Document_and_Entity_Informatio
Document and Entity Information (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Mar. 01, 2014 | Jun. 30, 2013 | |
Document And Entity Information | ' | ' | ' |
Entity Registrant Name | 'World Monitor Trust III - Series J | ' | ' |
Entity Central Index Key | '0001345991 | ' | ' |
Document Type | '10-K | ' | ' |
Document Period End Date | 31-Dec-13 | ' | ' |
Amendment Flag | 'false | ' | ' |
Document Fiscal Year Focus | '2013 | ' | ' |
Document Fiscal Period Focus | 'FY | ' | ' |
Current Fiscal Year End Date | '--12-31 | ' | ' |
Entity Well-known Seasoned Issuer | 'No | ' | ' |
Entity Voluntary Filers | 'No | ' | ' |
Entity Current Reporting Status | 'Yes | ' | ' |
Entity Filer Category | 'Non-accelerated Filer | ' | ' |
Entity Units, Units Outstanding | ' | 0 | ' |
Entity Value of Interests | ' | ' | $72,956,625 |
Statements_of_Financial_Condit
Statements of Financial Condition (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
ASSETS | ' | ' |
Cash and cash equivalents (see Note 2) | $8,122,265 | $12,503,744 |
Investment in securities, at fair value (cost $36,419,914 and $65,748,258 at December 31, 2013 and December 31, 2012, respectively) | 36,141,750 | 65,965,652 |
Investment in Affiliated Investment Funds, at fair value (cost $11,482,083 and $24,602,466 at December 31, 2013 and December 31, 2012, respectively) (see Note 7) | 12,249,728 | 23,396,923 |
Total assets | 56,513,743 | 101,866,319 |
LIABILITIES | ' | ' |
Accrued expenses payable | 177,954 | 171,152 |
Interest payable to Managing Owner | 0 | 1,350 |
Offering costs payable | 12,419 | 4,868 |
Service fees payable (see Note 5) | 86,619 | 157,628 |
Redemptions payable | 5,716,893 | 4,295,916 |
Total liabilities | 5,993,885 | 4,630,914 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ' | ' |
Unitholders' Units - Class I Units: 489,671.166 and 823,996.897 Units outstanding at December 31, 2013 and 2012, respectively; Class II Units: 43,291.800 and 96,573.216 Units outstanding at December 31, 2013 and 2012, respectively | 50,519,858 | 97,235,405 |
Total unitholders' capital (Net Asset Value) | 50,519,858 | 97,235,405 |
Total liabilities and unitholders' capital | 56,513,743 | 101,866,319 |
Capital Unit Class I | ' | ' |
UNITHOLDERS' CAPITAL (Net Asset Value) | ' | ' |
Unitholders' Units - Class I Units: 489,671.166 and 823,996.897 Units outstanding at December 31, 2013 and 2012, respectively; Class II Units: 43,291.800 and 96,573.216 Units outstanding at December 31, 2013 and 2012, respectively | 45,929,534 | 86,058,399 |
Total unitholders' capital (Net Asset Value) | 45,929,534 | 86,058,399 |
NET ASSET VALUE PER UNIT | ' | ' |
Net asset value per unit | 93.8 | 104.44 |
Capital Unit Class II | ' | ' |
UNITHOLDERS' CAPITAL (Net Asset Value) | ' | ' |
Unitholders' Units - Class I Units: 489,671.166 and 823,996.897 Units outstanding at December 31, 2013 and 2012, respectively; Class II Units: 43,291.800 and 96,573.216 Units outstanding at December 31, 2013 and 2012, respectively | 4,590,324 | 11,177,006 |
Total unitholders' capital (Net Asset Value) | $4,590,324 | $11,177,006 |
NET ASSET VALUE PER UNIT | ' | ' |
Net asset value per unit | 106.03 | 115.74 |
Statements_of_Financial_Condit1
Statements of Financial Condition (Parenthetical) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
Investments in Affiliated Investment Funds, at cost | $11,482,083 | $24,602,466 |
Investments in Securities, at cost | $36,419,914 | $65,748,258 |
Unitholders' capital, outstanding | 532,962.97 | 920,570.11 |
Capital Unit Class I | ' | ' |
Unitholders' capital, outstanding | 489,671.17 | 823,996.90 |
Capital Unit Class II | ' | ' |
Unitholders' capital, outstanding | 43,291.80 | 96,573.22 |
Schedules_of_Investments
Schedules of Investments (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
Investment in securities, at fair value | $36,141,750 | $65,965,652 |
Investment in Affiliated Investment Funds, at fair value | 12,249,728 | 23,396,923 |
JP Morgan Short Duration Bond Mutual Funds | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 23.87% | 22.96% |
Investment in securities, at fair value | 12,059,567 | 22,325,932 |
Fidelity Institutional Short Intermediate Government Mutual Fund | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 23.79% | 22.94% |
Investment in securities, at fair value | 12,016,549 | 22,303,169 |
T Rowe Price Short Term Mutual Fund | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 23.88% | 21.94% |
Investment in securities, at fair value | 12,065,634 | 21,336,551 |
Investments in Securities at Fair Value | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 71.54% | 67.84% |
Investment in securities, at fair value | 36,141,750 | 65,965,652 |
CTA Choice EGLG | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 6.35% | 3.52% |
Investment in securities, at fair value | ' | 3,422,664 |
Investment in Affiliated Investment Funds, at fair value | 3,206,826 | ' |
CTA Choice ELL | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 6.95% | ' |
Investment in Affiliated Investment Funds, at fair value | 3,510,668 | ' |
Other Investments in Affiliated Investment Funds | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 10.95% | 20.54% |
Investment in Affiliated Investment Funds, at fair value | 5,532,234 | 19,974,259 |
Investments in Affiliated Investment Funds | ' | ' |
Fair Value as a percentage of Unitholders' Capital | 24.25% | 24.06% |
Investment in Affiliated Investment Funds, at fair value | $12,249,728 | $23,396,923 |
Schedules_of_Investments_Paren
Schedules of Investments (Parenthetical) | Dec. 31, 2013 | Dec. 31, 2012 |
JP Morgan Short Duration Bond Mutual Funds | ' | ' |
Shares owned | 1,107,398.28 | 2,031,476.94 |
Fidelity Institutional Short Intermediate Government Mutual Fund | ' | ' |
Shares owned | 202,857.73 | 2,208,234.54 |
T Rowe Price Short Term Mutual Fund | ' | ' |
Shares owned | 2,518,921.49 | 4,399,288.92 |
Statements_of_Operations
Statements of Operations (USD $) | 12 Months Ended | |||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
INVESTMENT INCOME | ' | ' | ' | |||
Interest income | $2,596 | $10,187 | $25,245 | |||
Dividend income | 585,439 | 1,206,234 | 1,479,831 | |||
Total investment income | 588,035 | 1,216,421 | 1,505,076 | |||
EXPENSES | ' | ' | ' | |||
Interest expenses | 0 | 1,440 | 97 | |||
Brokerage commissions | 0 | 0 | 400,326 | |||
Management fees to Managing Owner | 377,219 | 611,512 | 761,143 | |||
ClariTy administrative services fees (see Note 4) | 0 | 0 | 380,571 | [1] | ||
Managing Owner interest earned on Certain Investment Funds (see Note 4) | 142,048 | 624,207 | 382,673 | |||
Trading Advisors' management fees | 0 | 0 | 1,298,080 | |||
Trading Advisors' incentive fees | 0 | 0 | 1,095,674 | |||
Service fees - Class I Units (see Note 5) | 1,358,264 | 1,991,521 | 2,583,290 | |||
Sales commission | 765,539 | 1,248,414 | 1,522,284 | |||
Offering costs | 211,785 | 285,112 | 321,419 | |||
Operating expenses | 551,285 | 608,703 | 843,252 | |||
Total expenses | 3,406,140 | 5,370,909 | 9,588,809 | |||
Net investment loss | -2,818,105 | [2] | -4,154,488 | [2] | -8,083,733 | [2] |
REALIZED AND UNREALIZED GAIN OR (LOSS) ON INVESTMENTS | ' | ' | ' | |||
Net realized (loss) gain | -63,290 | 172,364 | 5,798,598 | |||
Net change in unrealized depreciation and appreciation | -495,558 | 217,394 | -3,212,537 | |||
Net (loss) gain from trading | -558,848 | 389,758 | 2,586,061 | |||
Net realized loss on investment in Affiliated Investment Funds | -7,513,245 | -8,820,704 | -7,223,728 | |||
Net change in unrealized appreciation and depreciation on investment in Affiliated Investment Funds | 1,973,188 | -1,011,794 | -193,749 | |||
Net loss from investment in Affiliated Investment Funds | -5,540,057 | -9,832,498 | -7,417,477 | |||
NET LOSS | -8,917,010 | -13,597,228 | -12,915,149 | |||
Capital Unit Class I | ' | ' | ' | |||
REALIZED AND UNREALIZED GAIN OR (LOSS) ON INVESTMENTS | ' | ' | ' | |||
NET LOSS | -8,127,221 | -12,261,676 | -11,658,503 | |||
NET LOSS PER WEIGHTED AVERAGE UNITHOLDER | ' | ' | ' | |||
Net loss income per weighted average unitholder | ($11.94) | ($12.75) | ($10.97) | |||
Weighted average number of units outstanding | 680,773.23 | 961,938.54 | 1,063,082 | |||
Capital Unit Class II | ' | ' | ' | |||
REALIZED AND UNREALIZED GAIN OR (LOSS) ON INVESTMENTS | ' | ' | ' | |||
NET LOSS | ($789,789) | ($1,335,552) | ($1,250,610) | |||
NET LOSS PER WEIGHTED AVERAGE UNITHOLDER | ' | ' | ' | |||
Net loss income per weighted average unitholder | ($11.26) | ($11.43) | ($9.06) | |||
Weighted average number of units outstanding | 70,165.17 | 116,851.20 | 138,668 | |||
[1] | ClariTy administrative services fees, which were paid directly to the Managing Owner during 2011, are now paid indirectly through its investment in Affiliated Investment Funds, starting January 1, 2012, and totaled $191,420 and $312,245 for the years ended December 31, 2013 and 2012, respectively. | |||||
[2] | Brokerage commissions, ClariTy administrative services fees, Trading Advisors' management and incentive fees, and administrator fees which were paid directly and were a part of operating expenses prior to December 31, 2011, are now paid indirectly and are included in net loss from investment in Affiliated Investment Funds since January 1, 2012. |
Statements_of_Changes_in_Unith
Statements of Changes in Unitholders' Capital (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
Unitholders' capital, beginning balance | $97,235,405 | $144,543,390 | $149,689,033 |
Unitholders' capital, beginning balance, Units | 920,570.11 | 1,219,742.32 | 1,161,140.41 |
Additions | 1,933,679 | 2,178,200 | 26,956,258 |
Additions, Units | 19,139.92 | 18,500.88 | 214,430.13 |
Redemptions | -39,732,216 | -35,888,957 | -19,186,752 |
Redemptions, Units | -406,747.06 | -317,228.54 | -155,828.22 |
Transfers | ' | 0 | ' |
Transfers, Units | ' | -444.541 | ' |
Net loss | -8,917,010 | -13,597,228 | -12,915,149 |
Unitholders' capital, ending balance | 50,519,858 | 97,235,405 | 144,543,390 |
Unitholders' capital, ending balance, Units | 532,962.97 | 920,570.11 | 1,219,742.32 |
Capital Unit Class I | ' | ' | ' |
Unitholders' capital, beginning balance | 86,058,399 | 126,022,812 | 132,255,516 |
Unitholders' capital, beginning balance, Units | 823,996.90 | 1,074,594.79 | 1,033,469.12 |
Additions | 1,769,679 | 1,864,200 | 22,353,952 |
Additions, Units | 17,682.56 | 15,976.62 | 180,166.78 |
Redemptions | -33,771,323 | -29,026,932 | -16,928,153 |
Redemptions, Units | -352,008.29 | -261,741.66 | -139,041.12 |
Transfers | ' | -540,005 | ' |
Transfers, Units | ' | -4,832.85 | ' |
Net loss | -8,127,221 | -12,261,676 | -11,658,503 |
Unitholders' capital, ending balance | 45,929,534 | 86,058,399 | 126,022,812 |
Unitholders' capital, ending balance, Units | 489,671.17 | 823,996.90 | 1,074,594.79 |
Capital Unit Class II | ' | ' | ' |
Unitholders' capital, beginning balance | 11,177,006 | 18,520,578 | 17,110,868 |
Unitholders' capital, beginning balance, Units | 96,573.22 | 145,147.53 | 125,308.43 |
Additions | 164,000 | 314,000 | 4,602,306 |
Additions, Units | 1,457.36 | 2,524.26 | 34,263.34 |
Redemptions | -5,960,893 | -6,862,025 | -1,941,986 |
Redemptions, Units | -54,738.77 | -55,486.89 | -14,424.24 |
Transfers | ' | 540,005 | ' |
Transfers, Units | ' | 4,388.31 | ' |
Net loss | -789,789 | -1,335,552 | -1,250,610 |
Unitholders' capital, ending balance | 4,590,324 | 11,177,006 | 18,520,578 |
Unitholders' capital, ending balance, Units | 43,291.80 | 96,573.22 | 145,147.53 |
Managing Owner Interests - Capital Unit Class II | ' | ' | ' |
Unitholders' capital, beginning balance | ' | ' | 322,649 |
Unitholders' capital, beginning balance, Units | ' | ' | 2,362.86 |
Redemptions | ' | ' | -316,613 |
Redemptions, Units | ' | ' | -2,362.86 |
Net loss | ' | ' | -6,036 |
Unitholders' capital, ending balance | ' | ' | $0 |
Unitholders' capital, ending balance, Units | ' | ' | 0 |
ORGANIZATION
ORGANIZATION | 12 Months Ended | ||||||||
Dec. 31, 2013 | |||||||||
Organization | ' | ||||||||
ORGANIZATION | ' | ||||||||
Note 1. ORGANIZATION | |||||||||
A. | General Description of the Trust | ||||||||
World Monitor Trust III (the “Trust”) is a business trust organized under the laws of Delaware on September 28, 2004. The Trust consisted of four separate and distinct series (“Series”): Series G, H, I and J. Series G, H, I and J commenced trading operations on December 1, 2005. As of December 31, 2007, Series G, H and I were no longer offered and had been dissolved. Series J will continue to exist unless terminated pursuant to the provisions of Article XIII of the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). The assets of each Series have been segregated from those of the other Series, separately valued and independently managed, and separate financial statements have been prepared for each Series. Each Series was formed to engage in the speculative trading of a diversified portfolio of futures, forward and options contracts and may, from time to time, engage in cash and spot transactions. The fiscal year end of Series J is December 31. | |||||||||
Effective July 1, 2012, Kenmar Preferred Investments Corp. changed its name and form of entity to Kenmar Preferred Investments, L.P. (“Kenmar Preferred” or the “Managing Owner”). Kenmar Preferred or Managing Owner refers to either Kenmar Preferred Investments Corp. or Kenmar Preferred Investments, L.P., depending on the applicable period discussed. As the Managing Owner of the Trust and of each Series, Kenmar Preferred conducts and manages the business of the Trust and each Series. | |||||||||
