Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Feb. 28, 2022 | Jun. 30, 2021 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2021 | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | FY | ||
Document Annual Report | true | ||
Document Transition Report | false | ||
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 Voluntary Filers | No | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Interactive Data Current | Yes | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Address, State or Province | NY | ||
Entity Incorporation, State or Country Code | NY | ||
Entity Address, Address Line One | 522 Fifth Avenue | ||
Entity Address, City or Town | New York | ||
Entity Address, Postal Zip Code | 10036 | ||
City Area Code | 855 | ||
Local Phone Number | 672-4468 | ||
Entity Tax Identification Number | 22-3644546 | ||
ICFR Auditor Attestation Flag | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 353,942,883 | ||
Entity File Number | 0-50271 | ||
Auditor Name | Ernst & Young LLP | ||
Auditor Firm ID | 42 | ||
Auditor Location | Boston, MA | ||
Capital Unit, Class A [Member] | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 108,246.6118 | ||
Capital Unit Class Z [Member] | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 2,562.5842 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets: | |||
Investment in the Funds, at fair value | $ 87,850,946 | $ 136,268,790 | |
Redemptions receivable from the Funds | 4,643,766 | 2,439,045 | |
Equity in trading account: | |||
Unrestricted cash | 255,092,796 | 206,600,821 | |
Restricted cash | 17,796,571 | 23,403,438 | |
Net unrealized appreciation on open futures contracts | 0 | 6,233,600 | |
Options purchased, at fair value (premiums paid $6,040,660 and $2,680,600 at December 31, 2021 and 2020, respectively) | [1] | 13,241,142 | 2,470,392 |
Total equity in trading account | 286,130,509 | 238,708,251 | |
Interest receivable | 8,159 | 13,252 | |
Total assets | 378,633,380 | 377,429,338 | |
Liabilities: | |||
Net unrealized depreciation on open futures contracts | 1,400,643 | 0 | |
Options written, at fair value (premiums received $5,733,790 and $3,631,000 at December 31, 2021 and 2020, respectively) | [2] | 6,649,119 | 2,311,171 |
Accrued expenses: | |||
Ongoing selling agent fees | 225,873 | 304,105 | |
Management fees | 237,202 | 268,910 | |
General Partner fees | 231,254 | 234,070 | |
Incentive fees | 5,219,344 | 1,837,005 | |
Professional fees | 351,627 | 302,374 | |
Redemptions Payable To General Partner | 350,001 | 1,400,000 | |
Redemptions payable to Limited Partners | 2,110,287 | 11,516,958 | |
Total liabilities | 16,775,350 | 18,174,593 | |
Partners' Capital | |||
Total partners' capital (net asset value) | 361,858,030 | 359,254,745 | |
Total liabilities and partners' capital | 378,633,380 | 377,429,338 | |
Class Z Redeemable Units [Member] | |||
Partners' Capital | |||
General Partner, Class Z, 3,070.7533 and 3,824.2873 Redeemable Units outstanding at December 31, 2021 and 2020, respectively | 4,078,652 | 4,337,368 | |
Limited Partners | 4,608,867 | 4,283,794 | |
Total partners' capital (net asset value) | $ 8,687,519 | $ 8,621,162 | |
Net asset value per Redeemable Unit: | |||
Net asset value per Redeemable Unit | $ 1,328.23 | $ 1,134.16 | |
Class A Redeemable Units [Member] | |||
Partners' Capital | |||
Limited Partners | $ 353,170,511 | $ 350,633,583 | |
Total partners' capital (net asset value) | $ 353,170,511 | $ 350,633,583 | |
Net asset value per Redeemable Unit: | |||
Net asset value per Redeemable Unit | $ 3,219.06 | $ 2,769.71 | |
[1] | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. | ||
[2] | This amount is in “Options written, at fair value” in the Statements of Financial Condition. |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 |
Options purchased, premiums paid | $ 6,040,660 | $ 2,680,600 |
Options written, premiums received | $ 5,733,790 | $ 3,631,000 |
Class Z Redeemable Units [Member] | ||
General Partner Capital, Redeemable units outstanding | 3,070.7533 | 3,824.2873 |
Limited Partners Capital, Redeemable units outstanding | 3,469.9432 | 3,777.0492 |
Class A Redeemable Units [Member] | ||
Limited Partners Capital, Redeemable units outstanding | 109,712.3338 | 126,595.8958 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Dec. 31, 2021USD ($)Contract | Dec. 31, 2020USD ($)Contract | ||
Schedule of Investments [Line Items] | ||||
Total investment in the Funds, Fair Value | $ 87,850,946 | $ 136,268,790 | ||
% of Partners' Capital | 24.28% | 37.93% | ||
Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized and depreciation on open futures contracts | $ (1,400,643) | [1] | $ 6,233,600 | [2] |
% of Partners' Capital | (0.39%) | 1.74% | ||
CMF TT II, LLC [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total investment in the Funds, Fair Value | $ 56,580,003 | $ 66,632,519 | ||
% of Partners' Capital | 15.64% | 18.55% | ||
CMF FORT Contrarian Master Fund LLC [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total investment in the Funds, Fair Value | $ 0 | [3] | $ 57,968,789 | |
% of Partners' Capital | 0.00% | [3] | 16.14% | |
CMF NL Master Fund LLC [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total investment in the Funds, Fair Value | $ 31,270,943 | $ 11,667,482 | ||
% of Partners' Capital | 8.64% | 3.24% | ||
Long [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized and depreciation on open futures contracts | $ 23,796,786 | $ 16,740,204 | ||
% of Partners' Capital | 6.57% | 4.66% | ||
Long [Member] | Options [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total investment in the Funds, Fair Value | $ 13,241,142 | $ 2,470,392 | ||
% of Partners' Capital | 3.66% | 0.69% | ||
Long [Member] | Currencies [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 377 | 1,645 | ||
Net unrealized and depreciation on open futures contracts | $ 184,170 | $ 947,605 | ||
% of Partners' Capital | 0.05% | 0.26% | ||
Long [Member] | Energy [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 14,777 | |||
Net unrealized and depreciation on open futures contracts | $ 3,242,381 | |||
% of Partners' Capital | 0.90% | |||
Long [Member] | Energy [Member] | Futures Contracts [Member] | NATURAL GAS FUTR DEC22 | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 2,643 | |||
Net unrealized and depreciation on open futures contracts | $ 7,354,680 | |||
% of Partners' Capital | 2.03% | |||
Long [Member] | Energy [Member] | Futures Contracts [Member] | NAT GAS LAST DAY Dec22 | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 324 | |||
Net unrealized and depreciation on open futures contracts | $ 4,084,700 | |||
% of Partners' Capital | 1.13% | |||
Long [Member] | Energy [Member] | Futures Contracts [Member] | NATURAL GAS FUTR Nov22 | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 2,206 | |||
Net unrealized and depreciation on open futures contracts | $ 5,659,453 | |||
% of Partners' Capital | 1.57% | |||
Long [Member] | Energy [Member] | Futures Contracts [Member] | Other | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 9,415 | |||
Net unrealized and depreciation on open futures contracts | $ 6,445,494 | |||
% of Partners' Capital | 1.78% | |||
Long [Member] | Energy [Member] | Options [Member] | Call Option [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 1,985 | 1,358 | ||
Total investment in the Funds, Fair Value | $ 12,576,831 | $ 2,221,530 | ||
% of Partners' Capital | 3.48% | 0.62% | ||
Long [Member] | Energy [Member] | Options [Member] | Put Option [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 1,206 | 1,214 | ||
Total investment in the Funds, Fair Value | $ 664,311 | $ 248,862 | ||
% of Partners' Capital | 0.18% | 0.07% | ||
Long [Member] | Grains [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 1,031 | 2,971 | ||
Net unrealized and depreciation on open futures contracts | $ 11,298 | $ 6,008,789 | ||
% of Partners' Capital | 0.00% | [4] | 1.67% | |
Long [Member] | Indices [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 801 | 1,030 | ||
Net unrealized and depreciation on open futures contracts | $ 111,957 | $ 1,256,496 | ||
% of Partners' Capital | 0.03% | 0.35% | ||
Long [Member] | Interest Rates U.S. [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 174 | 733 | ||
Net unrealized and depreciation on open futures contracts | $ 39,530 | $ 29,578 | ||
% of Partners' Capital | 0.01% | 0.01% | ||
Long [Member] | Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 678 | 5,422 | ||
Net unrealized and depreciation on open futures contracts | $ (781,525) | $ 487,480 | ||
% of Partners' Capital | (0.22%) | 0.14% | ||
Long [Member] | Livestock [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 137 | 208 | ||
Net unrealized and depreciation on open futures contracts | $ 116,515 | $ 123,572 | ||
% of Partners' Capital | 0.03% | 0.03% | ||
Long [Member] | Metals [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 534 | 585 | ||
Net unrealized and depreciation on open futures contracts | $ 897,934 | $ 2,898,137 | ||
% of Partners' Capital | 0.25% | 0.81% | ||
Long [Member] | Softs [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 1,030 | 1,881 | ||
Net unrealized and depreciation on open futures contracts | $ (327,420) | $ 1,746,166 | ||
% of Partners' Capital | (0.09%) | 0.49% | ||
Short [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized and depreciation on open futures contracts | $ (25,197,429) | $ (10,506,604) | ||
% of Partners' Capital | (6.96%) | (2.92%) | ||
Short [Member] | Options [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total investment in the Funds, Fair Value | $ (6,649,119) | $ (2,311,171) | ||
% of Partners' Capital | (1.84%) | (0.64%) | ||
Short [Member] | Currencies [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 594 | 8 | ||
Net unrealized and depreciation on open futures contracts | $ (270,449) | $ (3,856) | ||
% of Partners' Capital | (0.07%) | 0.00% | [4] | |
