Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2014 | Apr. 30, 2014 | |
Document Information [Line Items] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 31-Mar-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q1 | ' |
Trading Symbol | 'FFFLP | ' |
Entity Registrant Name | 'FAIRFIELD FUTURES FUND LP II | ' |
Entity Central Index Key | '0001276262 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Non-accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 11,034.25 |
Statements_of_Financial_Condit
Statements of Financial Condition (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Assets: | ' | ' |
Investment in Master, at fair value | $7,927,910 | $9,272,030 |
Cash | 183,427 | 161,963 |
Total assets | 8,111,337 | 9,433,993 |
Accrued expenses: | ' | ' |
Ongoing selling agent fees | 30,418 | 35,377 |
Management fees | 13,308 | 15,540 |
Administrative fees | 3,327 | 3,885 |
Other | 95,835 | 74,372 |
Redemptions payable | 90,872 | 213,837 |
Total liabilities | 233,760 | 343,011 |
Partners' Capital: | ' | ' |
General Partner, 202.6400 unit equivalents outstanding at March 31, 2014 and December 31, 2013 | 139,801 | 159,178 |
Special Limited Partner, 442.4015 units outstanding at March 31, 2014 and December 31, 2013 | 305,211 | 347,515 |
Limited Partners, 10,773.4366 and 10,928.1356 Redeemable Units outstanding at March 31, 2014 and December 31, 2013, respectively | 7,432,565 | 8,584,289 |
Total partners' capital | 7,877,577 | 9,090,982 |
Total liabilities and partners' capital | $8,111,337 | $9,433,993 |
Net asset value per unit | 689.9 | 785.52 |
Statements_of_Financial_Condit1
Statements of Financial Condition (Parenthetical) | Mar. 31, 2014 | Dec. 31, 2013 |
General Partner, unit equivalents outstanding | 202.64 | 202.64 |
Special Limited Partner, Units outstanding | 442.4015 | 442.4015 |
Limited Partners, Units outstanding | 10,773.44 | 10,928.14 |
Statements_of_Income_and_Expen
Statements of Income and Expenses and Changes in Partners' Capital (USD $) | 3 Months Ended | |||
Mar. 31, 2014 | Mar. 31, 2013 | |||
Investment Income: | ' | ' | ||
Interest income allocated from Master | $511 | $1,541 | ||
Expenses: | ' | ' | ||
Expenses allocated from Master | 12,621 | 14,631 | ||
Ongoing selling agent fees | 93,786 | 149,751 | ||
Management fees | 41,082 | 65,781 | ||
Administrative fees | 10,271 | 16,445 | ||
Other | 21,463 | 36,943 | ||
Total expenses | 179,223 | 283,551 | ||
Net investment income (loss) | -178,712 | -282,010 | ||
Trading Results: | ' | ' | ||
Net realized gains (losses) on closed contracts allocated from Master | -491,673 | 1,353,171 | ||
Change in net unrealized gains (losses) on open contracts allocated from Master | -435,717 | 1,075 | ||
Total trading results allocated from Master | -927,390 | 1,354,246 | ||
Net income (loss) | -1,106,102 | 1,072,236 | ||
Redemptions - Limited Partners | -107,303 | -1,074,569 | ||
Net increase (decrease) in Partners' Capital | -1,213,405 | -2,333 | ||
Partners' Capital, beginning of period | 9,090,982 | 12,637,042 | ||
Partners' Capital, end of period | $7,877,577 | $12,634,709 | ||
Net asset value per unit (11,418.4781 and 16,255.1211 units outstanding at March 31, 2014 and 2013, respectively) | 689.9 | 777.28 | ||
Net income (loss) per unit | ($95.62) | [1] | $61.52 | [1] |
Weighted average units outstanding | 11,565.52 | 17,479.12 | ||
[1] | Based on change in net asset value per unit. |
Statements_of_Income_and_Expen1
Statements of Income and Expenses and Changes in Partners' Capital (Parenthetical) | Mar. 31, 2014 | Mar. 31, 2013 |
Net asset value per unit outstanding | 11,418.48 | 16,255.12 |
General
General | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
General | ' | ||||||||||||
1. General: | |||||||||||||
Fairfield Futures Fund L.P. II (the “Partnership”) is a limited partnership organized on December 18, 2003 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 contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The Partnership commenced trading operations on March 15, 2004. The commodity interests that are traded by the Partnership, through its investment in CMF Graham Capital Master Fund L.P. (“the Master”), are volatile and involve a high degree of market risk. | |||||||||||||
Between January 12, 2004 (commencement of the offering period) and March 12, 2004, 28,601 redeemable units of limited partnership interest (“Redeemable Units”) and 285 General Partner unit equivalents were sold at $1,000 per unit. The proceeds of the initial offering were held in an escrow account until March 15, 2004, at which time they were remitted to the Partnership for trading. The Partnership was authorized to sell 200,000 Redeemable Units during its initial offering period. Effective January 31, 2011, the Partnership no longer offers Redeemable Units for sale. | |||||||||||||
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of March 31, 2014, all trading decisions for the Partnership are made by Graham Capital Management, L.P. (the “Advisor”). | |||||||||||||
On June 1, 2006, the Partnership allocated substantially all of its capital to the Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 74,569.3761 units of the Master with cash equal to $75,688,021. The Master was formed in order to permit accounts managed by the Advisor using the K4D-15V Program, the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. In addition, the Advisor is a special limited partner of the Partnership (in its capacity as special limited partner, the “Special Limited Partner”). The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected. | |||||||||||||
During the three months ended March 31, 2014, the Partnership’s/Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”). During the prior periods included in this report, Citigroup Global Markets Inc. (“CGM”) also served as a commodity broker. | |||||||||||||
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2014. | |||||||||||||
During the second quarter of 2013, the Master entered into a foreign exchange brokerage account agreement with MS&Co., a registered futures commission merchant. During the second quarter of 2013, the Master also entered into a futures brokerage account agreement with MS&Co. The Master commenced foreign exchange trading through accounts at MS&Co. on or about May 1, 2013 and the Master commenced futures trading through an account at MS&Co. on or about June 17, 2013. Effective August 2, 2013, the Partnership entered into a futures brokerage account agreement with MS&Co. and began transferring the brokerage account of the Partnership from CGM to MS&Co. The Partnership, through its investment in the Master, will pay MS&Co. trading fees for the clearing and, where applicable, execution of transactions. | |||||||||||||
Effective October 1, 2013, the Partnership ceased paying a brokerage fee to CGM. Also effective October 1, 2013, the Partnership entered into a selling agreement with Morgan Stanley Smith Barney LLC (d/b/a Morgan Stanley Wealth Management). Pursuant to the selling agreement, Morgan Stanley Wealth Management received a selling agent fee equal to 9/24 of 1% (4.5% per year) of the Partnership’s month-end net assets. The selling agent fee received by Morgan Stanley Wealth Management will be shared with the properly registered/licensed financial advisers of Morgan Stanley Wealth Management who sold redeemable units in the Partnership. | |||||||||||||
Effective April 1, 2014, the monthly ongoing selling agent fee was reduced from an annual rate of 4.5% to an annual rate of 2.5%. | |||||||||||||
Also effective April 1, 2014, the management fee paid to the Advisor was reduced from 2.0% per year to 1.75% per year. | |||||||||||||
Certain prior period amounts have been reclassified to conform to current period presentation. Amounts reported on the Statements of Income and Expenses and Changes in Partners’ Capital as ongoing selling agent fees were previously presented as brokerage fees. | |||||||||||||
At March 31, 2014, the Partnership owned approximately 16.0% of the Master. At December 31, 2013, the Partnership owned approximately 15.5% of the Master. It is the Partnership’s intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. During the three months ended March 31, 2014, the Master engaged in such trading through a commodity brokerage account maintained with MS&Co. During prior periods covered in this report, the Master engaged in such trading through commodity brokerage accounts maintained with CGM. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein. | |||||||||||||
The General Partner and each limited partner share in the profits and losses of the Partnership, after the allocation to the Special Limited Partner, in proportion to the amount of Partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions and losses, if any. | |||||||||||||
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at March 31, 2014 and December 31, 2013, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2014 and 2013. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2013. | |||||||||||||
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. | |||||||||||||
Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. | |||||||||||||
The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2014 and December 31, 2013 and Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2014 and 2013 are presented below: | |||||||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Statements of Financial Condition | |||||||||||||
(Unaudited) | December 31, | ||||||||||||
March 31, | 2013 | ||||||||||||
2014 | |||||||||||||
Assets: | |||||||||||||
Equity in trading account: | |||||||||||||
Cash | $ | 39,187,033 | $ | 42,710,411 | |||||||||
Cash margin | 10,601,322 | 14,573,336 | |||||||||||
Net unrealized appreciation on open futures contracts | 132,486 | 2,261,805 | |||||||||||
Net unrealized appreciation on open forward contracts | — | 403,240 | |||||||||||
Total assets | $ | 49,920,841 | $ | 59,948,792 | |||||||||
Liabilities and Partners’ Capital: | |||||||||||||
Liabilities: | |||||||||||||
Net unrealized depreciation on open forward contracts | $ | 196,694 | $ | — | |||||||||
Accrued expenses: | |||||||||||||
Clearing fees due to MS&Co. | 3,329 | 4,171 | |||||||||||
Professional fees | 68,688 | 25,181 | |||||||||||
Redemptions payable | — | 2,967,584 | |||||||||||
Total liabilities | 268,711 | 2,996,936 | |||||||||||
Partners’ Capital: | |||||||||||||
General Partner, 0.0000 unit equivalents at March 31, 2014 and December 31, 2013 | — | — | |||||||||||
Limited Partners, 33,843.7296 and 34,746.3392 Redeemable Units outstanding at March 31, 2014 and December 31, 2013, respectively | 49,652,130 | 56,951,856 | |||||||||||
