Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2018 | Apr. 30, 2018 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | OFFLP | |
Entity Registrant Name | CERES ORION L.P. | |
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 | 259,004.4438 | |
Class Z Redeemable Units [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 3,799.5122 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 | |
Assets: | |||
Investment in the Funds(1), at fair value | [1] | $ 647,979,106 | $ 656,495,374 |
Redemptions receivable from the Funds | 9,972,754 | 12,837,759 | |
Equity in trading account: | |||
Unrestricted cash | 80,843,251 | 100,615,185 | |
Restricted cash | 20,902,732 | 42,619,216 | |
Net unrealized appreciation on open contracts | 1,105,762 | 5,877,334 | |
Total equity in trading account | 102,851,745 | 149,111,735 | |
Cash at bank | 436 | ||
Interest receivable | 131,726 | 139,020 | |
Total assets | 760,935,331 | 818,584,324 | |
Liabilities: | |||
Net unrealized depreciation on open contracts | 85,840 | ||
Accrued expenses: | |||
Ongoing selling agent fees | 2,200,217 | 2,622,825 | |
Management fees | 653,759 | 699,501 | |
General Partner fees | 473,870 | 509,718 | |
Professional fees | 456,938 | 412,503 | |
Redemptions payable to Limited Partners | 15,335,447 | 15,806,850 | |
Total liabilities | 19,206,071 | 20,051,397 | |
Partners' Capital: | |||
Total partners' capital (net asset value) | 741,729,260 | 798,532,927 | |
Total liabilities and partners' capital | 760,935,331 | 818,584,324 | |
Class Z Redeemable Units [Member] | |||
Partners' Capital: | |||
General Partner, Class Z, 7,429.6743 and 8,552.3863 Redeemable Units outstanding at March 31, 2018 and December 31, 2017, respectively | 8,062,142 | 9,602,692 | |
Limited Partners | 3,922,954 | 3,392,462 | |
Total partners' capital (net asset value) | $ 11,985,096 | $ 12,995,154 | |
Net asset value per Redeemable Unit: | |||
Net asset value per Redeemable Unit | $ 1,085.13 | $ 1,122.81 | |
Class A Redeemable Units [Member] | |||
Partners' Capital: | |||
Limited Partners | $ 729,744,164 | $ 785,537,773 | |
Total partners' capital (net asset value) | $ 729,744,164 | $ 785,537,773 | |
Net asset value per Redeemable Unit: | |||
Net asset value per Redeemable Unit | $ 2,775.63 | $ 2,887.46 | |
Futures Contracts [Member] | |||
Equity in trading account: | |||
Net unrealized appreciation on open contracts | $ 1,105,762 | $ 5,004,060 | |
Forward Contracts [Member] | |||
Equity in trading account: | |||
Net unrealized appreciation on open contracts | $ 873,274 | ||
Liabilities: | |||
Net unrealized depreciation on open contracts | $ 85,840 | ||
[1] | Defined in Note 1. |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - shares | Mar. 31, 2018 | Dec. 31, 2017 |
Class Z Redeemable Units [Member] | ||
General Partner Capital, Redeemable units outstanding | 7,429.6743 | 8,552.3863 |
Limited Partners Capital, Redeemable units outstanding | 3,615.2022 | 3,021.4072 |
Class A Redeemable Units [Member] | ||
Limited Partners Capital, Redeemable units outstanding | 262,910.9458 | 272,051.1558 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Mar. 31, 2018USD ($)Contract | Dec. 31, 2017USD ($)Contract | |||
Schedule of Investments [Line Items] | |||||
Total investment in the Funds, Fair Value | [1] | $ 647,979,106 | $ 656,495,374 | ||
% of Partners' Capital | 87.36% | 82.22% | |||
Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | $ 3,147,017 | $ 9,793,492 | |||
Unrealized Depreciation on Open Contracts | (2,041,255) | (4,789,432) | |||
Net unrealized appreciation (depreciation) on open contracts | $ 1,105,762 | $ 5,004,060 | |||
% of Partners' Capital | 0.15% | 0.63% | |||
Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | $ 3,289,467 | $ 11,774,122 | |||
Unrealized Depreciation on Open Contracts | (3,375,307) | (10,900,848) | |||
Net unrealized appreciation (depreciation) on open contracts | $ (85,840) | $ 873,274 | |||
% of Partners' Capital | (0.01%) | 0.11% | |||
Total Unrealized Appreciation on Open Contracts [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
% of Partners' Capital | 0.45% | 1.48% | |||
Total Unrealized Depreciation on Open Contracts [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
% of Partners' Capital | 0.46% | 1.37% | |||
CMF Winton Master L.P. [Member] | |||||
Schedule of Investments [Line Items] | |||||
Total investment in the Funds, Fair Value | $ 157,403,722 | $ 186,666,465 | |||
% of Partners' Capital | 21.22% | 23.38% | |||
CMF TT II, LLC [Member] | |||||
Schedule of Investments [Line Items] | |||||
Total investment in the Funds, Fair Value | $ 164,207,467 | $ 201,709,447 | |||
% of Partners' Capital | 22.14% | 25.26% | |||
CMF Willowbridge Master Fund L.P.[Member] | |||||
Schedule of Investments [Line Items] | |||||
Total investment in the Funds, Fair Value | $ 199,662,268 | $ 268,119,462 | |||
% of Partners' Capital | 26.92% | 33.58% | |||
CMF FORT Contrarian Master Fund LLC [Member] | |||||
Schedule of Investments [Line Items] | |||||
Total investment in the Funds, Fair Value | $ 126,705,649 | ||||
% of Partners' Capital | 17.08% | ||||
Energy [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | $ 788,505 | $ 4,510,786 | |||
Unrealized Depreciation on Open Contracts | (21,839) | (787,785) | |||
Grains [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 237,848 | 629,298 | |||
Unrealized Depreciation on Open Contracts | (462,184) | (29,437) | |||
Indices [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 878,002 | 2,719,041 | |||
Unrealized Depreciation on Open Contracts | (804,754) | (1,479,383) | |||
Interest Rates U.S. [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 159,641 | 71,430 | |||
Unrealized Depreciation on Open Contracts | (220,531) | (757,358) | |||
Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 708,680 | 641,412 | |||
Unrealized Depreciation on Open Contracts | (475,462) | (1,322,106) | |||
Livestock [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 82,022 | ||||
Unrealized Depreciation on Open Contracts | (27,290) | ||||
Metals [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 32,700 | 666,037 | |||
Unrealized Depreciation on Open Contracts | (51,910) | (263,285) | |||
Metals [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 1,917,685 | 3,586,972 | |||
Unrealized Depreciation on Open Contracts | $ (1,829,770) | $ (3,570,209) | |||
Metals [Member] | Total Unrealized Appreciation on Open Contracts [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 477 | 873 | |||
% of Partners' Capital | 0.27% | 0.45% | |||
Metals [Member] | Total Unrealized Depreciation on Open Contracts [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 430 | 818 | |||
% of Partners' Capital | 0.25% | 0.45% | |||
Softs [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | $ 259,619 | $ 555,488 | |||
Unrealized Depreciation on Open Contracts | (4,575) | (122,788) | |||
Currencies [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Unrealized Appreciation on Open Contracts | 1,371,782 | 8,187,150 | |||
Unrealized Appreciation on Opern Forward Contracts, Notional Amount | 193,847,958 | 504,572,117 | |||
Unrealized Depreciation on Open Contracts | (1,545,537) | (7,330,639) | |||
Unrealized Depreciation on Opern Forward Contracts, Notional Amount | $ 189,777,118 | $ 547,763,469 | |||
Currencies [Member] | Total Unrealized Appreciation on Open Contracts [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
% of Partners' Capital | 0.18% | 1.03% | |||
Currencies [Member] | Total Unrealized Depreciation on Open Contracts [Member] | Forward Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
% of Partners' Capital | 0.21% | 0.92% | |||
Long [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Net unrealized appreciation (depreciation) on open contracts | $ 1,124,968 | $ 3,603,166 | |||
