Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2020 | Apr. 30, 2020 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2020 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | CERES ORION L.P. | |
Entity Central Index Key | 0001227265 | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Shell Company | false | |
Entity Interactive Data Current | Yes | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Address, State or Province | NY | |
Class A Redeemable Units [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 157,205.2068 | |
Class Z Redeemable Units [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 4,590.3112 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Assets: | ||
Investment in the Funds(1) , at fair value | $ 261,747,085 | $ 330,936,811 |
Redemptions receivable from the Funds | 17,901,188 | 11,850,318 |
Equity in trading account: | ||
Unrestricted cash | 180,169,225 | 117,008,427 |
Restricted cash | 10,746,691 | 44,439,575 |
Options purchased, at fair value (premiums paid $85,360 and $0 at March 31, 2020 and December 31, 2019, respectively. | 143,560 | |
Total equity in trading account | 191,059,476 | 161,448,002 |
Interest receivable | 62,938 | 155,105 |
Total assets | 470,770,687 | 504,390,236 |
Liabilities: | ||
Net unrealized depreciation on open futures contracts | 1,180,212 | 1,758,548 |
Options written, at fair value (premiums received $258,320 and $0 at March 31, 2020 and December 31, 2019, respectively. | 216,876 | 216,876 |
Accrued expenses: | ||
Ongoing selling agent fees | 1,606,525 | 2,814,316 |
Management fees | 415,311 | 411,567 |
General Partner fees | 292,093 | 312,127 |
Incentive fees | 3,310,643 | 2,013,630 |
Professional fees | 418,524 | 414,915 |
Redemptions payable to Limited Partners | 17,036,146 | 13,393,882 |
Total liabilities | 24,476,330 | 21,118,985 |
Partners' Capital: | ||
Total partners' capital (net asset value) | 446,294,357 | 483,271,251 |
Total liabilities and partners' capital | 470,770,687 | 504,390,236 |
Class Z Redeemable Units [Member] | ||
Partners' Capital: | ||
General Partner, Class Z, 5,058.6813 Redeemable Units outstanding at March 31, 2020 and December 31, 2019 | 5,525,165 | 5,594,958 |
Limited Partners | 4,988,607 | 5,205,506 |
Total partners' capital (net asset value) | $ 10,513,772 | $ 10,800,464 |
Net asset value per Redeemable Unit: | ||
Net asset value per Redeemable Unit | $ 1,092.21 | $ 1,106.01 |
Class A Redeemable Units [Member] | ||
Partners' Capital: | ||
Limited Partners | $ 435,780,585 | $ 472,470,787 |
Total partners' capital (net asset value) | $ 435,780,585 | $ 472,470,787 |
Net asset value per Redeemable Unit: | ||
Net asset value per Redeemable Unit | $ 2,688.15 | $ 2,728.91 |
Futures Contracts [Member] | ||
Liabilities: | ||
Net unrealized depreciation on open futures contracts | $ 1,180,212 | $ 1,758,548 |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Options purchased, premiums paid | $ 85,360 | $ 0 |
Options written, premiums received | $ 258,320 | $ 0 |
Class Z Redeemable Units [Member] | ||
General Partner Capital, Redeemable units outstanding | 5,058.6813 | 5,058.6813 |
Limited Partners Capital, Redeemable units outstanding | 4,567.4222 | 4,706.5572 |
Class A Redeemable Units [Member] | ||
Limited Partners Capital, Redeemable units outstanding | 162,111.9798 | 173,135.1328 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Mar. 31, 2020USD ($)Contract | Dec. 31, 2019USD ($)Contract |
Schedule of Investments [Line Items] | ||
Total investment in the Funds, Fair Value | $ 261,747,085 | $ 330,936,811 |
% of Partners' Capital | 58.65% | 68.48% |
Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized and depreciation on open futures contracts | $ (1,180,212) | $ (1,758,548) |
% of Partners' Capital | (0.26%) | (0.36%) |
CMF Winton Master L.P. [Member] | ||
Schedule of Investments [Line Items] | ||
Total investment in the Funds, Fair Value | $ 41,856,909 | $ 77,128,248 |
% of Partners' Capital | 9.38% | 15.96% |
CMF TT II, LLC [Member] | ||
Schedule of Investments [Line Items] | ||
Total investment in the Funds, Fair Value | $ 84,242,729 | $ 119,608,248 |
% of Partners' Capital | 18.88% | 24.75% |
CMF FORT Contrarian Master Fund LLC [Member] | ||
Schedule of Investments [Line Items] | ||
Total investment in the Funds, Fair Value | $ 117,835,250 | $ 116,899,563 |
% of Partners' Capital | 26.40% | 24.19% |
CMFNL Master Fund LLC [Member] | ||
Schedule of Investments [Line Items] | ||
Total investment in the Funds, Fair Value | $ 17,812,197 | $ 17,300,752 |
% of Partners' Capital | 3.99% | 3.58% |
Long [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized and depreciation on open futures contracts | $ (6,986,142) | $ 35,905,301 |
% of Partners' Capital | (1.56%) | 7.43% |
Long [Member] | Options [Member] | ||
Schedule of Investments [Line Items] | ||
Total investment in the Funds, Fair Value | $ 143,560 | |
% of Partners' Capital | 0.03% | |
Long [Member] | Currencies [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 7 | 3,451 |
Net unrealized and depreciation on open futures contracts | $ (4,700) | $ 995,485 |
% of Partners' Capital | 0.00% | 0.21% |
Long [Member] | Energy [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 8,382 | 7,974 |
Net unrealized and depreciation on open futures contracts | $ (3,279,250) | $ 15,241,977 |
% of Partners' Capital | (0.72%) | 3.15% |
Long [Member] | Energy [Member] | Options [Member] | Call Option [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 388 | |
Total investment in the Funds, Fair Value | $ 143,560 | |
% of Partners' Capital | 0.03% | |
Long [Member] | Grains [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 4,798 | 14,839 |
Net unrealized and depreciation on open futures contracts | $ (1,307,917) | $ 8,666,809 |
% of Partners' Capital | (0.29%) | 1.79% |
Long [Member] | Indices [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 1,918 | 2,675 |
Net unrealized and depreciation on open futures contracts | $ (693,729) | $ 58,400 |
% of Partners' Capital | (0.16%) | 0.01% |
Long [Member] | Interest Rates U.S. [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 190 | 16 |
Net unrealized and depreciation on open futures contracts | $ 19,265 | $ (27,500) |
% of Partners' Capital | 0.00% | (0.01%) |
Long [Member] | Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 3,185 | 8,237 |
Net unrealized and depreciation on open futures contracts | $ 858,984 | $ (3,009,347) |
% of Partners' Capital | 0.19% | (0.62%) |
Long [Member] | Livestock [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 506 | 2,783 |
Net unrealized and depreciation on open futures contracts | $ (95,407) | $ 1,536,513 |
% of Partners' Capital | (0.02%) | 0.32% |
Long [Member] | Metals [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 510 | 2,283 |