Total liabilities and partners’ capital | $ | 49,920,841 | $ | 59,948,792 | |||||||||
Net asset value per unit | $ | 1,467.10 | $ | 1,639.08 | |||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Condensed Schedule of Investments | |||||||||||||
31-Mar-14 | |||||||||||||
(Unaudited) | |||||||||||||
Notional ($)/Number | Fair Value | % of Partners’ | |||||||||||
of Contracts | Capital | ||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 14 | $ | 3,079 | 0.01 | % | ||||||||
Energy | 90 | (105,443 | ) | (0.21 | ) | ||||||||
Grains | 130 | 596,440 | 1.2 | ||||||||||
Indices | 393 | 105,961 | 0.21 | ||||||||||
Interest Rates U.S. | 520 | (8,590 | ) | (0.02 | ) | ||||||||
Interest Rates Non-U.S. | 809 | 23,970 | 0.05 | ||||||||||
Metals | 7 | (20,901 | ) | (0.04 | ) | ||||||||
Softs | 67 | 40,006 | 0.08 | ||||||||||
Total futures contracts purchased | 634,522 | 1.28 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 105 | (32,756 | ) | (0.06 | ) | ||||||||
Energy | 10 | 1,697 | 0 | * | |||||||||
Grains | 117 | (395,537 | ) | (0.80 | ) | ||||||||
Indices | 84 | (130,415 | ) | (0.26 | ) | ||||||||
Interest Rates U.S. | 161 | 983 | 0 | * | |||||||||
Interest Rates Non-U.S. | 354 | 35,306 | 0.07 | ||||||||||
Metals | 23 | 15,745 | 0.03 | ||||||||||
Softs | 54 | 2,941 | 0.01 | ||||||||||
Total futures contracts sold | (502,036 | ) | (1.01 | ) | |||||||||
Net unrealized appreciation on open futures contracts | 132,486 | 0.27 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 40,819,509 | 409,447 | 0.82 | |||||||||
Metals | 107 | 462,147 | 0.93 | ||||||||||
Total unrealized appreciation on open forward contracts | 871,594 | 1.75 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 75,924,091 | (617,481 | ) | (1.24 | ) | |||||||
Metals | 137 | (450,807 | ) | (0.91 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (1,068,288 | ) | (2.15 | ) | |||||||||
Net unrealized depreciation on open forward contracts | (196,694 | ) | (0.40 | )% | |||||||||
Net fair value | $ | (64,208 | ) | (0.13 | )% | ||||||||
* | Due to rounding. | ||||||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Condensed Schedule of Investments | |||||||||||||
December 31, 2013 | |||||||||||||
Notional ($)/Number | Fair Value | % of Partners’ | |||||||||||
of Contracts | Capital | ||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 19 | $ | 16,650 | 0.03 | % | ||||||||
Energy | 164 | (162,395 | ) | (0.29 | ) | ||||||||
Grains | 112 | 89,725 | 0.16 | ||||||||||
Indices | 661 | 1,840,293 | 3.23 | ||||||||||
Interest Rates U.S. | 820 | (271,853 | ) | (0.48 | ) | ||||||||
Interest Rates Non-U.S. | 425 | (336,167 | ) | (0.59 | ) | ||||||||
Softs | 59 | (2,369 | ) | 0 | * | ||||||||
Total futures contracts purchased | 1,173,884 | 2.06 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 138 | 13,198 | 0.02 | ||||||||||
Energy | 116 | (77,221 | ) | (0.14 | ) | ||||||||
Grains | 336 | 544,677 | 0.96 | ||||||||||
Indices | 111 | (164,608 | ) | (0.29 | ) | ||||||||
Interest Rates U.S. | 480 | 229,901 | 0.4 | ||||||||||
Interest Rates Non-U.S. | 553 | 151,062 | 0.27 | ||||||||||
Metals | 111 | 362,560 | 0.64 | ||||||||||
Softs | 150 | 28,352 | 0.05 | ||||||||||
Total futures contracts sold | 1,087,921 | 1.91 | |||||||||||
Net unrealized appreciation on open futures contracts | 2,261,805 | 3.97 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 87,016,625 | 995,341 | 1.75 | |||||||||
Metals | 140 | 233,499 | 0.41 | ||||||||||
Total unrealized appreciation on open forward contracts | 1,228,840 | 2.16 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 56,594,437 | (233,394 | ) | (0.41 | ) | |||||||
Metals | 215 | (592,206 | ) | (1.04 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (825,600 | ) | (1.45 | ) | |||||||||
Net unrealized appreciation on open forward contracts | 403,240 | 0.71 | |||||||||||
Net fair value | $ | 2,665,045 | 4.68 | % | |||||||||
* | Due to rounding. | ||||||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Statements of Income and Expenses and Changes in Partners’ Capital | |||||||||||||
(Unaudited) | |||||||||||||
Three Months Ended | |||||||||||||
March 31, | |||||||||||||
2014 | 2013 | ||||||||||||
Investment Income: | |||||||||||||
Interest income | $ | 3,342 | $ | 8,574 | |||||||||
Expenses: | |||||||||||||
Clearing fees | 35,517 | 60,183 | |||||||||||
Professional fees | 43,507 | 21,284 | |||||||||||
Total expenses | 79,024 | 81,467 | |||||||||||
Net investment income (loss) | (75,682 | ) | (72,893 | ) | |||||||||
Trading Results: | |||||||||||||
Net gains (losses) on trading of commodity interests: | |||||||||||||
Net realized gains (losses) on closed contracts | (3,078,037 | ) | 7,400,201 | ||||||||||
Change in net unrealized gains (losses) on open contracts | (2,729,253 | ) | 135,357 | ||||||||||
Total trading results | (5,807,290 | ) | 7,535,558 | ||||||||||
Net income (loss) | (5,882,972 | ) | 7,462,665 | ||||||||||
Subscriptions - Limited Partners | — | 5,079,778 | |||||||||||
Redemptions - Limited Partners | (1,413,412 | ) | (24,763,832 | ) | |||||||||
Distribution of interest income to feeder funds | (3,342 | ) | (8,574 | ) | |||||||||
Net increase (decrease) in Partners’ capital | (7,299,726 | ) | (12,229,963 | ) | |||||||||
Partners’ Capital, beginning of period | 56,951,856 | 84,936,051 | |||||||||||
Partners’ Capital, end of period | $ | 49,652,130 | $ | 72,706,088 | |||||||||
Net asset value per unit (33,843.7296 and 47,651.2209 units outstanding at March 31, 2014 and 2013, respectively) | $ | 1,467.10 | $ | 1,521.80 | |||||||||
Net income (loss) per unit* | $ | (171.89 | ) | $ | 150.18 | ||||||||
Weighted average units outstanding | 34,411.65 | 55,947.15 | |||||||||||
*Based on change in net asset value per unit before distribution of interest income to feeder funds. |
Financial_Highlights
Financial Highlights | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Financial Highlights | ' | ||||||||
2. Financial Highlights: | |||||||||
Changes in the net asset value per unit for the three months ended March 31, 2014 and 2013 were as follows: | |||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Net realized and unrealized gains (losses) * | $ | (88.77 | ) | $ | 68.47 | ||||
Interest income allocated from Master | 0.05 | 0.09 | |||||||
Expenses ** | (6.90 | ) | (7.04 | ) | |||||
Increase (decrease) for the period | (95.62 | ) | 61.52 | ||||||
Net asset value per unit, beginning of period | 785.52 | 715.76 | |||||||
Net asset value per unit, end of period | $ | 689.9 | $ | 777.28 | |||||
* | Includes ongoing selling agent fees and clearing fees allocated from the Master. | ||||||||
** | Excludes ongoing selling agent fees and clearing fees allocated from the Master and includes allocation to Special Limited Partner in the three months ended March 31, 2014 and 2013, if any. | ||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Ratios to average net assets:*** | |||||||||
Net investment income (loss) | (8.6 | )% | (9.0 | )% | |||||
Allocation to Special Limited Partner | — | % | — | % | |||||
Net investment income (loss) before allocation to Special Limited Partner**** | (8.6 | )% | (9.0 | )% | |||||
Operating expenses | 8.7 | % | 9 | % | |||||
Allocation to Special Limited Partner | — | % | — | % | |||||
Total expenses | 8.7 | % | 9 | % | |||||
Total return: | |||||||||
Total return before allocation to Special Limited Partner | (12.2 | )% | 8.6 | % | |||||
Allocation to Special Limited Partner | — | % | — | % | |||||
Total return after allocation to Special Limited Partner | (12.2 | )% | 8.6 | % | |||||
*** | Annualized (except for allocation to Special Limited Partner, if applicable). | ||||||||
**** | Interest income allocated from the Master less total expenses (exclusive of allocation to Special Limited Partner, if applicable). | ||||||||
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets. | |||||||||
Financial Highlights of the Master: | |||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Net realized and unrealized gains (losses) * | $ | (170.69 | ) | $ | 150.44 | ||||
Interest Income | 0.09 | 0.16 | |||||||
Expenses ** | (1.29 | ) | (0.42 | ) | |||||
Increase (decrease) for the period | (171.89 | ) | 150.18 | ||||||
Distribution of interest income to feeder funds | (0.09 | ) | (0.16 | ) | |||||
Net asset value per unit, beginning of period | 1,639.08 | 1,375.78 | |||||||
Net asset value per unit, end of period | $ | 1,467.10 | $ | 1,525.80 | |||||
* | Includes clearing fees. | ||||||||
** | Excludes clearing fees. | ||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Ratios to Average Net Assets:*** | |||||||||
Net investment income (loss) **** | (0.6 | )% | (0.4 | )% | |||||
Operating expense | 0.6 | % | 0.4 | % | |||||
Total return | (10.5 | )% | 10.9 | % | |||||
*** | Annualized. | ||||||||
**** | Interest income less total expenses. | ||||||||
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets. |
Trading_Activities
Trading Activities | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Trading Activities | ' | ||||||||||||
3. 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 Partnership invests substantially all of its assets through a “master/feeder” structure. | |||||||||||||
The Partnership’s pro-rata share of the results of the Master’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital. | |||||||||||||
The customer agreement among the Partnership, MS&Co. and the Master gives, and the customer agreement between CGM and the Partnership and the customer agreement between CGM and the Master each gave, the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition, as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet,” have been met. | |||||||||||||
Brokerage fees previously paid to CGM were calculated as a percentage of the Partnership’s adjusted net asset value as of the last day of each month and were affected by trading performance and redemptions. | |||||||||||||
Trading and transaction fees are based on the number of trades executed by the Advisor for the Partnership. | |||||||||||||
All trading, exchange, clearing, user, give-up, floor brokerage and National Futures Association (“NFA”) fees (collectively, the “clearing fees”) are borne by the Master and allocated to its limited partners, including the Partnership. | |||||||||||||
All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the three months ended March 31, 2014 and 2013 were 3,559 and 6,192, respectively. The monthly average number of metals forward contracts traded during the three months ended March 31, 2014 and 2013 were 439 and 530, respectively. The monthly average notional values of currency forward contracts during the three months ended March 31, 2014 and 2013 were $209,822,400 and $442,681,860, respectively. | |||||||||||||