% of Partners' Capital | 0.16% | 0.45% | |||
Long [Member] | Energy [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 507 | 842 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 767,926 | $ 3,926,924 | |||
% of Partners' Capital | 0.10% | 0.49% | |||
Long [Member] | Grains [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 274 | 40 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (43,933) | $ (7,380) | |||
% of Partners' Capital | [2] | 0.00% | 0.00% | ||
Long [Member] | Indices [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 590 | 2,560 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (511,989) | $ 248,920 | |||
% of Partners' Capital | (0.07%) | 0.03% | |||
Long [Member] | Interest Rates U.S. [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 1,120 | 2,389 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 159,423 | $ (673,740) | |||
% of Partners' Capital | 0.02% | (0.08%) | |||
Long [Member] | Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 1,853 | 2,820 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 644,151 | $ (1,016,225) | |||
% of Partners' Capital | 0.09% | (0.13%) | |||
Long [Member] | Metals [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 21 | 135 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (41,305) | $ 664,797 | |||
% of Partners' Capital | 0.00% | [2] | 0.08% | ||
Long [Member] | Softs [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 99 | 185 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 150,695 | $ 459,870 | |||
% of Partners' Capital | 0.02% | 0.06% | |||
Short [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Net unrealized appreciation (depreciation) on open contracts | $ (19,206) | $ 1,400,894 | |||
% of Partners' Capital | (0.01%) | 0.18% | |||
Short [Member] | Energy [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 8 | 659 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (1,260) | $ (203,923) | |||
% of Partners' Capital | 0.00% | [2] | (0.03%) | ||
Short [Member] | Grains [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 954 | 1,662 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (180,403) | $ 607,241 | |||
% of Partners' Capital | (0.02%) | 0.08% | |||
Short [Member] | Indices [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 263 | 1,980 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 585,237 | $ 990,738 | |||
% of Partners' Capital | 0.08% | 0.12% | |||
Short [Member] | Interest Rates U.S. [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 274 | 194 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (220,313) | $ (12,188) | |||
% of Partners' Capital | (0.03%) | 0.00% | [2] | ||
Short [Member] | Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 2,362 | 3,696 | |||
Net unrealized appreciation (depreciation) on open contracts | $ (410,933) | $ 335,531 | |||
% of Partners' Capital | (0.06%) | 0.04% | |||
Short [Member] | Livestock [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 54 | 19 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 82,022 | $ (27,290) | |||
% of Partners' Capital | 0.01% | 0.00% | [2] | ||
Short [Member] | Metals [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 18 | 93 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 22,095 | $ (262,045) | |||
% of Partners' Capital | 0.00% | [2] | (0.03%) | ||
Short [Member] | Softs [Member] | Futures Contracts [Member] | |||||
Schedule of Investments [Line Items] | |||||
Number of Contracts | Contract | 94 | 304 | |||
Net unrealized appreciation (depreciation) on open contracts | $ 104,349 | $ (27,170) | |||
% of Partners' Capital | 0.01% | 0.00% | [2] | ||
[1] | Defined in Note 1. | ||||
[2] | Due to rounding. |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Investment Income: | |||
Interest income | $ 412,887 | $ 248,919 | |
Interest income allocated from the Funds | 2,187,501 | 919,491 | |
Total investment income | 2,600,388 | 1,168,410 | |
Expenses: | |||
Expenses allocated from the Funds | 1,517,541 | 1,299,406 | |
Clearing fees related to direct investments | 120,835 | 201,954 | |
Ongoing selling agent fees | 4,101,475 | 3,641,514 | |
Management fees | 2,023,092 | 2,458,902 | |
General Partner fees | 1,467,907 | 1,839,851 | |
Professional fees | 392,533 | 462,201 | |
Total expenses | 9,623,383 | 9,903,828 | |
Net investment loss | (7,022,995) | (8,735,418) | |
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||
Net realized gains (losses) on closed contracts | (3,803,252) | 4,942,559 | |
Net realized gains (losses) on closed contracts allocated from the Funds | (9,603,279) | 3,240,347 | |
Net change in unrealized gains (losses) on open contracts | (4,650,847) | (1,362,006) | |
Net change in unrealized gains (losses) on open contracts allocated from the Funds | (5,441,998) | (10,452,614) | |
Total trading results | (23,499,376) | (3,631,714) | |
Net income (loss) | (30,522,371) | (12,367,132) | |
Class A Redeemable Units [Member] | |||
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||
Net income (loss) | $ (30,148,460) | $ (12,240,238) | |
Net income (loss) per Redeemable Unit | [1] | $ (111.83) | $ (37.40) |
Weighted average Redeemable Units outstanding | 270,772.7551 | 326,780.8755 | |
Class Z Redeemable Units [Member] | |||
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||
Net income (loss) | $ (373,911) | $ (126,894) | |
Net income (loss) per Redeemable Unit | [1] | $ (37.68) | $ (10.04) |
Weighted average Redeemable Units outstanding | 11,157.2022 | 12,524.0825 | |
[1] | Represents the change in net asset value per Redeemable Unit during the period. |
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, 2016 | $ 997,913,751 | $ 983,754,958 | $ 14,158,793 | |||||
Subscriptions | $ 12,627,421 | $ 12,385,945 | $ 241,476 | |||||
Redemptions | $ (55,878,064) | $ (55,850,937) | $ (27,127) | |||||
Net income (loss) | (12,367,132) | (12,240,238) | (126,894) | |||||
Partners' Capital, end of period at Mar. 31, 2017 | $ 942,295,976 | $ 928,049,728 | $ 14,246,248 | |||||
Partners' Capital, beginning of period at Dec. 31, 2016 | 342,247.1463 | 329,826.9338 | 12,420.2125 | |||||
Subscriptions - Redemptions Units | 4,388.2830 | 4,176.5810 | 211.7020 | |||||
Partners' Capital, end of period at Mar. 31, 2017 | 327,709.8573 | 315,101.9428 | 12,607.9145 | |||||
Redemptions - Redeemable Units | (18,925.5720) | (18,901.5720) | (24) | |||||
Partners' Capital, beginning of period at Dec. 31, 2016 | $ 997,913,751 | $ 983,754,958 | $ 14,158,793 | |||||
Partners' Capital, end of period at Dec. 31, 2017 | $ 798,532,927 | $ 785,537,773 | $ 12,995,154 | |||||
Partners' Capital, beginning of period at Dec. 31, 2016 | 342,247.1463 | 329,826.9338 | 12,420.2125 | |||||
Partners' Capital, end of period at Dec. 31, 2017 | 283,624.9493 | 272,051.1558 | 11,573.7935 | |||||
Subscriptions | $ 11,082,208 | $ 10,407,208 | $ 675,000 | |||||
Redemptions | $ (36,063,493) | $ (1,300,011) | $ (36,052,357) | $ (11,136) | $ (1,300,011) | |||
Net income (loss) | $ (30,522,371) | $ (30,148,460) | $ (373,911) | |||||
Partners' Capital, end of period at Mar. 31, 2018 | $ 741,729,260 | $ 729,744,164 | $ 11,985,096 | |||||
Subscriptions - Redemptions Units | 4,245.2170 | 3,641.1040 | 604.1130 | |||||
Partners' Capital, end of period at Mar. 31, 2018 | 273,955.8223 | 262,910.9458 | 11,044.8765 | |||||
Redemptions - Redeemable Units | (12,791.6320) | (1,122.7120) | (12,781.3140) | (10.3180) | (1,122.7120) |
Organization
Organization | 3 Months Ended |