Effective July 1, 2012, ClariTy Managed Account & Analytics Platform LLC changed its name and form of entity to ClariTy Managed Account & Analytics Platform, L.P. (“ClariTy”). ClariTy refers to either ClariTy Managed Account & Analytics Platform LLC or ClariTy Managed Account & Analytics Platform, L.P., depending on the applicable period discussed. ClariTy, an affiliate of Kenmar Preferred, serves as the managing member for CTA Choice Fund LLC (“CTA Choice”). CTA Choice is a Delaware limited liability company which consists of multiple segregated series, each established pursuant to a separate Certificate of Designation prepared by ClariTy. Each series maintains separate and distinct records. The assets associated with each series, and the liabilities and obligations incurred with respect to a particular series are enforceable only against the assets of that series. | |||||||||
Effective July 1, 2012, Kenmar Global Investment Management LLC changed its name and form of entity to Kenmar Global Investment Management, L.P. (“Asset Allocator”). Asset Allocator refers to either Kenmar Global Investment Management LLC or Kenmar Global Investment Management, L.P., depending on the applicable period discussed. The Asset Allocator, an affiliate of the Managing Owner, is the Asset Allocator of CTA Choice. Pursuant to the Asset Allocation Agreements between the Managing Owner, the Asset Allocator, and each interestholder, the Asset Allocator determines the trading level of each interestholder’s assets and reallocates among the separate series of CTA Choice as agreed upon with the Trading Advisors. While the Asset Allocator receives no fees for such services from Series J, the Asset Allocator is paid management and incentive fees directly from the interestholders pursuant to each interestholder’s Asset Allocation Agreement. Series J pays no management or incentive fees to the Asset Allocator. | |||||||||
Series J allocates a portion of its net assets (“Allocated Assets”) to commodity trading advisors (each, a “Trading Advisor” and collectively, the “Trading Advisors”) through various series of CTA Choice, for which such allocations are rebalanced quarterly. As of December 31, 2013, Series J allocates approximately one-fifth of its Allocated Assets to each Trading Advisor which manages and makes trading decisions with respect to those Allocated Assets (see below table). The Managing Owner may terminate any current Trading Advisor or select new trading advisors from time to time in its sole discretion in order to achieve the goals of Series J. In the future, the Managing Owner may determine to access certain Trading Advisors through separate investee pools. | |||||||||
Each Trading Advisor listed below is referred to herein as an “Affiliated Investment Fund” and is collectively referred to herein as the “Affiliated Investment Funds”: | |||||||||
Affiliated Investment Fund | Trading Advisor | Trading Program | Start Date | Termination Date | |||||
CTA Choice GRM (“GRM”)* | Graham | K4D-15V Program | 1/1/11 | 12/31/11 | |||||
CTA Choice EAGL (“EAGL”)* ** | Eagle | Eagle Momentum Program | 5/1/11 | 11/30/12 | |||||
CTA Choice CRABL-PV (“CRABL-PV”)* | Crabel | Two Plus Program | 9/1/11 | 11/30/12 | |||||
CTA Choice KRM (“KRM”)* | Krom | Commodity Diversified Program | 10/1/11 | 11/30/12 | |||||
CTA Choice TDRM (“TDRM”)* | Tudor | Tudor Quantitative Commodities Strategy | 11/1/11 | 12/31/11 | |||||
CTA Choice BLKW (“BLKW”) | Blackwater Capital Management, LLC | Blackwater Global Program | 1/1/12 | 11/30/12 | |||||
CTA Choice ORT (“ORT”)* | Ortus | Major Currency Program | 1/1/12 | 4/30/13 | |||||
CTA Choice BEAM (“BEAM”) | BEAM Bayesian Efficient Asset Management, LLC | BEAM Multi-Strategy Program | 1/1/12 | 4/30/13 | |||||
CTA Choice HKSB (“HKSB”) | Hawksbill Capital Management | Hawksbill Global Diversified Program | 12/1/12 | 8/31/13 | |||||
CTA Choice EGLG (“EGLG”)** *** | Eagle | Eagle Global Program | 1/1/12 | ||||||
CTA Choice SAXN (“SAXN”)*** | Saxon Investment Corporation | Saxon Aggressive Diversified Program | 1/1/12 | ||||||
CTA Choice GLAGS (“GLAGS”)*** | Global Ag, LLC | Diversified Program | 12/1/12 | ||||||
CTA Choice RDOK (“RDOK”)*** | Red Oak Commodity Advisors, Inc. | Fundamental Trading Program | 12/1/12 | ||||||
CTA Choice ELL (“ELL”) *** | Ellington Management Group, LLC | Global Macro Trading Program | 12/1/13 | ||||||
* | Any loss carry forward from Series J’s managed account was transferred over to Series J’s member interest in the corresponding Affiliated Investment Fund. | ||||||||
** | Effective January 1, 2012, the allocation to EAGL was split with a 50% allocation to EAGL and a 50% allocation to EGLG. Series J fully redeemed from EAGL as of November 30, 2012. | ||||||||
*** | Effective December 1, 2013, Series J allocated approximately one-fifth of its Allocated Assets to each of ELL, EGLG, GLAGS, RDOK and SAXN. | ||||||||
B. | Regulation | ||||||||
As a registrant with the Securities and Exchange Commission (“SEC”), the Trust and each Series are subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. | |||||||||
As a commodity pool, the Trust and each Series are subject to the regulations of the Commodity Futures Trading Commission (“CFTC”), an independent agency of the U.S. government which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust, indirectly through the Affiliated Investment Funds, executes transactions. | |||||||||
C. | The Offering | ||||||||
Series J offers units (the “Units”) in two classes (each, a “Class”) – Class I and Class II. | |||||||||
Up to $281,250,000 Series J, Class I and $93,750,000 Series J, Class II Units are being offered (totaling $375,000,000) (“Subscription Maximum”). Units are being offered to investors who meet certain established suitability standards. Prior to November 30, 2008, investments required a minimum aggregate initial subscription of $5,000 and $2,000 for certain Benefit Plan Investors (including IRAs), although the minimum purchase for any single series was $500. | |||||||||
Effective November 30, 2008, the Board of Directors of the Managing Owner of Series J determined that the Units would no longer be publicly offered and would only be available on a private placement basis to “accredited investors” pursuant to Regulation D under the Securities Act of 1933. | |||||||||
For new subscribers, the minimum initial investment is $25,000 ($10,000 for benefit plan investors (including IRAs)). The minimum additional subscription amount for current investors is $5,000. | |||||||||
Series J completed its initial offering on December 1, 2005 with gross proceeds of $31,024,443. Until the Subscription Maximum for Series J is reached, Series J’s Units will continue to be offered on a monthly basis at the then current Net Asset Value per Unit. | |||||||||
D. | Exchanges, Redemptions and Termination | ||||||||
Redemptions from Series J are permitted on a monthly basis with no redemption charges applicable to either Class I or Class II Units. | |||||||||
In the event that the Net Asset Value of a Series, after adjustments for distributions, contributions and redemptions, declines by 50% or more since the commencement of trading activities or the first day of a fiscal year, the Series will automatically terminate. | |||||||||
Should the Managing Owner make a determination that Series J’s aggregate net assets in relation to its operating expenses make it unreasonable or imprudent to continue the business of Series J, or, in the exercise of its reasonable discretion, if the aggregate Net Asset Value of Series J as of the close of business on any business day declines below $10 million, the Managing Owner may dissolve Series J. |
SUMMARY_OF_SIGNIFICANT_ACCOUNT
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Accounting Policies [Abstract] | ' | ||||||||||||||||
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | ' | ||||||||||||||||
Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | |||||||||||||||||
A. | Basis of Accounting | ||||||||||||||||
The financial statements of Series J are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Such principles require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting year. Actual results could differ from those estimates. | |||||||||||||||||
The weighted average number of Units outstanding was computed for purposes of disclosing net income (loss) per weighted average Unitholder. The weighted average number of Units is equal to the number of Units outstanding at year end, adjusted proportionately for Units subscribed and redeemed based on their respective time outstanding during the year. | |||||||||||||||||
Investment in securities consists of publicly-traded mutual funds. Publicly-traded mutual funds are valued using the net asset value on the last day of the period. Realized gains and losses from investment in securities are determined using the identified cost method. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Dividends are recorded on the ex-dividend date. | |||||||||||||||||
Series J has elected not to provide a statement of cash flows since substantially all of Series J’s investments are carried at fair value and classified as Level 1 or Level 2 measurements in the fair value hierarchy table, Series J has little or no debt and a statement of changes in Unitholders’ capital (Net Asset Value) is provided. | |||||||||||||||||
Consistent with standard business practices in the normal course of business, Series J has provided general indemnifications to the Managing Owner, the Trading Advisors and others when they act, in good faith, in the best interests of Series J. Series J is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote. | |||||||||||||||||
Series J accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3). | |||||||||||||||||
Series J considers its investments in publicly-traded mutual funds to be based on quoted prices in active markets for identical assets (Level 1). In determining the level, Series J considers the length of time until the investment is redeemable, including notice and lock-up periods or any other restriction on the disposition of the investment. Series J also considers the nature of the portfolios of the underlying Affiliated Investment Funds and their ability to liquidate their underlying investments. Series J has the ability to redeem its investments at the reported net asset valuation as of the measurement date (see Note 7) and classified its investment in Affiliated Investment Funds as Level 2 using the fair value hierarchy. The Affiliated Investment Funds are valued at the net asset value as reported by the underlying investment funds’ capital balance using the practical expedient method. The carrying value of the underlying investment in Affiliated Investment Funds is at fair value. | |||||||||||||||||
There are no Level 3 investments on December 31, 2013 or 2012, nor any portion of the interim periods. | |||||||||||||||||
The following table summarizes the assets measured at fair value using the fair value hierarchy: | |||||||||||||||||
31-Dec-13 | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Investment in securities, at fair value | $ | 36,141,750 | $ | 0 | $ | 0 | $ | 36,141,750 | |||||||||
Investment in Affiliated Investment Funds, at fair value | $ | 0 | $ | 12,249,728 | $ | 0 | $ | 12,249,728 | |||||||||
31-Dec-12 | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Investment in securities, at fair value | $ | 65,965,652 | $ | 0 | $ | 0 | $ | 65,965,652 | |||||||||
Investment in Affiliated Investment Funds, at fair value | $ | 0 | $ | 23,396,923 | $ | 0 | $ | 23,396,923 | |||||||||
B. | Recent Accounting Pronouncement | ||||||||||||||||
In June 2013, the FASB issued Accounting Standards Update No. 2013-08 (“ASU 2013-08”), entitled Financial Services – Investment Companies (Topic 946) – Amendments to the Scope, Measurement, and Disclosure Requirements. ASU 2013-08 changes the approach to assessing whether an entity is an investment company, clarifies the characteristics of an investment company and provides comprehensive guidance for assessing whether an entity is an investment company. In addition, ASU 2013-08 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 in fiscal years beginning after December 15, 2013. Series J is currently evaluating the impact ASU 2013-08 will have; however, no material impact on Series J’s financial statements is anticipated. | |||||||||||||||||
C. | Cash and Cash Equivalents | ||||||||||||||||
Cash and cash equivalents include cash and investments in overnight deposits. Interest income, if any, includes interest on cash and overnight deposits. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protections afforded such deposits. Series J has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions or redemptions received. | |||||||||||||||||
D. | Income Taxes | ||||||||||||||||
Series J is treated as a partnership for U.S. federal income tax purposes. As such, Series J is not required to provide for, or pay, any U.S. federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the Unitholders including the Managing Owner. Series J may be subject to other state and local taxes in jurisdictions in which it operates. | |||||||||||||||||