On January 1, 2013, the Master adopted Accounting Standards Update (“ASU”) 2011-11, “Disclosure about Offsetting Assets and Liabilities” and ASU 2013-01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” ASU 2011-11 created a new disclosure requirement about the nature of an entity’s rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of these disclosures is to facilitate comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (“IFRS”). The new guidance did not have a significant impact on the Master’s financial statements. | |||||||||||||
The following table summarizes the valuation of the Master’s investments as of March 31, 2014 and December 31, 2013, respectively. | |||||||||||||
31-Mar-14 | Gross Amounts | Gross Amounts | Net Amounts | ||||||||||
Recognized | Offset in the | Presented in the | |||||||||||
Statement of | Statement of | ||||||||||||
Financial | Financial | ||||||||||||
Condition | Condition | ||||||||||||
Assets | |||||||||||||
Futures | $ | 1,299,412 | $ | (1,166,926 | ) | $ | 132,486 | ||||||
Forwards | 871,594 | (871,594 | ) | — | |||||||||
Total assets | $ | 2,171,006 | $ | (2,038,520 | ) | $ | 132,486 | ||||||
Liabilities | |||||||||||||
Futures | $ | (1,166,926 | ) | $ | 1,166,926 | $ | — | ||||||
Forwards | (1,068,288 | ) | 871,594 | (196,694 | ) | ||||||||
Total liabilities | $ | (2,235,214 | ) | $ | 2,038,520 | $ | (196,694 | ) | |||||
Net fair value | $ | (64,208 | ) | ||||||||||
31-Dec-13 | Gross Amounts | Gross Amounts | Net Amounts | ||||||||||
Recognized | Offset in the | Presented in the | |||||||||||
Statements of | Statements of | ||||||||||||
Financial | Financial | ||||||||||||
Condition | Condition | ||||||||||||
Assets | |||||||||||||
Futures | $ | 3,528,729 | $ | (1,266,924 | ) | $ | 2,261,805 | ||||||
Forwards | 1,228,840 | (825,600 | ) | 403,240 | |||||||||
Total assets | $ | 4,757,569 | $ | (2,092,524 | ) | $ | 2,665,045 | ||||||
Liabilities | |||||||||||||
Futures | $ | (1,266,924 | ) | $ | 1,266,924 | $ | — | ||||||
Forwards | (825,600 | ) | 825,600 | — | |||||||||
Total liabilities | $ | (2,092,524 | ) | $ | 2,092,524 | $ | — | ||||||
Net fair value | $ | 2,665,045 | |||||||||||
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2014 and December 31, 2013. | |||||||||||||
March 31, 2014 | |||||||||||||
Assets | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | 9,681 | |||||||||||
Energy | 10,908 | ||||||||||||
Grains | 632,245 | ||||||||||||
Indices | 311,021 | ||||||||||||
Interest Rates U.S. | 121,029 | ||||||||||||
Interest Rates Non-U.S. | 155,471 | ||||||||||||
Metals | 16,010 | ||||||||||||
Softs | 43,047 | ||||||||||||
Total unrealized appreciation on open futures contracts | $ | 1,299,412 | |||||||||||
Liabilities | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | (39,358 | ) | ||||||||||
Energy | (114,654 | ) | |||||||||||
Grains | (431,342 | ) | |||||||||||
Indices | (335,475 | ) | |||||||||||
Interest Rates U.S. | (128,636 | ) | |||||||||||
Interest Rates Non-U.S. | (96,195 | ) | |||||||||||
Metals | (21,166 | ) | |||||||||||
Softs | (100 | ) | |||||||||||
Total unrealized depreciation on open futures contracts | $ | (1,166,926 | ) | ||||||||||
Net unrealized appreciation on open futures contracts | $ | 132,486 | * | ||||||||||
Assets | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | 409,447 | |||||||||||
Metals | 462,147 | ||||||||||||
Total unrealized appreciation on open forward contracts | $ | 871,594 | |||||||||||
Liabilities | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | (617,481 | ) | ||||||||||
Metals | (450,807 | ) | |||||||||||
Total unrealized depreciation on open forward contracts | $ | (1,068,288 | ) | ||||||||||
Net unrealized depreciation on open forward contracts | $ | (196,694 | )** | ||||||||||
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
** | This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
December 31, 2013 | |||||||||||||
Assets | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | 41,711 | |||||||||||
Energy | 12,911 | ||||||||||||
Grains | 662,980 | ||||||||||||
Indices | 1,845,247 | ||||||||||||
Interest Rates U.S. | 236,549 | ||||||||||||
Interest Rates Non-U.S. | 279,234 | ||||||||||||
Metals | 363,334 | ||||||||||||
Softs | 86,763 | ||||||||||||
Total unrealized appreciation on open futures contracts | $ | 3,528,729 | |||||||||||
Liabilities | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | (11,863 | ) | ||||||||||
Energy | (252,527 | ) | |||||||||||
Grains | (28,578 | ) | |||||||||||
Indices | (169,562 | ) | |||||||||||
Interest Rates U.S. | (278,501 | ) | |||||||||||
Interest Rates Non-U.S. | (464,339 | ) | |||||||||||
Metals | (774 | ) | |||||||||||
Softs | (60,780 | ) | |||||||||||
Total unrealized depreciation on open futures contracts | $ | (1,266,924 | ) | ||||||||||
Net unrealized appreciation on open futures contracts | $ | 2,261,805 | * | ||||||||||
Assets | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | 995,341 | |||||||||||
Metals | 233,499 | ||||||||||||
Total unrealized appreciation on open forward contracts | $ | 1,228,840 | |||||||||||
Liabilities | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | (233,394 | ) | ||||||||||
Metals | (592,206 | ) | |||||||||||
Total unrealized depreciation on open forward contracts | $ | (825,600 | ) | ||||||||||
Net unrealized appreciation on open forward contracts | $ | 403,240 | ** | ||||||||||
* | This amount is included in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
** | This amount is included in “Net unrealized appreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2014 and 2013. | |||||||||||||
Three Months Ended | Three Months Ended | ||||||||||||
31-Mar-14 | 31-Mar-13 | ||||||||||||
Gain (loss) from Trading | Gain (loss) from Trading | ||||||||||||
Sector | 2014 | 2013 | |||||||||||
Currencies | $ | 537,339 | $ | 972,453 | |||||||||
Energy | (990,590 | ) | (2,032,890 | ) | |||||||||
Grains | (181,008 | ) | (306,939 | ) | |||||||||
Indices | (2,448,216 | ) | 7,478,079 | ||||||||||
Interest Rates U.S. | (862,664 | ) | (108,751 | ) | |||||||||
Interest Rates Non-U.S. | 1,014,547 | 599,577 | |||||||||||
Metals | (1,172,932 | ) | 501,427 | ||||||||||
Softs | (1,703,766 | ) | 432,602 | ||||||||||
Total | $ | (5,807,290 | )*** | $ | 7,535,558 | *** | |||||||
*** | This amount is in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
Fair_Value_Measurement
Fair Value Measurement | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Fair Value Measurement | ' | ||||||||||||||||
4. Fair Value Measurement: | |||||||||||||||||
Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2013. | |||||||||||||||||
Partnership’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. | |||||||||||||||||
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities. | |||||||||||||||||
The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. | |||||||||||||||||
On October 1, 2012, the Financial Accounting Standards Board (“FASB”) issued ASU 2012-04, “Technical Corrections and Improvements,” which makes minor technical corrections and clarifications to ASC 820, “Fair Value Measurements and Disclosures.” When the FASB issued Statement 157 (codified in ASC 820), it conformed the use of the term “fair value” in certain pre-Codification standards but not others. ASU 2012-04 conforms the term’s use throughout the ASC “to fully reflect the fair value measurement and disclosure requirements” of ASC 820. ASU 2012-04 also amends the requirements that must be met for an investment company to qualify for the exemption from presenting a statement of cash flows. Specifically, it eliminates the requirements that substantially all of an entity’s investments be carried at “market value” and that the investments be highly liquid. Instead, it requires substantially all of the entity’s investments to be carried at “fair value” and classified as Level 1 or Level 2 measurements under ASC 820. | |||||||||||||||||
The Partnership values its investment in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended March 31, 2014 and December 31, 2013, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets and liabilities between Level 1 and Level 2. | |||||||||||||||||
31-Mar-14 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable | |||||||||||||||
Identical Assets | (Level 2) | Inputs | |||||||||||||||
and Liabilities | (Level 3) | ||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Investment in Master | $ | 7,927,910 | $ | — | $ | 7,927,910 | $ | — | |||||||||
Net fair value | $ | 7,927,910 | $ | — | $ | 7,927,910 | $ | — | |||||||||
December 31, 2013 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable | |||||||||||||||
Identical Assets | (Level 2) | Inputs (Level 3) | |||||||||||||||
and Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Investment in Master | $ | 9,272,030 | $ | — | $ | 9,272,030 | $ | — | |||||||||
Net fair value | $ | 9,272,030 | $ | — | $ | 9,272,030 | $ | — | |||||||||
Master’s Investments. All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital. | |||||||||||||||||
Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded. | |||||||||||||||||
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Master’s Level 2 assets and liabilities. | |||||||||||||||||
The Master will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. | |||||||||||||||||
The Master considers prices for exchange-traded commodity futures, forwards, options and swaps contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2014 and December 31, 2013, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets or liabilities between Level 1 and Level 2. | |||||||||||||||||
31-Mar-14 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable Inputs | |||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||
and Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 1,299,412 | $ | 1,299,412 | $ | — | $ | — | |||||||||
Forwards | 871,594 | 462,147 | 409,447 | — | |||||||||||||
Total assets | $ | 2,171,006 | $ | 1,761,559 | $ | 409,447 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | 1,166,926 | $ | 1,166,926 | $ | — | $ | — | |||||||||
Forwards | 1,068,288 | 450,807 | 617,481 | — | |||||||||||||
Total liabilities | 2,235,214 | 1,617,733 | 617,481 | — | |||||||||||||
Net Fair value | $ | (64,208 | ) | $ | 143,826 | $ | (208,034 | ) | $ | — | |||||||
December 31, 2013 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable Inputs | |||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||
and Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 3,528,729 | $ | 3,528,729 | $ | — | $ | — | |||||||||