Net unrealized and depreciation on open futures contracts | $ (1,530,582) | $ 2,466,858 |
% of Partners' Capital | (0.34%) | 0.51% |
Long [Member] | Softs [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 2,772 | 10,384 |
Net unrealized and depreciation on open futures contracts | $ (952,806) | $ 9,976,106 |
% of Partners' Capital | (0.22%) | 2.07% |
Short [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Net unrealized and depreciation on open futures contracts | $ 5,805,930 | $ (37,663,849) |
% of Partners' Capital | 1.30% | (7.79%) |
Short [Member] | Options [Member] | ||
Schedule of Investments [Line Items] | ||
Total investment in the Funds, Fair Value | $ (216,876) | |
% of Partners' Capital | (0.05%) | |
Short [Member] | Currencies [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 361 | 435 |
Net unrealized and depreciation on open futures contracts | $ 29,304 | $ (165,465) |
% of Partners' Capital | 0.01% | (0.03%) |
Short [Member] | Energy [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 5,472 | 8,739 |
Net unrealized and depreciation on open futures contracts | $ 4,094,416 | $ (7,074,868) |
% of Partners' Capital | 0.92% | (1.46%) |
Short [Member] | Energy [Member] | Options [Member] | Call Option [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 93 | |
Total investment in the Funds, Fair Value | $ (80,538) | |
% of Partners' Capital | (0.02%) | |
Short [Member] | Energy [Member] | Options [Member] | Put Option [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 93 | |
Total investment in the Funds, Fair Value | $ (136,338) | |
% of Partners' Capital | (0.03%) | |
Short [Member] | Grains [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 4,774 | 13,303 |
Net unrealized and depreciation on open futures contracts | $ (660,312) | $ (13,462,345) |
% of Partners' Capital | (0.15%) | (2.79%) |
Short [Member] | Indices [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 1,160 | 951 |
Net unrealized and depreciation on open futures contracts | $ (252,739) | $ 414,377 |
% of Partners' Capital | (0.06%) | 0.09% |
Short [Member] | Interest Rates U.S. [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 1 | 845 |
Net unrealized and depreciation on open futures contracts | $ 109 | $ 37,969 |
% of Partners' Capital | 0.00% | 0.01% |
Short [Member] | Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 117 | 1,758 |
Net unrealized and depreciation on open futures contracts | $ (26,921) | $ 497,250 |
% of Partners' Capital | (0.01%) | 0.10% |
Short [Member] | Livestock [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 522 | 2,329 |
Net unrealized and depreciation on open futures contracts | $ (476,575) | $ (879,773) |
% of Partners' Capital | (0.11%) | (0.18%) |
Short [Member] | Metals [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 674 | 2,065 |
Net unrealized and depreciation on open futures contracts | $ 2,715,683 | $ (3,077,203) |
% of Partners' Capital | 0.61% | (0.64%) |
Short [Member] | Softs [Member] | Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Number of Contracts | Contract | 2,850 | 9,846 |
Net unrealized and depreciation on open futures contracts | $ 382,965 | $ (13,953,791) |
% of Partners' Capital | 0.09% | (2.89%) |
Condensed Schedule of Investm_2
Condensed Schedule of Investments (Parenthetical) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Schedule of Investments [Line Items] | ||
Options purchased, premiums paid | $ 85,360 | $ 0 |
Options written, premiums received | $ 258,320 | $ 0 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | ||
Investment Income: | |||
Interest income | $ 392,973 | $ 431,674 | |
Interest income allocated from the Funds | 797,467 | 2,510,000 | |
Total investment income | 1,190,440 | 2,941,674 | |
Expenses: | |||
Expenses allocated from the Funds | 747,109 | 765,931 | |
Clearing fees related to direct investments | 1,630,457 | 1,072,804 | |
Ongoing selling agent fees | 1,209,972 | 4,077,320 | |
Management fees | 1,240,559 | 1,455,662 | |
General Partner fees | 901,242 | 1,097,656 | |
Incentive fees | 3,310,643 | 311,667 | |
Professional fees | 262,730 | 321,020 | |
Total expenses | 9,302,712 | 9,102,060 | |
Net investment loss | (8,112,272) | (6,160,386) | |
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||
Net realized gains (losses) on closed contracts | 17,484,357 | 16,358,172 | |
Net realized gains (losses) on closed contracts allocated from the Funds | (26,990,408) | 3,505,721 | |
Net change in unrealized gains (losses) on open contracts | 309,911 | (12,351,593) | |
Net change in unrealized gains (losses) on open contracts allocated from the Funds | 10,447,865 | 21,006,456 | |
Total trading results | 1,251,725 | 28,518,756 | |
Net income (loss) | (6,860,547) | 22,358,370 | |
Class A Redeemable Units [Member] | |||
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||
Net income (loss) | $ (6,725,820) | $ 21,832,304 | |
Net income (loss) per Redeemable Unit | [1] | $ (40.76) | $ 106.66 |
Weighted average Redeemable Units outstanding | 170,668.7368 | 219,198.7898 | |
Class Z Redeemable Units [Member] | |||
Net gains (losses) on trading of commodity interests and investment in the Funds: | |||
Net income (loss) | $ (134,727) | $ 526,066 | |
Net income (loss) per Redeemable Unit | [1] | $ (13.80) | $ 50.04 |
Weighted average Redeemable Units outstanding | 9,765.2385 | 10,614.1822 | |
[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] | 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] |
Partners' Capital, beginning of period at Dec. 31, 2018 | $ 606,058,475 | $ 595,031,425 | $ 11,027,050 | |||
Subscriptions | $ 2,418,208 | $ 2,398,208 | $ 20,000 | |||
Redemptions | $ (64,403,449) | $ (64,207,160) | $ (196,289) | |||
Net income (loss) | 22,358,370 | 21,832,304 | 526,066 | |||
Partners' Capital, end of period at Mar. 31, 2019 | $ 566,431,604 | $ 555,054,777 | $ 11,376,827 | |||
Partners' Capital, beginning of period at Dec. 31, 2018 | 238,810.0823 | 228,146.2478 | 10,663.8345 | |||
Subscriptions - Redemptions Units | 948.1190 | 928.5660 | 19.5530 | |||
Redemptions - Redeemable Units | (24,806.7090) | (24,617.5730) | (189.1360) | |||
Partners' Capital, end of period at Mar. 31, 2019 | 214,951.4923 | 204,457.2408 | 10,494.2515 | |||
Partners' Capital, beginning of period at Dec. 31, 2019 | $ 483,271,251 | $ 472,470,787 | $ 10,800,464 | |||
Subscriptions | $ 1,164,297 | $ 1,164,297 | ||||
Redemptions | $ (31,280,644) | $ (31,128,679) | $ (151,965) | |||
Net income (loss) | (6,860,547) | (6,725,820) | (134,727) | |||
Partners' Capital, end of period at Mar. 31, 2020 | $ 446,294,357 | $ 435,780,585 | $ 10,513,772 | |||
Partners' Capital, beginning of period at Dec. 31, 2019 | 182,900.3713 | 173,135.1328 | 9,765.2385 | |||