Series J recognizes tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions are “more likely than not” to be sustained assuming examination by tax authorities. The Managing Owner has reviewed Series J’s tax positions for all open years and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements. Series J has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2010 through 2013 tax years generally remain subject to examination by U.S. federal and most state tax authorities. | |||||||||||||||||
There have been no differences between the tax basis and book basis of assets, liabilities or Unitholders’ capital since inception of Series J. | |||||||||||||||||
E. | Profit and Loss Allocations and Distributions | ||||||||||||||||
Income and expenses (excluding the service fee and upfront sales commissions further discussed in Note 5) are allocated pro rata to the Class I Units and Class II Units monthly based on the Units outstanding during the month. Class I Units are charged with the service fee and upfront sales commission applicable to such Units. Distributions (other than redemptions of Units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Unitholders. The Managing Owner has not and does not presently intend to make any distributions. | |||||||||||||||||
F. | Offering Costs | ||||||||||||||||
In accordance with the Trust’s Agreement and Prospectus, the Managing Owner is responsible for the payment of all offering expenses of Series J incurred after the Initial Offering Period (“ongoing offering costs”), provided that the amount of such ongoing offering costs paid by the Managing Owner are subject to reimbursement by the Trust, without interest, in up to 36 monthly payments during each of the first 36 months following the month in which such expenses were paid by the Managing Owner. Through December 31, 2013, the Managing Owner has paid $2,877,568 in ongoing offering costs, of which $2,820,406 has been allocated to Series J. | |||||||||||||||||
Ongoing offering costs incurred through November 30, 2006 in the amount of $599,062 will not be reimbursed to the Managing Owner. For the period December 1, 2006 through December 31, 2013, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $2,240,949 and $2,221,343, respectively. Of the $2,221,343, allocated to Series J, $635,144 will not be reimbursable to the Managing Owner. | |||||||||||||||||
Series J will only be liable for payment of ongoing offering costs on a monthly basis. If Series J terminates prior to completion of payment of such amounts to the Managing Owner, the Managing Owner will not be entitled to any additional payments, and Series J will have no further obligation to the Managing Owner. | |||||||||||||||||
During the years ended December 31, 2013 and 2012, Series J’s allocable portion of ongoing offering costs did not exceed 0.50% per annum of the Net Asset Value of Series J. | |||||||||||||||||
G. | Interest and Dividends | ||||||||||||||||
Interest is recorded on an accrual basis. Dividends are recorded on the ex-dividend date. | |||||||||||||||||
H. | Investment in Affiliated Investment Funds | ||||||||||||||||
The investment in Affiliated Investment Funds is reported in Series J’s statements of financial condition. Fair value ordinarily is the value determined for the Affiliated Investment Funds in accordance with the fund’s valuation policies and reported at the time of Series J’s valuation by the management of the funds. Generally, the fair value of Series J’s investment in the Affiliated Investment Funds represents the net asset value which is the amount that Series J could reasonably expect to receive from the funds if Series J’s investments were redeemed at the time of the valuation, based on information reasonably available at the time the valuation is made and that Series J believes to be reliable. | |||||||||||||||||
RELATED_PARTIES
RELATED PARTIES | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Related Party Transactions [Abstract] | ' | ||||||||||||
RELATED PARTIES | ' | ||||||||||||
Note 3. RELATED PARTIES (CONTINUED) | |||||||||||||
The expenses incurred by Series J for services performed by Kenmar Preferred and its affiliates for Series J were as follows: | |||||||||||||
2013 | 2012 | 2011 | |||||||||||
Management fees to Managing Owner | $ | 377,219 | $ | 611,512 | $ | 761,143 | |||||||
ClariTy administrative services fees to affiliate (1) | 0 | 0 | 380,571 | ||||||||||
Managing Owner interest earned on Certain Investment Funds | 142,048 | 624,207 | 382,673 | ||||||||||
Operating expenses | 198,657 | 216,180 | 207,156 | ||||||||||
$ | 717,924 | $ | 1,451,899 | $ | 1,731,543 | ||||||||
(1) ClariTy administrative services fees, which were paid directly to the Managing Owner during 2011, are now paid indirectly through its investment in Affiliated Investment Funds starting January 1, 2012 and totaled $191,420 and $312,245 for the years ended December 31, 2013 and 2012, respectively. | |||||||||||||
Expenses payable to the Kenmar Preferred and its affiliates, which are included in accrued expenses payable on the statements of financial condition as of December 31, 2013 and 2012, were $52,350 and $51,125, respectively. | |||||||||||||
MANAGING_OWNER_AND_AFFILIATES
MANAGING OWNER AND AFFILIATES | 12 Months Ended | ||
Dec. 31, 2013 | |||
Managing Owner And Affiliates | ' | ||
MANAGING OWNER AND AFFILIATES | ' | ||
Note 4. MANAGING OWNER AND AFFILIATES | |||
Effective October 31, 2011, the Managing Owner and or/its affiliates redeemed 100% of their interest in Series J. Prior to October 31, 2011, the Managing Owner and or/its affiliates had purchased and maintained an interest in Series J in an amount less than 1% of the net asset value of Series J. | |||
The Managing Owner is paid a monthly management fee of 1/12 of 0.5% (0.5% annually) of Series J’s Net Asset Value at the beginning of each month (see Note 5). | |||
Series J invests a portion of the excess cash balances not required for margin through certain investment funds which invest in (i) U.S. government securities (which include any security issued or guaranteed as to principal or interest by the United States), (ii) any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the United States government, (iii) corporate bonds or notes, or (iv) other instruments permitted by applicable rule and regulations (collectively, “Certain Investment Funds”). The objective is to obtain a rate of return for Series J that balances risk and return relative to the historically low yields on short-term cash deposits with banks or brokerage firms. There is no guarantee that the Managing Owner will be successful in investing the excess cash successfully to obtain a greater yield than available on short-term cash deposits with banks or brokerage firms. The Managing Owner is paid monthly 1/12 of 50% of the first 1% of the positive returns earned on Series J’s investments in Certain Investment Funds. The calculation is based on Series J’s average annualized Net Asset Value, and any losses related to returns on Certain Investment Funds must first be recovered through subsequent positive returns prior to the Managing Owner receiving a payment. | |||
After the calculation of the amount payable to the Managing Owner, Series J will be credited with all additional positive returns (or 100% of any losses) on Series J’s investments in Certain Investment Funds. If at the end of any calendar year, a loss has been incurred on the returns for Certain Investment Funds, then the loss carry forward will reset to zero for the next calendar year with regards to the calculation of the Managing Owner’s portion of Certain Investment Fund’s income. For the years ended December 31, 2013, 2012 and 2011, the Managing Owner’s portion of interest earned on Certain Investment Funds amounted to $142,048, $624,207 and $382,673, respectively. From January 1, 2011 to December 31, 2011, Series J paid a monthly administrative services fee in the amount of 1/12 of 0.25% of Series J’s beginning of month Net Asset Value directly to ClariTy for risk management and related services with respect to monitoring the Trading Advisors. Effective January 1, 2012, Series J pays this fee indirectly through its investment in the Affiliated Investment Funds. For the years ended December 31, 2013 and 2012, the administrative services fee earned indirectly totaled $191,420 and $312,245, respectively. For the year ended December 31, 2011, the administrative services fee earned directly totaled $380,571. | |||
SERVICE_FEES_AND_SALES_COMMISS
SERVICE FEES AND SALES COMMISSIONS | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Service Fees And Sales Commissions | ' | ||||||||||||
SERVICE FEES AND SALES COMMISSIONS | ' | ||||||||||||
Note 5. SERVICE FEES AND SALES COMMISSIONS | |||||||||||||
Series J pays a service fee with respect to Class I Units, monthly in arrears, equal to 1/12 of 2% (2% per annum) of the Net Asset Value per Unit of the outstanding Class I Units as of the beginning of the month. Series J also pays an initial commission equal to 2% of the initial Net Asset Value per Unit of each Class I Unit sold by the Correspondent Selling Agents (“CSA”), payable on the date such Class I Units are purchased. Commencing with the 13th month after the purchase of a Class I Unit, the CSAs received an ongoing monthly commission equal to 1/12th of 2% (2% per annum) of the Net Asset Value per Class I Unit as of the beginning of each month of the Class I Units sold by them. | |||||||||||||
The Service Fee – Class I Units (as described below) disclosed on the statements of operations represents (i) the monthly 1/12 of 2% of the Net Asset Value per Class I Unit as of the beginning of each month of the Class I Units, (ii) the initial upfront sales commission of 2% (iii) a deduction for Series J’s recapture of the 1/12 of 2% service fee on all Units owned for less than 12 months that have received the 2% upfront sales commission and a recapture of the service fee on Units held with no CSA. | |||||||||||||
For the years ended December 31, 2013, 2012 and 2011, the Service Fee – Class I Units is composed of the following: | |||||||||||||
2013 | 2012 | 2011 | |||||||||||
Monthly 1/12 of 2% service fee calculated on all Class I Units | $ | 1,371,472 | $ | 2,201,479 | $ | 2,668,303 | |||||||
Initial up-front 2% sales commissions | 35,394 | 23,704 | 423,864 | ||||||||||
Series J’s recapture on 1/12 of 2% service fee on select Units and recapture of the service fee on Units held with no CSA | (48,602 | ) | (233,662 | ) | (508,877 | ) | |||||||
Total | $ | 1,358,264 | $ | 1,991,521 | $ | 2,583,290 | |||||||
Effective October 1, 2010, Series J agreed to pay a monthly fee to Wells Fargo for providing continuing due diligence, training, operations, system support, and marketing. For Class I and II Units purchased by clients of Wells Fargo on or prior to October 1, 2010, the fee is 1/12th of 0.10% (0.10% per annum) of the beginning of the month Net Asset Value. For Class I and II Units purchased subsequent to October 1, 2010 the fee is 1/12th of 0.30% (0.30% per annum) of the beginning of month Net Asset Value. These fees are deducted from the management fee paid to the Managing Owner. | |||||||||||||
ADMINISTRATOR
ADMINISTRATOR | 12 Months Ended | ||
Dec. 31, 2013 | |||
Administrator | ' | ||
ADMINISTRATOR | ' | ||
Note 6. ADMINISTRATOR | |||
Effective June 1, 2011, GlobeOp Financial Services LLC (“GlobeOp” or the “Administrator”), a Delaware limited liability company, serves as the Administrator of Series J. Series J used a different administrator for during the period January 1, 2011 through May 31, 2011. The Administrator performs or supervises the performance of services necessary for the operation and administration of Series J (other than making investment decisions), including administrative and accounting services. The Administrator also calculates Series J’s Net Asset Value. In addition, the Administrator maintains certain books and records of Series J, including certain books and records required by CFTC Rule 4.23(a). GlobeOp also serves as the administrator of the Affiliated Investment Funds. | |||
Series J pays its pro-rata share of administrator fees through its investment in Affiliated Investment Funds. For the years ended December 31, 2013 and 2012, Series J indirectly paid administrator fees totaling $137,016 and $163,999, respectively. For the year ended December 31, 2011, Series J paid administration fees, either directly or indirectly within its investment in Affiliated Investment Funds of $308,817. | |||
Effective January 1, 2013, Series J also pays an administrator fee directly to GlobeOp. For the year ended December 31, 2013, Series J directly paid GlobeOp administrator fees of $25,000. | |||
INVESTMENT_IN_AFFILIATED_INVES
INVESTMENT IN AFFILIATED INVESTMENT FUNDS | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | ' | ||||||||||||||||||||
INVESTMENT IN AFFILIATED INVESTMENT FUNDS | ' | ||||||||||||||||||||
Note 7. INVESTMENT IN AFFILIATED INVESTMENT FUNDS | |||||||||||||||||||||
Series J invests a portion of its assets in Affiliated Investment Funds. Series J’s investment in Affiliated Investment Funds represents approximately 24.25% and 24.06% of the Net Asset Value of Series J at December 31, 2013 and 2012, respectively. The investment in Affiliated Investment Funds is reported in Series J’s statements of financial condition at fair value. Series J records its proportionate share of income or loss in the statements of operations. The investments are subject to the terms of the organizational and offering documents of the Affiliated Investment Funds. | |||||||||||||||||||||