Short [Member] | Energy [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 8,877 | |||
Net unrealized and depreciation on open futures contracts | $ 324,465 | |||
% of Partners' Capital | 0.09% | |||
Short [Member] | Energy [Member] | Futures Contracts [Member] | NAT GAS LAST DAY Mar22 | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 699 | |||
Net unrealized and depreciation on open futures contracts | $ (7,601,640) | |||
% of Partners' Capital | (2.10%) | |||
Short [Member] | Energy [Member] | Futures Contracts [Member] | Other | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 16,799 | |||
Net unrealized and depreciation on open futures contracts | $ (15,199,704) | |||
% of Partners' Capital | (4.20%) | |||
Short [Member] | Energy [Member] | Options [Member] | Call Option [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 1,510 | 1,878 | ||
Total investment in the Funds, Fair Value | $ (4,167,011) | $ (873,797) | ||
% of Partners' Capital | (1.15%) | (0.24%) | ||
Short [Member] | Energy [Member] | Options [Member] | Put Option [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 2,437 | 1,347 | ||
Total investment in the Funds, Fair Value | $ (2,482,108) | $ (1,437,374) | ||
% of Partners' Capital | (0.69%) | (0.40%) | ||
Short [Member] | Grains [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 773 | 2,462 | ||
Net unrealized and depreciation on open futures contracts | $ (191,934) | $ (6,855,706) | ||
% of Partners' Capital | (0.05%) | (1.91%) | ||
Short [Member] | Indices [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 531 | 354 | ||
Net unrealized and depreciation on open futures contracts | $ (83,321) | $ 50,799 | ||
% of Partners' Capital | (0.02%) | 0.01% | ||
Short [Member] | Interest Rates U.S. [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 207 | 501 | ||
Net unrealized and depreciation on open futures contracts | $ (195) | $ (70,696) | ||
% of Partners' Capital | 0.00% | [4] | (0.02%) | |
Short [Member] | Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 276 | 760 | ||
Net unrealized and depreciation on open futures contracts | $ 13,356 | $ (101,298) | ||
% of Partners' Capital | 0.00% | [4] | (0.03%) | |
Short [Member] | Livestock [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 85 | 191 | ||
Net unrealized and depreciation on open futures contracts | $ (52,462) | $ (225,435) | ||
% of Partners' Capital | (0.01%) | (0.06%) | ||
Short [Member] | Metals [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 398 | 324 | ||
Net unrealized and depreciation on open futures contracts | $ (756,914) | $ (1,636,565) | ||
% of Partners' Capital | (0.21%) | (0.46%) | ||
Short [Member] | Softs [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Contract | 922 | 1,747 | ||
Net unrealized and depreciation on open futures contracts | $ (1,054,166) | $ (1,988,312) | ||
% of Partners' Capital | (0.30%) | (0.54%) | ||
[1] | This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. | |||
[2] | This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. | |||
[3] | From January 1, 2021 through October 31, 2021, the date the Partnership fully redeemed its investment in FORT Contrarian Master. | |||
[4] | Due to rounding. |
Condensed Schedule of Investm_2
Condensed Schedule of Investments (Parenthetical) | 12 Months Ended |
Dec. 31, 2021USD ($) | |
Schedule of Investments [Line Items] | |
Options purchased, premiums paid | $ 6,040,660 |
Options written, premiums received | $ 5,733,790 |
Long [Member] | Futures Contracts [Member] | NATURAL GAS FUTR DEC22 | |
Schedule of Investments [Line Items] | |
Derivative maturity dates description | DEC22 |
Long [Member] | Futures Contracts [Member] | NAT GAS LAST DAY Dec22 | |
Schedule of Investments [Line Items] | |
Derivative maturity dates description | Dec22 |
Long [Member] | Futures Contracts [Member] | NATURAL GAS FUTR Nov22 | |
Schedule of Investments [Line Items] | |
Derivative maturity dates description | Nov22 |
Short [Member] | Futures Contracts [Member] | NAT GAS LAST DAY Mar22 | |
Schedule of Investments [Line Items] | |
Derivative maturity dates description | Mar22 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Investment Income: | ||||
Interest income | $ 75,635 | $ 511,674 | $ 2,243,877 | |
Interest income allocated from the Funds | 20,010 | 878,143 | 7,402,235 | |
Total investment income | 95,645 | 1,389,817 | 9,646,112 | |
Expenses: | ||||
Expenses allocated from the Funds | 4,653,637 | 2,425,300 | 3,064,354 | |
Clearing fees related to direct investments | 2,330,487 | 4,142,620 | 5,384,435 | |
Ongoing selling agent fees | 2,689,795 | 4,366,954 | 11,879,238 | |
Management fees | 3,099,562 | 4,114,638 | 5,411,434 | |
General Partner fees | 2,752,823 | 3,172,637 | 4,132,207 | |
Incentive fees | 10,462,247 | 7,084,063 | 2,906,619 | |
Professional fees | 1,005,392 | 970,961 | 1,226,099 | |
Total expenses | 26,993,943 | 26,277,173 | 34,004,386 | |
Net investment loss | (26,898,298) | (24,887,356) | (24,358,274) | |
Net gains (losses) on trading of commodity interests and investment in the Funds: | ||||
Net realized gains (losses) on closed contracts | 41,538,947 | 28,169,965 | 20,220,080 | |
Net realized gains (losses) on closed contracts allocated from the Funds | 45,478,864 | (18,830,522) | 31,305,655 | |
Net change in unrealized gains (losses) on open contracts | (2,459,393) | 8,961,484 | (1,669,805) | |
Net change in unrealized gains (losses) on open contracts allocated from the Funds | (3,907,905) | 10,332,156 | 193,333 | |
Total trading results | 80,650,513 | 28,633,083 | 50,049,263 | |
Net income (loss) | 53,752,215 | 3,745,727 | 25,690,989 | |
Class A Redeemable Units [Member] | ||||
Net gains (losses) on trading of commodity interests and investment in the Funds: | ||||
Net income (loss) | $ 52,381,697 | $ 3,519,449 | $ 24,975,794 | |
Net income (loss) per Redeemable Unit | [1] | $ 449.35 | $ 40.80 | $ 120.80 |
Weighted average Redeemable Units outstanding | 115,137.0873 | 152,193.5660 | 197,078.5971 | |
Class Z Redeemable Units [Member] | ||||
Net gains (losses) on trading of commodity interests and investment in the Funds: | ||||
Net income (loss) | $ 1,370,518 | $ 226,278 | $ 715,195 | |
Net income (loss) per Redeemable Unit | [1] | $ 194.07 | $ 28.15 | $ 71.95 |
Weighted average Redeemable Units outstanding | 6,985.6753 | 9,346.2383 | 10,037.7007 | |
[1] | Represents the change in net asset value per Redeemable Unit. |
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 A Redeemable Units [Member]General Partner [Member] | Class Z Redeemable Units [Member] | Class Z Redeemable Units [Member]Limited Partners [Member] | Class Z Redeemable Units [Member]General Partner [Member] |
Net asset value per Redeemable Unit | $ 2,608.11 | $ 1,034.06 | |||||||
Partners' Capital, beginning of period at Dec. 31, 2018 | $ 606,058,475 | $ 595,031,425 | $ 11,027,050 | ||||||
Subscriptions | $ 24,073,170 | $ 22,602,847 | $ 1,470,323 | ||||||
Redemptions | $ (170,961,319) | $ (1,590,064) | $ (170,139,279) | $ (822,040) | $ (1,590,064) | ||||
Net income (loss) | 25,690,989 | 24,975,794 | 715,195 | ||||||
Partners' Capital, end of period at Dec. 31, 2019 | $ 483,271,251 | $ 472,470,787 | $ 10,800,464 | ||||||
Partners' Capital, beginning of period at Dec. 31, 2018 | 238,810.0823 | 228,146.2478 | 10,663.8345 | ||||||
Subscriptions - Redemptions Units | 9,256.7000 | 7,968.6900 | 1,288.0100 | ||||||
Redemptions - Redeemable Units | (63,729.4130) | (1,436.9980) | (62,979.8050) | (749.6080) | (1,436.9980) | ||||
Partners' Capital, end of period at Dec. 31, 2019 | 182,900.3713 | 173,135.1328 | 9,765.2385 | ||||||
Net asset value per Redeemable Unit | $ 2,728.91 | $ 1,106.01 | |||||||
Subscriptions | $ 4,802,334 | $ 4,739,834 | $ 62,500 | ||||||
Redemptions | $ (131,164,567) | $ (1,400,000) | $ (130,096,487) | $ (1,068,080) | $ (1,400,000) | ||||
Net income (loss) | $ 3,745,727 | $ 3,519,449 | $ 226,278 | ||||||
Partners' Capital, end of period at Dec. 31, 2020 | $ 359,254,745 | $ 350,633,583 | $ 8,621,162 | ||||||
Subscriptions - Redemptions Units | 1,825.4800 | 1,768.3640 | 57.1160 | ||||||
Redemptions - Redeemable Units | (49,294.2250) | (1,234.3940) | (48,307.6010) | (986.6240) | (1,234.3940) | ||||
Partners' Capital, end of period at Dec. 31, 2020 | 134,197.2323 | 126,595.8958 | 7,601.3365 | ||||||
Net asset value per Redeemable Unit | $ 2,769.71 | $ 1,134.16 | |||||||
Subscriptions | $ 6,331,628 | $ 6,021,943 | $ 309,685 | ||||||
Redemptions | $ (56,555,557) | $ (925,001) | $ (55,866,712) | $ 0 | $ (688,845) | $ (925,001) | |||
Net income (loss) | $ 53,752,215 | $ 52,381,697 | $ 1,370,518 | ||||||
Partners' Capital, end of period at Dec. 31, 2021 | $ 361,858,030 | $ 353,170,511 | $ 8,687,519 | ||||||
Subscriptions - Redemptions Units | 2,304.5720 | 2,047.8500 | 256.7220 | ||||||
Redemptions - Redeemable Units | (19,495.2400) | (753.5340) | (18,931.4120) | 0 | (563.8280) | (753.5340) | |||
Partners' Capital, end of period at Dec. 31, 2021 | 116,253.0303 | 109,712.3338 | 6,540.6965 | ||||||
Net asset value per Redeemable Unit | $ 3,219.06 | $ 1,328.23 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2021 | |