Mar. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Ceres Orion L.P. (formerly, 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. Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership and is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below) and FORT Contrarian Master (as defined below). The General Partner is a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. As of March 31, 2018, all trading decisions are made for the Partnership by Winton Capital Management Limited (“Winton”), Transtrend B.V. (“Transtrend”), Willowbridge Associates Inc. (“Willowbridge”), FORT L.P. (“FORT”) 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, through an individually managed account, or indirectly, through its investment in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major 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 A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions and non-U.S. During the reporting periods ended March 31, 2018 and 2017, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward counterparty for certain Funds. During the reporting period and prior periods included in this report, the Partnership/Funds also deposited a portion of their cash in non-trading Effective February 28, 2018, the Partnership changed its name from Orion Futures Fund L.P. to Ceres Orion L.P. 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. The Partnership, CMF Winton Master L.P. (“Winton Master”), CMF TT II, LLC (formerly, 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. CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”) has entered into a futures brokerage account agreement with MS&Co. Winton Master, Transtrend Master, Willowbridge Master and FORT Contrarian Master are collectively referred to as the “Funds.” Effective July 12, 2017, Winton Master, Transtrend Master and Willowbridge Master each entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the referenced Funds and indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. In addition to Willowbridge Master, Willowbridge is party to the FX Agreement for Willowbridge Master. Under each FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month. The Partnership has entered into a futures brokerage account agreement with MS&Co. (the “Partnership Customer Agreement”) and ceased paying brokerage commissions to MS&Co. Under the Partnership 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 its allocable share of exchange, clearing, user, give-up 4-week 4-week The Partnership has entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee. The ongoing selling agent fee is $15.00 each for futures transactions and up to an equivalent amount for swaps and $7.50 each per side for options transactions, with respect to Class A Redeemable Units. Class Z Redeemable Units are not subject to an ongoing selling agent fee. The ongoing selling agent fee amount is reduced by applicable floor brokerage fees. The Partnership may pay an ongoing selling agent fee to other properly licensed and/or registered selling agents who sell 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 Redeemable Units. As of January 19, 2018, the Partnership entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”). Pursuant to the Harbor Selling Agreement, Harbor has been appointed as a non-exclusive The General Partner fees, management fees, incentive fees and professional fees 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 | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2018 and 2017. 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 10-K”) Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. Use of Estimates. Profit Allocation. Statement of Cash Flows. “Statement of Cash Flows.” Partnership’s Investment in the Funds Partnership’s/Funds’ Derivative Investments. first-in, first-out 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. Partnership’s Cash. Income Taxes “Income Taxes,” “more-likely-than-not” more-likely-than-not Investment Company Status. 2013-08 “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” Net Income (Loss) Per Redeemable Unit. “Financial Services - Investment Companies.” There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K |
Financial Highlights
Financial Highlights | 3 Months Ended |
Mar. 31, 2018 | |
Text Block [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner Classes as a whole for the three months ended March 31, 2018 and 2017 were as follows: Three Months Ended March 31, 2018 Three Months Ended March 31, 2017 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) $ (86.07 ) $ (33.27 ) $ (10.89 ) $ (4.19 ) Net investment loss (25.76 ) (4.41 ) (26.51 ) (5.85 ) Increase (decrease) for the period (111.83 ) (37.68 ) (37.40 ) (10.04 ) Net asset value per Redeemable Unit, beginning of period 2,887.46 1,122.81 2,982.64 1,139.98 Net asset value per Redeemable Unit, end of period $ 2,775.63 $ 1,085.13 $ 2,945.24 $ 1,129.94 Three Months Ended March 31, 2018 Three Months Ended March 31, 2017 Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (3.7 )% (1.7 )% (3.7 )% (2.1 )% Operating expenses 5.0 % 3.0 % 4.2 % 2.6 % Incentive fees (0.0 )%**** (0.0 )%**** (0.0 )%**** (0.0 )%**** Total expenses 5.0 % 3.0 % 4.2 % 2.6 % Total return: Total return before incentive fees (3.9 )% (3.4 )% (1.3 )% (0.9 )% Incentive fees (0.0 )%**** (0.0 )%**** (0.0 )%**** (0.0 )%**** Total return after incentive fees (3.9 )% (3.4 )% (1.3 )% (0.9 )% * Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses 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. **** Due to rounding. 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 include the income and expenses allocated from the Funds. |
Trading Activities
Trading Activities | 3 Months Ended |
Mar. 31, 2018 | |
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 certain of its assets through a “master/feeder” structure. The Partnership’s pro-rata The Partnership Customer Agreement and the Funds’ futures brokerage account agreements with MS&Co. give the Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts in their respective Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in their respective 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 months ended March 31, 2018 and 2017 were 12,333 and 20,954, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended March 31, 2018 and 2017 were 1,392 and 2,297, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the three months ended March 31, 2018 and 2017 were $495,821,858 and $1,629,926,653, respectively. 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 March 31, 2018 and December 31, 2017, respectively. Gross Amounts Offset in the Amounts Presented in the Gross Amounts Not Offset in the Statements of Financial Condition March 31, 2018 Gross Amounts Recognized Statements of Financial Condition Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 3,147,017 $ (2,041,255 ) $ 1,105,762 $ - $ - $ 1,105,762 Forwards 3,289,467 (3,289,467 ) - - - - Total assets $ 6,436,484 $ (5,330,722 ) $ 1,105,762 $ - $ - $ 1,105,762 Liabilities Futures $ (2,041,255 ) $ 2,041,255 $ - $ - $ - $ - Forwards (3,375,307 ) 3,289,467 (85,840 ) - - (85,840 ) Total liabilities $ (5,416,562 ) $ 5,330,722 $ (85,840 ) $ - $ - $ (85,840 ) Net fair value $ 1,019,922 * Gross Amounts Offset in the Amounts Presented in the Gross Amounts Not Offset in the Statements of Financial Condition December 31, 2017 Gross Amounts Recognized Statements of Financial Condition Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 9,793,492 $ (4,789,432 ) $ 5,004,060 $ - $ - $ 5,004,060 Forwards 11,774,122 (10,900,848 ) 873,274 - - 873,274 Total assets $ 21,567,614 $ (15,690,280 ) $ 5,877,334 $ - $ - $ 5,877,334 Liabilities Futures $ (4,789,432 ) $ 4,789,432 $ - $ - $ - $ - Forwards (10,900,848 ) 10,900,848 - - - - Total liabilities $ (15,690,280 ) $ 15,690,280 $ - $ - $ - $ - Net fair value $ 5,877,334 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures brokers and the sole counterparty to the Partnership’s non-exchange-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 March 31, 2018 and