Subscriptions - Redemptions Units | 425.2450 | 425.2450 | ||||
Redemptions - Redeemable Units | (11,587.5330) | (11,448.3980) | (139.1350) | |||
Partners' Capital, end of period at Mar. 31, 2020 | 171,738.0833 | 162,111.9798 | 9,626.1035 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Ceres Orion 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, United States (“U.S.”) and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership, directly and indirectly through its investment in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Funds) in U.S. Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership, the general partner of Winton Master (as defined below) and is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below), FORT Contrarian Master (as defined below) and NL 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, 2020, all trading decisions were made for the Partnership by Winton Capital Management Limited (“Winton”), Transtrend B.V. (“Transtrend”), FORT L.P. (“FORT”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”) and Pan Capital Management L.P. (“Pan”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. On January 31, 2019, the Partnership fully redeemed its investment in CMF Willowbridge Master Fund L.P. (“Willowbridge Master”). Also effective January 31, 2019, Willowbridge Associates Inc. (“Willowbridge”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may include, as relevant, John Street (as defined below) and Willowbridge. 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 a managed account in the Partnership’s name, or indirectly, through its investment in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major Effective on February 1, 2020, Pan directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program. From February 1, 2019 until December 12, 2019, John Street Capital LLP (“John Street”) directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to John Street’s Systematic Strategy Program. On December 13, 2019, the Partnership, the General Partner, John Street, and JSCL entered into a deed of novation (the “JSCL Novation Agreement”) transferring all rights and obligations of John Street to JSCL. JSCL directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Systematic Strategy Program. 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, 2020 and 2019, 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 contract counterparty for certain Funds. The Partnership, CMF Winton Master L.P. (“Winton Master”) and CMF TT II, LLC (“Transtrend Master”) have, and prior to its termination, Willowbridge Master had, entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”) and CMF NL Master Fund LLC (“NL Master”) have entered into futures brokerage account agreements with MS&Co. Winton Master, Transtrend Master, FORT Contrarian Master and NL Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, Willowbridge Master. Effective July 12, 2017, Winton Master, Transtrend Master and until its termination, 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 was 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 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. The ongoing selling agent fee for Class A Redeemable Units will not exceed 2.00% of adjusted month-end As of November 1, 2018, the Partnership entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”), and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a non-exclusive sub-selling one-year month-end The General Partner fee, 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. The General Partner has 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, 2020 | |
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, 2020 and the results of its operations and changes in partners’ capital for the three months ended March 31, 2020 and 2019. 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, 2020 | |
Investment Company [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner Classes as a whole for the three months ended March 31, 2020 and 2019 were as follows: Three Months Ended Three Months Ended 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) $ 5.85 $ 2.19 $ 134.58 $ 53.80 Net investment loss (46.61) (15.99) (27.92) (3.76) Increase (decrease) for the period (40.76) (13.80) 106.66 50.04 Net asset value per Redeemable Unit, beginning of period 2,728.91 1,106.01 2,608.11 1,034.06 Net asset value per Redeemable Unit, end of period $ 2,688.15 $ 1,092.21 $ 2,714.77 $ 1,084.10 Three Months Ended Three Months Ended Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.8) % (3.8) % (4.2) % (1.3) % Operating expenses 5.1 % 4.1 % 6.3 % 3.3 % Incentive fees 0.7 % 0.7 % 0.1 % 0.1 % Total expenses 5.8 % 4.8 % 6.4 % 3.4 % Total return: Total return before incentive fees (0.8) % (0.6) % 4.1 % 4.9 % Incentive fees (0.7) % (0.6) % (0.0) %**** (0.1) % Total return after incentive fees (1.5) % (1.2) % 4.1 % 4.8 % * 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, 2020 | |
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 Partnership’s Statements of Income and Expenses. The Partnership also invests certain of its assets through a “master/feeder” structure. The Partnership’s pro-rata The foreign exchange brokerage account agreements and/or 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, 2020 and 2019 were 81,120 and 64,163, respectively. The monthly average number of option contracts traded directly by the Partnership during the period February 1, 2020 through March 31, 2020 and the three months ended March 31, 2019 were 381 and 0, respectively. 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. for direct trading are borne by the Partnership. 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 arrangements or similar agreements as of March 31 2020 and December 31, 2019, respectively. March 31, 2020 Gross Gross Amounts Amounts Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets Futures $ 23,375,191 $ (23,375,191) $ - $ - $ - $ - Total assets $ 23,375,191 $ (23,375,191) $ - $ - $ - $ - Liabilities Futures $ (24,555,403) $ 23,375,191 $ (1,180,212) $ - $ 1,180,212 $ - Total liabilities $ (24,555,403) $ 23,375,191 $ (1,180,212) $ - $ 1,180,212 $ - Net fair value $ - * December 31, 2019 Gross Gross Amounts Condition Amounts Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets Futures $ 55,074,542 $ (55,074,542) $ - $ - $ - $ - Total assets $ 55,074,542 $ (55,074,542) $ - $ - $ - $ - Liabilities Futures $ (56,833,090) $ 55,074,542 $ (1,758,548) $ - $ 1,758,548 $ - Total liabilities $ (56,833,090) $ 55,074,542 $ (1,758,548) $ - $ 1,758,548 $ - Net fair value $ - * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker 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 option contracts, as applicable, held directly by the Partnership as