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. Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership, is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below) and NL Master (as defined below) and was the trading manager of FORT Contrarian Master (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 December 31, 2021, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”), Pan Capital Management L.P. (“Pan”), Greenwave Capital Management LLC (“Greenwave”), Quantica Capital AG (“Quantica”) and Breakout Funds LLC (“Breakout”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. On October 31, 2021, the Partnership fully redeemed its investment from CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”). Also effective October 31, 2021, FORT L.P. (“FORT”) ceased to act as a commodity trading advisor to the Partnership. On September 30, 2020, the Partnership fully redeemed its investment in CMF Winton Master L.P. (“Winton Master”). Also effective September 30, 2020, Winton Capital Management Limited (“Winton”) ceased to act as a commodity trading advisor to the Partnership. 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. 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. References herein to the “Advisors” may include, as relevant, John Street, Winton, Willowbridge and FORT. 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 July 1, 2021, Breakout directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Breakout’s Propeller Program. The General Partner and Breakout have agreed that Breakout will trade the Partnership’s assets allocated to Breakout at 1.5 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future, subject to certain restrictions. As of December 31, 2021, Greenwave directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Greenwave’s Flagship Plus 2X Program. The General Partner and Greenwave had agreed that Greenwave would trade the Partnership’s assets allocated to Greenwave at a level that was up to 2 times the amount of the assets allocated. Effective October 1, 2020, Quantica directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Quantica Managed Futures Program. The General Partner and Quantica have agreed that Quantica will trade the Partnership’s assets allocated to Quantica at 0.75 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future. Effective 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. 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. The General Partner and JSCl have agreed that JSCL will trade the Partnership’s assets allocated to it at a level that is up to 2 times the amount of assets allocated to it; provided that if the assets allocated to JSCL are $80 million or less, JSCL will trade the Partnership’s assets allocated to it at the level that is up to 1.5 times the amount of assets allocated to it. The amount of leverage may be increased or decreased in the future. 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 periods covered by this report, 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 and CMF TT II, LLC (“Transtrend Master”) have, and prior to their respective full redemptions, Winton Master and Willowbridge Master had, entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF NL Master Fund LLC (“NL Master”) has, and prior to its full redemption, FORT Contrarian Master had, entered into futures brokerage account agreements with MS&Co. Transtrend Master and NL Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, FORT Contrarian Master, Winton Master and Willowbridge Master. Transtrend Master, and until their respective full redemptions, Winton 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 was party to the FX Agreement for Willowbridge Master. Under each FX Agreement, JPMorgan charges or charged a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month. The Partnership will be liquidated upon the first to occur of the following: December 31, 2055; the net asset value per Redeemable Unit of any Class decreases to less than $400 as of the close of any business day; or under certain other circumstances as set forth in the limited partnership agreement of the Partnership, as may be amended from time to time (the “Limited Partnership Agreement”). In addition, the General Partner may, in its sole discretion, cause the Partnership to dissolve if the aggregate net assets of the Partnership decline to less than $1,000,000. 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 | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: a. Use of Estimates. b. Profit Allocation c. Statement of Cash Flows “Statement of Cash Flows.” d. Partnership’s Investment in the Funds. e. 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. f. Partnership’s Cash. foreign currencies of $(325,571) (proceeds of $302,404) and $(3,186,405) (proceeds of $3,163,920) at December 31, 2021 and 2020, respectively. g. Income Taxes Income Taxes “more-likely-than-not” more-likely-than-not 2018 through 2021 h. Investment Company Status. 2013-08 “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” i. Net Income (Loss) Per Redeemable Unit. “Financial Services - Investment Companies.” |
Agreements
Agreements | 12 Months Ended |
Dec. 31, 2021 | |
Text Block [Abstract] | |
Agreements | 3. Agreements: a. Limited Partnership Agreement: The General Partner administers the business and affairs of the Partnership, including selecting one or more advisors to make trading decisions for the Partnership. The Partnership pays the General Partner a monthly fee (the “General Partner fee”) equal to 1/12 of 0.75% (0.75% per year) of month-end Month-end b. Management Agreement: The General Partner, on behalf of the Partnership, has entered into management agreements (each, a “Management Agreement”) with the Advisors. The Advisors are not affiliated with one another, the General Partner or MS&Co., and are not responsible for the organization or operation of the Partnership. Effective July 1, 2021, Breakout receives a monthly management fee equal to 1% per year of month-end month-end month-end month-end month-end month-end month-end management fee of 1.35% per year of month-end month-end month-end month-end month-end month-end Month-end Transtrend Master pays Transtrend a monthly management fee of 0.85% per year on the aggregate net assets of Transtrend Master as of the first day of each month. The management fee paid by Transtrend Master is allocated to the Partnership based on its proportionate ownership interest of Transtrend Master. In addition, as of December 31, 2021, the Partnership was obligated to pay Greenwave, Pan and Breakout an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Greenwave, Pan and Breakout, respectively, for the Partnership during each calendar quarter. The Partnership is obligated to pay Quantica and Northlander an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Quantica and Northlander, respectively, for the Partnership during each calendar year. The Partnership is obligated to pay JSCL (prior to the JSCL Novation Agreement, John Street) an incentive fee, payable quarterly, equal to 22.5% of the New Trading Profits, as defined in its Management Agreement, earned by JSCL (prior to the JSCL Novation Agreement, John Street) for the Partnership during each calendar quarter. To the extent that the month-end Each Management Agreement may be terminated upon notice by either party. In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, each Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisors and may allocate the assets to additional advisors at any time. c. Customer Agreement: The Partnership has entered into a futures brokerage account agreement with MS&Co. (the “Partnership Customer Agreement”). Under the Partnership Customer Agreement and the foreign exchange brokerage account agreement (described in Note 1, “Organization”), 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, user, give-up 4-week 4-week d. Selling Agreement: 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 at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result thereof by 12). For the period for July 1, 2020 to December 31, 2020, the ongoing selling agent fee for Class A Redeemable Unit holders was paid at a flat annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 1.00% and dividing the result thereof by 12). Prior to July 1, 2020, the ongoing selling agent fee was $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 Unit holders prior to July 1, 2020 was reduced by applicable floor brokerage fees and did not exceed 2.00% of adjusted month-end e. Harbor Selling Agreement: The Partnership has 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. |
Trading Activities
Trading Activities | 12 Months Ended |
Dec. 31, 2021 | |
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. or JPMorgan, as applicable, 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 years ended December 31, 2021 and 2020 was 50,930 and 69,326, respectively. The monthly average number of option contracts traded directly by the Partnership during the years ended December 31, 2021 and 2020 was 6,310 and 2,506, 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 Funds’ 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 December 31, 2021 and 2020, respectively. December 31, 2021 Gross Amounts Recognized Gross Amounts Offset in the Statements of Financial Condition Amounts Presented in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 40,087,611 $ (40,087,611 ) $ - $ - $ - $ - Total assets $ 40,087,611 $ (40,087,611 ) $ - $ - $ - $ - Liabilities Futures $ (41,488,254 ) $ 40,087,611 $ (1,400,643 ) $ - $ 1,400,643 $ - Total liabilities $ (41,488,254 ) $ 40,087,611 $ (1,400,643 ) $ - $ 1,400,643 $ - Net fair value $ - * December 31, 2020 Gross Amounts Recognized Gross Amounts Offset in the Statements of Financial Condition Amounts Presented in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 28,495,595 $ (22,261,995 ) $ 6,233,600 $ - $ - $ 6,233,600 Total assets $ 28,495,595 $ (22,261,995 ) $ 6,233,600 $ - $ - $ 6,233,600 Liabilities Futures $ (22,261,995 ) $ 22,261,995 $ - $ - $ - $ - Total liabilities $ (22,261,995 ) $ 22,261,995 $ - $ - $ - $ - Net fair value $ 6,233,600 * * 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 December 31, 2021 and 2020, respectively. December 31, 2021 Assets Futures Contracts Currencies $ 343,757 Energy 34,992,511 Grains 1,274,260 Indices 1,506,900 Interest Rates U.S. 139,705 Interest Rates Non-U.S. 38,600 Livestock 126,551 Metals 965,861 Softs 699,466 Total unrealized appreciation on open futures contracts 40,087,611 Liabilities Futures Contracts Currencies (430,036) Energy (34,249,528) Grains (1,454,896) Indices (1,478,264) Interest Rates U.S. (100,370) Interest Rates Non-U.S. (806,769) Livestock (62,498) Metals (824,841) Softs (2,081,052) Total unrealized depreciation on open futures contracts (41,488,254) Net unrealized depreciation on open futures contracts $ (1,400,643) * Assets Options Purchased Energy $ 13,241,142 Total options purchased $ 13,241,142 ** Liabilities Options Written Energy $ (6,649,119) Total options written $ (6,649,119) *** * 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, 2020 Assets Futures Contracts Currencies $ 1,044,103 Energy 13,319,139 Grains 6,011,789 Indices 1,759,777 Interest Rates U.S. 103,022 Interest Rates Non-U.S. 583,702 Livestock 129,327 Metals 2,995,699 Softs 2,549,037 Total unrealized appreciation on open futures contracts 28,495,595 Liabilities Futures Contracts Currencies (100,354) Energy (9,752,293) Grains (6,858,706) Indices (452,482) Interest Rates U.S. (144,140) Interest Rates Non-U.S. (197,520) Livestock (231,190) Metals (1,734,127) Softs (2,791,183) Total unrealized depreciation on open futures contracts (22,261,995) Net unrealized appreciation on open futures contracts $ 6,233,600 * Assets Options Purchased Energy $ 2,470,392 Total options purchased $ 2,470,392 ** Liabilities Options Written Energy $ (2,311,171) Total options written $ (2,311,171) *** * This amount is in “Net unrealized appreciation 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. The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the years ended December 31, 2021, 2020 and 2019, respectively. Sector 2021 2020 2019 Currencies $ (4,221,879) $ 1,168,133 $ 386,159 Energy 43,600,068 19,879,889 12,558,599 Grains 6,635,721 (2,042,860) 1,109,990 Indices 6,257,399 (3,809,361) (4,261,020) Interest Rates U.S. (882,416) (554,219) (785,406) Interest Rates Non-U.S. (11,805,817) 13,942,651 5,214,486 Livestock 921,504 (8,107,326) 2,666,962 Metals (1,855,381) 20,483,713 115,119 Softs 430,355 (3,829,171) 1,545,386 Total $ 39,079,554 **** $ 37,131,449 **** $ 18,550,275 **** **** This amount is included in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2021 | |
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 December 31, 2021 Total Level 1 Level 2 Level 3 Assets Futures $ 40,087,611 $ 40,087,611 $ - $ - Options purchased 13,241,142 13,241,142 - - Total assets $ 53,328,753 $ 53,328,753 $ - $ - Liabilities Futures $ 41,488,254 $ 41,488,254 $ - $ - Options written 6,649,119 6,649,119 - - Total liabilities $ 48,137,373 $ 48,137,373 $ - $ - December 31, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 28,495,595 $ 28,495,595 $ - $ - Options purchased 2,470,392 2,470,392 - - Total assets $ 30,965,987 $ 30,965,987 $ - $ - Liabilities Futures $ 22,261,995 $ 22,261,995 $ - $ - Options written 2,311,171 2,311,171 - - Total liabilities $ 24,573,166 $ 24,573,166 $ - $ - The Investment in the Funds measured using the net asset value per share practical expedient is not required to be included in the fair value hierarchy. Please refer to the Condensed Schedules of Investments as of December 31, 2021 and 2020, respectively. |
Investment in the Funds
Investment in the Funds | 12 Months Ended |
Dec. 31, 2021 | |
Schedule of Investments [Abstract] | |
Investment in the Funds | 6. Investment in the Funds: 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. Transtrend generally trades its Enhanced Risk Profile (US Dollar) using 1.5 times the leverage employed by the Standard Risk Profile. 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 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 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. The Partnership fully redeemed its investment in FORT Contrarian Master on October 31, 2021. On November 1, 2004, the assets allocated to Winton for trading were invested in Winton Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership fully redeemed its investment in Winton Master on September 30, 2020. 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 year ended December 31, 2021. 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. At December 31, 2021, the Partnership owned approximately 100.0% of Transtrend Master and 74.0% of NL Master. At December 31, 2020, the Partnership owned approximately 100.0% of Transtrend Master, 100% of FORT Contrarian Master and 81.4% 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 members’ capital of the Funds is shown in the following tables: December 31, 2021 Total Assets Total Liabilities Total Capital Transtrend Master $ 59,771,411 $ 3,191,408 $ 56,580,003 NL Master 50,260,292 8,006,342 42,253,950 December 31, 2020 Total Assets Total Liabilities Total Capital Transtrend Master $ 69,303,466 $ 2,670,947 $ 66,632,519 FORT Contrarian Master 59,456,843 1,491,365 57,965,478 NL Master 14,423,589 85,616 14,337,973 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 year ended December 31, 2021 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Transtrend Master $ (4,313,867 ) $ 21,310,881 $ 16,997,014 FORT Contrarian Master (a) (128,082 ) (625,850 ) (753,932 ) NL Master (264,783 ) 29,103,122 28,838,339 For the year ended December 31, 2020 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Winton Master (b) $ 252,687 $ (40,463,923 ) $ (40,211,236 ) Transtrend Master (1,658,250 ) 6,380,277 4,722,027 FORT Contrarian Master 49,319 (1,394,605 ) (1,345,286 ) NL Master (68,277 ) (377,694 ) (445,971 ) (a) From January 1, 2021 through October 31, 2021, the date FORT Contrarian Master terminated operations. (b) Summarized information presented is for the twelve months ended December 31, 2020. The Partnership was invested in Winton Master from January 1, 2020 to September 30, 2020. Summarized information reflecting the Partnership’s investments in and the Partnership’s pro-rata December 31, 2021 For the twelve months ended December 31, 2021 % of Expenses Net Funds Partners’ Capital Fair Value Income (Loss) Clearing Fees Professional Fees Management Fees Incentive Fee Income (Loss) Investment Objective Redemptions Permitted Transtrend Master 15.64 % $ 56,580,003 $ 21,312,861 $ 452,588 $ 63,918 $ 562,192 $ 3,237,149 $ 16,997,014 Commodity Portfolio Monthly FORT Contrarian Master (a) - % - (614,480 ) 85,195 54,257 - - (753,932 ) Commodity Portfolio Monthly NL Master 8.64 % 31,270,943 20,892,588 156,578 41,760 - - 20,694,250 Commodity Portfolio Monthly Total $ 87,850,946 $ 41,590,969 $ 694,361 $ 159,935 $ 562,192 $ 3,237,149 $ 36,937,332 December 31, 2020 For the twelve months ended December 31, 2020 % 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 (b) - % $ - $ (13,122,466 ) $ 70,218 $ 15,126 $ - $ - $ (13,207,810 ) Commodity Portfolio Monthly Transtrend Master 18.55 % 66,632,519 6,621,032 712,228 66,424 781,842 338,512 4,722,026 Commodity Portfolio Monthly FORT Contrarian Master 16.14 % 57,968,789 (908,166 ) 269,705 62,019 - - (1,239,890 ) Commodity Portfolio Monthly NL Master 3.24 % 11,667,482 (210,623 ) 58,778 50,448 - - (319,849 ) Commodity Portfolio Monthly Total $ 136,268,790 $ (7,620,223 ) $ 1,110,929 $ 194,017 $ 781,842 $ 338,512 $ (10,045,523 ) (a) From January 1, 2021 through October 31, 2021, the date the Partnership fully redeemed its investment in FORT Contrarian Master. (b) From January 1, 2020 through September 30, 2020, the date the Partnership fully redeemed its investment in Winton Master. |
Subscriptions, Distributions an
Subscriptions, Distributions and Redemptions | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Subscriptions, Distributions and Redemptions | 7. Subscriptions, Distributions and Redemptions: Subscriptions are accepted monthly from investors who become limited partners on the first day of the month after their subscriptions are processed. Distributions are made on a pro-rata |
Financial Highlights
Financial Highlights | 12 Months Ended |
Dec. 31, 2021 | |
Investment Company [Abstract] | |
Financial Highlights | 8. Financial Highlights: Financial highlights for the limited partner Classes as a whole for the years ended December 31, 2021, 2020 and 2019 were as follows: 2021 2020 2019 Class A Class Z Class A Class Z Class A Class Z Per Redeemable Unit Performance (for a unit outstanding throughout the year):* Net realized and unrealized gains (losses) $ 677.85 $ 278.52 $ 201.05 $ 81.50 $ 243.15 $ 96.46 Net investment loss (228.50) (84.45) (160.25) (53.35) (122.35) (24.51) Increase (decrease) for the year 449.35 194.07 40.80 28.15 120.80 71.95 Net asset value per Redeemable Unit, beginning of year 2,769.71 1,134.16 2,728.91 1,106.01 2,608.11 1,034.06 Net asset value per Redeemable Unit, end of year $ 3,219.06 $ 1,328.23 $ 2,769.71 $ 1,134.16 $ 2,728.91 $ 1,106.01 2021 2020 2019 Class A Class Z Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital: Net investment loss** (7.5) % (6.7) % (6.0) % (4.9) % (4.5) % (2.3) % Operating expense 3.7 % 3.0 % 4.6 % 3.5 % 5.8 % 3.6 % Incentive fees 3.8 % 3.8 % 1.8 % 1.8 % 0.5 % 0.4 % Total expenses 7.5 % 6.8 % 6.4 % 5.3 % 6.3 % 4.0 % Total return: Total return before incentive fees 20.4 % 21.3 % 3.2 % 4.3 % 5.2 % 7.4 % Incentive fees (4.2) % (4.2) % (1.7) % (1.8) % (0.6) % (0.4) % Total return after incentive fees 16.2 % 17.1 % 1.5 % 2.5 % 4.6 % 7.0 % * 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. ** Interest income less total expenses. The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Funds. |
Financial Instrument Risks
Financial Instrument Risks | 12 Months Ended |
Dec. 31, 2021 | |
Investments, All Other Investments [Abstract] | |