December 31, 2017, respectively. March 31, 2018 Assets Futures Contracts Energy $ 788,505 Grains 237,848 Indices 878,002 Interest Rates U.S. 159,641 Interest Rates Non-U.S. 708,680 Livestock 82,022 Metals 32,700 Softs 259,619 Total unrealized appreciation on open futures contracts 3,147,017 Liabilities Futures Contracts Energy (21,839 ) Grains (462,184 ) Indices (804,754 ) Interest Rates U.S. (220,531 ) Interest Rates Non-U.S. (475,462 ) Metals (51,910 ) Softs (4,575 ) Total unrealized depreciation on open futures contracts (2,041,255 ) Net unrealized appreciation on open futures contracts $ 1,105,762 * Assets Forward Contracts Currencies $ 1,371,782 Metals 1,917,685 Total unrealized appreciation on open forward contracts 3,289,467 Liabilities Forward Contracts Currencies (1,545,537 ) Metals (1,829,770 ) Total unrealized depreciation on open forward contracts (3,375,307 ) Net unrealized depreciation on open forward contracts $ (85,840 )** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2017 Assets Futures Contracts Energy $ 4,510,786 Grains 629,298 Indices 2,719,041 Interest Rates U.S. 71,430 Interest Rates Non-U.S. 641,412 Metals 666,037 Softs 555,488 Total unrealized appreciation on open futures contracts 9,793,492 Liabilities Futures Contracts Energy (787,785 ) Grains (29,437 ) Indices (1,479,383 ) Interest Rates U.S. (757,358 ) Interest Rates Non-U.S. (1,322,106 ) Livestock (27,290 ) Metals (263,285 ) Softs (122,788 ) Total unrealized depreciation on open futures contracts (4,789,432 ) Net unrealized appreciation on open futures contracts $ 5,004,060 * Assets Forward Contracts Currencies $ 8,187,150 Metals 3,586,972 Total unrealized appreciation on open forward contracts 11,774,122 Liabilities Forward Contracts Currencies (7,330,639 ) Metals (3,570,209 ) Total unrealized depreciation on open forward contracts (10,900,848 ) Net unrealized appreciation on open forward contracts $ 873,274 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is 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 months ended March 31, 2018 and 2017, respectively. Three Months Ended March 31, Sector 2018 2017 Currencies $ (1,391,084 ) $ (669,763 ) Energy 616,712 (3,275,657 ) Grains (2,292,174 ) (1,810,506 ) Indices (4,052,494 ) 12,822,835 Interest Rates U.S. (1,936,095 ) 501,573 Interest Rates Non-U.S. 1,049,483 (2,891,280 ) Livestock (35,210 ) (67,230 ) Metals (634,887 ) (1,380,688 ) Softs 221,650 351,269 Total $ (8,454,099 )*** $ 3,580,553 *** *** This amount is included in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2018 | |
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 The Partnership and the Funds consider prices for commodity futures, 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 March 31, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 3,147,017 $ 3,147,017 $ - $ - Forwards 3,289,467 - 3,289,467 - Total assets $ 6,436,484 $ 3,147,017 $ 3,289,467 $ - Liabilities Futures $ 2,041,255 $ 2,041,255 $ - $ - Forwards 3,375,307 - 3,375,307 - Total liabilities $ 5,416,562 $ 2,041,255 $ 3,375,307 $ - December 31, 2017* Total Level 1 Level 2 Level 3 Assets Futures $ 9,793,492 $ 9,793,492 $ - $ - Forwards 11,774,122 - 11,774,122 - Total assets $ 21,567,614 $ 9,793,492 $ 11,774,122 $ - Liabilities Futures $ 4,789,432 $ 4,789,432 $ - $ - Forwards 10,900,848 - 10,900,848 - Total liabilities $ 15,690,280 $ 4,789,432 $ 10,900,848 $ - * $3,292,660 of assets and $3,786,690 of liabilities were transferred from Level 1 to Level 2 during the year ended December 31, 2017. The General Partner believes that for London Metal Exchange (“LME”) contracts, the inputs are derived from an exchange and not actively quoted prices, which is more representative of a Level 2 security. |
Investment in the Funds
Investment in the Funds | 3 Months Ended |
Mar. 31, 2018 | |
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. Winton Master permits accounts managed by Winton using the Winton Futures Program, 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. On February 1, 2018, the assets allocated to FORT for trading were invested in FORT Contrarian Master, a limited liability company organized under the limited liability company laws of the State of Delaware. FORT Contrarian Master permits accounts managed by FORT using its Global Contrarian Trading Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of FORT Contrarian Master. Individual and pooled accounts currently managed by FORT, including the Partnership, are permitted to be members of FORT Contrarian Master. The Trading Manager and FORT believe that trading through this structure promotes efficiency and economy in the trading process. The Trading Manager and FORT have agreed that FORT will trade the Partnership’s assets allocated to FORT at a level that is up to 1.25 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 March 31, 2018. 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 March 31, 2018, the Partnership owned approximately 44.0% of Winton Master, 100.0% of Transtrend Master, 87.6% of Willowbridge Master and 82.8% of FORT Contrarian Master. Prior to the close of business on December 31, 2017, the Partnership owned approximately 45.8% of Winton Master, 95.8% of Transtrend Master and 82.5% 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: March 31, 2018 Total Assets Total Liabilities Total Capital Winton Master $ 363,232,792 $ 6,269,415 $ 356,963,377 Transtrend Master 172,488,409 8,280,942 164,207,467 Willowbridge Master 232,751,446 5,044,955 227,706,491 FORT Contrarian Master 153,357,449 554,239 152,803,210 December 31, 2017 Total Assets Total Liabilities Total Capital Winton Master $ 408,725,040 $ 11,076,733 $ 397,648,307 Transtrend Master 217,045,353 15,335,906 201,709,447 Willowbridge Master 336,101,673 39,096,772 297,004,901 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 March 31, 2018 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Winton Master $ 1,096,751 $ (11,736,511 ) $ (10,639,760 ) Transtrend Master (149,393 ) (13,329,963 ) (13,479,356 ) Willowbridge Master 131,915 5,989,417 6,121,332 FORT Contrarian Master (a) 243,808 (3,736,271 ) (3,492,463 ) For the three months ended March 31, 2017 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Winton Master $ 390,987 $ 7,430,968 $ 7,821,955 Transtrend Master (809,650 ) (5,798,084 ) (6,607,734 ) Willowbridge Master 196,912 (6,637,913 ) (6,441,001 ) (a) From February 1, 2018, the date the Partnership invested into FORT Contrarian Master, through March 31, 2018. Summarized information reflecting the Partnership’s investments in and the Partnership’s pro-rata March 31, 2018 For the three months ended March 31, 2018 % of Expenses Net Funds Partners’ Capital Fair Value Income (Loss) Clearing Fees Professional Fees Management Fees Incentive Fee Income (Loss) Investment Objective Redemptions Permitted Winton Master 21.22 % $ 157,403,722 $ (3,556,924 ) $ 58,878 $ 7,679 $ - $ - $ (3,623,481 ) Commodity Portfolio Monthly Transtrend Master 22.14 % 164,207,467 (12,768,078 ) 260,797 194 403,247 47,039 (13,479,355 ) Commodity Portfolio Monthly Willowbridge Master 26.92 % 199,662,268 6,248,699 638,607 16,278 - - 5,593,814 Commodity Portfolio Monthly FORT Contrarian Master (a) 17.08 % 126,705,649 (2,781,473 ) 75,469 9,353 - - (2,866,295 ) Commodity Portfolio Monthly Total $ 647,979,106 $ (12,857,776) $ 1,033,751 $ 33,504 $ 403,247 $ 47,039 $ (14,375,317) December 31, 2017 For the three months ended March 31, 2017 % of Expenses Net Funds Partners’ Capital Fair Value Income (Loss) Clearing Fees Professional Fees Management Fees Incentive Fee Income (Loss) Investment Objective Redemptions Permitted Winton Master 23.38 % $ 186,666,465 $ 3,733,396 $ 69,235 $ 7,586 $ - $ - $ 3,656,575 Commodity Portfolio Monthly Transtrend Master 25.26 % 201,709,447 (5,231,790 ) 429,787 185 560,025 25,157 (6,246,944 ) Commodity Portfolio Monthly Willowbridge Master 33.58 % 268,119,462 (4,794,382 ) 194,044 13,387 - - (5,001,813 ) Commodity Portfolio Monthly Total $ 656,495,374 $ (6,292,776 ) $ 693,066 $ 21,158 $ 560,025 $ 25,157 $ (7,592,182 ) (a) From February 1, 2018, the date the Partnership invested into FORT Contrarian Master, through March 31, 2018. |