separate assets and liabilities as of March 31, 2020 and December 31, 2019, respectively. March 31, 2020 Assets Futures Contracts Currencies $ 250,209 Energy 13,471,631 Grains 1,231,247 Indices 964,012 Interest Rates U.S. 30,476 Interest Rates Non-U.S. 916,826 Livestock 714,573 Metals 2,910,040 Softs 2,886,177 Total unrealized appreciation on open futures contracts 23,375,191 Liabilities Futures Contracts Currencies (225,605) Energy (12,656,465) Grains (3,199,476) Indices (1,910,480) Interest Rates U.S. (11,102) Interest Rates Non-U.S. (84,763) Livestock (1,286,555) Metals (1,724,939) Softs (3,456,018) Total unrealized depreciation on open futures contracts (24,555,403) Net unrealized depreciation on open futures contracts $ (1,180,212) * Assets Options Purchased Energy $ 143,560 Total options purchased $ 143,560 ** Liabilities Options Written Energy $ (216,876) Total options written $ (216,876) *** * This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. *** This amount is in “Options written, at fair value” in the Statements of Financial Condition. December 31, 2019 Assets Futures Contracts Currencies $ 1,024,103 Energy 24,040,293 Grains 10,257,434 Indices 1,185,547 Interest Rates U.S. 74,820 Interest Rates Non-U.S. 598,379 Livestock 1,800,915 Metals 2,685,053 Softs 13,407,998 Total unrealized appreciation on open futures contracts 55,074,542 Liabilities Futures Contracts Currencies (194,083) Energy (15,873,184) Grains (15,052,970) Indices (712,770) Interest Rates U.S. (64,351) Interest Rates Non-U.S. (3,110,476) Livestock (1,144,175) Metals (3,295,398) Softs (17,385,683) Total unrealized depreciation on open futures contracts (56,833,090) Net unrealized depreciation on open futures contracts $ (1,758,548) * * This amount is in “Net unrealized depreciation on open futures 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, 2020 and 2019, respectively. Three Months Ended March 31, Sector 2020 2019 Currencies $ (2,485,209) $ 801,575 Energy 14,418,791 3,518,985 Grains 180,970 (2,430,152) Indices (3,970,177) (515,130) Interest Rates U.S. (1,382,899) (422,094) Interest Rates Non-U.S. 10,532,332 4,091,827 Livestock (4,877,916) 186,593 Metals 6,440,818 (1,473,060) Softs (1,062,442) 248,035 Total $ 17,794,268 **** $ 4,006,579 **** **** 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, 2020 | |
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, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 23,375,191 $ 23,375,191 $ - $ - Options purchased 143,560 143,560 - - Total assets $ 23,518,751 $ 23,518,751 $ - $ - Liabilities Futures $ 24,555,403 $ 24,555,403 $ - $ - Options written 216,876 216,876 - - Total liabilities $ 24,772,279 $ 24,772,279 $ - $ - December 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 55,074,542 $ 55,074,542 $ - $ - Total assets $ 55,074,542 $ 55,074,542 $ - $ - Liabilities Futures $ 56,833,090 $ 56,833,090 $ - $ - Total liabilities $ 56,833,090 $ 56,833,090 $ - $ - |
Investment in the Funds
Investment in the Funds | 3 Months Ended |
Mar. 31, 2020 | |
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 Diversified Macro Strategies (formerly, 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. The amount of leverage may be increased or decreased in the future. 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. The General Partner is also the Trading Manager of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process. 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 amount of leverage may be increased or decreased in the future. On April 1, 2019, the assets allocated to Northlander for trading were invested in NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permits accounts managed by Northlander using the Northlander Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of NL Master. Individual and pooled accounts currently managed by Northlander, including the Partnership, are permitted to be members of NL Master. The Trading Manager and Northlander believe that trading through this structure promotes efficiency and economy in the trading process. On August 1, 2014, the assets allocated to Willowbridge for trading were invested in Willowbridge Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership fully redeemed its investment in Willowbridge Master on January 31, 2019. The General Partner is not aware of any material changes to any of the trading programs discussed above or in Note 1, “Organization” during the fiscal quarter ended March 31, 2020. 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, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day. Management fees, ongoing selling agent fees, the General Partner fee 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/members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees are borne by the Funds and allocated to the Partnership and are also charged directly at the Partnership level. As of March 31, 2020, the Partnership owned approximately 29.6% of Winton Master, 100.0% of Transtrend Master, 94.6% of FORT Contrarian Master and 81.6% of NL Master. At December 31, 2019, the Partnership owned approximately 37.5% of Winton Master, 100.0% of Transtrend Master, 89.1% of FORT Contrarian Master and 79.6% of NL 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 limited partners 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’/members’ capital of the Funds is shown in the following tables: March 31, 2020 Total Assets Total Liabilities Total Capital Winton Master $ 169,049,467 $ 27,813,807 $ 141,235,660 Transtrend Master 84,540,700 297,971 84,242,729 FORT Contrarian Master 124,920,459 469,327 124,451,132 NL Master 22,692,778 858,566 21,834,212 December 31, 2019 Total Assets Total Liabilities Total Capital Winton Master $ 214,355,792 $ 8,953,183 $ 205,402,609 Transtrend Master 127,400,612 7,792,364 119,608,248 FORT Contrarian Master 135,604,970 4,607,083 130,997,887 NL Master 22,919,671 1,217,801 21,701,870 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, 2020 Net Investment Total Trading Net Income Winton Master $ 387,606 $ (23,953,788) $ (23,566,182) Transtrend Master (261,094) (3,266,814) (3,527,908) FORT Contrarian Master 168,677 (5,653,909) (5,485,232) NL Master 12,428 752,782 765,210 For the three months ended March 31, 2019 Net Investment Total Trading Net Income Winton Master $ 1,665,854 $ 3,237,333 $ 4,903,187 Transtrend Master 104,673 6,864,507 6,969,180 Willowbridge Master (a) 220,431 (759,939) (539,508) FORT Contrarian Master 803,870 19,700,082 20,503,952 (a) From January 1, 2019 through January 31, 2019, the date Willowbridge Master terminated operations. Summarized information reflecting the Partnership’s investments in and the Partnership’s pro-rata March 31, 2020 For the three months ended March 31, 2020 Funds % of Fair