Forwards | 1,228,840 | 233,499 | 995,341 | — | |||||||||||||
Total assets | $ | 4,757,569 | $ | 3,762,228 | $ | 995,341 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | 1,266,924 | $ | 1,266,924 | $ | — | $ | — | |||||||||
Forwards | 825,600 | 592,206 | 233,394 | — | |||||||||||||
Total liabilities | 2,092,524 | 1,859,130 | 233,394 | — | |||||||||||||
Net Fair value | $ | 2,665,045 | $ | 1,903,098 | $ | 761,947 | $ | — | |||||||||
Financial_Instrument_Risks
Financial Instrument Risks | 3 Months Ended |
Mar. 31, 2014 | |
Financial Instrument Risks | ' |
5. Financial Instrument Risks: | |
In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot be accurately predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 28.9% to 44.3% of the Partnership’s/Master’s contracts are traded OTC. | |
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. | |
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Master 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/Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. | |
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Master’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master had credit risk and concentration risk during the reporting period and prior periods included in this report, as CGM and/or MS&Co. or their affiliates were the sole counterparties or brokers with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments was reduced to the extent that through CGM or MS&Co., the Partnership’s/Master’s counterparty was an exchange or clearing organization. The Master/Partnership continue to be subject to such risks with respect to MS&Co. | |
The General Partner monitors and attempts to control the Partnership’s/Master’s 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/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions 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/Master’s business, these instruments may not be held to maturity. |
Critical_Accounting_Policies
Critical Accounting Policies | 3 Months Ended | |
Mar. 31, 2014 | ||
Critical Accounting Policies | ' | |
6 | Critical Accounting Policies | |
Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. | ||
Partnership’s Investments. The Partnership values its investment in the Master at the Master’s net asset value per unit as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2013. | ||
Partnership’s and Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded. | ||
GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Master’s Level 2 assets and liabilities. | ||
The Partnership and the Master will separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. | ||
The Partnership values investments in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended March 31, 2014 and December 31, 2013, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets or liabilities between Level 1 and Level 2. | ||
The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2014 and December 31, 2013, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets or liabilities between Level 1 and Level 2. | ||
Futures Contracts. The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master on each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses. | ||
Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses. | ||
The Master does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses. | ||
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master on each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses. | ||
Investment Company Status. Effective January 1, 2014, the Partnership adopted ASU 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company. ASU 2013-08 is effective for interim and annual reporting periods beginning after December 15, 2013. The adoption of this ASU did not have a material impact on the Partnership’s financial statements. Based on management’s assessment, the Partnership has been deemed to be an investment company since inception. It has all of the fundamental characteristics of an investment company. Although the Partnership does not possess all of the typical characteristics of an investment company, its activities are consistent with those of an investment company. | ||
Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. | ||
GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. | ||
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2010 through 2013 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability. | ||
Net Income (Loss) per unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights.” | ||
Subsequent Events. The General Partner evaluates events that occur after the balance sheet date but before financial statements are issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that, other than as referenced in Note 1 of the Financial Statements, there were no subsequent events requiring adjustment of or disclosure in the financial statements. |
Critical_Accounting_Policies_P
Critical Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2014 | |
Use of Estimates | ' |
Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. | |
Partnership's Investments | ' |
Partnership’s Investments. The Partnership values its investment in the Master at the Master’s net asset value per unit as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2013. | |
Partnership's and Master's Fair Value Measurements | ' |
Partnership’s and Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded. | |
GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Master’s Level 2 assets and liabilities. | |
The Partnership and the Master will separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. | |
The Partnership values investments in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended March 31, 2014 and December 31, 2013, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets or liabilities between Level 1 and Level 2. | |
The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2014 and December 31, 2013, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets or liabilities between Level 1 and Level 2. | |
Futures Contracts | ' |
Futures Contracts. The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master on each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses. | |
Forward Foreign Currency Contracts | ' |
Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses. | |
The Master does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses. | |
London Metals Exchange Forward Contracts | ' |
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master on each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses. | |
Investment Company Status | ' |
Investment Company Status. Effective January 1, 2014, the Partnership adopted ASU 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company. ASU 2013-08 is effective for interim and annual reporting periods beginning after December 15, 2013. The adoption of this ASU did not have a material impact on the Partnership’s financial statements. Based on management’s assessment, the Partnership has been deemed to be an investment company since inception. It has all of the fundamental characteristics of an investment company. Although the Partnership does not possess all of the typical characteristics of an investment company, its activities are consistent with those of an investment company. | |
Income Taxes | ' |
Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. | |
GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. | |
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2010 through 2013 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability. | |
Net Income (Loss) per unit | ' |
Net Income (Loss) per unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights.” | |
Subsequent Events | ' |
Subsequent Events. The General Partner evaluates events that occur after the balance sheet date but before financial statements are issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that, other than as referenced in Note 1 of the Financial Statements, there were no subsequent events requiring adjustment of or disclosure in the financial statements. |
General_Tables
General (Tables) | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Statements of Financial Condition | ' | ||||||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Statements of Financial Condition | |||||||||||||
(Unaudited) | December 31, | ||||||||||||
March 31, | 2013 | ||||||||||||
2014 | |||||||||||||
Assets: | |||||||||||||
Equity in trading account: | |||||||||||||
Cash | $ | 39,187,033 | $ | 42,710,411 | |||||||||
Cash margin | 10,601,322 | 14,573,336 | |||||||||||
Net unrealized appreciation on open futures contracts | 132,486 | 2,261,805 | |||||||||||
Net unrealized appreciation on open forward contracts | — | 403,240 | |||||||||||
Total assets | $ | 49,920,841 | $ | 59,948,792 | |||||||||
Liabilities and Partners’ Capital: | |||||||||||||
Liabilities: | |||||||||||||
Net unrealized depreciation on open forward contracts | $ | 196,694 | $ | — | |||||||||
Accrued expenses: | |||||||||||||
Clearing fees due to MS&Co. | 3,329 | 4,171 | |||||||||||
Professional fees | 68,688 | 25,181 | |||||||||||
Redemptions payable | — | 2,967,584 | |||||||||||
Total liabilities | 268,711 | 2,996,936 | |||||||||||
Partners’ Capital: | |||||||||||||
General Partner, 0.0000 unit equivalents at March 31, 2014 and December 31, 2013 | — | — | |||||||||||
Limited Partners, 33,843.7296 and 34,746.3392 Redeemable Units outstanding at March 31, 2014 and December 31, 2013, respectively | 49,652,130 | 56,951,856 | |||||||||||
Total liabilities and partners’ capital | $ | 49,920,841 | $ | 59,948,792 | |||||||||
Net asset value per unit | $ | 1,467.10 | $ | 1,639.08 | |||||||||
Condensed Schedule of Investments | ' | ||||||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Condensed Schedule of Investments | |||||||||||||
31-Mar-14 | |||||||||||||
(Unaudited) | |||||||||||||
Notional ($)/Number | Fair Value | % of Partners’ | |||||||||||
of Contracts | Capital | ||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 14 | $ | 3,079 | 0.01 | % | ||||||||
Energy | 90 | (105,443 | ) | (0.21 | ) | ||||||||
Grains | 130 | 596,440 | 1.2 | ||||||||||
Indices | 393 | 105,961 | 0.21 | ||||||||||
Interest Rates U.S. | 520 | (8,590 | ) | (0.02 | ) | ||||||||
Interest Rates Non-U.S. | 809 | 23,970 | 0.05 | ||||||||||
Metals | 7 | (20,901 | ) | (0.04 | ) | ||||||||
Softs | 67 | 40,006 | 0.08 | ||||||||||
Total futures contracts purchased | 634,522 | 1.28 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 105 | (32,756 | ) | (0.06 | ) | ||||||||
Energy | 10 | 1,697 | 0 | * | |||||||||