Financial Instrument Risks | 9. 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. Since its discovery in December 2019, a new strain of coronavirus, which causes the viral disease known as COVID-19, The COVID-19 sheltering-in-place Given the continuing development of this situation, it is not possible to accurately predict how the market disruptions caused by COVID-19 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | 10. 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 the close of business on January 31, 2022, Greenwave no longer acts as a commodity trading advisor to the Partnership. Effective on or about February 1, 2022, the Partnership reallocated the assets previously allocated to Greenwave to the other existing commodity trading advisors in the Partnership. Effective February 25,2022, Etsuko Jennings resigned as a director of the General Partner. Selected unaudited quarterly financial data for the years ended December 31, 2021 and 2020 are summarized below: For the period from October 1, 2021 to December 31, 2021 For the period from July 1, 2021 to For the period from April 1, 2021 to June 30, 2021 For the period from January 1, 2021 to March 31, 2021 Total investment income $ 32,444 $ 27,027 $ 7,394 $ 28,780 Total expenses (4,661,030 ) (7,652,807 ) (7,464,447 ) (7,215,659 ) Total trading results 6,458,240 18,588,368 30,492,277 25,111,628 Net income (loss) $ 1,829,654 $ 10,962,588 $ 23,035,224 $ 17,924,749 Increase (decrease) in Net Asset Value per Redeemable Unit of Class A $ 15.95 $ 95.05 $ 193.03 $ 145.32 Increase (decrease) in Net Asset Value per Redeemable Unit of Class Z $ 9.10 $ 41.58 $ 81.62 $ 61.77 For the period from October 1, 2020 to December 31, 2020 For the period from July 1, 2020 to September 30, 2020 For the period from April 1, 2020 to June 30, 2020 For the period from January 1, 2020 to March 31, 2020 Total investment income $ 54,742 $ 62,181 $ 82,454 $ 1,190,440 Total expenses (5,794,653 ) (6,351,487 ) (4,828,321 ) (9,302,712 ) Total trading results 17,452,153 21,342,445 (11,413,240 ) 1,251,725 Net income (loss) $ 11,712,242 $ 15,053,139 $ (16,159,107 ) $ (6,860,547 ) Increase (decrease) in Net Asset Value per Redeemable Unit of Class A $ 87.35 $ 96.38 $ (102.17 ) $ (40.76 ) Increase (decrease) in Net Asset Value per Redeemable Unit of Class Z $ 38.52 $ 42.03 $ (38.60 ) $ (13.80 ) |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
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 |
Partnership's Cash | Partnership’s Cash. foreign currencies of $(325,571) (proceeds of $302,404) and $(3,186,405) (proceeds of $3,163,920) at December 31, 2021 and 2020, respectively. |
Income Taxes | Income Taxes Income Taxes “more-likely-than-not” more-likely-than-not 2018 through 2021 |
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.” |
Trading Activities (Tables)
Trading Activities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 December 31, 2021 and 2020, respectively. December 31, 2021 Gross Amounts Recognized Gross Amounts Offset in the Statements of Financial Condition Amounts Presented in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 40,087,611 $ (40,087,611 ) $ - $ - $ - $ - Total assets $ 40,087,611 $ (40,087,611 ) $ - $ - $ - $ - Liabilities Futures $ (41,488,254 ) $ 40,087,611 $ (1,400,643 ) $ - $ 1,400,643 $ - Total liabilities $ (41,488,254 ) $ 40,087,611 $ (1,400,643 ) $ - $ 1,400,643 $ - Net fair value $ - * December 31, 2020 Gross Amounts Recognized Gross Amounts Offset in the Statements of Financial Condition Amounts Presented in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 28,495,595 $ (22,261,995 ) $ 6,233,600 $ - $ - $ 6,233,600 Total assets $ 28,495,595 $ (22,261,995 ) $ 6,233,600 $ - $ - $ 6,233,600 Liabilities Futures $ (22,261,995 ) $ 22,261,995 $ - $ - $ - $ - Total liabilities $ (22,261,995 ) $ 22,261,995 $ - $ - $ - $ - Net fair value $ 6,233,600 * * 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 December 31, 2021 and 2020, respectively. December 31, 2021 Assets Futures Contracts Currencies $ 343,757 Energy 34,992,511 Grains 1,274,260 Indices 1,506,900 Interest Rates U.S. 139,705 Interest Rates Non-U.S. 38,600 Livestock 126,551 Metals 965,861 Softs 699,466 Total unrealized appreciation on open futures contracts 40,087,611 Liabilities Futures Contracts Currencies (430,036) Energy (34,249,528) Grains (1,454,896) Indices (1,478,264) Interest Rates U.S. (100,370) Interest Rates Non-U.S. (806,769) Livestock (62,498) Metals (824,841) Softs (2,081,052) Total unrealized depreciation on open futures contracts (41,488,254) Net unrealized depreciation on open futures contracts $ (1,400,643) * Assets Options Purchased Energy $ 13,241,142 Total options purchased $ 13,241,142 ** Liabilities Options Written Energy $ (6,649,119) Total options written $ (6,649,119) *** * 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, 2020 Assets Futures Contracts Currencies $ 1,044,103 Energy 13,319,139 Grains 6,011,789 Indices 1,759,777 Interest Rates U.S. 103,022 Interest Rates Non-U.S. 583,702 Livestock 129,327 Metals 2,995,699 Softs 2,549,037 Total unrealized appreciation on open futures contracts 28,495,595 Liabilities Futures Contracts Currencies (100,354) Energy (9,752,293) Grains (6,858,706) Indices (452,482) Interest Rates U.S. (144,140) Interest Rates Non-U.S. (197,520) Livestock (231,190) Metals (1,734,127) Softs (2,791,183) Total unrealized depreciation on open futures contracts (22,261,995) Net unrealized appreciation on open futures contracts $ 6,233,600 * Assets Options Purchased Energy $ 2,470,392 Total options purchased $ 2,470,392 ** Liabilities Options Written Energy $ (2,311,171) Total options written $ (2,311,171) *** * This amount is in “Net unrealized appreciation 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. |
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 years ended December 31, 2021, 2020 and 2019, respectively. Sector 2021 2020 2019 Currencies $ (4,221,879) $ 1,168,133 $ 386,159 Energy 43,600,068 19,879,889 12,558,599 Grains 6,635,721 (2,042,860) 1,109,990 Indices 6,257,399 (3,809,361) (4,261,020) Interest Rates U.S. (882,416) (554,219) (785,406) Interest Rates Non-U.S. (11,805,817) 13,942,651 5,214,486 Livestock 921,504 (8,107,326) 2,666,962 Metals (1,855,381) 20,483,713 115,119 Softs 430,355 (3,829,171) 1,545,386 Total $ 39,079,554 **** $ 37,131,449 **** $ 18,550,275 **** **** This amount is included in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Summary of Assets and Liabilities Measured at Fair Value | December 31, 2021 Total Level 1 Level 2 Level 3 Assets Futures $ 40,087,611 $ 40,087,611 $ - $ - Options purchased 13,241,142 13,241,142 - - Total assets $ 53,328,753 $ 53,328,753 $ - $ - Liabilities Futures $ 41,488,254 $ 41,488,254 $ - $ - Options written 6,649,119 6,649,119 - - Total liabilities $ 48,137,373 $ 48,137,373 $ - $ - December 31, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 28,495,595 $ 28,495,595 $ - $ - Options purchased 2,470,392 2,470,392 - - Total assets $ 30,965,987 $ 30,965,987 $ - $ - Liabilities Futures $ 22,261,995 $ 22,261,995 $ - $ - Options written 2,311,171 2,311,171 - - Total liabilities $ 24,573,166 $ 24,573,166 $ - $ - |
Investment in the Funds (Tables
Investment in the Funds (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Schedule of Investments [Abstract] | |
Assets, Liabilities and Partners' Members' Capital of Funds | Summarized information reflecting the total assets, liabilities and members’ capital of the Funds is shown in the following tables: December 31, 2021 Total Assets Total Liabilities Total Capital Transtrend Master $ 59,771,411 $ 3,191,408 $ 56,580,003 NL Master 50,260,292 8,006,342 42,253,950 December 31, 2020 Total Assets Total Liabilities Total Capital Transtrend Master $ 69,303,466 $ 2,670,947 $ 66,632,519 FORT Contrarian Master 59,456,843 1,491,365 57,965,478 NL Master 14,423,589 85,616 14,337,973 |
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 year ended December 31, 2021 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Transtrend Master $ (4,313,867 ) $ 21,310,881 $ 16,997,014 FORT Contrarian Master (a) (128,082 ) (625,850 ) (753,932 ) NL Master (264,783 ) 29,103,122 28,838,339 For the year ended December 31, 2020 Net Investment Income (Loss) Total Trading Results Net Income (Loss) Winton Master (b) $ 252,687 $ (40,463,923 ) $ (40,211,236 ) Transtrend Master (1,658,250 ) 6,380,277 4,722,027 FORT Contrarian Master 49,319 (1,394,605 ) (1,345,286 ) NL Master (68,277 ) (377,694 ) (445,971 ) (a) From January 1, 2021 through October 31, 2021, the date FORT Contrarian Master terminated operations. (b) Summarized information presented is for the twelve months ended December 31, 2020. The Partnership was invested in Winton Master from January 1, 2020 to September 30, 2020. |
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 December 31, 2021 For the twelve months ended December 31, 2021 % of Expenses Net Funds Partners’ Capital Fair Value Income (Loss) Clearing Fees Professional Fees Management Fees Incentive Fee Income (Loss) Investment Objective Redemptions Permitted Transtrend Master 15.64 % $ 56,580,003 $ 21,312,861 $ 452,588 $ 63,918 $ 562,192 $ 3,237,149 $ 16,997,014 Commodity Portfolio Monthly FORT Contrarian Master (a) - % - (614,480 ) 85,195 54,257 - - (753,932 ) Commodity Portfolio Monthly NL Master 8.64 % 31,270,943 20,892,588 156,578 41,760 - - 20,694,250 Commodity Portfolio Monthly Total $ 87,850,946 $ 41,590,969 $ 694,361 $ 159,935 $ 562,192 $ 3,237,149 $ 36,937,332 December 31, 2020 For the twelve months ended December 31, 2020 % 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 (b) - % $ - $ (13,122,466 ) $ 70,218 $ 15,126 $ - $ - $ (13,207,810 ) Commodity Portfolio Monthly Transtrend Master 18.55 % 66,632,519 6,621,032 712,228 66,424 781,842 338,512 4,722,026 Commodity Portfolio Monthly FORT Contrarian Master 16.14 % 57,968,789 (908,166 ) 269,705 62,019 - - (1,239,890 ) Commodity Portfolio Monthly NL Master 3.24 % 11,667,482 (210,623 ) 58,778 50,448 - - (319,849 ) Commodity Portfolio Monthly Total $ 136,268,790 $ (7,620,223 ) $ 1,110,929 $ 194,017 $ 781,842 $ 338,512 $ (10,045,523 ) |
Financial Highlights (Tables)
Financial Highlights (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investment Company [Abstract] | |