Value Income Expenses Net Investment Redemptions Clearing Professional Management Incentive Winton Master 9.38 % $ 41,856,909 $ (8,370,730) $ 42,551 $ 7,687 $ - $ - $ (8,420,968) Commodity Portfolio Monthly Transtrend Master 18.88 % 84,242,729 (3,033,914) 259,821 17,000 217,175 - (3,527,910) Commodity Portfolio Monthly FORT Contrarian Master 26.40 % 117,835,250 (5,002,992) 152,428 16,040 - - (5,171,460) Commodity Portfolio Monthly NL Master 3.99 % 17,812,197 662,560 21,564 12,843 - - 628,153 Commodity Portfolio Monthly Total $ 261,747,085 $ (15,745,076) $ 476,364 $ 53,570 $ 217,175 $ - $ (16,492,185) December 31, 2019 For the three months ended March 31, 2019 Funds % of Fair Value Income Expenses Net Investment Redemptions Clearing Professional Management Incentive Winton Master 15.96 % $ 77,128,248 $ 2,095,051 $ 39,611 $ 6,999 $ - $ - $ 2,048,441 Commodity Portfolio Monthly Transtrend Master 24.75 % 119,608,248 7,408,689 210,102 - 303,052 - 6,895,535 Commodity Portfolio Monthly Willowbridge Master (a) - % - (394,257) 84,076 5,077 - - (483,410) Commodity Portfolio Monthly FORT Contrarian Master 24.19 % 116,899,563 17,912,694 102,244 14,770 - - 17,795,680 Commodity Portfolio Monthly NL Master (b) 3.58 % 17,300,752 - - - - - - Commodity Portfolio Monthly Total $ 330,936,811 $ 27,022,177 $ 436,033 $ 26,846 $ 303,052 $ - $ 26,256,246 (a) From January 1, 2019 through January 31, 2019, the date the Partnership fully redeemed its investment in Willowbridge Master. (b) The Partnership invested into NL Master on April 1, 2019. |
Financial Instrument Risks
Financial Instrument Risks | 3 Months Ended |
Mar. 31, 2020 | |
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 Metal 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. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s and the Funds’ assets. For certain OTC contracts traded by certain Funds, JPMorgan is the counterparty with respect to those 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/Trading Manager 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/Trading Manager 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 General Partner/Trading Manager considers the risk of any future obligation relating to these indemnifications to be remote. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2020 | |
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 there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
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.” |
Financial Highlights (Tables)
Financial Highlights (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investment Company [Abstract] | |
Financial Highlights | Financial highlights for the limited partner Classes as a whole for the three months ended March 31, 2020 and 2019 were as follows: Three Months Ended Three Months Ended 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) $ 5.85 $ 2.19 $ 134.58 $ 53.80 Net investment loss (46.61) (15.99) (27.92) (3.76) Increase (decrease) for the period (40.76) (13.80) 106.66 50.04 Net asset value per Redeemable Unit, beginning of period 2,728.91 1,106.01 2,608.11 1,034.06 Net asset value per Redeemable Unit, end of period $ 2,688.15 $ 1,092.21 $ 2,714.77 $ 1,084.10 Three Months Ended Three Months Ended Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.8) % (3.8) % (4.2) % (1.3) % Operating expenses 5.1 % 4.1 % 6.3 % 3.3 % Incentive fees 0.7 % 0.7 % 0.1 % 0.1 % Total expenses 5.8 % 4.8 % 6.4 % 3.4 % Total return: Total return before incentive fees (0.8) % (0.6) % 4.1 % 4.9 % Incentive fees (0.7) % (0.6) % (0.0) %**** (0.1) % Total return after incentive fees (1.5) % (1.2) % 4.1 % 4.8 % * 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, 2020 | |
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 arrangements or similar agreements as of March 31 2020 and December 31, 2019, respectively. March 31, 2020 Gross Gross Amounts Amounts Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets Futures $ 23,375,191 $ (23,375,191) $ - $ - $ - $ - Total assets $ 23,375,191 $ (23,375,191) $ - $ - $ - $ - Liabilities Futures $ (24,555,403) $ 23,375,191 $ (1,180,212) $ - $ 1,180,212 $ - Total liabilities $ (24,555,403) $ 23,375,191 $ (1,180,212) $ - $ 1,180,212 $ - Net fair value $ - * December 31, 2019 Gross Gross Amounts Condition Amounts Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets Futures $ 55,074,542 $ (55,074,542) $ - $ - $ - $ - Total assets $ 55,074,542 $ (55,074,542) $ - $ - $ - $ - Liabilities Futures $ (56,833,090) $ 55,074,542 $ (1,758,548) $ - $ 1,758,548 $ - Total liabilities $ (56,833,090) $ 55,074,542 $ (1,758,548) $ - $ 1,758,548 $ - Net fair value $ - * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker 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 option contracts, as applicable, held directly by the Partnership as separate assets and liabilities as of March 31, 2020 and December 31, 2019, respectively. March 31, 2020 Assets Futures Contracts Currencies $ 250,209 Energy 13,471,631 Grains 1,231,247 Indices 964,012 Interest Rates U.S. 30,476 Interest Rates Non-U.S. 916,826 Livestock 714,573 Metals 2,910,040 Softs 2,886,177 Total unrealized appreciation on open futures contracts 23,375,191 Liabilities Futures Contracts Currencies (225,605) Energy (12,656,465) Grains (3,199,476) Indices (1,910,480) Interest Rates U.S. (11,102) Interest Rates Non-U.S. (84,763) Livestock (1,286,555) Metals (1,724,939) Softs (3,456,018) Total unrealized depreciation on open futures contracts (24,555,403) Net unrealized depreciation on open futures contracts $ (1,180,212) * Assets Options Purchased Energy $ 143,560 Total options purchased $ 143,560 ** Liabilities Options Written Energy $ (216,876) Total options written $ (216,876) *** * This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. *** This amount is in “Options written, at fair value” in the Statements of Financial Condition. December 31, 2019 Assets Futures Contracts Currencies $ 1,024,103 Energy 24,040,293 Grains 10,257,434 Indices 1,185,547 Interest Rates U.S. 74,820 Interest Rates Non-U.S. 598,379 Livestock 1,800,915 Metals 2,685,053 Softs 13,407,998 Total unrealized appreciation on open futures contracts 55,074,542 Liabilities Futures Contracts Currencies (194,083) Energy (15,873,184) Grains (15,052,970) Indices (712,770) Interest Rates U.S. (64,351) Interest Rates Non-U.S. (3,110,476) Livestock (1,144,175) Metals (3,295,398) Softs (17,385,683) Total unrealized depreciation on open futures contracts (56,833,090) Net unrealized depreciation on open futures contracts $ (1,758,548) * * This amount is in “Net unrealized depreciation on open futures 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, 2020 and 2019, respectively. Three Months Ended March 31, Sector 2020 2019 Currencies $ (2,485,209) $ 801,575 Energy 14,418,791 3,518,985 Grains 180,970 (2,430,152) Indices (3,970,177) (515,130) Interest Rates U.S. (1,382,899) (422,094) Interest Rates Non-U.S. 10,532,332 4,091,827 Livestock (4,877,916) 186,593 Metals 6,440,818 (1,473,060) Softs (1,062,442) 248,035 Total $ 17,794,268 **** $ 4,006,579 **** **** 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, 2020 | |