Financial Instrument Risks
Financial Instrument Risks | 3 Months Ended |
Mar. 31, 2018 | |
Investments, All Other Investments [Abstract] | |
Financial Instrument Risks | 7. Financial Instrument Risks: In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance-sheet over-the-counter Futures Contracts Forward Foreign Currency Contracts. London Metals Exchange Forward Contracts. Options marked-to-market marked-to-market 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. Futures-Style Options. 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 and the Funds are exposed to market risk equal to the value of the futures and forward contracts held 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., an MS&Co. affiliate, or JPMorgan are counterparties or brokers 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 mitigate 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. In the ordinary course of business, the Partnership/Funds enter into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s/Funds’ maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership/Funds. The Partnership/Funds consider the risk of any future obligation relating to these indemnifications to be remote. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | 8. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that, other than disclosed below, there were no subsequent events requiring adjustment to or disclosure in the financial statements. Effective April 1, 2018, the monthly management fee Willowbridge receives was reduced to 1.25% per year of month-end |
Basis of Presentation and Sum15
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates. |
Profit Allocation | Profit Allocation. |
Statement of Cash Flows | Statement of Cash Flows. “Statement of Cash Flows.” |
Partnership's Investment in the Funds | Partnership’s Investment in the Funds |
Partnership's/Funds' Derivative Investments | Partnership’s/Funds’ Derivative Investments. first-in, first-out 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. |
Partnership's Cash | Partnership’s Cash. |
Income Taxes | Income Taxes “Income Taxes,” “more-likely-than-not” more-likely-than-not |
Investment Company Status | Investment Company Status. 2013-08 “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” |
Net Income (Loss) Per Redeemable Unit | Net Income (Loss) Per Redeemable Unit. “Financial Services - Investment Companies.” |
Partnership's and the Funds' 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 The Partnership and the Funds consider prices for commodity futures, 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 |
Financial Highlights (Tables)
Financial Highlights (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Text Block [Abstract] | |
Financial Highlights | Financial highlights for the limited partner Classes as a whole for the three months ended March 31, 2018 and 2017 were as follows: Three Months Ended March 31, 2018 Three Months Ended March 31, 2017 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) $ (86.07 ) $ (33.27 ) $ (10.89 ) $ (4.19 ) Net investment loss (25.76 ) (4.41 ) (26.51 ) (5.85 ) Increase (decrease) for the period (111.83 ) (37.68 ) (37.40 ) (10.04 ) Net asset value per Redeemable Unit, beginning of period 2,887.46 1,122.81 2,982.64 1,139.98 Net asset value per Redeemable Unit, end of period $ 2,775.63 $ 1,085.13 $ 2,945.24 $ 1,129.94 Three Months Ended March 31, 2018 Three Months Ended March 31, 2017 Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (3.7 )% (1.7 )% (3.7 )% (2.1 )% Operating expenses 5.0 % 3.0 % 4.2 % 2.6 % Incentive fees (0.0 )%**** (0.0 )%**** (0.0 )%**** (0.0 )%**** Total expenses 5.0 % 3.0 % 4.2 % 2.6 % Total return: Total return before incentive fees (3.9 )% (3.4 )% (1.3 )% (0.9 )% Incentive fees (0.0 )%**** (0.0 )%**** (0.0 )%**** (0.0 )%**** Total return after incentive fees (3.9 )% (3.4 )% (1.3 )% (0.9 )% * Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses 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. **** Due to rounding. |
Trading Activities (Tables)
Trading Activities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 and December 31, 2017, respectively. Gross Amounts Offset in the Amounts Presented in the Gross Amounts Not Offset in the Statements of Financial Condition March 31, 2018 Gross Amounts Recognized Statements of Financial Condition Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 3,147,017 $ (2,041,255 ) $ 1,105,762 $ - $ - $ 1,105,762 Forwards 3,289,467 (3,289,467 ) - - - - Total assets $ 6,436,484 $ (5,330,722 ) $ 1,105,762 $ - $ - $ 1,105,762 Liabilities Futures $ (2,041,255 ) $ 2,041,255 $ - $ - $ - $ - Forwards (3,375,307 ) 3,289,467 (85,840 ) - - (85,840 ) Total liabilities $ (5,416,562 ) $ 5,330,722 $ (85,840 ) $ - $ - $ (85,840 ) Net fair value $ 1,019,922 * Gross Amounts Offset in the Amounts Presented in the Gross Amounts Not Offset in the Statements of Financial Condition December 31, 2017 Gross Amounts Recognized Statements of Financial Condition Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 9,793,492 $ (4,789,432 ) $ 5,004,060 $ - $ - $ 5,004,060 Forwards 11,774,122 (10,900,848 ) 873,274 - - 873,274 Total assets $ 21,567,614 $ (15,690,280 ) $ 5,877,334 $ - $ - $ 5,877,334 Liabilities Futures $ (4,789,432 ) $ 4,789,432 $ - $ - $ - $ - Forwards (10,900,848 ) 10,900,848 - - - - Total liabilities $ (15,690,280 ) $ 15,690,280 $ - $ - $ - $ - Net fair value $ 5,877,334 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures brokers and the sole counterparty to the Partnership’s non-exchange-traded |
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 March 31, 2018 and December 31, 2017, respectively. March 31, 2018 Assets Futures Contracts Energy $ 788,505 Grains 237,848 Indices 878,002 Interest Rates U.S. 159,641 Interest Rates Non-U.S. 708,680 Livestock 82,022 Metals 32,700 Softs 259,619 Total unrealized appreciation on open futures contracts 3,147,017 Liabilities Futures Contracts Energy (21,839 ) Grains (462,184 ) Indices (804,754 ) Interest Rates U.S. (220,531 ) Interest Rates Non-U.S. (475,462 ) Metals (51,910 ) Softs (4,575 ) Total unrealized depreciation on open futures contracts (2,041,255 ) Net unrealized appreciation on open futures contracts $ 1,105,762 * Assets Forward Contracts Currencies $ 1,371,782 Metals 1,917,685 Total unrealized appreciation on open forward contracts 3,289,467 Liabilities Forward Contracts Currencies (1,545,537 ) Metals (1,829,770 ) Total unrealized depreciation on open forward contracts (3,375,307 ) Net unrealized depreciation on open forward contracts $ (85,840 )** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2017 Assets Futures Contracts Energy $ 4,510,786 Grains 629,298 Indices 2,719,041 Interest Rates U.S. 71,430 Interest Rates Non-U.S. 641,412 Metals 666,037 Softs 555,488 Total unrealized appreciation on open futures contracts 9,793,492 Liabilities Futures Contracts Energy (787,785 ) Grains (29,437 ) Indices (1,479,383 ) Interest Rates U.S. (757,358 ) Interest Rates Non-U.S. (1,322,106 ) Livestock (27,290 ) Metals (263,285 ) Softs (122,788 ) Total unrealized depreciation on open futures contracts (4,789,432 ) Net unrealized appreciation on open futures contracts $ 5,004,060 * Assets Forward Contracts Currencies $ 8,187,150 Metals 3,586,972 Total unrealized appreciation on open forward contracts 11,774,122 Liabilities Forward Contracts Currencies (7,330,639 ) Metals (3,570,209 ) Total unrealized depreciation on open forward contracts (10,900,848 ) Net unrealized appreciation on open forward contracts $ 873,274 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is 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 months ended March 31, 2018 and 2017, respectively. Three Months Ended March 31, Sector 2018 2017 Currencies $ (1,391,084 ) $ (669,763 ) Energy 616,712 (3,275,657 ) Grains (2,292,174 ) (1,810,506 ) Indices (4,052,494 ) 12,822,835 Interest Rates U.S. (1,936,095 ) 501,573 Interest Rates Non-U.S. 1,049,483 (2,891,280 ) Livestock (35,210 ) (67,230 ) Metals (634,887 ) (1,380,688 ) Softs 221,650 351,269 Total $ (8,454,099 )*** $ 3,580,553 *** *** This amount is included in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Summary of Assets and Liabilities Measured at Fair Value | March 31, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 3,147,017 $ 3,147,017 $ - $ - Forwards 3,289,467 - 3,289,467 - Total assets $ 6,436,484 $ 3,147,017 $ 3,289,467 $ - Liabilities Futures $ 2,041,255 $ 2,041,255 $ - $ - Forwards 3,375,307 - 3,375,307 - Total liabilities $ 5,416,562 $ 2,041,255 $ 3,375,307 $ - December 31, 2017* Total Level 1 Level 2 Level 3 Assets Futures $ 9,793,492 $ 9,793,492 $ - $ - Forwards 11,774,122 - 11,774,122 - Total assets $ 21,567,614 $ 9,793,492 $ 11,774,122 $ - Liabilities Futures $ 4,789,432 $ 4,789,432 $ - $ - Forwards 10,900,848 - 10,900,848 - Total liabilities $ 15,690,280 $ 4,789,432 $ 10,900,848 $ - * $3,292,660 of assets and $3,786,690 of liabilities were transferred from Level 1 to Level 2 during the year ended December 31, 2017. The General Partner believes that for London Metal Exchange (“LME”) contracts, the inputs are derived from an exchange and not actively quoted prices, which is more representative of a Level 2 security. |
Investment in the Funds (Tables
Investment in the Funds (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Schedule of Investments [Abstract] | |
Assets, Liabilities and Partners'/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: March 31, 2018 Total Assets Total Liabilities Total Capital Winton Master $ 363,232,792 $ 6,269,415 $ 356,963,377 Transtrend Master 172,488,409 8,280,942 164,207,467 Willowbridge Master 232,751,446 5,044,955 227,706,491 FORT Contrarian Master 153,357,449 554,239 152,803,210 December 31, 2017 Total Assets Total Liabilities Total Capital Winton Master $ 408,725,040 $ 11,076,733 $ 397,648,307 Transtrend Master 217,045,353 15,335,906 201,709,447 Willowbridge Master 336,101,673 39,096,772 297,004,901 |
Net Investment Income (Loss), Trading Results and Net Income (Loss) of 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 March 31, 2018 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Winton Master $ 1,096,751 $ (11,736,511 ) $ (10,639,760 ) Transtrend Master (149,393 ) (13,329,963 ) (13,479,356 ) Willowbridge Master 131,915 5,989,417 6,121,332 FORT Contrarian Master (a) 243,808 (3,736,271 ) (3,492,463 ) For the three months ended March 31, 2017 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Winton Master $ 390,987 $ 7,430,968 $ 7,821,955 Transtrend Master (809,650 ) (5,798,084 ) (6,607,734 ) Willowbridge Master 196,912 (6,637,913 ) (6,441,001 ) (a) From February 1, 2018, the date the Partnership invested into FORT Contrarian Master, through March 31, 2018. |
Partnership's Investments in, and Partnership's Pro Rata Share of Results of Operations of Funds | Summarized information reflecting the Partnership’s investments in and the Partnership’s pro-rata March 31, 2018 For the three months ended March 31, 2018 % of Expenses Net Funds Partners’ Capital Fair Value Income (Loss) Clearing Fees Professional Fees Management Fees Incentive Fee Income (Loss) Investment Objective Redemptions Permitted Winton Master 21.22 % $ 157,403,722 $ (3,556,924 ) $ 58,878 $ 7,679 $ - $ - $ (3,623,481 ) Commodity Portfolio Monthly Transtrend Master 22.14 % 164,207,467 (12,768,078 ) 260,797 194 403,247 47,039 (13,479,355 ) Commodity Portfolio Monthly Willowbridge Master 26.92 % 199,662,268 6,248,699 638,607 16,278 - - 5,593,814 Commodity Portfolio Monthly FORT Contrarian Master (a) 17.08 % 126,705,649 (2,781,473 ) 75,469 9,353 - - (2,866,295 ) Commodity Portfolio Monthly Total $ 647,979,106 $ (12,857,776) $ 1,033,751 $ 33,504 $ 403,247 $ 47,039 $ (14,375,317) December 31, 2017 For the three months ended March 31, 2017 % of Expenses Net Funds Partners’ Capital Fair Value Income (Loss) Clearing Fees Professional Fees Management Fees Incentive Fee Income (Loss) Investment Objective Redemptions Permitted Winton Master 23.38 % $ 186,666,465 $ 3,733,396 $ 69,235 $ 7,586 $ - $ - $ 3,656,575 Commodity Portfolio Monthly Transtrend Master 25.26 % 201,709,447 (5,231,790 ) 429,787 185 560,025 25,157 (6,246,944 ) Commodity Portfolio Monthly Willowbridge Master 33.58 % 268,119,462 (4,794,382 ) 194,044 13,387 - - (5,001,813 ) Commodity Portfolio Monthly Total $ 656,495,374 $ (6,292,776 ) $ 693,066 $ 21,158 $ 560,025 $ 25,157 $ (7,592,182 ) (a) From February 1, 2018, the date the Partnership invested into FORT Contrarian Master, through March 31, 2018. |
Organization - Additional Infor
Organization - Additional Information (Detail) | Jan. 19, 2018$ / Round_Turn_Trade$ / Half_Turn_Trade | Mar. 31, 2018$ / Round_Turn_Trade$ / Half_Turn_Tradeshares |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum number of Redeemable Units sold by the Partnership | shares | 0 | |
MS&Co [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of allocable share | 100.00% | |
U.S. Treasury bill maturity period | 28 days | |
MS&Co [Member] | CMF TT II, LLC [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of allocable share | 100.00% | |
U.S. Treasury bill maturity period | 28 days | |
U.S. Treasury bill discount rate | 0.15% | |
Effective interest rate description | When the effective rate is less than zero, no interest is earned. | |
Morgan Stanley Wealth Management [Member] | Class A Redeemable Units [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Brokerage commission payable per round-turn | $ / Round_Turn_Trade | 15 | |
Brokerage commission payable per half turn | $ / Half_Turn_Trade | 7.50 | |
Harbor Investment Advisory, LLC [Member] | Class A Redeemable Units [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [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] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of partnership assets allocated | 10.00% |
Basis of Presentation and Sum21
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Accounting Policies [Line Items] | ||
Cash denominated in foreign currencies | $ (4,781,832) | $ (4,275,539) |
Cash denominated in foreign currencies, proceeds | 4,897,708 | 4,184,850 |
Restricted cash | 20,902,732 | $ 42,619,216 |
Uncertain tax position | $ 0 | |
Earliest Tax Year [Member] | ||
Accounting Policies [Line Items] | ||
Open tax year | 2,014 | |
Latest Tax Year [Member] | ||
Accounting Policies [Line Items] | ||
Open tax year | 2,017 |
Financial Highlights - Schedule
Financial Highlights - Schedule of Changes in Net Asset Value (Detail) - $ / shares | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Class A Redeemable Units [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | $ (86.07) | $ (10.89) |
Net investment loss | (25.76) | (26.51) |
Increase (decrease) for the period | (111.83) | (37.40) |
Net asset value per Redeemable Unit, beginning of period | 2,887.46 | 2,982.64 |
Net asset value per Redeemable Unit, end of period | 2,775.63 | 2,945.24 |
Class Z Redeemable Units [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | (33.27) | (4.19) |
Net investment loss | (4.41) | (5.85) |
Increase (decrease) for the period | (37.68) | (10.04) |
Net asset value per Redeemable Unit, beginning of period | 1,122.81 | 1,139.98 |