Financial Highlights | Financial highlights for the limited partner Classes as a whole for the years ended December 31, 2021, 2020 and 2019 were as follows: 2021 2020 2019 Class A Class Z Class A Class Z Class A Class Z Per Redeemable Unit Performance (for a unit outstanding throughout the year):* Net realized and unrealized gains (losses) $ 677.85 $ 278.52 $ 201.05 $ 81.50 $ 243.15 $ 96.46 Net investment loss (228.50) (84.45) (160.25) (53.35) (122.35) (24.51) Increase (decrease) for the year 449.35 194.07 40.80 28.15 120.80 71.95 Net asset value per Redeemable Unit, beginning of year 2,769.71 1,134.16 2,728.91 1,106.01 2,608.11 1,034.06 Net asset value per Redeemable Unit, end of year $ 3,219.06 $ 1,328.23 $ 2,769.71 $ 1,134.16 $ 2,728.91 $ 1,106.01 2021 2020 2019 Class A Class Z Class A Class Z Class A Class Z Ratios to Average Limited Partners’ Capital: Net investment loss** (7.5) % (6.7) % (6.0) % (4.9) % (4.5) % (2.3) % Operating expense 3.7 % 3.0 % 4.6 % 3.5 % 5.8 % 3.6 % Incentive fees 3.8 % 3.8 % 1.8 % 1.8 % 0.5 % 0.4 % Total expenses 7.5 % 6.8 % 6.4 % 5.3 % 6.3 % 4.0 % Total return: Total return before incentive fees 20.4 % 21.3 % 3.2 % 4.3 % 5.2 % 7.4 % Incentive fees (4.2) % (4.2) % (1.7) % (1.8) % (0.6) % (0.4) % Total return after incentive fees 16.2 % 17.1 % 1.5 % 2.5 % 4.6 % 7.0 % * 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. ** Interest income less total expenses. |
Subsequent Events (Tables)
Subsequent Events (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Selected Quarterly Financial Information [Abstract] | |
Summary of unaudited quarterly financial data | Selected unaudited quarterly financial data for the years ended December 31, 2021 and 2020 are summarized below: For the period from October 1, 2021 to December 31, 2021 For the period from July 1, 2021 to For the period from April 1, 2021 to June 30, 2021 For the period from January 1, 2021 to March 31, 2021 Total investment income $ 32,444 $ 27,027 $ 7,394 $ 28,780 Total expenses (4,661,030 ) (7,652,807 ) (7,464,447 ) (7,215,659 ) Total trading results 6,458,240 18,588,368 30,492,277 25,111,628 Net income (loss) $ 1,829,654 $ 10,962,588 $ 23,035,224 $ 17,924,749 Increase (decrease) in Net Asset Value per Redeemable Unit of Class A $ 15.95 $ 95.05 $ 193.03 $ 145.32 Increase (decrease) in Net Asset Value per Redeemable Unit of Class Z $ 9.10 $ 41.58 $ 81.62 $ 61.77 For the period from October 1, 2020 to December 31, 2020 For the period from July 1, 2020 to September 30, 2020 For the period from April 1, 2020 to June 30, 2020 For the period from January 1, 2020 to March 31, 2020 Total investment income $ 54,742 $ 62,181 $ 82,454 $ 1,190,440 Total expenses (5,794,653 ) (6,351,487 ) (4,828,321 ) (9,302,712 ) Total trading results 17,452,153 21,342,445 (11,413,240 ) 1,251,725 Net income (loss) $ 11,712,242 $ 15,053,139 $ (16,159,107 ) $ (6,860,547 ) Increase (decrease) in Net Asset Value per Redeemable Unit of Class A $ 87.35 $ 96.38 $ (102.17 ) $ (40.76 ) Increase (decrease) in Net Asset Value per Redeemable Unit of Class Z $ 38.52 $ 42.03 $ (38.60 ) $ (13.80 ) |
Organization - Additional Infor
Organization - Additional Information (Detail) - USD ($) | Oct. 01, 2020 | Dec. 31, 2021 |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum number of Redeemable Units sold by the Partnership | 0 | |
Greenwave Capital Management LLC Member [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 0.75 | |
John Street Capital Lip [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 80 | |
Maximum [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of partnership assets allocated | 10.00% | |
Maximum [Member] | Greenwave Capital Management LLC Member [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 2 | |
Maximum [Member] | John Street Capital Lip [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 2 | |
Minimum [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Net asset value per unit liquidation circumstance | $ 400 | |
Aggregate net assets of partnership liquidation threshold circumstance | $ 1,000,000 | |
Partnership liquidation date circumstance | Dec. 31, 2055 | |
Minimum [Member] | John Street Capital Lip [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 1.5 |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Accounting Policies [Abstract] | ||
Cash denominated in foreign currencies | $ (325,571) | $ (3,186,405) |
Cash denominated in foreign currencies, cost | 302,404 | $ 3,163,920 |
Uncertain tax position | $ 0 | |
Open tax year | 2018 2019 2020 2021 |
Agreements - Additional Informa
Agreements - Additional Information (Detail) | Dec. 31, 2021USD ($) | Oct. 31, 2021 | Jan. 01, 2021 | Jul. 01, 2020$ / Half_Turn_Trade$ / Round_Turn_Trade | Feb. 01, 2020 | Apr. 01, 2019 | Mar. 31, 2019 | Feb. 01, 2019 | Nov. 01, 2018$ / Round_Turn_Trade$ / Half_Turn_Trade | Dec. 31, 2015 | Jun. 30, 2019 | Dec. 31, 2020USD ($) | Jan. 31, 2019 | Dec. 31, 2021USD ($) | Oct. 31, 2021 | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) |
Investment [Line Items] | |||||||||||||||||
Cash held for restricted cash requirements | $ 17,796,571 | $ 23,403,438 | $ 17,796,571 | ||||||||||||||
Net assets | $ 361,858,030 | 359,254,745 | $ 361,858,030 | $ 483,271,251 | $ 606,058,475 | ||||||||||||
Maximum [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage Of Certain Distribution In Exchange Of Partnership Interest | 10.00% | ||||||||||||||||
CMF FORT Contrarian Master Fund LLC [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Incentive fee, quarterly trading profits basis | 20.00% | 20.00% | |||||||||||||||
Net assets | 57,965,478 | ||||||||||||||||
CMF Winton Master L.P. [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 1.50% | ||||||||||||||||
Incentive fee, quarterly trading profits basis | 20.00% | ||||||||||||||||
CMF Willowbridge Master Fund L.P.[Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 1.25% | 1.25% | |||||||||||||||
Incentive fee, quarterly trading profits basis | 20.00% | ||||||||||||||||
CMF TT II, LLC [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 0.85% | ||||||||||||||||
Incentive fee, quarterly trading profits basis | 20.00% | 16.00% | |||||||||||||||
Percentage of allocable share | 100.00% | ||||||||||||||||
U.S. Treasury bill discount rate | 0.15% | 0.15% | |||||||||||||||
Net assets | $ 56,580,003 | 66,632,519 | $ 56,580,003 | ||||||||||||||
MS&Co. [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of allocable share | 100.00% | ||||||||||||||||
Cash held for restricted cash requirements | 17,796,571 | 23,403,438 | $ 17,796,571 | ||||||||||||||
Northlander Commodity Advisors LLP [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Incentive fee, quarterly trading profits basis | 20.00% | ||||||||||||||||
John Street Capital LLP [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 1.35% | 1.50% | |||||||||||||||
Incentive fee, quarterly trading profits basis | 22.50% | 20.00% | |||||||||||||||
John Street Capital LLP [Member] | Maximum [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Net assets | $ 80,000,000 | $ 80,000,000 | |||||||||||||||
Greenwave Capital Management LLC Member [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 0.75% | ||||||||||||||||
Incentive fee, quarterly trading profits basis | 20.00% | ||||||||||||||||
Quantica Capital AG Member [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 0.75% | 0.60% | |||||||||||||||
Quantica Capital AG Member [Member] | Maximum [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Net assets | $ 50 | 50 | |||||||||||||||
Pan Capital management L P Member [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 1.25% | ||||||||||||||||
Incentive fee, quarterly trading profits basis | 20.00% | ||||||||||||||||
FORT LP Member [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Percentage of management fee | 1.15% | ||||||||||||||||
Class A Redeemable Units [Member] | Morgan Stanley Wealth Management [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Brokerage commission payable per round-turn | $ / Round_Turn_Trade | 15 | ||||||||||||||||
Brokerage commission payable per half turn | $ / Half_Turn_Trade | 7.50 | ||||||||||||||||
Class A Redeemable Units [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Net assets | $ 353,170,511 | $ 350,633,583 | $ 353,170,511 | $ 472,470,787 | $ 595,031,425 | ||||||||||||
Ongoing Selling Agent Fee Percentage | 1.00% | 0.75% | |||||||||||||||
Percentage Of Certain Distribution In Exchange Of Partnership Interest | 2.00% | ||||||||||||||||
Class A Redeemable Units [Member] | Harbor Selling Agreement [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Monthly Ongoing Selling Agent Fee | 0.75% | ||||||||||||||||
Ongoing Selling Agent Fee Percentage | 1.00% | ||||||||||||||||
Class A Redeemable Units [Member] | Morgan Stanley Distribution Inc [Member] | Harbor Selling Agreement [Member] | |||||||||||||||||
Investment [Line Items] | |||||||||||||||||
Brokerage commission payable per round-turn | $ / Round_Turn_Trade | 15 | ||||||||||||||||
Brokerage commission payable per half turn | $ / Half_Turn_Trade | 7.50 |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - Contracts | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Futures Contracts [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average number of derivative contracts traded | 50,930 | 69,326 |
Forward Contracts [Member] | Metals [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average number of derivative contracts traded | 6,310 | 2,506 |
Trading Activities - Summary of
Trading Activities - Summary of Gross and Net Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivatives (Detail) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | |||
Gross Amounts Recognized, Assets | $ 40,087,611 | $ 28,495,595 | |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (40,087,611) | (22,261,995) | |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 6,233,600 | |
Financial Instruments, Assets | 0 | 0 | |
Cash Collateral Received/Pledged, Assets | 0 | 0 | |