Fair Value Disclosures [Abstract] | |
Summary of Assets and Liabilities Measured at Fair Value | March 31, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 23,375,191 $ 23,375,191 $ - $ - Options purchased 143,560 143,560 - - Total assets $ 23,518,751 $ 23,518,751 $ - $ - Liabilities Futures $ 24,555,403 $ 24,555,403 $ - $ - Options written 216,876 216,876 - - Total liabilities $ 24,772,279 $ 24,772,279 $ - $ - December 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 55,074,542 $ 55,074,542 $ - $ - Total assets $ 55,074,542 $ 55,074,542 $ - $ - Liabilities Futures $ 56,833,090 $ 56,833,090 $ - $ - Total liabilities $ 56,833,090 $ 56,833,090 $ - $ - |
Investment in the Funds (Tables
Investment in the Funds (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Schedule of Investments [Abstract] | |
Assets, Liabilities and Partners' Members' Capital of Funds | Summarized information reflecting the total assets, liabilities and partners’/members’ capital of the Funds is shown in the following tables: March 31, 2020 Total Assets Total Liabilities Total Capital Winton Master $ 169,049,467 $ 27,813,807 $ 141,235,660 Transtrend Master 84,540,700 297,971 84,242,729 FORT Contrarian Master 124,920,459 469,327 124,451,132 NL Master 22,692,778 858,566 21,834,212 December 31, 2019 Total Assets Total Liabilities Total Capital Winton Master $ 214,355,792 $ 8,953,183 $ 205,402,609 Transtrend Master 127,400,612 7,792,364 119,608,248 FORT Contrarian Master 135,604,970 4,607,083 130,997,887 NL Master 22,919,671 1,217,801 21,701,870 |
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, 2020 Net Investment Total Trading Net Income Winton Master $ 387,606 $ (23,953,788) $ (23,566,182) Transtrend Master (261,094) (3,266,814) (3,527,908) FORT Contrarian Master 168,677 (5,653,909) (5,485,232) NL Master 12,428 752,782 765,210 For the three months ended March 31, 2019 Net Investment Total Trading Net Income Winton Master $ 1,665,854 $ 3,237,333 $ 4,903,187 Transtrend Master 104,673 6,864,507 6,969,180 Willowbridge Master (a) 220,431 (759,939) (539,508) FORT Contrarian Master 803,870 19,700,082 20,503,952 (a) From January 1, 2019 through January 31, 2019, the date Willowbridge Master terminated operations. |
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, 2020 For the three months ended March 31, 2020 Funds % of Fair Value Income Expenses Net Investment Redemptions Clearing Professional Management Incentive Winton Master 9.38 % $ 41,856,909 $ (8,370,730) $ 42,551 $ 7,687 $ - $ - $ (8,420,968) Commodity Portfolio Monthly Transtrend Master 18.88 % 84,242,729 (3,033,914) 259,821 17,000 217,175 - (3,527,910) Commodity Portfolio Monthly FORT Contrarian Master 26.40 % 117,835,250 (5,002,992) 152,428 16,040 - - (5,171,460) Commodity Portfolio Monthly NL Master 3.99 % 17,812,197 662,560 21,564 12,843 - - 628,153 Commodity Portfolio Monthly Total $ 261,747,085 $ (15,745,076) $ 476,364 $ 53,570 $ 217,175 $ - $ (16,492,185) December 31, 2019 For the three months ended March 31, 2019 Funds % of Fair Value Income Expenses Net Investment Redemptions Clearing Professional Management Incentive Winton Master 15.96 % $ 77,128,248 $ 2,095,051 $ 39,611 $ 6,999 $ - $ - $ 2,048,441 Commodity Portfolio Monthly Transtrend Master 24.75 % 119,608,248 7,408,689 210,102 - 303,052 - 6,895,535 Commodity Portfolio Monthly Willowbridge Master (a) - % - (394,257) 84,076 5,077 - - (483,410) Commodity Portfolio Monthly FORT Contrarian Master 24.19 % 116,899,563 17,912,694 102,244 14,770 - - 17,795,680 Commodity Portfolio Monthly NL Master (b) 3.58 % 17,300,752 - - - - - - Commodity Portfolio Monthly Total $ 330,936,811 $ 27,022,177 $ 436,033 $ 26,846 $ 303,052 $ - $ 26,256,246 (a) From January 1, 2019 through January 31, 2019, the date the Partnership fully redeemed its investment in Willowbridge Master. (b) The Partnership invested into NL Master on April 1, 2019. |
Organization - Additional Infor
Organization - Additional Information (Detail) | Nov. 01, 2018 | Mar. 31, 2020$ / 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 | |
Maximum [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of partnership assets allocated | 10.00% | |
Class A Redeemable Units [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of partnership assets allocated | 2.00% | |
Morgan Stanley Wealth Management [Member] | Class A Redeemable Units [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Ongoing selling agent fee | 15.00% | |
Monthly ongoing selling agent fee | 7.50% | |
Morgan Stanley Distribution Inc [Member] | Harbor Selling Agreement [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 |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Accounting Policies [Abstract] | ||
Cash denominated in foreign currencies | $ 29,666,001 | $ 10,541,351 |
Cash denominated in foreign currencies, cost | 29,916,270 | 10,423,551 |
Restricted cash | 10,746,691 | $ 44,439,575 |
Uncertain tax position | $ 0 | |
Open tax year | 2016 2017 2018 2019 |
Financial Highlights - Schedule
Financial Highlights - Schedule of Changes in Net Asset Value (Detail) - $ / shares | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Class A Redeemable Units [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | $ 5.85 | $ 134.58 |
Net investment loss | (46.61) | (27.92) |
Increase (decrease) for the period | (40.76) | 106.66 |
Net asset value per Redeemable Unit, beginning of period | 2,728.91 | 2,608.11 |
Net asset value per Redeemable Unit, end of period | 2,688.15 | 2,714.77 |
Class Z Redeemable Units [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | 2.19 | 53.80 |
Net investment loss | (15.99) | (3.76) |
Increase (decrease) for the period | (13.80) | 50.04 |
Net asset value per Redeemable Unit, beginning of period | 1,106.01 | 1,034.06 |
Net asset value per Redeemable Unit, end of period | $ 1,092.21 | $ 1,084.10 |
Financial Highlights - Ratios t
Financial Highlights - Ratios to Average Limited Partners' Capital (Detail) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Class A Redeemable Units [Member] | ||
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (4.80%) | (4.20%) |
Operating expenses | 5.10% | 6.30% |
Incentive fees | 0.70% | 0.10% |
Total expenses | 5.80% | 6.40% |
Total return: | ||
Total return before incentive fees | (0.80%) | 4.10% |
Incentive fees | (0.70%) | (0.10%) |
Total return after incentive fees | (1.50%) | 4.10% |
Class Z Redeemable Units [Member] | ||
