 25.44 % $ 253,912,486 $ 17,958,454 $ 265,297 $ 33,573 $ - $ - $ 17,659,584 Commodity Portfolio Monthly Transtrend Master 28.12 % 280,645,616 40,154,538 1,236,544 561 2,353,542 2,088,183 34,475,708 Commodity Portfolio Monthly Willowbridge Master 30.02 % 299,544,955 (13,216,604 ) 586,676 45,242 - - (13,848,522 ) Commodity Portfolio Monthly Total $ 834,103,057 $ 44,896,388 $ 2,088,517 $ 79,376 $ 2,353,542 $ 2,088,183 $ 38,286,770 |