The following table summarizes the change in net asset value (fair value) of Series J’s Level 2 investment in Affiliated Investment Funds for the years ended December 31, 2013 and 2012: | |||||||||||||||||||||
Net asset value | Net asset value | ||||||||||||||||||||
December 31, 2012 | Purchases | Loss | Redemptions | December 31, 2013 | |||||||||||||||||
Investment in Affiliated Investment Funds | $ | 23,396,923 | $ | 39,044,537 | $ | (5,540,057 | ) | $ | (44,651,675 | ) | $ | 12,249,728 | |||||||||
Net asset value | Net asset value | ||||||||||||||||||||
December 31, 2011 | Purchases | Loss | Redemptions | December 31, 2012 | |||||||||||||||||
Investment in Affiliated Investment Funds | $ | 8,207,427 | $ | 105,989,853 | $ | (9,832,498 | ) | $ | (80,967,859 | ) | $ | 23,396,923 | |||||||||
The Affiliated Investment Funds are redeemable semi-monthly to monthly and require a redemption notice of 1-5 days. Series J may make additional contributions or redemptions from the Affiliated Investment Funds on a standard allocation date. The Affiliated Investment Funds engage in trading of commodity futures including agriculture, currency, energy, interest rates and stock indices among other types, foreign currency forward contracts and options of futures contracts. | |||||||||||||||||||||
Series J records its proportionate share of income or loss in the statements of operations. | |||||||||||||||||||||
Series J’s investment in Affiliated Investment Funds is notionally funded, and the following table sets out the total capital commitment split between net asset value (amount funded) and the remaining capital commitment. The remaining capital commitment is the amount that can be requested from Series J if requested by the Affiliated Investment Funds to meet margin calls in accordance with the governing documents. However, Series J’s capital commitment to the Affiliated Investment Funds is disclosed below: | |||||||||||||||||||||
Total Capital Commitment December 31, 2013 | Net Asset Value December 31, 2013 | Remaining Capital Commitment December 31, 2013 | |||||||||||||||||||
CTA Choice EGLG | $ | 11,674,353 | $ | 3,206,826 | $ | 8,467,527 | |||||||||||||||
CTA Choice ELL | 11,160,864 | 3,510,668 | 7,650,196 | ||||||||||||||||||
CTA Choice GLAGS | 11,107,448 | 2,233,373 | 8,874,075 | ||||||||||||||||||
CTA Choice RDOK | 11,343,013 | 2,208,911 | 9,134,102 | ||||||||||||||||||
CTA Choice SAXN | 11,244,686 | 1,089,950 | 10,154,736 | ||||||||||||||||||
Total | $ | 56,530,364 | $ | 12,249,728 | $ | 44,280,636 | |||||||||||||||
Series J’s investment in Affiliated Investment Funds is subject to the market and credit risks of securities held or sold short by their respective Affiliated Investment Fund. ClariTy has established procedures to monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The interestholders within CTA Choice bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. | |||||||||||||||||||||
TRUSTEE
TRUSTEE | 12 Months Ended | ||
Dec. 31, 2013 | |||
Trustee | ' | ||
TRUSTEE | ' | ||
Note 8. TRUSTEE | |||
The trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The trustee has delegated to the Managing Owner the power and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. | |||
COSTS_FEES_AND_EXPENSES
COSTS, FEES AND EXPENSES | 12 Months Ended | ||||||||
Dec. 31, 2013 | |||||||||
Costs Fees And Expenses | ' | ||||||||
COSTS, FEES AND EXPENSES | ' | ||||||||
Note 9. COSTS, FEES AND EXPENSES | |||||||||
A. | Operating Expenses | ||||||||
Operating expenses of Series J are paid for by Series J. | |||||||||
B. | Trading Advisor Management and Incentive Fees | ||||||||
Through December 31, 2011, Series J paid each Trading Advisor a monthly management fee and a quarterly incentive fee (calculated monthly) pursuant to the applicable managed account advisory agreement: | |||||||||
Prior to October 1, 2010 | |||||||||
Trading Advisor | Management Fee (1) | Incentive Fee (2) | |||||||
Ortus** | 2 | % | 20 | % | |||||
Eagle* | 2 | % | 20 | % | |||||
Graham* | 2.5 | % | 20 | % | |||||
GLC* | 2 | % | 20 | % | |||||
Krom* | 2 | % | 20 | % | |||||
Paskewitz** | 2 | % | 20 | % | |||||
Crabel* | 1 | % | 25 | % | |||||
Tudor* | 2 | % | 20 | % | |||||
* | The Managing Owner terminated the managed account agreements with GLC, Graham, Eagle, Crabel, Krom and Tudor effective March 31, 2010, December 31, 2010, March 31, 2011, August 31, 2011, September 30, 2011, and October 31, 2011 respectively. | ||||||||
** | The Managing Owner terminated the managed account agreements with Ortus and Paskewitz effective December 31, 2011. | ||||||||
Effective October 1, 2010 for Eagle, Krom and Paskewitz, and effective January 1, 2011 for Ortus, Series J entered into an amendment to change the management fee and incentive fee charged by each Trading Advisor pursuant to the applicable advisory agreement as indicated below: | |||||||||
Trading Advisor | Management Fee (1) | Incentive Fee (2) | |||||||
Eagle | 1.5 | % | 25 | % | |||||
Krom | 1.5 | % | 25 | % | |||||
Ortus | 1 | % | 25 | % | |||||
Paskewitz | 1 | % | 25 | % | |||||
-1 | The Management Fee is paid monthly at a rate equal to 1/12 of the indicated rate above of the Net Asset Value of Series J in accordance with the applicable advisory agreement. | ||||||||
-2 | The Incentive Fee is paid quarterly on the percentage indicated of new net high trading profits of Series J in accordance with the applicable advisory agreement. | ||||||||
Effective January 1, 2012, Series J pays indirectly through its investment in Affiliated Investment Funds, the following Trading Advisors’ management fees (based on Series J’s Allocated Assets as of each standard allocation date) and incentive fees for achieving “New High Net Trading Profits” in Series J’s capital accounts within the Affiliated Investment Funds as defined in their respective advisory agreements: | |||||||||
Affiliated Investment Fund | Management Fee | Incentive Fee | |||||||
BEAM** | 1 | % | 20 | % | |||||
BLKW* | 1 | % | 25 | % | |||||
CRABL-PV* | 1 | % | 25 | % | |||||
EAGL* | 1.5 | % | 25 | % | |||||
EGLG | 2 | % | 25 | % | |||||
ELL | 0 | % | 30 | % | |||||
GLAGS | 2 | % | 20 | % | |||||
HKSB*** | 0 | % | 25 | % | |||||
KRM* | 1.5 | % | 25 | % | |||||
ORT** | 1 | % | 25 | % | |||||
RDOK | 2 | % | 20 | % | |||||
SAXN | 0 | % | 25 | % | |||||
* | Series J fully redeemed from BLKW, CRABL-PV, EAGL and KRM as of November 30, 2012. | ||||||||
** | Series J fully redeemed from BEAM and ORT as of April 30, 2013. | ||||||||
*** | Series J fully redeemed from HKSB as of August 31, 2013. | ||||||||
For the years ended December 31, 2013 and 2012, Series J paid Trading Advisor management fees, which are incurred indirectly and are calculated within each Affiliated Investment Fund based on Series J’s Allocated Assets as of each standard allocation date of $948,597 and $1,309,000, respectively. For the year ended December 31, 2011, Series J paid Trading Advisor management fees either directly or indirectly through its investment in Affiliated Investment Funds of $2,166,215. | |||||||||
For the years ended December 31, 2013 and 2012, Series J paid Trading Advisor incentive fees indirectly within its investment in Affiliated Investment Funds of $519,605 and $597,064, respectively. For the year ended December 31, 2011, Series J paid Trading Advisor incentive fees either directly or indirectly through its investment in Affiliated Investment Funds of $1,097,473. | |||||||||
DERIVATIVE_INSTRUMENTS_AND_ASS
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS | 12 Months Ended | ||||
Dec. 31, 2013 | |||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS | ' | ||||
Note 10. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS | |||||
No derivative instruments were directly held by Series J as of December 31, 2013 and 2012. Derivative trading activity is now conducted within the Affiliated Investment Funds. | |||||
The trading revenue of Series J’s derivatives by instrument type, as well as the location of those gains and losses on the statements of operations, for the year ended December 31, 2011 is as follows: | |||||
2011 | |||||
Type of instrument | |||||
Commodities contracts | $ | (755,304 | ) | ||
Currencies contracts | 449,279 | ||||
Energy contracts | (419,325 | ) | |||
Interest rate contracts | 1,362,798 | ||||
Metals contracts | 854,268 | ||||
Stock indices contracts | (145,102 | ) | |||
Purchased options on futures contracts | (237,784 | ) | |||
Written options on futures contracts | 22,924 | ||||
Forward currency contracts | 893,359 | ||||
Total | $ | 2,025,113 | |||
Line item in the statements of operations | |||||
Net realized (loss) gain | $ | 6,893,490 | |||
Net change in unrealized depreciation and appreciation | (4,868,377 | ) | |||
Total | $ | 2,025,113 | |||
For the year ended December 31, 2011, the total number of closed futures contracts was approximately 89,362, the total number of closed options on futures contracts was 4,924, and the average monthly notional value of forward currency contracts closed was approximately $1,339,891,596. | |||||
The average monthly notional value of contracts closed represents the average monthly U.S. dollar notional value of futures and options on futures contracts closed and settled in cash during 2011. | |||||
Series J’s investment in Affiliated Investment Funds is subject to the market and credit risks of the futures contracts, options on futures contracts, forward currency contracts and other financial instruments held or sold short by them. Series J bears the risk of loss only to the extent of the capital commitment of its investment and, in certain specific circumstances, distributions and redemptions received. | |||||
Series J is exposed to various types of risks associated with the derivative instruments and related markets in which it indirectly invests through its investment in Affiliated Investment Funds. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the inability of counterparties to perform under the terms of Series J’s investment activities (credit risk), including investment in Affiliated Investment Funds. | |||||
The Managing Owner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investment in Series J and, in certain specific circumstances, distributions and redemptions received. | |||||
Market Risk | |||||
Market risk is influenced by a wide variety of factors, including government programs and policies, political and economic events, the level and volatility of interest rates, foreign currency exchange rates, the diversification effect among the derivative instruments, the liquidity and inherent volatility of the markets in which Series J indirectly invests through its ownership in Affiliated Investment Funds. | |||||
Credit Risk | |||||
The Managing Owner attempts to minimize both credit and market risks by requiring Series J and its Trading Advisors to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies, which include, but are not limited to, executing and clearing all trades with creditworthy counterparties; limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions. | |||||
FINANCIAL_HIGHLIGHTS
FINANCIAL HIGHLIGHTS | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Financial Highlights | ' | ||||||||||||||||||||||||
FINANCIAL HIGHLIGHTS | ' | ||||||||||||||||||||||||
Note 11. FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||||
The following information presents per Unit operating performance data and other supplemental financial data for the years ended December 31, 2013, 2012 and 2011. This information has been derived from information presented in the financial statements. | |||||||||||||||||||||||||
Class I | Class II | ||||||||||||||||||||||||
2013 | 2012 | 2011 | 2013 | 2012 | 2011 | ||||||||||||||||||||
Per Unit Performance | |||||||||||||||||||||||||
(for a Unit outstanding throughout the entire year) | |||||||||||||||||||||||||
Net Asset Value per Unit at beginning of year | $ | 104.44 | $ | 117.27 | $ | 127.97 | $ | 115.74 | $ | 127.6 | $ | 136.55 | |||||||||||||
Loss from operations: | |||||||||||||||||||||||||
Net realized and change in unrealized loss (1) | (6.72 | ) | (8.78 | ) | (3.73 | ) | (7.52 | ) | (9.69 | ) | (4.03 | ) | |||||||||||||
Interest income (1) | 0 | 0.01 | 0.02 | 0 | 0.01 | 0.02 | |||||||||||||||||||
Dividend income (1) | 0.77 | 1.11 | 1.22 | 0.86 | 1.22 | 1.3 | |||||||||||||||||||
Expenses (3) | (4.69 | ) | (5.17 | ) | (8.21 | ) | (3.05 | ) | (3.40 | ) | (6.24 | ) | |||||||||||||
Total loss from operations | (10.64 | ) | (12.83 | ) | (10.70 | ) | (9.71 | ) | (11.86 | ) | (8.95 | ) | |||||||||||||
Net Asset Value per Unit at end of year | $ | 93.8 | $ | 104.44 | $ | 117.27 | $ | 106.03 | $ | 115.74 | $ | 127.6 | |||||||||||||
Total Return | |||||||||||||||||||||||||
Total return before incentive fees | (10.19 | )% | (10.94 | )% | (7.65 | )% | (8.39 | )% | (9.29 | )% | (5.84 | )% | |||||||||||||
Incentive fee | 0 | % | 0 | % | (0.71 | )% | 0 | % | 0 | % | (0.71 | )% | |||||||||||||
Total return after incentive fees | (10.19 | )% | (10.94 | )% | (8.36 | )% | (8.39 | )% | (9.29 | )% | (6.55 | )% | |||||||||||||
Supplemental data | |||||||||||||||||||||||||
Ratios to average Net Asset Value: | |||||||||||||||||||||||||