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (3.80%) | (1.30%) |
Operating expenses | 4.10% | 3.30% |
Incentive fees | 0.70% | 0.10% |
Total expenses | 4.80% | 3.40% |
Total return: | ||
Total return before incentive fees | (0.60%) | 4.90% |
Incentive fees | (0.70%) | (0.10%) |
Total return after incentive fees | (1.20%) | 4.80% |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - Contracts | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Futures Contracts [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average number of derivative contracts traded | 81,120 | 64,163 |
Forward Contracts [Member] | Metals [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average number of derivative contracts traded | 381 | 0 |
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, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 23,375,191 | $ 55,074,542 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (23,375,191) | (55,074,542) |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 0 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 0 | 0 |
Gross Amounts Recognized, Liabilities | (24,555,403) | (56,833,090) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 23,375,191 | 55,074,542 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (1,180,212) | (1,758,548) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 1,180,212 | 1,758,548 |
Net Amount, Liabilities | 0 | 0 |
Net fair value | 0 | 0 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 23,375,191 | 55,074,542 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (23,375,191) | (55,074,542) |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 0 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 0 | 0 |
Gross Amounts Recognized, Liabilities | (24,555,403) | (56,833,090) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 23,375,191 | 55,074,542 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (1,180,212) | (1,758,548) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 1,180,212 | 1,758,548 |
Net Amount, Liabilities | $ 0 | $ 0 |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts Traded (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Total options purchased | $ 143,560 | |
Total options written | (216,876) | $ (216,876) |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 23,375,191 | 55,074,542 |
Total unrealized depreciation on open contracts | (24,555,403) | (56,833,090) |
Net unrealized depreciation on open futures contracts | (1,180,212) | (1,758,548) |
Currencies [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 250,209 | 1,024,103 |
Total unrealized depreciation on open contracts | (225,605) | (194,083) |
Energy [Member] | ||
Derivative [Line Items] | ||
Total options purchased | 143,560 | |
Total options written | (216,876) | |
Energy [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 13,471,631 | 24,040,293 |
Total unrealized depreciation on open contracts | (12,656,465) | (15,873,184) |
Grains [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,231,247 | 10,257,434 |
Total unrealized depreciation on open contracts | (3,199,476) | (15,052,970) |
Indices [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 964,012 | 1,185,547 |
Total unrealized depreciation on open contracts | (1,910,480) | (712,770) |
Interest Rates U.S. [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 30,476 | 74,820 |
Total unrealized depreciation on open contracts | (11,102) | (64,351) |
Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 916,826 | 598,379 |
Total unrealized depreciation on open contracts | (84,763) | (3,110,476) |
Livestock [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 714,573 | 1,800,915 |
Total unrealized depreciation on open contracts | (1,286,555) | (1,144,175) |
Metals [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 2,910,040 | 2,685,053 |
Total unrealized depreciation on open contracts | (1,724,939) | (3,295,398) |
Softs [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 2,886,177 | 13,407,998 |
Total unrealized depreciation on open contracts | $ (3,456,018) | $ (17,385,683) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses by Market Sector on Derivative Instruments Traded (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative [Line Items] | ||
Total trading results | $ 17,794,268 | $ 4,006,579 |
Currencies [Member] | ||
Derivative [Line Items] | ||
Total trading results | (2,485,209) | 801,575 |
Energy [Member] | ||
Derivative [Line Items] | ||
Total trading results | 14,418,791 | 3,518,985 |
Grains [Member] | ||
Derivative [Line Items] | ||
Total trading results | 180,970 | (2,430,152) |
Indices [Member] | ||
Derivative [Line Items] | ||
Total trading results | (3,970,177) | (515,130) |
Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Total trading results | (1,382,899) | (422,094) |
Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Total trading results | 10,532,332 | 4,091,827 |
Livestock [Member] | ||
Derivative [Line Items] | ||
Total trading results | (4,877,916) | 186,593 |
Metals [Member] | ||
Derivative [Line Items] | ||
Total trading results | 6,440,818 | (1,473,060) |
Softs [Member] | ||
Derivative [Line Items] | ||
Total trading results | $ (1,062,442) | $ 248,035 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - DerivativeInstrument | Mar. 31, 2020 | Dec. 31, 2019 |
Significant Unobservable Inputs (Level 3) [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative instruments held | 0 | 0 |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Assets and Liabilities Measured at Fair Value (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Total assets | $ 23,518,751 | $ 55,074,542 |
Liabilities | ||
Total liabilities | 24,772,279 | 56,833,090 |
Futures Contracts [Member] | ||
Assets | ||
Total assets | 23,375,191 | 55,074,542 |
Liabilities | ||
Total liabilities | 24,555,403 | 56,833,090 |
Options [Member] | Long [Member] | ||
Assets | ||
Total assets | 143,560 | |
Options [Member] | Short [Member] | ||
Liabilities | ||
Total liabilities | 216,876 | |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Assets | ||
Total assets | 23,518,751 | 55,074,542 |
Liabilities | ||
Total liabilities | 24,772,279 | 56,833,090 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Futures Contracts [Member] | ||
Assets | ||
Total assets | 23,375,191 | 55,074,542 |
Liabilities | ||
Total liabilities | 24,555,403 | 56,833,090 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Options [Member] | Long [Member] | ||
Assets | ||
Total assets | 143,560 | |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Options [Member] | Short [Member] | ||
Liabilities | ||
Total liabilities | 216,876 | |
Significant Other Observable Inputs (Level 2) [Member] | ||
Liabilities | ||
Total liabilities | $ 0 | |