Grains | 117 | (395,537 | ) | (0.80 | ) | ||||||||
Indices | 84 | (130,415 | ) | (0.26 | ) | ||||||||
Interest Rates U.S. | 161 | 983 | 0 | * | |||||||||
Interest Rates Non-U.S. | 354 | 35,306 | 0.07 | ||||||||||
Metals | 23 | 15,745 | 0.03 | ||||||||||
Softs | 54 | 2,941 | 0.01 | ||||||||||
Total futures contracts sold | (502,036 | ) | (1.01 | ) | |||||||||
Net unrealized appreciation on open futures contracts | 132,486 | 0.27 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 40,819,509 | 409,447 | 0.82 | |||||||||
Metals | 107 | 462,147 | 0.93 | ||||||||||
Total unrealized appreciation on open forward contracts | 871,594 | 1.75 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 75,924,091 | (617,481 | ) | (1.24 | ) | |||||||
Metals | 137 | (450,807 | ) | (0.91 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (1,068,288 | ) | (2.15 | ) | |||||||||
Net unrealized depreciation on open forward contracts | (196,694 | ) | (0.40 | )% | |||||||||
Net fair value | $ | (64,208 | ) | (0.13 | )% | ||||||||
* | Due to rounding. | ||||||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Condensed Schedule of Investments | |||||||||||||
December 31, 2013 | |||||||||||||
Notional ($)/Number | Fair Value | % of Partners’ | |||||||||||
of Contracts | Capital | ||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 19 | $ | 16,650 | 0.03 | % | ||||||||
Energy | 164 | (162,395 | ) | (0.29 | ) | ||||||||
Grains | 112 | 89,725 | 0.16 | ||||||||||
Indices | 661 | 1,840,293 | 3.23 | ||||||||||
Interest Rates U.S. | 820 | (271,853 | ) | (0.48 | ) | ||||||||
Interest Rates Non-U.S. | 425 | (336,167 | ) | (0.59 | ) | ||||||||
Softs | 59 | (2,369 | ) | 0 | * | ||||||||
Total futures contracts purchased | 1,173,884 | 2.06 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 138 | 13,198 | 0.02 | ||||||||||
Energy | 116 | (77,221 | ) | (0.14 | ) | ||||||||
Grains | 336 | 544,677 | 0.96 | ||||||||||
Indices | 111 | (164,608 | ) | (0.29 | ) | ||||||||
Interest Rates U.S. | 480 | 229,901 | 0.4 | ||||||||||
Interest Rates Non-U.S. | 553 | 151,062 | 0.27 | ||||||||||
Metals | 111 | 362,560 | 0.64 | ||||||||||
Softs | 150 | 28,352 | 0.05 | ||||||||||
Total futures contracts sold | 1,087,921 | 1.91 | |||||||||||
Net unrealized appreciation on open futures contracts | 2,261,805 | 3.97 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 87,016,625 | 995,341 | 1.75 | |||||||||
Metals | 140 | 233,499 | 0.41 | ||||||||||
Total unrealized appreciation on open forward contracts | 1,228,840 | 2.16 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 56,594,437 | (233,394 | ) | (0.41 | ) | |||||||
Metals | 215 | (592,206 | ) | (1.04 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (825,600 | ) | (1.45 | ) | |||||||||
Net unrealized appreciation on open forward contracts | 403,240 | 0.71 | |||||||||||
Net fair value | $ | 2,665,045 | 4.68 | % | |||||||||
* | Due to rounding. | ||||||||||||
Statements of Income and Expenses and Changes in Partners' Capital | ' | ||||||||||||
CMF Graham Capital Master Fund L.P. | |||||||||||||
Statements of Income and Expenses and Changes in Partners’ Capital | |||||||||||||
(Unaudited) | |||||||||||||
Three Months Ended | |||||||||||||
March 31, | |||||||||||||
2014 | 2013 | ||||||||||||
Investment Income: | |||||||||||||
Interest income | $ | 3,342 | $ | 8,574 | |||||||||
Expenses: | |||||||||||||
Clearing fees | 35,517 | 60,183 | |||||||||||
Professional fees | 43,507 | 21,284 | |||||||||||
Total expenses | 79,024 | 81,467 | |||||||||||
Net investment income (loss) | (75,682 | ) | (72,893 | ) | |||||||||
Trading Results: | |||||||||||||
Net gains (losses) on trading of commodity interests: | |||||||||||||
Net realized gains (losses) on closed contracts | (3,078,037 | ) | 7,400,201 | ||||||||||
Change in net unrealized gains (losses) on open contracts | (2,729,253 | ) | 135,357 | ||||||||||
Total trading results | (5,807,290 | ) | 7,535,558 | ||||||||||
Net income (loss) | (5,882,972 | ) | 7,462,665 | ||||||||||
Subscriptions - Limited Partners | — | 5,079,778 | |||||||||||
Redemptions - Limited Partners | (1,413,412 | ) | (24,763,832 | ) | |||||||||
Distribution of interest income to feeder funds | (3,342 | ) | (8,574 | ) | |||||||||
Net increase (decrease) in Partners’ capital | (7,299,726 | ) | (12,229,963 | ) | |||||||||
Partners’ Capital, beginning of period | 56,951,856 | 84,936,051 | |||||||||||
Partners’ Capital, end of period | $ | 49,652,130 | $ | 72,706,088 | |||||||||
Net asset value per unit (33,843.7296 and 47,651.2209 units outstanding at March 31, 2014 and 2013, respectively) | $ | 1,467.10 | $ | 1,521.80 | |||||||||
Net income (loss) per unit* | $ | (171.89 | ) | $ | 150.18 | ||||||||
Weighted average units outstanding | 34,411.65 | 55,947.15 | |||||||||||
*Based on change in net asset value per unit before distribution of interest income to feeder funds. |
Financial_Highlights_Tables
Financial Highlights (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Changes in Net Asset Value per Unit | ' | ||||||||
Changes in the net asset value per unit for the three months ended March 31, 2014 and 2013 were as follows: | |||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Net realized and unrealized gains (losses) * | $ | (88.77 | ) | $ | 68.47 | ||||
Interest income allocated from Master | 0.05 | 0.09 | |||||||
Expenses ** | (6.90 | ) | (7.04 | ) | |||||
Increase (decrease) for the period | (95.62 | ) | 61.52 | ||||||
Net asset value per unit, beginning of period | 785.52 | 715.76 | |||||||
Net asset value per unit, end of period | $ | 689.9 | $ | 777.28 | |||||
* | Includes ongoing selling agent fees and clearing fees allocated from the Master. | ||||||||
** | Excludes ongoing selling agent fees and clearing fees allocated from the Master and includes allocation to Special Limited Partner in the three months ended March 31, 2014 and 2013, if any. | ||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Ratios to average net assets:*** | |||||||||
Net investment income (loss) | (8.6 | )% | (9.0 | )% | |||||
Allocation to Special Limited Partner | — | % | — | % | |||||
Net investment income (loss) before allocation to Special Limited Partner**** | (8.6 | )% | (9.0 | )% | |||||
Operating expenses | 8.7 | % | 9 | % | |||||
Allocation to Special Limited Partner | — | % | — | % | |||||
Total expenses | 8.7 | % | 9 | % | |||||
Total return: | |||||||||
Total return before allocation to Special Limited Partner | (12.2 | )% | 8.6 | % | |||||
Allocation to Special Limited Partner | — | % | — | % | |||||
Total return after allocation to Special Limited Partner | (12.2 | )% | 8.6 | % | |||||
*** | Annualized (except for allocation to Special Limited Partner, if applicable). | ||||||||
**** | Interest income allocated from the Master less total expenses (exclusive of allocation to Special Limited Partner, if applicable). | ||||||||
Financial Highlights of Masters | ' | ||||||||
Financial Highlights of the Master: | |||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Net realized and unrealized gains (losses) * | $ | (170.69 | ) | $ | 150.44 | ||||
Interest Income | 0.09 | 0.16 | |||||||
Expenses ** | (1.29 | ) | (0.42 | ) | |||||
Increase (decrease) for the period | (171.89 | ) | 150.18 | ||||||
Distribution of interest income to feeder funds | (0.09 | ) | (0.16 | ) | |||||
Net asset value per unit, beginning of period | 1,639.08 | 1,375.78 | |||||||
Net asset value per unit, end of period | $ | 1,467.10 | $ | 1,525.80 | |||||
* | Includes clearing fees. | ||||||||
** | Excludes clearing fees. | ||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2014 | 2013 | ||||||||
Ratios to Average Net Assets:*** | |||||||||
Net investment income (loss) **** | (0.6 | )% | (0.4 | )% | |||||
Operating expense | 0.6 | % | 0.4 | % | |||||
Total return | (10.5 | )% | 10.9 | % | |||||
*** | Annualized. | ||||||||
**** | Interest income less total expenses. |
Trading_Activities_Tables
Trading Activities (Tables) | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Schedule of Brokerage Fees Calculated | ' | ||||||||||||
The following table summarizes the valuation of the Master’s investments as of March 31, 2014 and December 31, 2013, respectively. | |||||||||||||
31-Mar-14 | Gross Amounts | Gross Amounts | Net Amounts | ||||||||||
Recognized | Offset in the | Presented in the | |||||||||||
Statement of | Statement of | ||||||||||||
Financial | Financial | ||||||||||||
Condition | Condition | ||||||||||||
Assets | |||||||||||||
Futures | $ | 1,299,412 | $ | (1,166,926 | ) | $ | 132,486 | ||||||
Forwards | 871,594 | (871,594 | ) | — | |||||||||
Total assets | $ | 2,171,006 | $ | (2,038,520 | ) | $ | 132,486 | ||||||
Liabilities | |||||||||||||
Futures | $ | (1,166,926 | ) | $ | 1,166,926 | $ | — | ||||||
Forwards | (1,068,288 | ) | 871,594 | (196,694 | ) | ||||||||
Total liabilities | $ | (2,235,214 | ) | $ | 2,038,520 | $ | (196,694 | ) | |||||
Net fair value | $ | (64,208 | ) | ||||||||||
31-Dec-13 | Gross Amounts | Gross Amounts | Net Amounts | ||||||||||
Recognized | Offset in the | Presented in the | |||||||||||
Statements of | Statements of | ||||||||||||
Financial | Financial | ||||||||||||
Condition | Condition | ||||||||||||
Assets | |||||||||||||
Futures | $ | 3,528,729 | $ | (1,266,924 | ) | $ | 2,261,805 | ||||||
Forwards | 1,228,840 | (825,600 | ) | 403,240 | |||||||||
Total assets | $ | 4,757,569 | $ | (2,092,524 | ) | $ | 2,665,045 | ||||||
Liabilities | |||||||||||||
Futures | $ | (1,266,924 | ) | $ | 1,266,924 | $ | — | ||||||
Forwards | (825,600 | ) | 825,600 | — | |||||||||
Total liabilities | $ | (2,092,524 | ) | $ | 2,092,524 | $ | — | ||||||
Net fair value | $ | 2,665,045 | |||||||||||
Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities | ' | ||||||||||||
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2014 and December 31, 2013. | |||||||||||||
March 31, 2014 | |||||||||||||
Assets | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | 9,681 | |||||||||||
Energy | 10,908 | ||||||||||||
Grains | 632,245 | ||||||||||||
Indices | 311,021 | ||||||||||||
Interest Rates U.S. | 121,029 | ||||||||||||
Interest Rates Non-U.S. | 155,471 | ||||||||||||
Metals | 16,010 | ||||||||||||
Softs | 43,047 | ||||||||||||
Total unrealized appreciation on open futures contracts | $ | 1,299,412 | |||||||||||
Liabilities | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | (39,358 | ) | ||||||||||
Energy | (114,654 | ) | |||||||||||
Grains | (431,342 | ) | |||||||||||
Indices | (335,475 | ) | |||||||||||
Interest Rates U.S. | (128,636 | ) | |||||||||||
Interest Rates Non-U.S. | (96,195 | ) | |||||||||||
Metals | (21,166 | ) | |||||||||||
Softs | (100 | ) | |||||||||||