Net investment loss before incentive fees (2), (3) | (4.00 | )% | (3.60 | )% | (4.91 | )% | (1.99 | )% | (1.75 | )% | (2.96 | )% | |||||||||||||
Incentive fee (3) | 0 | % | 0 | % | (0.73 | )% | 0 | % | 0 | % | (0.73 | )% | |||||||||||||
Net investment loss after incentive fees (3) | (4.00 | )% | (3.60 | )% | (5.64 | )% | (1.99 | )% | (1.75 | )% | (3.69 | )% | |||||||||||||
Interest income | 0 | % | 0.01 | % | 0.02 | % | 0 | % | 0.01 | % | 0.02 | % | |||||||||||||
Dividend income | 0.79 | % | 0.98 | % | 0.99 | % | 0.78 | % | 0.99 | % | 0.98 | % | |||||||||||||
Incentive fees (3) | 0 | % | 0 | % | 0.73 | % | 0 | % | 0 | % | 0.73 | % | |||||||||||||
Other expenses (3) | 4.79 | % | 4.59 | % | 5.92 | % | 2.77 | % | 2.75 | % | 3.96 | % | |||||||||||||
Total expenses (3) | 4.79 | % | 4.59 | % | 6.65 | % | 2.77 | % | 2.75 | % | 4.69 | % | |||||||||||||
Total returns are calculated based on the change in value of a Unit during the year. An individual Unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. | |||||||||||||||||||||||||
-1 | Dividend income, interest income and other expenses per Unit are calculated by dividing dividend income, interest income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the year. Total trading and investing loss is a balancing amount necessary to reconcile change in Net Asset Value per Unit of each Class with the other per Unit information. | ||||||||||||||||||||||||
-2 | Represents dividend and interest income less total expenses (exclusive of incentive fees). This excludes Series J’s proportionate share of income and expenses from investment in Affiliated Investment Funds. | ||||||||||||||||||||||||
-3 | Trading Advisor management, incentive and various other operating expenses are charged indirectly within Series J’s investment in Affiliated Investment Funds are included in Total Return. | ||||||||||||||||||||||||
SUBSEQUENT_EVENTS
SUBSEQUENT EVENTS | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Subsequent Events [Abstract] | ' | ||||||||||||
SUBSEQUENT EVENTS | ' | ||||||||||||
Note 12. SUBSEQUENT EVENTS | |||||||||||||
The following table sets out the total capital commitment split between net asset value (amount funded) and the remaining capital commitments as of February 28, 2014: | |||||||||||||
Total Capital | Remaining Capital | ||||||||||||
Commitment | Net Asset Value | Commitment | |||||||||||
February 28, 2014 | February 28, 2014 | February 28, 2014 | |||||||||||
Affiliated Investment Funds | $ | 45,454,802 | $ | 10,208,746 | $ | 35,246,056 | |||||||
From January 1, 2014 through March 18, 2014, there were estimated subscriptions and redemptions of $0 and $20,387,947, respectively. | |||||||||||||
QUARTERLY_FINANCIAL_INFORMATIO
QUARTERLY FINANCIAL INFORMATION UNAUDITED | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ' | ||||||||||||||||
QUARTERLY FINANCIAL INFORAMTION UNAUDITED | ' | ||||||||||||||||
Selected unaudited quarterly financial data for the years ended December 31, 2013 and 2012 are summarized below: | |||||||||||||||||
First | Second | Third | Fourth | ||||||||||||||
Quarter | Quarter | Quarter | Quarter | ||||||||||||||
2013:00:00 | |||||||||||||||||
Total revenues (losses) (including interest) | $ | (975,535 | ) | $ | (4,896,993 | ) | $ | (1,827,396 | ) | $ | 2,189,054 | ||||||
Total revenues (losses) (including interest) less commissions | $ | (975,535 | ) | $ | (4,896,993 | ) | $ | (1,827,396 | ) | $ | 2,189,054 | ||||||
Net income (loss) | $ | (2,031,016 | ) | $ | (5,857,263 | ) | $ | (2,618,974 | ) | $ | 1,590,243 | ||||||
Net income (loss) per weighted average Interest – Class I | $ | (2.31 | ) | $ | (7.26 | ) | $ | (3.69 | ) | $ | 2.55 | ||||||
Net income (loss) per weighted average Unit – Class II | $ | (2.05 | ) | $ | (7.53 | ) | $ | (3.63 | ) | $ | 3.45 | ||||||
First | Second | Third | Fourth | ||||||||||||||
Quarter | Quarter | Quarter | Quarter | ||||||||||||||
2012:00:00 | |||||||||||||||||
Total revenues (losses) (including interest) | $ | (4,455,615 | ) | $ | (371,992 | ) | $ | 2,609,722 | $ | (6,008,434 | ) | ||||||
Total revenues (losses) (including interest) less commissions | $ | (4,455,615 | ) | $ | (371,992 | ) | $ | 2,609,722 | $ | (6,008,434 | ) | ||||||
Net income (loss) | $ | (5,811,140 | ) | $ | (1,830,339 | ) | $ | 1,175,438 | $ | (7,131,187 | ) | ||||||
Net income (loss) per weighted average Interest – Class I | $ | (4.88 | ) | $ | (1.71 | ) | $ | 1.05 | $ | (7.36 | ) | ||||||
Net income (loss) per weighted average Unit – Class II | $ | (4.65 | ) | $ | (1.15 | ) | $ | 1.85 | $ | (7.47 | ) | ||||||
Net income (loss) per weighted average Unit as disclosed above for each applicable quarter is calculated as the weighted average number of Units per Class outstanding at quarter end, adjusted proportionately for Units subscribed and redeemed based on their respective time outstanding during the quarter, divided by net income (loss) during the quarter for the applicable Class. | |||||||||||||||||
There were no extraordinary, unusual or infrequently occurring items recognized in any quarter reported above, and the Trust has not disposed of any segments of its business. There have been no year-end adjustments that are material to the results of any fiscal quarter reported above. | |||||||||||||||||
SUMMARY_OF_SIGNIFICANT_ACCOUNT1
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Summary Of Significant Accounting Policies Policies | ' | ||||||||||||||||
Basis of Accounting | ' | ||||||||||||||||
A. | Basis of Accounting | ||||||||||||||||
The financial statements of Series J are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Such principles require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting year. Actual results could differ from those estimates. | |||||||||||||||||
The weighted average number of Units outstanding was computed for purposes of disclosing net income (loss) per weighted average Unitholder. The weighted average number of Units is equal to the number of Units outstanding at year end, adjusted proportionately for Units subscribed and redeemed based on their respective time outstanding during the year. | |||||||||||||||||
Investment in securities consists of publicly-traded mutual funds. Publicly-traded mutual funds are valued using the net asset value on the last day of the period. Realized gains and losses from investment in securities are determined using the identified cost method. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Dividends are recorded on the ex-dividend date. | |||||||||||||||||
Series J has elected not to provide a statement of cash flows since substantially all of Series J’s investments are carried at fair value and classified as Level 1 or Level 2 measurements in the fair value hierarchy table, Series J has little or no debt and a statement of changes in Unitholders’ capital (Net Asset Value) is provided. | |||||||||||||||||
Consistent with standard business practices in the normal course of business, Series J has provided general indemnifications to the Managing Owner, the Trading Advisors and others when they act, in good faith, in the best interests of Series J. Series J is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote. | |||||||||||||||||
Series J accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3). | |||||||||||||||||
Series J considers its investments in publicly-traded mutual funds to be based on quoted prices in active markets for identical assets (Level 1). In determining the level, Series J considers the length of time until the investment is redeemable, including notice and lock-up periods or any other restriction on the disposition of the investment. Series J also considers the nature of the portfolios of the underlying Affiliated Investment Funds and their ability to liquidate their underlying investments. Series J has the ability to redeem its investments at the reported net asset valuation as of the measurement date (see Note 7) and classified its investment in Affiliated Investment Funds as Level 2 using the fair value hierarchy. The Affiliated Investment Funds are valued at the net asset value as reported by the underlying investment funds’ capital balance using the practical expedient method. The carrying value of the underlying investment in Affiliated Investment Funds is at fair value. | |||||||||||||||||
There are no Level 3 investments on December 31, 2013 or 2012, nor any portion of the interim periods. | |||||||||||||||||
The following table summarizes the assets measured at fair value using the fair value hierarchy: | |||||||||||||||||
31-Dec-13 | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Investment in securities, at fair value | $ | 36,141,750 | $ | 0 | $ | 0 | $ | 36,141,750 | |||||||||
Investment in Affiliated Investment Funds, at fair value | $ | 0 | $ | 12,249,728 | $ | 0 | $ | 12,249,728 | |||||||||
31-Dec-12 | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Investment in securities, at fair value | $ | 65,965,652 | $ | 0 | $ | 0 | $ | 65,965,652 | |||||||||
Investment in Affiliated Investment Funds, at fair value | $ | 0 | $ | 23,396,923 | $ | 0 | $ | 23,396,923 | |||||||||
Recent Accounting Pronouncements | ' | ||||||||||||||||
B. | Recent Accounting Pronouncement | ||||||||||||||||
In June 2013, the FASB issued Accounting Standards Update No. 2013-08 (“ASU 2013-08”), entitled Financial Services – Investment Companies (Topic 946) – Amendments to the Scope, Measurement, and Disclosure Requirements. ASU 2013-08 changes the approach to assessing whether an entity is an investment company, clarifies the characteristics of an investment company and provides comprehensive guidance for assessing whether an entity is an investment company. In addition, ASU 2013-08 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 in fiscal years beginning after December 15, 2013. Series J is currently evaluating the impact ASU 2013-08 will have; however, no material impact on Series J’s financial statements is anticipated. | |||||||||||||||||
Cash and Cash Equivalents | ' | ||||||||||||||||
C. | Cash and Cash Equivalents | ||||||||||||||||
Cash and cash equivalents include cash and investments in overnight deposits. Interest income, if any, includes interest on cash and overnight deposits. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protections afforded such deposits. Series J has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions or redemptions received. | |||||||||||||||||
Income Taxes | ' | ||||||||||||||||
D. | Income Taxes | ||||||||||||||||
Series J is treated as a partnership for U.S. federal income tax purposes. As such, Series J is not required to provide for, or pay, any U.S. federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the Unitholders including the Managing Owner. Series J may be subject to other state and local taxes in jurisdictions in which it operates. | |||||||||||||||||
Series J recognizes tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions are “more likely than not” to be sustained assuming examination by tax authorities. The Managing Owner has reviewed Series J’s tax positions for all open years and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements. Series J has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2010 through 2013 tax years generally remain subject to examination by U.S. federal and most state tax authorities. | |||||||||||||||||
There have been no differences between the tax basis and book basis of assets, liabilities or Unitholders’ capital since inception of Series J. | |||||||||||||||||
Profit and Loss Allocations and Distributions | ' | ||||||||||||||||
E. | Profit and Loss Allocations and Distributions | ||||||||||||||||
Income and expenses (excluding the service fee and upfront sales commissions further discussed in Note 5) are allocated pro rata to the Class I Units and Class II Units monthly based on the Units outstanding during the month. Class I Units are charged with the service fee and upfront sales commission applicable to such Units. Distributions (other than redemptions of Units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Unitholders. The Managing Owner has not and does not presently intend to make any distributions. | |||||||||||||||||
Offering Costs | ' | ||||||||||||||||
F. | Offering Costs | ||||||||||||||||
In accordance with the Trust’s Agreement and Prospectus, the Managing Owner is responsible for the payment of all offering expenses of Series J incurred after the Initial Offering Period (“ongoing offering costs”), provided that the amount of such ongoing offering costs paid by the Managing Owner are subject to reimbursement by the Trust, without interest, in up to 36 monthly payments during each of the first 36 months following the month in which such expenses were paid by the Managing Owner. Through December 31, 2013, the Managing Owner has paid $2,877,568 in ongoing offering costs, of which $2,820,406 has been allocated to Series J. | |||||||||||||||||
Ongoing offering costs incurred through November 30, 2006 in the amount of $599,062 will not be reimbursed to the Managing Owner. For the period December 1, 2006 through December 31, 2013, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $2,240,949 and $2,221,343, respectively. Of the $2,221,343, allocated to Series J, $635,144 will not be reimbursable to the Managing Owner. | |||||||||||||||||