Fair Value, Inputs, Level 3 [Member] | ||
Liabilities | ||
Total liabilities | $ 0 |
Investment in the Funds - Addit
Investment in the Funds - Additional Information (Detail) | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
CMF Winton Master L.P. [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 29.60% | 37.50% |
CMF Winton Master L.P. [Member] | Maximum [Member] | ||
Investment [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 1.5 | |
CMF TT II, LLC [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 100.00% | 100.00% |
CMF Willowbridge Master Fund L.P.[Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 94.60% | |
CMF FORT Contrarian Master Fund LLC [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 89.10% | |
CMF FORT Contrarian Master Fund LLC [Member] | Maximum [Member] | ||
Investment [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 1.25 | |
CMF NL Master Fund LLC [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 81.60% | 79.60% |
Investment in the Funds - Asset
Investment in the Funds - Assets, Liabilities and Partners' Members' Capital of Funds (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Investment Holdings [Line Items] | ||||
Total Assets | $ 470,770,687 | $ 504,390,236 | ||
Total Liabilities | 24,476,330 | 21,118,985 | ||
Total Capital | 446,294,357 | 483,271,251 | $ 566,431,604 | $ 606,058,475 |
CMF Winton Master L.P. [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 169,049,467 | 214,355,792 | ||
Total Liabilities | 27,813,807 | 8,953,183 | ||
Total Capital | 141,235,660 | 205,402,609 | ||
CMF TT II, LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 84,540,700 | 127,400,612 | ||
Total Liabilities | 297,971 | 7,792,364 | ||
Total Capital | 84,242,729 | 119,608,248 | ||
CMF FORT Contrarian Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 124,920,459 | 135,604,970 | ||
Total Liabilities | 469,327 | 4,607,083 | ||
Total Capital | 124,451,132 | 130,997,887 | ||
CMF NL Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 22,692,778 | 22,919,671 | ||
Total Liabilities | 858,566 | 1,217,801 | ||
Total Capital | $ 21,834,212 | $ 21,701,870 |
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, 2020 | Mar. 31, 2019 | |
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | $ (8,112,272) | $ (6,160,386) |
Total trading results | 1,251,725 | 28,518,756 |
Net income (loss) | (6,860,547) | 22,358,370 |
CMF Winton Master L.P. [Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | 387,606 | 1,665,854 |
Total trading results | (23,953,788) | 3,237,333 |
Net income (loss) | (23,566,182) | 4,903,187 |
CMF TT II, LLC [Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | (261,094) | 104,673 |
Total trading results | (3,266,814) | 6,864,507 |
Net income (loss) | (3,527,908) | 6,969,180 |
CMF Willowbridge Master Fund L.P.[Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | 220,431 | |
Total trading results | (759,939) | |
Net income (loss) | (539,508) | |
CMF FORT Contrarian Master Fund LLC [Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | 168,677 | 803,870 |
Total trading results | (5,653,909) | 19,700,082 |
Net income (loss) | (5,485,232) | $ 20,503,952 |
CMF NL Master Fund LLC [Member] | ||
Investment Holdings [Line Items] | ||
Net Investment Income (Loss) | 12,428 | |
Total trading results | 752,782 | |
Net income (loss) | $ 765,210 |
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 | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Sep. 30, 2019 | |
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 58.65% | 68.48% | ||
Fair Value | $ 261,747,085 | $ 330,936,811 | $ 330,936,811 | |
Income (Loss) | 1,251,725 | $ 28,518,756 | ||
Expenses, Clearing Fees | 1,630,457 | 1,072,804 | ||
Expenses, Professional Fees | 262,730 | 321,020 | ||
Management fees | 1,240,559 | 1,455,662 | ||
Net income (loss) | $ (6,860,547) | 22,358,370 | ||
CMF Winton Master L.P. [Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 9.38% | 15.96% | ||
Fair Value | $ 41,856,909 | $ 77,128,248 | ||
CMF TT II, LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 18.88% | 24.75% | ||
Fair Value | $ 84,242,729 | $ 119,608,248 | ||
CMF FORT Contrarian Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 26.40% | 24.19% | ||
Fair Value | $ 117,835,250 | $ 116,899,563 | ||
CMF NL Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
% of Partners' Capital | 3.99% | 3.58% | ||
Fair Value | $ 17,812,197 | $ 17,300,752 | ||
Investment In Funds [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | (15,745,076) | 27,022,177 | ||
Expenses, Clearing Fees | 476,364 | 436,033 | ||
Expenses, Professional Fees | 53,570 | 26,846 | ||
Management fees | 217,175 | 303,052 | ||
Incentive Fee | 0 | 0 | ||
Net income (loss) | (16,492,185) | 26,256,246 | ||
Investment In Funds [Member] | Commodity [Member] | CMF Winton Master L.P. [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | (8,370,730) | 2,095,051 | ||
Expenses, Clearing Fees | 42,551 | 39,611 | ||
Expenses, Professional Fees | 7,687 | 6,999 | ||
Net income (loss) | $ (8,420,968) | $ 2,048,441 | ||
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) | $ (3,033,914) | $ 7,408,689 | ||
Expenses, Clearing Fees | 259,821 | 210,102 | ||
Expenses, Professional Fees | 17,000 | |||
Management fees | 217,175 | 303,052 | ||
Net income (loss) | $ (3,527,910) | $ 6,895,535 | ||
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) | $ (394,257) | |||
Expenses, Clearing Fees | 84,076 | |||
Expenses, Professional Fees | 5,077 | |||
Net income (loss) | $ (483,410) | |||
Investment Objective | Commodity Portfolio | |||
Redemptions Permitted | Monthly | |||
Investment In Funds [Member] | Commodity [Member] | CMF FORT Contrarian Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | $ (5,002,992) | $ 17,912,694 | ||
Expenses, Clearing Fees | 152,428 | 102,244 | ||
Expenses, Professional Fees | 16,040 | 14,770 | ||
Net income (loss) | $ (5,171,460) | $ 17,795,680 | ||
Investment Objective | Commodity Portfolio | Commodity Portfolio | ||
Redemptions Permitted | Monthly | Monthly | ||
Investment In Funds [Member] | Commodity [Member] | CMF NL Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Income (Loss) | $ 662,560 | |||
Expenses, Clearing Fees | 21,564 | |||
Expenses, Professional Fees | 12,843 | |||
Net income (loss) | $ 628,153 | |||
Investment Objective | Commodity Portfolio | Commodity Portfolio | ||
Redemptions Permitted | Monthly | Monthly |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) - Credit Concentration Risk [Member] - Partnership's/Funds' Contracts [Member] - Over the Counter [Member] | 3 Months Ended |
Mar. 31, 2020 | |
Minimum [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage | 2.10% |
Maximum [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage | 6.50% |