Total unrealized depreciation on open futures contracts | $ | (1,166,926 | ) | ||||||||||
Net unrealized appreciation on open futures contracts | $ | 132,486 | * | ||||||||||
Assets | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | 409,447 | |||||||||||
Metals | 462,147 | ||||||||||||
Total unrealized appreciation on open forward contracts | $ | 871,594 | |||||||||||
Liabilities | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | (617,481 | ) | ||||||||||
Metals | (450,807 | ) | |||||||||||
Total unrealized depreciation on open forward contracts | $ | (1,068,288 | ) | ||||||||||
Net unrealized depreciation on open forward contracts | $ | (196,694 | )** | ||||||||||
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
** | This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
December 31, 2013 | |||||||||||||
Assets | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | 41,711 | |||||||||||
Energy | 12,911 | ||||||||||||
Grains | 662,980 | ||||||||||||
Indices | 1,845,247 | ||||||||||||
Interest Rates U.S. | 236,549 | ||||||||||||
Interest Rates Non-U.S. | 279,234 | ||||||||||||
Metals | 363,334 | ||||||||||||
Softs | 86,763 | ||||||||||||
Total unrealized appreciation on open futures contracts | $ | 3,528,729 | |||||||||||
Liabilities | |||||||||||||
Futures Contracts | |||||||||||||
Currencies | $ | (11,863 | ) | ||||||||||
Energy | (252,527 | ) | |||||||||||
Grains | (28,578 | ) | |||||||||||
Indices | (169,562 | ) | |||||||||||
Interest Rates U.S. | (278,501 | ) | |||||||||||
Interest Rates Non-U.S. | (464,339 | ) | |||||||||||
Metals | (774 | ) | |||||||||||
Softs | (60,780 | ) | |||||||||||
Total unrealized depreciation on open futures contracts | $ | (1,266,924 | ) | ||||||||||
Net unrealized appreciation on open futures contracts | $ | 2,261,805 | * | ||||||||||
Assets | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | 995,341 | |||||||||||
Metals | 233,499 | ||||||||||||
Total unrealized appreciation on open forward contracts | $ | 1,228,840 | |||||||||||
Liabilities | |||||||||||||
Forward Contracts | |||||||||||||
Currencies | $ | (233,394 | ) | ||||||||||
Metals | (592,206 | ) | |||||||||||
Total unrealized depreciation on open forward contracts | $ | (825,600 | ) | ||||||||||
Net unrealized appreciation on open forward contracts | $ | 403,240 | ** | ||||||||||
* | This amount is included in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
** | This amount is included in “Net unrealized appreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||
Trading Gains and Losses by Market Sector on Derivative Instruments | ' | ||||||||||||
The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2014 and 2013. | |||||||||||||
Three Months Ended | Three Months Ended | ||||||||||||
31-Mar-14 | 31-Mar-13 | ||||||||||||
Gain (loss) from Trading | Gain (loss) from Trading | ||||||||||||
Sector | 2014 | 2013 | |||||||||||
Currencies | $ | 537,339 | $ | 972,453 | |||||||||
Energy | (990,590 | ) | (2,032,890 | ) | |||||||||
Grains | (181,008 | ) | (306,939 | ) | |||||||||
Indices | (2,448,216 | ) | 7,478,079 | ||||||||||
Interest Rates U.S. | (862,664 | ) | (108,751 | ) | |||||||||
Interest Rates Non-U.S. | 1,014,547 | 599,577 | |||||||||||
Metals | (1,172,932 | ) | 501,427 | ||||||||||
Softs | (1,703,766 | ) | 432,602 | ||||||||||
Total | $ | (5,807,290 | )*** | $ | 7,535,558 | *** | |||||||
*** | This amount is in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
Fair_Value_Measurement_Tables
Fair Value Measurement (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Value of Partnership's Investment in Master | ' | ||||||||||||||||
During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets and liabilities between Level 1 and Level 2. | |||||||||||||||||
31-Mar-14 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable | |||||||||||||||
Identical Assets | (Level 2) | Inputs | |||||||||||||||
and Liabilities | (Level 3) | ||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Investment in Master | $ | 7,927,910 | $ | — | $ | 7,927,910 | $ | — | |||||||||
Net fair value | $ | 7,927,910 | $ | — | $ | 7,927,910 | $ | — | |||||||||
December 31, 2013 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable | |||||||||||||||
Identical Assets | (Level 2) | Inputs (Level 3) | |||||||||||||||
and Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Investment in Master | $ | 9,272,030 | $ | — | $ | 9,272,030 | $ | — | |||||||||
Net fair value | $ | 9,272,030 | $ | — | $ | 9,272,030 | $ | — | |||||||||
Derivative Instruments, Fair Value Based on Hierarchy | ' | ||||||||||||||||
During the three months ended March 31, 2014 and for the year ended December 31, 2013, there were no transfers of assets or liabilities between Level 1 and Level 2. | |||||||||||||||||
31-Mar-14 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable Inputs | |||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||
and Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 1,299,412 | $ | 1,299,412 | $ | — | $ | — | |||||||||
Forwards | 871,594 | 462,147 | 409,447 | — | |||||||||||||
Total assets | $ | 2,171,006 | $ | 1,761,559 | $ | 409,447 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | 1,166,926 | $ | 1,166,926 | $ | — | $ | — | |||||||||
Forwards | 1,068,288 | 450,807 | 617,481 | — | |||||||||||||
Total liabilities | 2,235,214 | 1,617,733 | 617,481 | — | |||||||||||||
Net Fair value | $ | (64,208 | ) | $ | 143,826 | $ | (208,034 | ) | $ | — | |||||||
December 31, 2013 | Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable Inputs | Unobservable Inputs | |||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||
and Liabilities | |||||||||||||||||
(Level 1) | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 3,528,729 | $ | 3,528,729 | $ | — | $ | — | |||||||||
Forwards | 1,228,840 | 233,499 | 995,341 | — | |||||||||||||
Total assets | $ | 4,757,569 | $ | 3,762,228 | $ | 995,341 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | 1,266,924 | $ | 1,266,924 | $ | — | $ | — | |||||||||
Forwards | 825,600 | 592,206 | 233,394 | — | |||||||||||||
Total liabilities | 2,092,524 | 1,859,130 | 233,394 | — | |||||||||||||
Net Fair value | $ | 2,665,045 | $ | 1,903,098 | $ | 761,947 | $ | — | |||||||||
General_Additional_Information
General - Additional Information (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 12 Months Ended | 0 Months Ended | |
Oct. 01, 2013 | Jun. 01, 2006 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 01, 2014 | |
Subsequent Event [Member] | |||||
Related Party Transaction [Line Items] | ' | ' | ' | ' | ' |
Number of units sold during initial offering period | ' | ' | 28,601 | ' | ' |
General Partner unit equivalents sold during initial offering period | ' | ' | 285 | ' | ' |
Partnership interest sold, rate | ' | ' | $1,000 | ' | ' |
Redeemable unit of limited partnership interest authorized to sell | ' | ' | 200,000 | ' | ' |
Units of Partnership purchased | ' | 74,569.38 | ' | ' | ' |
Cash equivalents | ' | $75,688,021 | ' | ' | ' |
Selling agent fee | 4.50% | ' | ' | ' | 2.50% |
Monthly selling agent fee | 0.38% | ' | ' | ' | ' |
Percentage of annual asset management fee | ' | ' | 2.00% | ' | 1.75% |
Percentage of partnership owned | ' | ' | 16.00% | 15.50% | ' |
General_Statements_of_Financia
General - Statements of Financial Condition (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 |
Equity in trading account: | ' | ' | ' |
Cash | $183,427 | $161,963 | ' |
Total assets | 8,111,337 | 9,433,993 | ' |
Accrued expenses: | ' | ' | ' |
Redemptions payable | 90,872 | 213,837 | ' |
Total liabilities | 233,760 | 343,011 | ' |
Partners' Capital: | ' | ' | ' |
General Partner, 0.0000 unit equivalents at March 31, 2014 and December 31, 2013 | 139,801 | 159,178 | ' |
Limited Partners, 33,843.7296 and 34,746.3392 Redeemable Units outstanding at March 31, 2014 and December 31, 2013, respectively | 7,432,565 | 8,584,289 | ' |
Total liabilities and partners' capital | 8,111,337 | 9,433,993 | ' |
Net asset value per unit | 689.9 | 785.52 | 777.28 |
Futures Contracts [Member] | ' | ' | ' |
Equity in trading account: | ' | ' | ' |
Net unrealized appreciation on open contracts | 132,486 | 2,261,805 | ' |
Forward Contracts [Member] | ' | ' | ' |
Equity in trading account: | ' | ' | ' |
Net unrealized appreciation on open contracts | ' | 403,240 | ' |
Liabilities: | ' | ' | ' |
Net unrealized depreciation on open forward contracts | 196,694 | ' | ' |
CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ' |
Equity in trading account: | ' | ' | ' |
Cash | 39,187,033 | 42,710,411 | ' |
Cash margin | 10,601,322 | 14,573,336 | ' |
Total assets | 49,920,841 | 59,948,792 | ' |
Accrued expenses: | ' | ' | ' |
Clearing fees due to MS&Co. | 3,329 | 4,171 | ' |
Professional fees | 68,688 | 25,181 | ' |
Redemptions payable | ' | 2,967,584 | ' |
Total liabilities | 268,711 | 2,996,936 | ' |
Partners' Capital: | ' | ' | ' |
General Partner, 0.0000 unit equivalents at March 31, 2014 and December 31, 2013 | ' | ' | ' |
Limited Partners, 33,843.7296 and 34,746.3392 Redeemable Units outstanding at March 31, 2014 and December 31, 2013, respectively | 49,652,130 | 56,951,856 | ' |
Total liabilities and partners' capital | 49,920,841 | 59,948,792 | ' |
Net asset value per unit | 1,467.10 | 1,639.08 | ' |
CMF Graham Capital Master Fund L.P. [Member] | Futures Contracts [Member] | ' | ' | ' |
Equity in trading account: | ' | ' | ' |
Net unrealized appreciation on open contracts | 132,486 | 2,261,805 | ' |
CMF Graham Capital Master Fund L.P. [Member] | Forward Contracts [Member] | ' | ' | ' |
Equity in trading account: | ' | ' | ' |
Net unrealized appreciation on open contracts | ' | 403,240 | ' |
Liabilities: | ' | ' | ' |
Net unrealized depreciation on open forward contracts | $196,694 | ' | ' |
General_Statements_of_Financia1
General - Statements of Financial Condition (Parenthetical) (Detail) | Mar. 31, 2014 | Dec. 31, 2013 |
Condensed Financial Statements, Captions [Line Items] | ' | ' |
General Partner, unit equivalents outstanding | 202.64 | 202.64 |
Limited Partners, Units outstanding | 10,773.44 | 10,928.14 |
CMF Graham Capital Master Fund L.P. [Member] | ' | ' |
Condensed Financial Statements, Captions [Line Items] | ' | ' |
General Partner, unit equivalents outstanding | 0 | 0 |
Limited Partners, Units outstanding | 33,843.73 | 34,746.34 |
General_Condensed_Schedule_of_
General - Condensed Schedule of Investments (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment in Master, at fair value | $7,927,910 | $9,272,030 | ||
Percentage of Partners' Capital | -0.13% | 4.68% | ||
Net unrealized appreciation on open futures/forward contracts | -64,208 | 2,665,045 | ||