Series J will only be liable for payment of ongoing offering costs on a monthly basis. If Series J terminates prior to completion of payment of such amounts to the Managing Owner, the Managing Owner will not be entitled to any additional payments, and Series J will have no further obligation to the Managing Owner. | |||||||||||||||||
During the years ended December 31, 2013 and 2012, Series J’s allocable portion of ongoing offering costs did not exceed 0.50% per annum of the Net Asset Value of Series J. | |||||||||||||||||
Interest and Dividends | ' | ||||||||||||||||
G. | Interest and Dividends | ||||||||||||||||
Interest is recorded on an accrual basis. Dividends are recorded on the ex-dividend date. | |||||||||||||||||
Investments in Affiliated Investment Funds | ' | ||||||||||||||||
H. | Investment in Affiliated Investment Funds | ||||||||||||||||
The investment in Affiliated Investment Funds is reported in Series J’s statements of financial condition. Fair value ordinarily is the value determined for the Affiliated Investment Funds in accordance with the fund’s valuation policies and reported at the time of Series J’s valuation by the management of the funds. Generally, the fair value of Series J’s investment in the Affiliated Investment Funds represents the net asset value which is the amount that Series J could reasonably expect to receive from the funds if Series J’s investments were redeemed at the time of the valuation, based on information reasonably available at the time the valuation is made and that Series J believes to be reliable. | |||||||||||||||||
ORGANIZATION_Tables
ORGANIZATION (Tables) | 12 Months Ended | ||||||||
Dec. 31, 2013 | |||||||||
Organization Tables | ' | ||||||||
Schedule of details of affiliated investment funds | ' | ||||||||
Each Trading Advisor listed below is referred to herein as an “Affiliated Investment Fund” and is collectively referred to herein as the “Affiliated Investment Funds”: | |||||||||
Affiliated Investment Fund | Trading Advisor | Trading Program | Start Date | Termination Date | |||||
CTA Choice GRM (“GRM”)* | Graham | K4D-15V Program | 1/1/11 | 12/31/11 | |||||
CTA Choice EAGL (“EAGL”)* ** | Eagle | Eagle Momentum Program | 5/1/11 | 11/30/12 | |||||
CTA Choice CRABL-PV (“CRABL-PV”)* | Crabel | Two Plus Program | 9/1/11 | 11/30/12 | |||||
CTA Choice KRM (“KRM”)* | Krom | Commodity Diversified Program | 10/1/11 | 11/30/12 | |||||
CTA Choice TDRM (“TDRM”)* | Tudor | Tudor Quantitative Commodities Strategy | 11/1/11 | 12/31/11 | |||||
CTA Choice BLKW (“BLKW”) | Blackwater Capital Management, LLC | Blackwater Global Program | 1/1/12 | 11/30/12 | |||||
CTA Choice ORT (“ORT”)* | Ortus | Major Currency Program | 1/1/12 | 4/30/13 | |||||
CTA Choice BEAM (“BEAM”) | BEAM Bayesian Efficient Asset Management, LLC | BEAM Multi-Strategy Program | 1/1/12 | 4/30/13 | |||||
CTA Choice HKSB (“HKSB”) | Hawksbill Capital Management | Hawksbill Global Diversified Program | 12/1/12 | 8/31/13 | |||||
CTA Choice EGLG (“EGLG”)** *** | Eagle | Eagle Global Program | 1/1/12 | ||||||
CTA Choice SAXN (“SAXN”)*** | Saxon Investment Corporation | Saxon Aggressive Diversified Program | 1/1/12 | ||||||
CTA Choice GLAGS (“GLAGS”)*** | Global Ag, LLC | Diversified Program | 12/1/12 | ||||||
CTA Choice RDOK (“RDOK”)*** | Red Oak Commodity Advisors, Inc. | Fundamental Trading Program | 12/1/12 | ||||||
CTA Choice ELL (“ELL”) *** | Ellington Management Group, LLC | Global Macro Trading Program | 12/1/13 | ||||||
* | Any loss carry forward from Series J’s managed account was transferred over to Series J’s member interest in the corresponding Affiliated Investment Fund. | ||||||||
** | Effective January 1, 2012, the allocation to EAGL was split with a 50% allocation to EAGL and a 50% allocation to EGLG. Series J fully redeemed from EAGL as of November 30, 2012. | ||||||||
*** | Effective December 1, 2013, Series J allocated approximately one-fifth of its net assets to each of ELL, EGLG, GLAGS, RDOK and SAXN. | ||||||||
SUMMARY_OF_SIGNIFICANT_ACCOUNT2
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Summary Of Significant Accounting Policies Tables | ' | ||||||||||||||||
Schedule of assets measured at fair value | ' | ||||||||||||||||
The following table summarizes the assets measured at fair value using the fair value hierarchy: | |||||||||||||||||
31-Dec-13 | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Investment in securities, at fair value | $ | 36,141,750 | $ | 0 | $ | 0 | $ | 36,141,750 | |||||||||
Investment in Affiliated Investment Funds, at fair value | $ | 0 | $ | 12,249,728 | $ | 0 | $ | 12,249,728 | |||||||||
31-Dec-12 | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Investment in securities, at fair value | $ | 65,965,652 | $ | 0 | $ | 0 | $ | 65,965,652 | |||||||||
Investment in Affiliated Investment Funds, at fair value | $ | 0 | $ | 23,396,923 | $ | 0 | $ | 23,396,923 | |||||||||
RELATED_PARTIES_Tables
RELATED PARTIES (Tables) | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Related Parties Tables | ' | ||||||||||||
Summary of expenses incurred by Series J for services performed by Kenmar Preferred and its affiliates | ' | ||||||||||||
The expenses incurred by Series J for services performed by Kenmar Preferred and its affiliates for Series J were as follows: | |||||||||||||
2013 | 2012 | 2011 | |||||||||||
Management fees to Managing Owner | $ | 377,219 | $ | 611,512 | $ | 761,143 | |||||||
ClariTy administrative services fees to affiliate (1) | 0 | 0 | 380,571 | ||||||||||
Managing Owner interest earned on Certain Investment Funds | 142,048 | 624,207 | 382,673 | ||||||||||
Operating expenses | 198,657 | 216,180 | 207,156 | ||||||||||
$ | 717,924 | $ | 1,451,899 | $ | 1,731,543 | ||||||||
(1) ClariTy administrative services fees, which were paid directly to the Managing Owner during 2011, are now paid indirectly through its investment in Affiliated Investment Funds starting January 1, 2012 and totaled $191,420 and $312,245 for the years ended December 31, 2013 and 2012, respectively. | |||||||||||||
SERVICE_FEES_AND_SALES_COMMISS1
SERVICE FEES AND SALES COMMISSIONS (Tables) | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Service Fees And Sales Commissions Tables | ' | ||||||||||||
Schedule of composition of service fee - Class I Units | ' | ||||||||||||
For the years ended December 31, 2013, 2012 and 2011, the Service Fee – Class I Units is composed of the following: | |||||||||||||
2013 | 2012 | 2011 | |||||||||||
Monthly 1/12 of 2% service fee calculated on all Class I Units | $ | 1,371,472 | $ | 2,201,479 | $ | 2,668,303 | |||||||
Initial up-front 2% sales commissions | 35,394 | 23,704 | 423,864 | ||||||||||
Series J’s recapture on 1/12 of 2% service fee on select Units and recapture of the service fee on Units held with no CSA | (48,602 | ) | (233,662 | ) | (508,877 | ) | |||||||
Total | $ | 1,358,264 | $ | 1,991,521 | $ | 2,583,290 | |||||||
INVESTMENT_IN_AFFILIATED_INVES1
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||
Investment In Affiliated Investment Funds Tables | ' | ||||||||||||||||||||
Schedule of change in net asset value of investments in Affiliated Investment Funds | ' | ||||||||||||||||||||
The following table summarizes the change in net asset value (fair value) of Series J’s Level 2 investment in Affiliated Investment Funds for the years ended December 31, 2013 and 2012: | |||||||||||||||||||||
Net asset value | Net asset value | ||||||||||||||||||||
December 31, 2012 | Purchases | Loss | Redemptions | December 31, 2013 | |||||||||||||||||
Investment in Affiliated Investment Funds | $ | 23,396,923 | $ | 39,044,537 | $ | (5,540,057 | ) | $ | (44,651,675 | ) | $ | 12,249,728 | |||||||||
Net asset value | Net asset value | ||||||||||||||||||||
December 31, 2011 | Purchases | Loss | Redemptions | December 31, 2012 | |||||||||||||||||
Investment in Affiliated Investment Funds | $ | 8,207,427 | $ | 105,989,853 | $ | (9,832,498 | ) | $ | (80,967,859 | ) | $ | 23,396,923 | |||||||||
Schedule of capital commitment to Affiliated Investment Funds | ' | ||||||||||||||||||||
Series J’s capital commitment to the Affiliated Investment Funds is disclosed below: | |||||||||||||||||||||
Total Capital Commitment December 31, 2013 | Net Asset Value December 31, 2013 | Remaining Capital Commitment December 31, 2013 | |||||||||||||||||||
CTA Choice EGLG | $ | 11,674,353 | $ | 3,206,826 | $ | 8,467,527 | |||||||||||||||
CTA Choice ELL | 11,160,864 | 3,510,668 | 7,650,196 | ||||||||||||||||||
CTA Choice GLAGS | 11,107,448 | 2,233,373 | 8,874,075 | ||||||||||||||||||
CTA Choice RDOK | 11,343,013 | 2,208,911 | 9,134,102 | ||||||||||||||||||
CTA Choice SAXN | 11,244,686 | 1,089,950 | 10,154,736 | ||||||||||||||||||
Total | $ | 56,530,364 | $ | 12,249,728 | $ | 44,280,636 | |||||||||||||||
COSTS_FEES_AND_EXPENSES_Tables
COSTS, FEES AND EXPENSES (Tables) | 12 Months Ended | ||||||||
Dec. 31, 2013 | |||||||||
Costs Fees And Expenses Tables | ' | ||||||||
Schedule of direct management and incentive fees | ' | ||||||||
Through December 31, 2011, Series J paid each Trading Advisor a monthly management fee and a quarterly incentive fee (calculated monthly) pursuant to the applicable managed account advisory agreement: | |||||||||
Prior to October 1, 2010 | |||||||||
Trading Advisor | Management Fee (1) | Incentive Fee (2) | |||||||
Ortus** | 2 | % | 20 | % | |||||
Eagle* | 2 | % | 20 | % | |||||
Graham* | 2.5 | % | 20 | % | |||||
GLC* | 2 | % | 20 | % | |||||
Krom* | 2 | % | 20 | % | |||||
Paskewitz** | 2 | % | 20 | % | |||||
Crabel* | 1 | % | 25 | % | |||||
Tudor* | 2 | % | 20 | % | |||||
* | The Managing Owner terminated the managed account agreements with GLC, Graham, Eagle, Crabel, Krom and Tudor effective March 31, 2010, December 31, 2010, March 31, 2011, August 31, 2011, September 30, 2011, and October 31, 2011 respectively. | ||||||||
** | The Managing Owner terminated the managed account agreements with Ortus and Paskewitz effective December 31, 2011. | ||||||||
Schedule of change in management and incentive fees | ' | ||||||||
Effective October 1, 2010 for Eagle, Krom and Paskewitz, and effective January 1, 2011 for Ortus, Series J entered into an amendment to change the management fee and incentive fee charged by each Trading Advisor pursuant to the applicable advisory agreement as indicated below: | |||||||||
Trading Advisor | Management Fee (1) | Incentive Fee (2) | |||||||
Eagle | 1.5 | % | 25 | % | |||||
Krom | 1.5 | % | 25 | % | |||||
Ortus | 1 | % | 25 | % | |||||
Paskewitz | 1 | % | 25 | % | |||||
-1 | The Management Fee is paid monthly at a rate equal to 1/12 of the indicated rate above of the Net Asset Value of Series J in accordance with the applicable advisory agreement. | ||||||||
-2 | The Incentive Fee is paid quarterly on the percentage indicated of new net high trading profits of Series J in accordance with the applicable advisory agreement. | ||||||||
Schedule of indirect management and incentive fees through its investment in Afiliated Investment Funds | ' | ||||||||
Effective January 1, 2012, Series J pays indirectly through its investment in Affiliated Investment Funds, the following Trading Advisors’ management fees (based on Series J’s Allocated Assets as of each standard allocation date) and incentive fees for achieving “New High Net Trading Profits” in Series J’s capital accounts within the Affiliated Investment Funds as defined in their respective advisory agreements: | |||||||||
Affiliated Investment Fund | Management Fee | Incentive Fee | |||||||
BEAM** | 1 | % | 20 | % | |||||
BLKW* | 1 | % | 25 | % | |||||
CRABL-PV* | 1 | % | 25 | % | |||||
EAGL* | 1.5 | % | 25 | % | |||||
EGLG | 2 | % | 25 | % | |||||
ELL | 0 | % | 30 | % | |||||
GLAGS | 2 | % | 20 | % | |||||
HKSB*** | 0 | % | 25 | % | |||||
KRM* | 1.5 | % | 25 | % | |||||
ORT** | 1 | % | 25 | % | |||||
RDOK | 2 | % | 20 | % | |||||
SAXN | 0 | % | 25 | % | |||||
* | Series J fully redeemed from BLKW, CRABL-PV, EAGL and KRM as of November 30, 2012. | ||||||||
** | Series J fully redeemed from BEAM and ORT as of April 30, 2013. | ||||||||
*** | Series J fully redeemed from HKSB as of August 31, 2013. | ||||||||
DERIVATIVE_INSTRUMENTS_AND_ASS1
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (Tables) | 12 Months Ended | ||||
Dec. 31, 2013 | |||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||
Schedule of trading revenue of the Company's derivatives by instrument type | ' | ||||
The trading revenue of Series J’s derivatives by instrument type, as well as the location of those gains and losses on the statements of operations, for the year ended December 31, 2011 is as follows: | |||||
2011 | |||||
Type of instrument | |||||
Commodities contracts | $ | (755,304 | ) | ||
Currencies contracts | 449,279 | ||||
Energy contracts | (419,325 | ) | |||
Interest rate contracts | 1,362,798 | ||||
Metals contracts | 854,268 | ||||
Stock indices contracts | (145,102 | ) | |||
Purchased options on futures contracts | (237,784 | ) | |||
Written options on futures contracts | 22,924 | ||||
Forward currency contracts | 893,359 | ||||
Total | $ | 2,025,113 | |||
Line item in the statements of operations | |||||
Net realized (loss) gain | $ | 6,893,490 | |||
Net change in unrealized depreciation and appreciation | (4,868,377 | ) | |||
Total | $ | 2,025,113 | |||
FINANCIAL_HIGHLIGHTS_Tables
FINANCIAL HIGHLIGHTS (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Financial Highlights Tables | ' | ||||||||||||||||||||||||
Schedule of Unit operating performance data and other supplemental financial data | ' | ||||||||||||||||||||||||