Net asset value per Redeemable Unit, end of period | $ 1,085.13 | $ 1,129.94 |
Financial Highlights - Ratios t
Financial Highlights - Ratios to Average Limited Partners' Capital (Detail) | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Class A Redeemable Units [Member] | ||
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (3.70%) | (3.70%) |
Operating expenses | 5.00% | 4.20% |
Incentive fees | 0.00% | 0.00% |
Total expenses | 5.00% | 4.20% |
Total return: | ||
Total return before incentive fees | (3.90%) | (1.30%) |
Incentive fees | (0.00%) | (0.00%) |
Total return after incentive fees | (3.90%) | (1.30%) |
Class Z Redeemable Units [Member] | ||
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (1.70%) | (2.10%) |
Operating expenses | 3.00% | 2.60% |
Incentive fees | 0.00% | 0.00% |
Total expenses | 3.00% | 2.60% |
Total return: | ||
Total return before incentive fees | (3.40%) | (0.90%) |
Incentive fees | (0.00%) | (0.00%) |
Total return after incentive fees | (3.40%) | (0.90%) |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) | 3 Months Ended | |
Mar. 31, 2018USD ($)Contracts | Mar. 31, 2017USD ($)Contracts | |
Futures Contracts [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average number of derivative contracts traded | 12,333 | 20,954 |
Forward Contracts [Member] | Metals [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average number of derivative contracts traded | 1,392 | 2,297 |
Forward Contracts [Member] | Currencies [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average notional value of derivative | $ | $ 495,821,858 | $ 1,629,926,653 |
Trading Activities - Summary of
Trading Activities - Summary of Gross and Net Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivatives (Detail) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 6,436,484 | $ 21,567,614 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (5,330,722) | (15,690,280) |
Amounts Presented in the Statements of Financial Condition, Assets | 1,105,762 | 5,877,334 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 1,105,762 | 5,877,334 |
Gross Amounts Recognized, Liabilities | (5,416,562) | (15,690,280) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 5,330,722 | 15,690,280 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (85,840) | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | (85,840) | |
Net fair value | 1,019,922 | 5,877,334 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 3,147,017 | 9,793,492 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (2,041,255) | (4,789,432) |
Amounts Presented in the Statements of Financial Condition, Assets | 1,105,762 | 5,004,060 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 1,105,762 | 5,004,060 |
Gross Amounts Recognized, Liabilities | (2,041,255) | (4,789,432) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 2,041,255 | 4,789,432 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 3,289,467 | 11,774,122 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (3,289,467) | (10,900,848) |
Amounts Presented in the Statements of Financial Condition, Assets | 873,274 | |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 873,274 | |
Gross Amounts Recognized, Liabilities | (3,375,307) | (10,900,848) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 3,289,467 | 10,900,848 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (85,840) | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | $ 0 |
Net Amount, Liabilities | $ (85,840) |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts Traded (Detail) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | $ 3,147,017 | $ 9,793,492 |
Total unrealized depreciation on open contracts | (2,041,255) | (4,789,432) |
Net unrealized appreciation (depreciation) on open contracts | 1,105,762 | 5,004,060 |
Energy [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 788,505 | 4,510,786 |
Total unrealized depreciation on open contracts | (21,839) | (787,785) |
Grains [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 237,848 | 629,298 |
Total unrealized depreciation on open contracts | (462,184) | (29,437) |
Indices [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 878,002 | 2,719,041 |
Total unrealized depreciation on open contracts | (804,754) | (1,479,383) |
Interest Rates U.S. [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 159,641 | 71,430 |
Total unrealized depreciation on open contracts | (220,531) | (757,358) |
Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 708,680 | 641,412 |
Total unrealized depreciation on open contracts | (475,462) | (1,322,106) |
Livestock [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 82,022 | |
Total unrealized depreciation on open contracts | (27,290) | |
Metals [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 32,700 | 666,037 |
Total unrealized depreciation on open contracts | (51,910) | (263,285) |
Softs [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 259,619 | 555,488 |
Total unrealized depreciation on open contracts | (4,575) | (122,788) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 3,289,467 | 11,774,122 |
Total unrealized depreciation on open contracts | (3,375,307) | (10,900,848) |
Net unrealized appreciation (depreciation) on open contracts | (85,840) | 873,274 |
Forward Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,917,685 | 3,586,972 |
Total unrealized depreciation on open contracts | (1,829,770) | (3,570,209) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,371,782 | 8,187,150 |
Total unrealized depreciation on open contracts | $ (1,545,537) | $ (7,330,639) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses by Market Sector on Derivative Instruments Traded (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Derivative [Line Items] | ||
Total trading results | $ (8,454,099) | $ 3,580,553 |
Currencies [Member] | ||
Derivative [Line Items] | ||
Total trading results | (1,391,084) | (669,763) |
Energy [Member] | ||
Derivative [Line Items] | ||
Total trading results | 616,712 | (3,275,657) |
Grains [Member] | ||
Derivative [Line Items] | ||
Total trading results | (2,292,174) | (1,810,506) |
Indices [Member] | ||
Derivative [Line Items] | ||
Total trading results | (4,052,494) | 12,822,835 |
Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Total trading results | (1,936,095) | 501,573 |
Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Total trading results | 1,049,483 | (2,891,280) |
Livestock [Member] | ||
Derivative [Line Items] | ||
Total trading results | (35,210) | (67,230) |
Metals [Member] | ||
Derivative [Line Items] | ||
Total trading results | (634,887) | (1,380,688) |
Softs [Member] | ||
Derivative [Line Items] | ||
Total trading results | $ 221,650 | $ 351,269 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - DerivativeInstrument | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 |
Significant Unobservable Inputs (Level 3) [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative instruments held | 0 | 0 | 0 |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Assets and Liabilities Measured at Fair Value (Detail) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 |
Assets | ||
Total assets | $ 6,436,484 | $ 21,567,614 |
Liabilities | ||
Total liabilities | 5,416,562 | 15,690,280 |
Futures Contracts [Member] | ||
Assets | ||
Total assets | 3,147,017 | 9,793,492 |
Liabilities | ||
Total liabilities | 2,041,255 | 4,789,432 |
Forward Contracts [Member] | ||
Assets | ||
Total assets | 3,289,467 | 11,774,122 |
Liabilities | ||
Total liabilities | 3,375,307 | 10,900,848 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Assets | ||
Total assets | 3,147,017 | 9,793,492 |
Liabilities | ||
Total liabilities | 2,041,255 | 4,789,432 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Futures Contracts [Member] | ||