Net unrealized appreciation on open futures contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Percentage of Partners' Capital | 0.27% | 3.97% | ||
Unrealized Appreciation on Open Forward Contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Percentage of Partners' Capital | -0.40% | 0.71% | ||
Futures Contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Net unrealized appreciation on open futures/forward contracts | 132,486 | 2,261,805 | ||
Forward Contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Net unrealized appreciation on open futures/forward contracts | ' | 403,240 | ||
Net unrealized depreciation on futures/forward contracts | -196,694 | ' | ||
Unrealized Depreciation on Open Forward Contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Net unrealized depreciation on futures/forward contracts | -1,068,288 | -825,600 | ||
Percentage of Partners' Capital | -2.15% | -1.45% | ||
Unrealized Depreciation on Open Forward Contracts [Member] | Metals [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 137 | 215 | ||
Net unrealized depreciation on futures/forward contracts | -450,807 | -592,206 | ||
Percentage of Partners' Capital | -0.91% | -1.04% | ||
Unrealized Depreciation on Open Forward Contracts [Member] | Currencies [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Notional | 75,924,091 | 56,594,437 | ||
Net unrealized depreciation on futures/forward contracts | -617,481 | -233,394 | ||
Percentage of Partners' Capital | -1.24% | -0.41% | ||
Unrealized Appreciation on Open Forward Contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Net unrealized appreciation on open futures/forward contracts | 871,594 | 1,228,840 | ||
Percentage of Partners' Capital | 1.75% | 2.16% | ||
Unrealized Appreciation on Open Forward Contracts [Member] | Metals [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 107 | 140 | ||
Net unrealized appreciation on open futures/forward contracts | 462,147 | 233,499 | ||
Percentage of Partners' Capital | 0.93% | 0.41% | ||
Unrealized Appreciation on Open Forward Contracts [Member] | Currencies [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Notional | 40,819,509 | 87,016,625 | ||
Net unrealized appreciation on open futures/forward contracts | 409,447 | 995,341 | ||
Percentage of Partners' Capital | 0.82% | 1.75% | ||
Futures Contracts Purchased [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment in Master, at fair value | 634,522 | 1,173,884 | ||
Percentage of Partners' Capital | 1.28% | 2.06% | ||
Futures Contracts Purchased [Member] | Metals [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 7 | ' | ||
Investment in Master, at fair value | -20,901 | ' | ||
Percentage of Partners' Capital | -0.04% | ' | ||
Futures Contracts Purchased [Member] | Currencies [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 14 | 19 | ||
Investment in Master, at fair value | 3,079 | 16,650 | ||
Percentage of Partners' Capital | 0.01% | 0.03% | ||
Futures Contracts Purchased [Member] | Energy [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 90 | 164 | ||
Investment in Master, at fair value | -105,443 | -162,395 | ||
Percentage of Partners' Capital | -0.21% | -0.29% | ||
Futures Contracts Purchased [Member] | Grains [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 130 | 112 | ||
Investment in Master, at fair value | 596,440 | 89,725 | ||
Percentage of Partners' Capital | 1.20% | 0.16% | ||
Futures Contracts Purchased [Member] | Indices [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 393 | 661 | ||
Investment in Master, at fair value | 105,961 | 1,840,293 | ||
Percentage of Partners' Capital | 0.21% | 3.23% | ||
Futures Contracts Purchased [Member] | Interest Rates U.S. [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 520 | 820 | ||
Investment in Master, at fair value | -8,590 | -271,853 | ||
Percentage of Partners' Capital | -0.02% | -0.48% | ||
Futures Contracts Purchased [Member] | Interest Rates Non-U.S. [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 809 | 425 | ||
Investment in Master, at fair value | 23,970 | -336,167 | ||
Percentage of Partners' Capital | 0.05% | -0.59% | ||
Futures Contracts Purchased [Member] | Softs [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 67 | 59 | ||
Investment in Master, at fair value | 40,006 | -2,369 | ||
Percentage of Partners' Capital | 0.08% | 0.00% | [1] | |
Futures Contracts Sold [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Investment in Master, at fair value | -502,036 | 1,087,921 | ||
Percentage of Partners' Capital | -1.01% | 1.91% | ||
Futures Contracts Sold [Member] | Metals [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 23 | 111 | ||
Investment in Master, at fair value | 15,745 | 362,560 | ||
Percentage of Partners' Capital | 0.03% | 0.64% | ||
Futures Contracts Sold [Member] | Currencies [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 105 | 138 | ||
Investment in Master, at fair value | -32,756 | 13,198 | ||
Percentage of Partners' Capital | -0.06% | 0.02% | ||
Futures Contracts Sold [Member] | Energy [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 10 | 116 | ||
Investment in Master, at fair value | 1,697 | -77,221 | ||
Percentage of Partners' Capital | 0.00% | [1] | -0.14% | |
Futures Contracts Sold [Member] | Grains [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 117 | 336 | ||
Investment in Master, at fair value | -395,537 | 544,677 | ||
Percentage of Partners' Capital | -0.80% | 0.96% | ||
Futures Contracts Sold [Member] | Indices [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 84 | 111 | ||
Investment in Master, at fair value | -130,415 | -164,608 | ||
Percentage of Partners' Capital | -0.26% | -0.29% | ||
Futures Contracts Sold [Member] | Interest Rates U.S. [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 161 | 480 | ||
Investment in Master, at fair value | 983 | 229,901 | ||
Percentage of Partners' Capital | 0.00% | [1] | 0.40% | |
Futures Contracts Sold [Member] | Interest Rates Non-U.S. [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 354 | 553 | ||
Investment in Master, at fair value | 35,306 | 151,062 | ||
Percentage of Partners' Capital | 0.07% | 0.27% | ||
Futures Contracts Sold [Member] | Softs [Member] | CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 54 | 150 | ||
Investment in Master, at fair value | $2,941 | $28,352 | ||
Percentage of Partners' Capital | 0.01% | 0.05% | ||
[1] | Due to rounding. |
General_Statements_of_Income_a
General - Statements of Income and Expenses and Changes in Partners' Capital (Detail) (USD $) | 3 Months Ended | ||||
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | |||
Investment Income: | ' | ' | ' | ||
Interest income | $511 | $1,541 | ' | ||
Expenses: | ' | ' | ' | ||
Total expenses | 179,223 | 283,551 | ' | ||
Net investment income (loss) | -178,712 | -282,010 | ' | ||
Net gains (losses) on trading of commodity interests: | ' | ' | ' | ||
Net realized gains (losses) on closed contracts allocated from Master | -491,673 | 1,353,171 | ' | ||
Change in net unrealized gains (losses) on open contracts allocated from Master | -435,717 | 1,075 | ' | ||
Total trading results | -927,390 | 1,354,246 | ' | ||
Net income (loss) | -1,106,102 | 1,072,236 | ' | ||
Redemptions - Limited Partners | -107,303 | -1,074,569 | ' | ||
Net increase (decrease) in Partners' Capital | -1,213,405 | -2,333 | ' | ||
Partners' Capital, beginning of period | 9,090,982 | 12,637,042 | ' | ||
Partners' Capital, end of period | 7,877,577 | 12,634,709 | ' | ||
Net asset value per unit (33,843.7296 and 47,651.2209 units outstanding at March 31, 2014 and 2013, respectively) | 689.9 | 777.28 | 785.52 | ||
Net income (loss) per unit | ($95.62) | [1] | $61.52 | [1] | ' |
Weighted average units outstanding | 11,565.52 | 17,479.12 | ' | ||
CMF Graham Capital Master Fund L.P. [Member] | ' | ' | ' | ||
Investment Income: | ' | ' | ' | ||
Interest income | 3,342 | 8,574 | ' | ||
Expenses: | ' | ' | ' | ||
Clearing fees | 35,517 | 60,183 | ' | ||
Professional fees | 43,507 | 21,284 | ' | ||
Total expenses | 79,024 | 81,467 | ' | ||
Net investment income (loss) | -75,682 | -72,893 | ' | ||
Net gains (losses) on trading of commodity interests: | ' | ' | ' | ||
Net realized gains (losses) on closed contracts allocated from Master | -3,078,037 | 7,400,201 | ' | ||
Change in net unrealized gains (losses) on open contracts allocated from Master | -2,729,253 | 135,357 | ' | ||
Total trading results | -5,807,290 | 7,535,558 | ' | ||
Net income (loss) | -5,882,972 | 7,462,665 | ' | ||
Subscriptions - Limited Partners | ' | 5,079,778 | ' | ||
Redemptions - Limited Partners | -1,413,412 | -24,763,832 | ' | ||
Distribution of interest income to feeder funds | -3,342 | -8,574 | ' | ||
Net increase (decrease) in Partners' Capital | -7,299,726 | -12,229,963 | ' | ||
Partners' Capital, beginning of period | 56,951,856 | 84,936,051 | ' | ||
Partners' Capital, end of period | $49,652,130 | $72,706,088 | ' | ||
Net asset value per unit (33,843.7296 and 47,651.2209 units outstanding at March 31, 2014 and 2013, respectively) | 1,467.10 | 1,521.80 | ' | ||
Net income (loss) per unit | ($171.89) | $150.18 | ' | ||
Weighted average units outstanding | 34,411.65 | 55,947.15 | ' | ||
[1] | Based on change in net asset value per unit. |
General_Statements_of_Income_a1
General - Statements of Income and Expenses and Changes in Partners' Capital (Parenthetical) (Detail) | Mar. 31, 2014 | Mar. 31, 2013 |
Condensed Financial Statements, Captions [Line Items] | ' | ' |
Net asset value per unit outstanding | 11,418.48 | 16,255.12 |
CMF Graham Capital Master Fund L.P. [Member] | ' | ' |
Condensed Financial Statements, Captions [Line Items] | ' | ' |
Net asset value per unit outstanding | 33,843.73 | 47,651.22 |
Financial_Highlights_Changes_i
Financial Highlights - Changes in Net Asset Value per Unit (Detail) (CMF Graham Capital Master Fund L.P. [Member]) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
CMF Graham Capital Master Fund L.P. [Member] | ' | ' |
Schedule Of Financial Highlights [Line Items] | ' | ' |
Net realized and unrealized gains (losses) | -88.77 | 68.47 |
Interest income allocated from Master | 0.05 | 0.09 |
Expenses | -6.9 | -7.04 |
Increase (decrease) for the period | -95.62 | 61.52 |
Net asset value per unit, beginning of period | 785.52 | 715.76 |
Net asset value per unit, end of period | 689.9 | 777.28 |
Ratios to average net assets: | ' | ' |
Net investment income (loss) | -8.60% | -9.00% |
Allocation to Special Limited Partner | ' | ' |
Net investment income (loss) before allocation to Special Limited Partner | -8.60% | -9.00% |
Operating expenses | 8.70% | 9.00% |