The following information presents per Unit operating performance data and other supplemental financial data for the years ended December 31, 2013, 2012 and 2011. This information has been derived from information presented in the financial statements. | |||||||||||||||||||||||||
Class I | Class II | ||||||||||||||||||||||||
2013 | 2012 | 2011 | 2013 | 2012 | 2011 | ||||||||||||||||||||
Per Unit Performance | |||||||||||||||||||||||||
(for a Unit outstanding throughout the entire year) | |||||||||||||||||||||||||
Net Asset Value per Unit at beginning of year | $ | 104.44 | $ | 117.27 | $ | 127.97 | $ | 115.74 | $ | 127.6 | $ | 136.55 | |||||||||||||
Loss from operations: | |||||||||||||||||||||||||
Net realized and change in unrealized loss (1) | (6.72 | ) | (8.78 | ) | (3.73 | ) | (7.52 | ) | (9.69 | ) | (4.03 | ) | |||||||||||||
Interest income (1) | 0 | 0.01 | 0.02 | 0 | 0.01 | 0.02 | |||||||||||||||||||
Dividend income (1) | 0.77 | 1.11 | 1.22 | 0.86 | 1.22 | 1.3 | |||||||||||||||||||
Expenses (3) | (4.69 | ) | (5.17 | ) | (8.21 | ) | (3.05 | ) | (3.40 | ) | (6.24 | ) | |||||||||||||
Total loss from operations | (10.64 | ) | (12.83 | ) | (10.70 | ) | (9.71 | ) | (11.86 | ) | (8.95 | ) | |||||||||||||
Net Asset Value per Unit at end of year | $ | 93.8 | $ | 104.44 | $ | 117.27 | $ | 106.03 | $ | 115.74 | $ | 127.6 | |||||||||||||
Total Return | |||||||||||||||||||||||||
Total return before incentive fees | (10.19 | )% | (10.94 | )% | (7.65 | )% | (8.39 | )% | (9.29 | )% | (5.84 | )% | |||||||||||||
Incentive fee | 0 | % | 0 | % | (0.71 | )% | 0 | % | 0 | % | (0.71 | )% | |||||||||||||
Total return after incentive fees | (10.19 | )% | (10.94 | )% | (8.36 | )% | (8.39 | )% | (9.29 | )% | (6.55 | )% | |||||||||||||
Supplemental data | |||||||||||||||||||||||||
Ratios to average Net Asset Value: | |||||||||||||||||||||||||
Net investment loss before incentive fees (2), (3) | (4.00 | )% | (3.60 | )% | (4.91 | )% | (1.99 | )% | (1.75 | )% | (2.96 | )% | |||||||||||||
Incentive fee (3) | 0 | % | 0 | % | (0.73 | )% | 0 | % | 0 | % | (0.73 | )% | |||||||||||||
Net investment loss after incentive fees (3) | (4.00 | )% | (3.60 | )% | (5.64 | )% | (1.99 | )% | (1.75 | )% | (3.69 | )% | |||||||||||||
Interest income | 0 | % | 0.01 | % | 0.02 | % | 0 | % | 0.01 | % | 0.02 | % | |||||||||||||
Dividend income | 0.79 | % | 0.98 | % | 0.99 | % | 0.78 | % | 0.99 | % | 0.98 | % | |||||||||||||
Incentive fees (3) | 0 | % | 0 | % | 0.73 | % | 0 | % | 0 | % | 0.73 | % | |||||||||||||
Other expenses (3) | 4.79 | % | 4.59 | % | 5.92 | % | 2.77 | % | 2.75 | % | 3.96 | % | |||||||||||||
Total expenses (3) | 4.79 | % | 4.59 | % | 6.65 | % | 2.77 | % | 2.75 | % | 4.69 | % | |||||||||||||
Total returns are calculated based on the change in value of a Unit during the year. An individual Unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. | |||||||||||||||||||||||||
-1 | Dividend income, interest income and other expenses per Unit are calculated by dividing dividend income, interest income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the year. Total trading and investing loss is a balancing amount necessary to reconcile change in Net Asset Value per Unit of each Class with the other per Unit information. | ||||||||||||||||||||||||
-2 | Represents dividend and interest income less total expenses (exclusive of incentive fees). This excludes Series J’s proportionate share of income and expenses from investment in Affiliated Investment Funds. | ||||||||||||||||||||||||
-3 | Trading Advisor management, incentive and various other operating expenses are charged indirectly within Series J’s investment in Affiliated Investment Funds are included in Total Return. | ||||||||||||||||||||||||
SUBSEQUENT_EVENTS_Tables
SUBSEQUENT EVENTS (Tables) | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Subsequent Events Tables | ' | ||||||||||||
Schedule of capital commitments | ' | ||||||||||||
The following table sets out the total capital commitment split between net asset value (amount funded) and the remaining capital commitments as of February 28, 2014: | |||||||||||||
Total Capital | Remaining Capital | ||||||||||||
Commitment | Net Asset Value | Commitment | |||||||||||
February 28, 2014 | February 28, 2014 | February 28, 2014 | |||||||||||
Affiliated Investment Funds | $ | 45,454,802 | $ | 10,208,746 | $ | 35,246,056 |
QUARTERLY_FINANCIAL_INFORMATIO1
QUARTERLY FINANCIAL INFORMATION UNAUDITED (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ' | ||||||||||||||||
Schedule of quarterly financial information | ' | ||||||||||||||||
Selected unaudited quarterly financial data for the years ended December 31, 2013 and 2012 are summarized below: | |||||||||||||||||
First | Second | Third | Fourth | ||||||||||||||
Quarter | Quarter | Quarter | Quarter | ||||||||||||||
2013:00:00 | |||||||||||||||||
Total revenues (losses) (including interest) | $ | (975,535 | ) | $ | (4,896,993 | ) | $ | (1,827,396 | ) | $ | 2,189,054 | ||||||
Total revenues (losses) (including interest) less commissions | $ | (975,535 | ) | $ | (4,896,993 | ) | $ | (1,827,396 | ) | $ | 2,189,054 | ||||||
Net income (loss) | $ | (2,031,016 | ) | $ | (5,857,263 | ) | $ | (2,618,974 | ) | $ | 1,590,243 | ||||||
Net income (loss) per weighted average Interest – Class I | $ | (2.31 | ) | $ | (7.26 | ) | $ | (3.69 | ) | $ | 2.55 | ||||||
Net income (loss) per weighted average Unit – Class II | $ | (2.05 | ) | $ | (7.53 | ) | $ | (3.63 | ) | $ | 3.45 | ||||||
First | Second | Third | Fourth | ||||||||||||||
Quarter | Quarter | Quarter | Quarter | ||||||||||||||
2012:00:00 | |||||||||||||||||
Total revenues (losses) (including interest) | $ | (4,455,615 | ) | $ | (371,992 | ) | $ | 2,609,722 | $ | (6,008,434 | ) | ||||||
Total revenues (losses) (including interest) less commissions | $ | (4,455,615 | ) | $ | (371,992 | ) | $ | 2,609,722 | $ | (6,008,434 | ) | ||||||
Net income (loss) | $ | (5,811,140 | ) | $ | (1,830,339 | ) | $ | 1,175,438 | $ | (7,131,187 | ) | ||||||
Net income (loss) per weighted average Interest – Class I | $ | (4.88 | ) | $ | (1.71 | ) | $ | 1.05 | $ | (7.36 | ) | ||||||
Net income (loss) per weighted average Unit – Class II | $ | (4.65 | ) | $ | (1.15 | ) | $ | 1.85 | $ | (7.47 | ) | ||||||
ORGANIZATION_Details_Narrative
ORGANIZATION (Details Narrative) (USD $) | 0 Months Ended | ||||||||||||
Dec. 05, 2005 | Dec. 31, 2013 | Nov. 30, 2008 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Jan. 02, 2012 | Dec. 31, 2013 | Jan. 02, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | |
Subscribers prior to November 30, 2008 | New Subscribers | Capital Unit Class I | Capital Unit Class II | CTA Choice EAGL | CTA Choice EGLG | CTA Choice EGLG | CTA Choice ELL | CTA Choice GLAGS | CTA Choice RDOK | CTA Choice SAXN | |||
Percentage of allocation after split | ' | ' | ' | ' | ' | ' | 50.00% | ' | 50.00% | ' | ' | ' | ' |
Allocation percentage of investment holdings | ' | ' | ' | ' | ' | ' | ' | 20.00% | ' | 20.00% | 20.00% | 20.00% | 20.00% |
Subscription maximum | ' | $375,000,000 | ' | ' | $281,250,000 | $93,750,000 | ' | ' | ' | ' | ' | ' | ' |
Minimum aggregate initial subscription | ' | ' | 5,000 | 25,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Minimum aggregate initial subscription - Benefit Plans | ' | ' | 2,000 | 10,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Minimum purchase obligation for any single series | ' | ' | 500 | 5,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross proceeds of initial offering | 31,024,443 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Termination threshold - NAV adjustment | ' | 50.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Termination threshold - aggregate NAV | ' | $10,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
ORGANIZATION_Details
ORGANIZATION (Details) | 12 Months Ended | |
Dec. 31, 2013 | ||
CTA Choice GRM | ' | |
Affiliated Investment Fund Name: | 'CTA Choice GRM ("GRM") | [1] |
Trading Advisor | 'Graham | |
Trading Program | 'K4D-15V Program | |
Start Date | '2011-01-01 | |
Termination Date | '2011-12-31 | |
CTA Choice EAGL | ' | |
Affiliated Investment Fund Name: | 'CTA Choice EAGL ("EAGL") | [1],[2] |
Trading Advisor | 'Eagle | |
Trading Program | 'Eagle Momentum Program | |
Start Date | '2011-05-01 | |
Termination Date | '2012-11-30 | |
CTA Choice CRABL-PV | ' | |
Affiliated Investment Fund Name: | 'CTA Choice CRABL-PV ("CRABL-PV") | [1] |
Trading Advisor | 'Crabel | |
Trading Program | 'Two Plus Program | |
Start Date | '2011-09-01 | |
Termination Date | '2012-11-30 | |
CTA Choice KRM | ' | |
Affiliated Investment Fund Name: | 'CTA Choice KRM ("KRM") | [1] |
Trading Advisor | 'Krom | |
Trading Program | 'Commodity Diversified Program | |
Start Date | '2011-10-01 | |
Termination Date | '2012-11-30 | |
CTA Choice TDRM | ' | |
Affiliated Investment Fund Name: | 'CTA Choice TDRM ("TDRM") | |
Trading Advisor | 'Tudor | |
Trading Program | 'Tudor Quantitative Commodities Strategy | |
Start Date | '2011-11-01 | |
Termination Date | '2011-12-31 | |
CTA Choice BLKW | ' | |
Affiliated Investment Fund Name: | 'CTA Choice BLKW ("BLKW") | |
Trading Advisor | 'Blackwater Capital Management, LLC | |
Trading Program | 'Blackwater Global Program | |
Start Date | '2012-01-01 | |
Termination Date | '2012-11-30 | |
CTA Choice ORT | ' | |
Affiliated Investment Fund Name: | 'CTA Choice ORT ("ORT") | |
Trading Advisor | 'Ortus | |
Trading Program | 'Major Currency Program | |
Start Date | '2012-01-01 | |
Termination Date | '2013-04-30 | |
CTA Choice BEAM | ' | |
Affiliated Investment Fund Name: | 'CTA Choice BEAM ("BEAM") | |
Trading Advisor | 'BEAM Bayesian Efficient Asset Management, LLC | |
Trading Program | 'BEAM Multi-Strategy Program | |
Start Date | '2012-01-01 | |
Termination Date | '2013-04-30 | |
CTA Choice HKSB | ' | |
Affiliated Investment Fund Name: | 'CTA Choice HKSB ("HKSB") | |
Trading Advisor | 'Hawksbill Capital Management | |
Trading Program | 'Hawskbill Global Diversified Program | |
Start Date | '2012-12-01 | |
Termination Date | '2013-08-31 | |
CTA Choice EGLG | ' | |
Affiliated Investment Fund Name: | 'CTA Choice EGLG ("EGLG") | [2],[3] |
Trading Advisor | 'Eagle | |
Trading Program | 'Eagle Global Program | |
Start Date | '2012-01-01 | |
CTA Choice SAXN | ' | |
Affiliated Investment Fund Name: | 'CTA Choice SAXN ("SAXN") | [3] |
Trading Advisor | 'Saxon Investment Corporation | |
Trading Program | 'Saxon Aggressive Diversified Program | |
Start Date | '2012-01-01 | |
CTA Choice GLAGS | ' | |
Affiliated Investment Fund Name: | 'CTA Choice GLAGS ("GLAGS") | [3] |
Trading Advisor | 'Global Ag, LLC | |
Trading Program | 'Diversified Program | |
Start Date | '2012-12-01 | |
CTA Choice RDOK | ' | |
Affiliated Investment Fund Name: | 'CTA Choice RDOK ("RDOK") | [3] |
Trading Advisor | 'Red Oak Commodity Advisors, Inc. | |
Trading Program | 'Fundamental Trading Program | |
Start Date | '2012-12-01 | |
CTA Choice ELL | ' | |
Affiliated Investment Fund Name: | 'CTA Choice ELL ("ELL") | [3] |
Trading Advisor | 'Ellington Management Group, LLC | |
Trading Program | 'Global Macro Trading Program | |
Start Date | '2013-12-01 | |
[1] | Any loss carry forward from Series J's Management Account was transferred over to Series J's member interest in the corresponding Affiliated Investment Fund. | |
[2] | Effective January 1, 2012, the allocation to EAGL was split with a 50% allocation to EAGL and a 50% allocation to EGLG. Series J fully redeemed from EAGL as of November 30, 2012. | |
[3] | Effective December 1, 2013, Series J allocated approximately one-fifth of its net assets to each of ELL, EGLG, GLAGS, RDOK and SAXN |
SUMMARY_OF_SIGNIFICANT_ACCOUNT3
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) (USD $) | 12 Months Ended | 26 Months Ended | 85 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Nov. 30, 2006 | Dec. 31, 2013 | |
Number of monthly payments subject to reimbursement by Trust, without interest | '36 months | ' | ' | ' | '36 months |
Total Ongoing Offering Costs incurred to date | $2,877,568 | ' | ' | ' | $2,877,568 |
Ongoing offering costs incurred not be reimbursed to the Managing Owner | ' | ' | ' | 599,062 | 635,144 |
Ongoing offering costs incurred | 211,785 | 285,112 | 321,419 | ' | 2,221,343 |
Allocable Portion of ongoing offering costs | 0.50% | 0.50% | ' | ' | ' |
Managing Owner Interests - Capital Unit Class II | ' | ' | ' | ' | ' |
Total Ongoing Offering Costs incurred to date | 2,820,406 | ' | ' | ' | 2,820,406 |
Ongoing offering costs incurred | ' | ' | ' | ' | $2,240,949 |
SUMMARY_OF_SIGNIFICANT_ACCOUNT4
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
Summary of assets and liabilities measured at fair value | ' | ' |
Investment in securities, at fair value | $36,141,750 | $65,965,652 |
Investment in Affiliated Investment Funds, at fair value | 12,249,728 | 23,396,923 |
Fair Value Inputs, Level 1 | ' | ' |
Summary of assets and liabilities measured at fair value | ' | ' |
Investment in securities, at fair value | 36,141,750 | 65,965,652 |
Investment in Affiliated Investment Funds, at fair value | ' | 0 |
Fair Value Inputs, Level 2 | ' | ' |
Summary of assets and liabilities measured at fair value | ' | ' |
Investment in securities, at fair value | ' | 0 |
Investment in Affiliated Investment Funds, at fair value | 12,249,728 | 23,396,923 |
Fair Value Inputs, Level 3 | ' | ' |
Summary of assets and liabilities measured at fair value | ' | ' |