Assets | ||
Total assets | 3,147,017 | 9,793,492 |
Liabilities | ||
Total liabilities | 2,041,255 | 4,789,432 |
Significant Other Observable Inputs (Level 2) [Member] | ||
Assets | ||
Total assets | 3,289,467 | 11,774,122 |
Liabilities | ||
Total liabilities | 3,375,307 | 10,900,848 |
Significant Other Observable Inputs (Level 2) [Member] | Forward Contracts [Member] | ||
Assets | ||
Total assets | 3,289,467 | 11,774,122 |
Liabilities | ||
Total liabilities | $ 3,375,307 | $ 10,900,848 |
Fair Value Measurements - Sum30
Fair Value Measurements - Summary of Assets and Liabilities Measured at Fair Value (Parenthetical) (Detail) | Dec. 31, 2017USD ($) |
Fair Value Disclosures [Abstract] | |
Transfers of assets between Level 1 to Level 2 | $ 3,292,660 |
Transfers of liabilities between Level 1 to Level 2 | $ 3,786,690 |
Investment in the Funds - Addit
Investment in the Funds - Additional Information (Detail) | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
CMF Winton Master L.P. [Member] | ||
Investment [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 1.5 times | |
Percentage owned by partnership | 44.00% | 45.80% |
Willowbridge Associates Inc [Member] | ||
Investment [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | Three times | |
CMF TT II, LLC [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 100.00% | 95.80% |
CMF Willowbridge Master Fund L.P.[Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 87.60% | 82.50% |
CMF FORT Contrarian Master Fund LLC [Member] | ||
Investment [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 1.25 times | |
Percentage owned by partnership | 82.80% |
Investment in the Funds - Asset
Investment in the Funds - Assets, Liabilities and Partners' Capital/Members' Capital of Funds (Detail) - USD ($) | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Investment Holdings [Line Items] | ||||
Total Assets | $ 760,935,331 | $ 818,584,324 | ||
Total Liabilities | 19,206,071 | 20,051,397 | ||
Total Capital | 741,729,260 | 798,532,927 | $ 942,295,976 | $ 997,913,751 |
CMF Winton Master L.P. [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 363,232,792 | 408,725,040 | ||
Total Liabilities | 6,269,415 | 11,076,733 | ||
Total Capital | 356,963,377 | 397,648,307 | ||
CMF TT II, LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 172,488,409 | 217,045,353 | ||
Total Liabilities | 8,280,942 | 15,335,906 | ||
Total Capital | 164,207,467 | 201,709,447 | ||
CMF Willowbridge Master Fund L.P.[Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 232,751,446 | 336,101,673 | ||
Total Liabilities | 5,044,955 | 39,096,772 | ||
Total Capital | 227,706,491 | $ 297,004,901 | ||
CMF FORT Contrarian Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 153,357,449 | |||
Total Liabilities | 554,239 | |||
Total Capital | $ 152,803,210 |
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 | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | $ (7,022,995) | $ (8,735,418) |
Total trading results | (23,499,376) | (3,631,714) |
Net income (loss) | (30,522,371) | (12,367,132) |
CMF Winton Master L.P. [Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | 1,096,751 | 390,987 |
Total trading results | (11,736,511) | 7,430,968 |
Net income (loss) | (10,639,760) | 7,821,955 |
CMF TT II, LLC [Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | (149,393) | (809,650) |
Total trading results | (13,329,963) | (5,798,084) |
Net income (loss) | (13,479,356) | (6,607,734) |
CMF Willowbridge Master Fund L.P.[Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | 131,915 | 196,912 |
Total trading results | 5,989,417 | (6,637,913) |
Net income (loss) | 6,121,332 | $ (6,441,001) |
CMF FORT Contrarian Master Fund LLC [Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | 243,808 | |
Total trading results | (3,736,271) | |
Net income (loss) | $ (3,492,463) |
Investment in the Funds - Partn
Investment in the Funds - Partnership's Investments in, and Partnership's Pro Rata Share of Results of Operations of Funds (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | ||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 87.36% | 82.22% | ||
Fair Value | [1] | $ 647,979,106 | $ 656,495,374 | |
Income (Loss) | (23,499,376) | $ (3,631,714) | ||
Expenses, Clearing Fees | 120,835 | 201,954 | ||
Expenses, Professional Fees | 392,533 | 462,201 | ||
Management fees | 2,023,092 | 2,458,902 | ||
Net income (loss) | $ (30,522,371) | $ (12,367,132) | ||
CMF Winton Master L.P. [Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 21.22% | 23.38% | ||
Fair Value | $ 157,403,722 | $ 186,666,465 | ||
CMF TT II, LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 22.14% | 25.26% | ||
Fair Value | $ 164,207,467 | $ 201,709,447 | ||
CMF Willowbridge Master Fund L.P.[Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 26.92% | 33.58% | ||
Fair Value | $ 199,662,268 | $ 268,119,462 | ||
CMF FORT Contrarian Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 17.08% | |||
Fair Value | $ 126,705,649 | |||
Investment In Funds [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | (12,857,776) | (6,292,776) | ||
Expenses, Clearing Fees | 1,033,751 | 693,066 | ||
Expenses, Professional Fees | 33,504 | 21,158 | ||
Management fees | 403,247 | 560,025 | ||
Incentive Fee | 47,039 | 25,157 | ||
Net income (loss) | (14,375,317) | (7,592,182) | ||
Investment In Funds [Member] | Commodity [Member] | CMF Winton Master L.P. [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | (3,556,924) | 3,733,396 | ||
Expenses, Clearing Fees | 58,878 | 69,235 | ||
Expenses, Professional Fees | 7,679 | 7,586 | ||
Net income (loss) | $ (3,623,481) | $ 3,656,575 | ||
Investment Objective | Commodity Portfolio | Commodity Portfolio | ||
Redemptions Permitted | Monthly | Monthly | ||
Investment In Funds [Member] | Commodity [Member] | CMF TT II, LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | $ (12,768,078) | $ (5,231,790) | ||
Expenses, Clearing Fees | 260,797 | 429,787 | ||
Expenses, Professional Fees | 194 | 185 | ||
Management fees | 403,247 | 560,025 | ||
Incentive Fee | 47,039 | 25,157 | ||
Net income (loss) | $ (13,479,355) | $ (6,246,944) | ||
Investment Objective | Commodity Portfolio | Commodity Portfolio | ||
Redemptions Permitted | Monthly | Monthly | ||
Investment In Funds [Member] | Commodity [Member] | CMF Willowbridge Master Fund L.P.[Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | $ 6,248,699 | $ (4,794,382) | ||
Expenses, Clearing Fees | 638,607 | 194,044 | ||
Expenses, Professional Fees | 16,278 | 13,387 | ||
Net income (loss) | $ 5,593,814 | $ (5,001,813) | ||
Investment Objective | Commodity Portfolio | Commodity Portfolio | ||
Redemptions Permitted | Monthly | Monthly | ||
Investment In Funds [Member] | Commodity [Member] | CMF FORT Contrarian Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | $ (2,781,473) | |||
Expenses, Clearing Fees | 75,469 | |||
Expenses, Professional Fees | 9,353 | |||
Net income (loss) | $ (2,866,295) | |||
Investment Objective | Commodity Portfolio | |||
Redemptions Permitted | Monthly | |||
[1] | Defined in Note 1. |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2018 | |
Concentration Risk [Line Items] | |
Financial instruments maturity period | 1 year |
Minimum [Member] | Credit Concentration Risk [Member] | Partnership's/Funds' Contracts [Member] | Over the Counter [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage | 25.20% |
Maximum [Member] | Credit Concentration Risk [Member] | Partnership's/Funds' Contracts [Member] | Over the Counter [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage | 41.40% |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) | Apr. 01, 2018 |
Subsequent Event [Member] | Willowbridge Associates Inc [Member] | |
Subsequent Event [Line Items] | |
Percentage of management fee | 1.25% |