Net Amount, Assets | 0 | 6,233,600 | |
Gross Amounts Recognized, Liabilities | (41,488,254) | (22,261,995) | |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 40,087,611 | 22,261,995 | |
Amounts Presented in the Statements of Financial Condition, Liabilities | (1,400,643) | 0 | |
Financial Instruments, Liabilities | 0 | 0 | |
Cash Collateral Received/Pledged, Liabilities | 1,400,643 | 0 | |
Net Amount, Liabilities | 0 | 0 | |
Net fair value | [1] | 0 | 6,233,600 |
Futures Contracts [Member] | |||
Derivative [Line Items] | |||
Gross Amounts Recognized, Assets | 40,087,611 | 28,495,595 | |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (40,087,611) | (22,261,995) | |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 6,233,600 | |
Financial Instruments, Assets | 0 | 0 | |
Cash Collateral Received/Pledged, Assets | 0 | 0 | |
Net Amount, Assets | 0 | 6,233,600 | |
Gross Amounts Recognized, Liabilities | (41,488,254) | (22,261,995) | |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 40,087,611 | 22,261,995 | |
Amounts Presented in the Statements of Financial Condition, Liabilities | (1,400,643) | 0 | |
Financial Instruments, Liabilities | 0 | 0 | |
Cash Collateral Received/Pledged, Liabilities | 1,400,643 | 0 | |
Net Amount, Liabilities | $ 0 | $ 0 | |
[1] | 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 contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts Traded (Detail) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 | |||
Derivative [Line Items] | |||||
Total options purchased | [1] | $ 13,241,142 | $ 2,470,392 | ||
Total options written | [2] | (6,649,119) | (2,311,171) | ||
Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 40,087,611 | 28,495,595 | |||
Total unrealized depreciation on open contracts | (41,488,254) | (22,261,995) | |||
Net unrealized depreciation on open futures contracts | (1,400,643) | [3] | 6,233,600 | [4] | |
Currencies [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 343,757 | 1,044,103 | |||
Total unrealized depreciation on open contracts | (430,036) | (100,354) | |||
Energy [Member] | |||||
Derivative [Line Items] | |||||
Total options purchased | 13,241,142 | 2,470,392 | |||
Total options written | (6,649,119) | (2,311,171) | |||
Energy [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 34,992,511 | 13,319,139 | |||
Total unrealized depreciation on open contracts | (34,249,528) | (9,752,293) | |||
Grains [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 1,274,260 | 6,011,789 | |||
Total unrealized depreciation on open contracts | (1,454,896) | (6,858,706) | |||
Indices [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 1,506,900 | 1,759,777 | |||
Total unrealized depreciation on open contracts | (1,478,264) | (452,482) | |||
Interest Rates U.S. [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 139,705 | 103,022 | |||
Total unrealized depreciation on open contracts | (100,370) | (144,140) | |||
Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 38,600 | 583,702 | |||
Total unrealized depreciation on open contracts | (806,769) | (197,520) | |||
Livestock [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 126,551 | 129,327 | |||
Total unrealized depreciation on open contracts | (62,498) | (231,190) | |||
Metals [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 965,861 | 2,995,699 | |||
Total unrealized depreciation on open contracts | (824,841) | (1,734,127) | |||
Softs [Member] | Futures Contracts [Member] | |||||
Derivative [Line Items] | |||||
Total unrealized appreciation on open contracts | 699,466 | 2,549,037 | |||
Total unrealized depreciation on open contracts | $ (2,081,052) | $ (2,791,183) | |||
[1] | This amount is in “Options purchased, at fair value” in the Statements of Financial Condition. | ||||
[2] | This amount is in “Options written, at fair value” in the Statements of Financial Condition. | ||||
[3] | This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition. | ||||
[4] | This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses by Market Sector on Derivative Instruments Traded (Detail) - USD ($) | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Derivative [Line Items] | ||||
Total trading results | [1] | $ 39,079,554 | $ 37,131,449 | $ 18,550,275 |
Currencies [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | (4,221,879) | 1,168,133 | 386,159 | |
Energy [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | 43,600,068 | 19,879,889 | 12,558,599 | |
Grains [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | 6,635,721 | (2,042,860) | 1,109,990 | |
Indices [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | 6,257,399 | (3,809,361) | (4,261,020) | |
Interest Rates U.S. [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | (882,416) | (554,219) | (785,406) | |
Interest Rates Non-U.S. [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | (11,805,817) | 13,942,651 | 5,214,486 | |
Livestock [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | 921,504 | (8,107,326) | 2,666,962 | |
Metals [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | (1,855,381) | 20,483,713 | 115,119 | |
Softs [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | $ 430,355 | $ (3,829,171) | $ 1,545,386 | |
[1] | This amount is included in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - DerivativeInstrument | Dec. 31, 2021 | Dec. 31, 2020 |
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 ($) | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | ||
Total assets | $ 53,328,753 | $ 30,965,987 |
Liabilities | ||
Total liabilities | 48,137,373 | 24,573,166 |
Futures Contracts [Member] | ||
Assets | ||
Total assets | 40,087,611 | 28,495,595 |
Liabilities | ||
Total liabilities | 41,488,254 | 22,261,995 |
Options [Member] | Long [Member] | ||
Assets | ||
Total assets | 13,241,142 | 2,470,392 |
Options [Member] | Short [Member] | ||
Liabilities | ||
Total liabilities | 6,649,119 | 2,311,171 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Assets | ||
Total assets | 53,328,753 | 30,965,987 |
Liabilities | ||
Total liabilities | 48,137,373 | 24,573,166 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Futures Contracts [Member] | ||
Assets | ||
Total assets | 40,087,611 | 28,495,595 |
Liabilities | ||
Total liabilities | 41,488,254 | 22,261,995 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Options [Member] | Long [Member] | ||
Assets | ||
Total assets | 13,241,142 | 2,470,392 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Options [Member] | Short [Member] | ||
Liabilities | ||
Total liabilities | 6,649,119 | 2,311,171 |
Significant Other Observable Inputs (Level 2) [Member] | ||
Assets | ||
Total assets | 0 | 0 |
Liabilities | ||
Total liabilities | 0 | 0 |
Significant Other Observable Inputs (Level 2) [Member] | Futures Contracts [Member] | ||
Assets | ||
Total assets | 0 | 0 |
Liabilities | ||
Total liabilities | 0 | 0 |
Significant Other Observable Inputs (Level 2) [Member] | Options [Member] | Long [Member] | ||
Assets | ||
Total assets | 0 | 0 |
Significant Other Observable Inputs (Level 2) [Member] | Options [Member] | Short [Member] | ||
Liabilities | ||
Total liabilities | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | ||
Assets | ||
Total assets | 0 | 0 |
Liabilities | ||
Total liabilities | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Futures Contracts [Member] | ||
Assets | ||
Total assets | 0 | 0 |
Liabilities | ||
Total liabilities | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Options [Member] | Long [Member] | ||
Assets | ||
Total assets | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Options [Member] | Short [Member] | ||
Liabilities | ||
Total liabilities | $ 0 | $ 0 |
Investment in the Funds - Addit
Investment in the Funds - Additional Information (Detail) | Dec. 31, 2021 | Dec. 31, 2020 |
Investment [Line Items] | ||
Leverage Factor | 1.5 | |
CMF TT II, LLC [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 100.00% | 100.00% |
CMF FORT Contrarian Master Fund LLC [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 100.00% | |
CMF NL Master Fund LLC [Member] | ||
Investment [Line Items] | ||
Percentage owned by partnership | 74.00% | 81.40% |
Investment in the Funds - Asset
Investment in the Funds - Assets, Liabilities and Partners' Members' Capital of Funds (Detail) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Investment Holdings [Line Items] | ||||
Total Assets | $ 378,633,380 | $ 377,429,338 | ||
Total Liabilities | 16,775,350 | 18,174,593 | ||
Total Capital | 361,858,030 | 359,254,745 | $ 483,271,251 | $ 606,058,475 |
CMF TT II, LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 59,771,411 | 69,303,466 | ||
Total Liabilities | 3,191,408 | 2,670,947 | ||
Total Capital | 56,580,003 | 66,632,519 | ||
CMF FORT Contrarian Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 59,456,843 | |||
Total Liabilities | 1,491,365 | |||
Total Capital | 57,965,478 | |||
CMF NL Master Fund LLC [Member] | ||||
Investment Holdings [Line Items] | ||||
Total Assets | 50,260,292 | 14,423,589 | ||
Total Liabilities | 8,006,342 | 85,616 | ||
Total Capital | $ 42,253,950 | $ 14,337,973 |
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 | 12 Months Ended | |||||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |||
Investment Holdings [Line Items] | |||||||||||||
Net Investment Income (Loss) | $ (26,898,298) | $ (24,887,356) | $ (24,358,274) | ||||||||||
Total trading results | $ 6,458,240 | $ 18,588,368 | $ 30,492,277 | $ 25,111,628 | $ 17,452,153 | $ 21,342,445 | $ (11,413,240) | $ 1,251,725 | 80,650,513 | 28,633,083 | 50,049,263 | ||
Net income (loss) | $ 1,829,654 | $ 10,962,588 | $ 23,035,224 | $ 17,924,749 | $ 11,712,242 | $ 15,053,139 | $ (16,159,107) | $ (6,860,547) | 53,752,215 | 3,745,727 | $ 25,690,989 | ||
CMF Winton Master L.P. [Member] | |||||||||||||
Investment Holdings [Line Items] | |||||||||||||
Net Investment Income (Loss) | [1] | 252,687 | |||||||||||