Allocation to Special Limited Partner | ' | ' |
Total expenses | 8.70% | 9.00% |
Total return before allocation to Special Limited Partner | -12.20% | 8.60% |
Allocation to Special Limited Partner | ' | ' |
Total return after allocation to Special Limited Partner | -12.20% | 8.60% |
Financial_Highlights_Financial
Financial Highlights - Financial Highlights of Masters (Detail) (Non-managing [Member], Graham Capital Master Fund L.P. [Member]) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Non-managing [Member] | Graham Capital Master Fund L.P. [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Net realized and unrealized gains (losses) | -170.69 | 150.44 |
Interest Income | 0.09 | 0.16 |
Expenses | -1.29 | -0.42 |
Increase (decrease) for the period | -171.89 | 150.18 |
Distribution of interest income to feeder funds | -0.09 | -0.16 |
Net asset value per unit, beginning of period | 1,639.08 | 1,375.78 |
Net asset value per unit, end of period | 1,467.10 | 1,525.80 |
Ratios to average net assets: | ' | ' |
Net investment income (loss) | -0.60% | -0.40% |
Operating expense | 0.60% | 0.40% |
Total return after allocation to Special Limited Partner | -10.50% | 10.90% |
Trading_Activities_Additional_
Trading Activities - Additional Information (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Derivative [Line Items] | ' | ' |
Average number of futures contracts traded | 3,559 | 6,192 |
Average number of metals forward contracts traded | 439 | 530 |
Average notional values of currency forward contracts | $209,822,400 | $442,681,860 |
Trading_Activities_Schedule_of
Trading Activities - Schedule of Brokerage Fees Calculated (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ' | ' |
Net Amounts Presented in the Statement of Financial Condition, Assets | $2,171,006 | $4,757,569 |
Gross Amounts Recognized, Liabilities | -2,235,214 | -2,092,524 |
Gross Amounts Offset in the Statement of Financial Condition, Liabilities | 2,038,520 | 2,092,524 |
Net Amounts Presented in the Statement of Financial Condition, Liabilities | -196,694 | ' |
Futures Contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net Amounts Presented in the Statement of Financial Condition, Assets | 1,299,412 | 3,528,729 |
Gross Amounts Recognized, Liabilities | -1,166,926 | -1,266,924 |
Gross Amounts Offset in the Statement of Financial Condition, Liabilities | 1,166,926 | 1,266,924 |
Net fair value | 132,486 | 2,261,805 |
Forward Contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Net Amounts Presented in the Statement of Financial Condition, Assets | 871,594 | 1,228,840 |
Gross Amounts Recognized, Liabilities | -1,068,288 | -825,600 |
Gross Amounts Offset in the Statement of Financial Condition, Liabilities | 871,594 | 825,600 |
Net Amounts Presented in the Statement of Financial Condition, Liabilities | -196,694 | ' |
Net fair value | -196,694 | 403,240 |
Partnership [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross Amounts Recognized, Assets | 2,171,006 | 4,757,569 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | -2,038,520 | -2,092,524 |
Net Amounts Presented in the Statement of Financial Condition, Assets | 132,486 | 2,665,045 |
Net fair value | 64,208 | 2,665,045 |
Partnership [Member] | Futures Contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross Amounts Recognized, Assets | 1,299,412 | 3,528,729 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | -1,166,926 | -1,266,924 |
Net Amounts Presented in the Statement of Financial Condition, Assets | 132,486 | 2,261,805 |
Partnership [Member] | Forward Contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gross Amounts Recognized, Assets | 871,594 | 1,228,840 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | -871,594 | -825,600 |
Net Amounts Presented in the Statement of Financial Condition, Assets | ' | $403,240 |
Trading_Activities_Gross_Fair_
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ' | ' |
Derivative assets | $2,171,006 | $4,757,569 |
Derivative liabilities | -2,235,214 | -2,092,524 |
Futures Contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 1,299,412 | 3,528,729 |
Derivative liabilities | -1,166,926 | -1,266,924 |
Net unrealized appreciation/depreciation on open futures/forward contracts | 132,486 | 2,261,805 |
Futures Contracts [Member] | Currencies [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 9,681 | 41,711 |
Derivative liabilities | -39,358 | -11,863 |
Futures Contracts [Member] | Energy [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 10,908 | 12,911 |
Derivative liabilities | -114,654 | -252,527 |
Futures Contracts [Member] | Grains [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 632,245 | 662,980 |
Derivative liabilities | -431,342 | -28,578 |
Futures Contracts [Member] | Indices [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 311,021 | 1,845,247 |
Derivative liabilities | -335,475 | -169,562 |
Futures Contracts [Member] | Interest Rates U.S. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 121,029 | 236,549 |
Derivative liabilities | -128,636 | -278,501 |
Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 155,471 | 279,234 |
Derivative liabilities | -96,195 | -464,339 |
Futures Contracts [Member] | Metals [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 16,010 | 363,334 |
Derivative liabilities | -21,166 | -774 |
Futures Contracts [Member] | Softs [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 43,047 | 86,763 |
Derivative liabilities | -100 | -60,780 |
Forward Contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 871,594 | 1,228,840 |
Derivative liabilities | -1,068,288 | -825,600 |
Net unrealized appreciation/depreciation on open futures/forward contracts | -196,694 | 403,240 |
Forward Contracts [Member] | Currencies [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 409,447 | 995,341 |
Derivative liabilities | -617,481 | -233,394 |
Forward Contracts [Member] | Metals [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative assets | 462,147 | 233,499 |
Derivative liabilities | ($450,807) | ($592,206) |
Trading_Activities_Trading_Gai
Trading Activities - Trading Gains and Losses by Market Sector on Derivative Instruments (Detail) (CMF Graham Capital Master Fund L.P. [Member], USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | ($5,807,290) | $7,535,558 |
Currencies [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | 537,339 | 972,453 |
Energy [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | -990,590 | -2,032,890 |
Grains [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | -181,008 | -306,939 |
Indices [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | -2,448,216 | 7,478,079 |
Interest Rates U.S. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | -862,664 | -108,751 |
Interest Rates Non-U.S. [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | 1,014,547 | 599,577 |
Metals [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | -1,172,932 | 501,427 |
Softs [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Gain (loss) from trading | ($1,703,766) | $432,602 |
Fair_Value_Measurement_Value_o
Fair Value Measurement - Value of Partnership's Investment in Master (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Investment in Master | $7,927,910 | $9,272,030 |
Net fair value | 7,927,910 | 9,272,030 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Investment in Master | ' | ' |
Net fair value | ' | ' |
Significant Other Observable Inputs (Level 2) [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Investment in Master | 7,927,910 | 9,272,030 |
Net fair value | 7,927,910 | 9,272,030 |
Significant Unobservable Inputs (Level 3) [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Investment in Master | ' | ' |
Net fair value | ' | ' |
Fair_Value_Measurement_Derivat
Fair Value Measurement - Derivative Instruments, Fair Value Based on Hierarchy (Detail) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | $2,171,006 | $4,757,569 |
Total liabilities | 2,235,214 | 2,092,524 |
Net Fair value | -64,208 | 2,665,045 |
Futures Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | 1,299,412 | 3,528,729 |
Total liabilities | 1,166,926 | 1,266,924 |
Forward Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | 871,594 | 1,228,840 |
Total liabilities | 1,068,288 | 825,600 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | 1,761,559 | 3,762,228 |
Total liabilities | 1,617,733 | 1,859,130 |
Net Fair value | 143,826 | 1,903,098 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Futures Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | 1,299,412 | 3,528,729 |
Total liabilities | 1,166,926 | 1,266,924 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | Forward Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | 462,147 | 233,499 |
Total liabilities | 450,807 | 592,206 |
Significant Other Observable Inputs (Level 2) [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | 409,447 | 995,341 |
Total liabilities | 617,481 | 233,394 |
Net Fair value | -208,034 | 761,947 |
Significant Other Observable Inputs (Level 2) [Member] | Futures Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | ' | ' |
Total liabilities | ' | ' |
Significant Other Observable Inputs (Level 2) [Member] | Forward Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | 409,447 | 995,341 |
Total liabilities | 617,481 | 233,394 |
Significant Unobservable Inputs (Level 3) [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | ' | ' |
Total liabilities | ' | ' |
Net Fair value | ' | ' |
Significant Unobservable Inputs (Level 3) [Member] | Futures Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | ' | ' |
Total liabilities | ' | ' |
Significant Unobservable Inputs (Level 3) [Member] | Forward Contracts [Member] | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' |
Total assets | ' | ' |
Total liabilities | ' | ' |
Financial_Instrument_Risks_Add
Financial Instrument Risks - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2014 | |
Schedule Of Quarterly Financial Information [Line Items] | ' |
Financial instruments maturity period | '1 year |
Minimum [Member] | ' |
Schedule Of Quarterly Financial Information [Line Items] | ' |
Partnership's/Master's contracts traded OTC | 28.90% |
Maximum [Member] | ' |
Schedule Of Quarterly Financial Information [Line Items] | ' |
Partnership's/Master's contracts traded OTC | 44.30% |
Critical_Accounting_Policies_A
Critical Accounting Policies - Additional Information (Detail) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2014 | Dec. 31, 2013 | |
Subsequent Event [Line Items] | ' | ' |
Transfers of assets or liabilities between Level 1 and Level 2 | $0 | $0 |
Provision for income tax | $0 | ' |