Total trading results | [1] | (40,463,923) | |||||||||||
Net income (loss) | [1] | (40,211,236) | |||||||||||
CMF TT II, LLC [Member] | |||||||||||||
Investment Holdings [Line Items] | |||||||||||||
Net Investment Income (Loss) | (4,313,867) | (1,658,250) | |||||||||||
Total trading results | 21,310,881 | 6,380,277 | |||||||||||
Net income (loss) | 16,997,014 | 4,722,027 | |||||||||||
CMF FORT Contrarian Master Fund LLC [Member] | |||||||||||||
Investment Holdings [Line Items] | |||||||||||||
Net Investment Income (Loss) | (128,082) | [2] | 49,319 | ||||||||||
Total trading results | (625,850) | [2] | (1,394,605) | ||||||||||
Net income (loss) | (753,932) | [2] | (1,345,286) | ||||||||||
CMF NL Master Fund LLC [Member] | |||||||||||||
Investment Holdings [Line Items] | |||||||||||||
Net Investment Income (Loss) | (264,783) | (68,277) | |||||||||||
Total trading results | 29,103,122 | (377,694) | |||||||||||
Net income (loss) | $ 28,838,339 | $ (445,971) | |||||||||||
[1] | Summarized information presented is for the twelve months ended December 31, 2020. The Partnership was invested in Winton Master from January 1, 2020 to September 30, 2020. | ||||||||||||
[2] | From January 1, 2021 through October 31, 2021, the date FORT Contrarian Master terminated operations. |
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 | ||||||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||||
Investment Holdings [Line Items] | ||||||||||||||
% of Partners' Capital | 24.28% | 37.93% | 24.28% | 37.93% | ||||||||||
Fair Value | $ 87,850,946 | $ 136,268,790 | $ 87,850,946 | $ 136,268,790 | ||||||||||
Income (Loss) | 6,458,240 | $ 18,588,368 | $ 30,492,277 | $ 25,111,628 | 17,452,153 | $ 21,342,445 | $ (11,413,240) | $ 1,251,725 | 80,650,513 | 28,633,083 | $ 50,049,263 | |||
Expenses, Clearing Fees | 2,330,487 | 4,142,620 | 5,384,435 | |||||||||||
Expenses, Professional Fees | 1,005,392 | 970,961 | 1,226,099 | |||||||||||
Management fees | 3,099,562 | 4,114,638 | 5,411,434 | |||||||||||
Net income (loss) | $ 1,829,654 | $ 10,962,588 | $ 23,035,224 | $ 17,924,749 | $ 11,712,242 | $ 15,053,139 | $ (16,159,107) | $ (6,860,547) | $ 53,752,215 | $ 3,745,727 | $ 25,690,989 | |||
CMF Winton Master L.P. [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
% of Partners' Capital | [1] | 0.00% | 0.00% | |||||||||||
Fair Value | [1] | $ 0 | $ 0 | |||||||||||
CMF TT II, LLC [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
% of Partners' Capital | 15.64% | 18.55% | 15.64% | 18.55% | ||||||||||
Fair Value | $ 56,580,003 | $ 66,632,519 | $ 56,580,003 | $ 66,632,519 | ||||||||||
CMF FORT Contrarian Master Fund LLC [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
% of Partners' Capital | 0.00% | [2] | 16.14% | 0.00% | [2] | 16.14% | ||||||||
Fair Value | $ 0 | [2] | $ 57,968,789 | $ 0 | [2] | $ 57,968,789 | ||||||||
CMF NL Master Fund LLC [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
% of Partners' Capital | 8.64% | 3.24% | 8.64% | 3.24% | ||||||||||
Fair Value | $ 31,270,943 | $ 11,667,482 | $ 31,270,943 | $ 11,667,482 | ||||||||||
Investment In Funds [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
Income (Loss) | 41,590,969 | (7,620,223) | ||||||||||||
Expenses, Clearing Fees | 694,361 | 1,110,929 | ||||||||||||
Expenses, Professional Fees | 159,935 | 194,017 | ||||||||||||
Management fees | 562,192 | 781,842 | ||||||||||||
Incentive Fee | 3,237,149 | 338,512 | ||||||||||||
Net income (loss) | $ 36,937,332 | (10,045,523) | ||||||||||||
Investment In Funds [Member] | Commodity [Member] | CMF Winton Master L.P. [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
Income (Loss) | [1] | (13,122,466) | ||||||||||||
Expenses, Clearing Fees | [1] | 70,218 | ||||||||||||
Expenses, Professional Fees | [1] | 15,126 | ||||||||||||
Net income (loss) | [1] | $ (13,207,810) | ||||||||||||
Investment Objective | [1] | Commodity Portfolio | ||||||||||||
Redemptions Permitted | [1] | Monthly | ||||||||||||
Investment In Funds [Member] | Commodity [Member] | CMF TT II, LLC [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
Income (Loss) | $ 21,312,861 | $ 6,621,032 | ||||||||||||
Expenses, Clearing Fees | 452,588 | 712,228 | ||||||||||||
Expenses, Professional Fees | 63,918 | 66,424 | ||||||||||||
Management fees | 562,192 | 781,842 | ||||||||||||
Incentive Fee | 3,237,149 | 338,512 | ||||||||||||
Net income (loss) | $ 16,997,014 | $ 4,722,026 | ||||||||||||
Investment Objective | 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) | $ (614,480) | [2] | $ (908,166) | |||||||||||
Expenses, Clearing Fees | 85,195 | [2] | 269,705 | |||||||||||
Expenses, Professional Fees | 54,257 | [2] | 62,019 | |||||||||||
Management fees | [2] | 0 | ||||||||||||
Incentive Fee | [2] | 0 | ||||||||||||
Net income (loss) | $ (753,932) | [2] | $ (1,239,890) | |||||||||||
Investment Objective | [2] | Commodity Portfolio | ||||||||||||
Redemptions Permitted | Monthly | [2] | Monthly | |||||||||||
Investment In Funds [Member] | Commodity [Member] | CMF NL Master Fund LLC [Member] | ||||||||||||||
Investment Holdings [Line Items] | ||||||||||||||
Income (Loss) | $ 20,892,588 | $ (210,623) | ||||||||||||
Expenses, Clearing Fees | 156,578 | 58,778 | ||||||||||||
Expenses, Professional Fees | 41,760 | 50,448 | ||||||||||||
Management fees | 0 | |||||||||||||
Incentive Fee | 0 | |||||||||||||
Net income (loss) | $ 20,694,250 | $ (319,849) | ||||||||||||
Investment Objective | Commodity Portfolio | |||||||||||||
Redemptions Permitted | Monthly | Monthly | ||||||||||||
[1] | From January 1, 2020 through September 30, 2020, the date the Partnership fully redeemed its investment in Winton Master. | |||||||||||||
[2] | From January 1, 2021 through October 31, 2021, the date the Partnership fully redeemed its investment in FORT Contrarian Master. |
Subscriptions, Distributions _2
Subscriptions, Distributions and Redemptions - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2021USD ($) | |
Statement of Partners' Capital [Abstract] | |
Fees charged to Limited Partners | $ 0 |
Financial Highlights - Schedule
Financial Highlights - Schedule of Changes in Net Asset Value (Detail) - $ / shares | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Class A Redeemable Units [Member] | |||
Per Redeemable Unit Performance (for a unit outstanding throughout the year): | |||
Net realized and unrealized gains (losses) | $ 677.85 | $ 201.05 | $ 243.15 |
Net investment loss | (228.50) | (160.25) | (122.35) |
Increase (decrease) for the year | 449.35 | 40.80 | 120.80 |
Net asset value per Redeemable Unit, beginning of year | 2,769.71 | 2,728.91 | 2,608.11 |
Net asset value per Redeemable Unit, end of year | 3,219.06 | 2,769.71 | 2,728.91 |
Class Z Redeemable Units [Member] | |||
Per Redeemable Unit Performance (for a unit outstanding throughout the year): | |||
Net realized and unrealized gains (losses) | 278.52 | 81.50 | 96.46 |
Net investment loss | (84.45) | (53.35) | (24.51) |
Increase (decrease) for the year | 194.07 | 28.15 | 71.95 |
Net asset value per Redeemable Unit, beginning of year | 1,134.16 | 1,106.01 | 1,034.06 |
Net asset value per Redeemable Unit, end of year | $ 1,328.23 | $ 1,134.16 | $ 1,106.01 |
Financial Highlights - Ratios t
Financial Highlights - Ratios to Average Limited Partners' Capital (Detail) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Class A Redeemable Units [Member] | |||
Ratios to Average Limited Partners' Capital: | |||
Net investment loss | (7.50%) | (6.00%) | (4.50%) |
Operating expense | 3.70% | 4.60% | 5.80% |
Incentive fees | 3.80% | 1.80% | 0.50% |
Total expenses | 7.50% | 6.40% | 6.30% |
Total return: | |||
Total return before incentive fees | 20.40% | 3.20% | 5.20% |
Incentive fees | (4.20%) | (1.70%) | (0.60%) |
Total return after incentive fees | 16.20% | 1.50% | 4.60% |
Class Z Redeemable Units [Member] | |||
Ratios to Average Limited Partners' Capital: | |||
Net investment loss | (6.70%) | (4.90%) | (2.30%) |
Operating expense | 3.00% | 3.50% | 3.60% |
Incentive fees | 3.80% | 1.80% | 0.40% |
Total expenses | 6.80% | 5.30% | 4.00% |
Total return: | |||
Total return before incentive fees | 21.30% | 4.30% | 7.40% |
Incentive fees | (4.20%) | (1.80%) | (0.40%) |
Total return after incentive fees | 17.10% | 2.50% | 7.00% |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2021 | |
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 | 1.00% |
Maximum [Member] | Credit Concentration Risk [Member] | Partnership's/Funds' Contracts [Member] | Over the Counter [Member] | |
Concentration Risk [Line Items] | |
Concentration risk percentage | 5.60% |
Subsequent Events - Summary of
Subsequent Events - Summary of Unaudited Quarterly Financial Data (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Total investment income | $ 32,444 | $ 27,027 | $ 7,394 | $ 28,780 | $ 54,742 | $ 62,181 | $ 82,454 | $ 1,190,440 | $ 95,645 | $ 1,389,817 | $ 9,646,112 |
Total expenses | (4,661,030) | (7,652,807) | (7,464,447) | (7,215,659) | (5,794,653) | (6,351,487) | (4,828,321) | (9,302,712) | (26,993,943) | (26,277,173) | (34,004,386) |
Total trading results | 6,458,240 | 18,588,368 | 30,492,277 | 25,111,628 | 17,452,153 | 21,342,445 | (11,413,240) | 1,251,725 | 80,650,513 | 28,633,083 | 50,049,263 |
Net income (loss) | $ 1,829,654 | $ 10,962,588 | $ 23,035,224 | $ 17,924,749 | $ 11,712,242 | $ 15,053,139 | $ (16,159,107) | $ (6,860,547) | 53,752,215 | 3,745,727 | 25,690,989 |
Class A Redeemable Units [Member] | |||||||||||
Net income (loss) | 52,381,697 | 3,519,449 | 24,975,794 | ||||||||
Increase (decrease) in Net Asset Value per Redeemable Unit | $ 15.95 | $ 95.05 | $ 193.03 | $ 145.32 | $ 87.35 | $ 96.38 | $ (102.17) | $ (40.76) | |||
Class Z Redeemable Units [Member] | |||||||||||
Net income (loss) | $ 1,370,518 | $ 226,278 | $ 715,195 | ||||||||
Increase (decrease) in Net Asset Value per Redeemable Unit | $ 9.10 | $ 41.58 | $ 81.62 | $ 61.77 | $ 38.52 | $ 42.03 | $ (38.60) | $ (13.80) |