Investment in securities, at fair value | 0 | 0 |
Investment in Affiliated Investment Funds, at fair value | $0 | $0 |
RELATED_PARTIES_Details_Narrat
RELATED PARTIES (Details Narrative) (USD $) | 12 Months Ended | |||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||
Expenses payable to Kenmar Preferred and its affiliates | $52,350 | $51,125 | ' | |
ClariTy administrative services fees | 0 | 0 | 380,571 | [1] |
Investments in Affiliated Investment Funds | ' | ' | ' | |
ClariTy administrative services fees | $191,420 | $312,245 | ' | |
[1] | ClariTy administrative services fees, which were paid directly to the Managing Owner during 2011, are now paid indirectly through its investment in Affiliated Investment Funds, starting January 1, 2012, and totaled $191,420 and $312,245 for the years ended December 31, 2013 and 2012, respectively. |
RELATED_PARTIES_Details
RELATED PARTIES (Details) (USD $) | 12 Months Ended | |||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
Related Party Expenses | ' | ' | ' | |||
Management fees to Managing Owner | $377,219 | $611,512 | $761,143 | |||
ClariTy administrative services fees | 0 | 0 | 380,571 | [1] | ||
Managing Owner interest earned on Certain Investment Funds | 142,048 | 624,207 | 382,673 | |||
Operating expenses | 551,285 | 608,703 | 843,252 | |||
Kenmar Preferred and Affiliates | ' | ' | ' | |||
Related Party Expenses | ' | ' | ' | |||
Management fees to Managing Owner | 377,219 | 611,512 | 761,143 | |||
ClariTy administrative services fees | 0 | [1] | 0 | [1] | 380,571 | [1] |
Managing Owner interest earned on Certain Investment Funds | 142,048 | 624,207 | 382,673 | |||
Operating expenses | 198,657 | 216,180 | 207,156 | |||
[RelatedPartyTransactionExpensesFromTransactionsWithRelatedParty] | $717,924 | $1,451,899 | $1,731,543 | |||
[1] | ClariTy administrative services fees, which were paid directly to the Managing Owner during 2011, are now paid indirectly through its investment in Affiliated Investment Funds, starting January 1, 2012, and totaled $191,420 and $312,245 for the years ended December 31, 2013 and 2012, respectively. |
MANAGING_OWNER_AND_AFFILIATES_
MANAGING OWNER AND AFFILIATES (Details Narrative) (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
Monthly management fee | '1/12 of 0.5% | ' | ' |
Monthly management fee from Certain Investment Funds | '1/12 of 50% of the first 1% of the positive returns | ' | ' |
Positive returns earned on investment in certain investment funds (percent) | 1.00% | ' | ' |
Additional returns from Certain Investment funds allocated to the Trust | 'Additional positive returns after the calculation of the amount due to the Managing owner or 100% of losses | ' | ' |
Managing Owner interest earned on Certain Investment Funds | $142,048 | $624,207 | $382,673 |
Managed account fees paid to ClariTy | 154,665 | 240,639 | ' |
Management fees on net assets (percent) | 0.50% | ' | ' |
Percentage of losses credited to Company in calculating management fees | 100.00% | ' | ' |
Administrative service fee (as percent) | ' | ' | 0.25% |
Administrative service fee | 1,358,264 | 1,991,521 | 2,583,290 |
Direct Paid Fees | ' | ' | ' |
Administrative service fee | $25,000 | ' | $380,571 |
SERVICE_FEES_AND_SALES_COMMISS2
SERVICE FEES AND SALES COMMISSIONS (Details Narrative) | 39 Months Ended | 72 Months Ended | 12 Months Ended |
Dec. 31, 2013 | Oct. 01, 2010 | Dec. 31, 2013 | |
Capital Unit Class I | |||
Monthly service fee | ' | ' | '1/12 of 2% |
Annual Service fees | ' | ' | 2.00% |
Upfront commission paid to Correspondent Selling Agents | ' | ' | 2.00% |
Monthly commission paid to Correspondent Selling Agents | ' | ' | '1/12 of 2% |
Recapture provision description | ' | ' | '1/12 of 2% service fee on all Units owned for less than 12 months that have received the 2% upfront sales commission and a recapture of the service fee on Units held with no CSA |
Monthly service fee paid to Wells Fargo | '1/12 of 0.30 | '1/12 of 0.10% | ' |
Annual Service fee paid to Wells Fargo | 0.30% | 0.10% | ' |
SERVICE_FEES_AND_SALES_COMMISS3
SERVICE FEES AND SALES COMMISSIONS (Details) (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
Composition of service fee - Class I Units | ' | ' | ' |
Monthly 1/12 of 2% service fee calculated on all Class I Units | $1,371,472 | $2,201,479 | $2,668,303 |
Initial up-front 2% sales commissions | 35,394 | 23,704 | 423,864 |
Series J's recapture on 1/12 of 2% service fee on select units and recapture of the service fee on units held with no CSA | -48,602 | -233,662 | -508,877 |
Total | $1,358,264 | $1,991,521 | $2,583,290 |
ADMINISTRATOR_Details_Narrativ
ADMINISTRATOR (Details Narrative) (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
Administrative service fee | $1,358,264 | $1,991,521 | $2,583,290 |
Direct Paid Fees | ' | ' | ' |
Administrative service fee | 25,000 | ' | 380,571 |
Investments in Affiliated Investment Funds | ' | ' | ' |
Administrative service fee | 137,016 | 163,999 | ' |
Investments in Affiliated Investment Funds | ' | ' | ' |
Administrative service fee | ' | ' | $308,817 |
INVESTMENT_IN_AFFILIATED_INVES2
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details Narrative) | Dec. 31, 2013 | Dec. 31, 2012 |
Investment In Affiliated Investment Funds Details Narrative | ' | ' |
Portion of Net Asset Value invested in Affiliated Investment Funds | 24.25% | 24.06% |
INVESTMENT_IN_AFFILIATED_INVES3
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details) (USD $) | 12 Months Ended | |
Dec. 31, 2013 | Dec. 31, 2012 | |
Change in fair value of net asset value investments in Affiliated Investment Funds | ' | ' |
Investments in Affiliated Investment Funds, Net asset value, Ending Balance | $12,249,728 | $23,396,923 |
Investments in Affiliated Investment Funds | ' | ' |
Change in fair value of net asset value investments in Affiliated Investment Funds | ' | ' |
Investments in Affiliated Investment Funds, Net asset value, Beginning Balance | 23,396,923 | 8,207,427 |
Purchases | 39,044,537 | 105,989,853 |
Loss | -5,540,057 | -9,832,498 |
Redemptions | -44,651,675 | -80,967,859 |
Investments in Affiliated Investment Funds, Net asset value, Ending Balance | $12,249,728 | $23,396,923 |
INVESTMENT_IN_AFFILIATED_INVES4
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details 1) (USD $) | Dec. 31, 2013 |
Total Capital Commitment | $56,530,364 |
Net Asset Value | 12,249,728 |
Remaining Capital Commitment | 44,280,636 |
CTA Choice EGLG | ' |
Total Capital Commitment | 11,674,353 |
Net Asset Value | 3,206,826 |
Remaining Capital Commitment | 8,467,527 |
CTA Choice ELL | ' |
Total Capital Commitment | 11,160,864 |
Net Asset Value | 3,510,668 |
Remaining Capital Commitment | 7,650,196 |
CTA Choice GLAGS | ' |
Total Capital Commitment | 11,107,448 |
Net Asset Value | 2,233,373 |
Remaining Capital Commitment | 8,874,075 |
CTA Choice RDOK | ' |
Total Capital Commitment | 11,343,013 |
Net Asset Value | 2,208,911 |
Remaining Capital Commitment | 9,134,102 |
CTA Choice SAXN | ' |
Total Capital Commitment | 11,244,686 |
Net Asset Value | 1,089,950 |
Remaining Capital Commitment | $10,154,736 |
COSTS_FEES_AND_EXPENSES_Detail
COSTS, FEES AND EXPENSES (Details Narrative) (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
Investments in Affiliated Investment Funds | |||
Management fees paid | $948,597 | $1,309,000 | $2,166,215 |
Incentive fees paid | $519,605 | $597,064 | $1,097,473 |
COSTS_FEES_AND_EXPENSES_Detail1
COSTS, FEES AND EXPENSES (Details) | 36 Months Ended | 87 Months Ended | 39 Months Ended | 72 Months Ended | 75 Months Ended | 78 Months Ended | 39 Months Ended | 83 Months Ended | 39 Months Ended | 87 Months Ended | 84 Months Ended | 85 Months Ended | ||||||||||||
Dec. 31, 2013 | Dec. 31, 2011 | Dec. 31, 2013 | Oct. 01, 2010 | Dec. 31, 2010 | Mar. 31, 2011 | Dec. 31, 2013 | Aug. 31, 2011 | Dec. 31, 2013 | Dec. 31, 2011 | Sep. 30, 2011 | Oct. 31, 2011 | |||||||||||||
Ortus | Ortus | Eagle | Eagle | Graham | GLC | Krom | Krom | Paskewitz | Paskewitz | Crabel | Tudor | |||||||||||||
Management fee (percent) | 1.00% | [1] | 2.00% | [2] | 1.50% | [1] | 2.00% | [3] | 2.50% | [3] | 2.00% | [3] | 1.50% | [1] | 2.00% | [3] | 1.00% | [1] | 2.00% | [2] | 1.00% | [3] | 2.00% | [3] |
Incentive fee (percent) | 25.00% | [4] | 20.00% | [2] | 25.00% | [4] | 20.00% | [3] | 20.00% | [3] | 20.00% | [3] | 25.00% | [4] | 20.00% | [3] | 25.00% | [4] | 20.00% | [2] | 25.00% | [3] | 20.00% | [3] |
[1] | The Management Fee is paid monthly at a rate equal to 1/12 of the indicated rate above of the Net Asset Value of Series J in accordance with the applicable advisory agreement. | |||||||||||||||||||||||
[2] | The Managing Owner terminated the managed account agreements with Ortus and Paskewitz effective December 31, 2011. | |||||||||||||||||||||||
[3] | The Managing Owner terminated the managed account agreements with GLC, Graham, Eagle, Crabel, Krom and Tudor effective March 31, 2010, December 31, 2010, March 31, 2011, August 31, 2011, September 30, 2011, and October 31, 2011 respectively. | |||||||||||||||||||||||
[4] | The Incentive Fee is paid quarterly on the percentage indicated of new net high trading profits of Series J in accordance with the applicable advisory agreement. |
COSTS_FEES_AND_EXPENSES_Detail2
COSTS, FEES AND EXPENSES (Details 1) | 16 Months Ended | 11 Months Ended | 24 Months Ended | 20 Months Ended | 11 Months Ended | 16 Months Ended | 24 Months Ended | ||||||||||||
Apr. 30, 2013 | Nov. 30, 2012 | Nov. 30, 2012 | Nov. 30, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Aug. 31, 2013 | Nov. 30, 2012 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | ||||||||
CTA Choice BEAM | CTA Choice BLKW | CTA Choice CRABL-PV | CTA Choice EAGL | CTA Choice EGLG | CTA Choice ELL | CTA Choice GLAGS | CTA Choice HKSB | CTA Choice KRM | CTA Choice ORT | CTA Choice RDOK | CTA Choice SAXN | ||||||||
Management fee (percent) | 1.00% | [1] | 1.00% | [2] | 1.00% | [2] | 1.50% | [2] | 2.00% | 0.00% | 2.00% | 0.00% | [3] | 1.50% | [2] | 1.00% | [1] | 2.00% | 0.00% |
Incentive fee (percent) | 20.00% | [1] | 25.00% | [2] | 25.00% | [2] | 25.00% | [2] | 25.00% | 30.00% | 20.00% | 25.00% | [3] | 25.00% | [2] | 25.00% | [1] | 20.00% | 25.00% |
[1] | Series J fully redeemed from BEAM and ORT as of April 30, 2013. | ||||||||||||||||||
[2] | Series J fully redeemed from BLKW, CRABL-PV, EAGL and KRM as of November 30, 2012. | ||||||||||||||||||
[3] | Series J fully redeemed from HKSB as of August 31, 2013. |
DERIVATIVE_INSTRUMENTS_AND_ASS2
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (Details Narrative) (USD $) | 12 Months Ended |
Dec. 31, 2011 | |
Derivative Instruments and Associated Risks | ' |
Number of closed futures contracts | 89,362 |
Number of closed option on future contracts | 4,924 |
Average monthly notional value of forward currency contracts closed | $1,339,891,596 |
DERIVATIVE_INSTRUMENTS_AND_ASS3
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (Details) (USD $) | 12 Months Ended |
Dec. 31, 2011 | |
Trading revenue of the Company's derivatives by instrument type | ' |
Net realized (loss) gain | $6,893,490 |
Net change in unrealized depeciation and appreciation | -4,868,377 |
Total | 2,025,113 |
Commodities Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | -755,304 |
Currencies Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | 449,279 |
Energy Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | -419,325 |
Interest Rate Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | 1,362,798 |
Metals Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | 854,268 |
Stock Indices Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | -145,102 |
Purchased Options on Futures Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | -237,784 |
Written Options on Futures Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | 22,924 |
Forward Currency Contracts | ' |
Trading revenue of the Company's derivatives by instrument type | ' |
Total | $893,359 |
FINANCIAL_HIGHLIGHTS_Details
FINANCIAL HIGHLIGHTS (Details) | 12 Months Ended | |||||
Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | ||||
Capital Unit Class I | ' | ' | ' | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | ' | ' | ' | |||
Net asset value per Unit at beginning of period | 104.44 | 117.27 | 127.97 | |||
Loss from operations: | ' | ' | ' | |||
Net realized and change in unrealized loss | -6.72 | [1] | -8.78 | [1] | -3.73 | [1] |
Interest income | 0 | [1] | 0.01 | [1] | 0.02 | [1] |
Dividend income | 0.77 | [1] | 1.11 | [1] | 1.22 | [1] |
Expenses | -4.69 | [2] | -5.17 | [2] | -8.21 | [2] |
Total loss from operations | -10.64 | -12.83 | 10.7 | |||
Net asset value per Unit at end of period | 93.8 | 104.44 | 117.27 | |||
Total Return | ' | ' | ' | |||
Total return before incentive fees | -10.19% | -10.94% | -7.65% | |||
Incentive fee | 0.00% | 0.00% | -0.71% | |||
Total return after incentive fees | -10.19% | -10.94% | -8.36% | |||
Supplemental data - Ratios to Average Net Asset Values: | ' | ' | ' | |||
Net investment loss before incentive fees | -4.00% | [2],[3] | -3.60% | [2],[3] | -4.91% | [2],[3] |
Incentive fee | 0.00% | [2] | 0.00% | [2] | -0.73% | [2] |
Net investment loss after incentive fees | -4.00% | [2] | -3.60% | [2] | -5.64% | [2] |
Interest income | 0.00% | 0.01% | 0.02% | |||
Dividend income | 0.79% | 0.98% | 0.99% | |||
Other expenses | 4.79% | [2] | 4.59% | [2] | 5.92% | [2] |
Total expenses | 4.79% | [2] | 4.59% | [2] | 6.65% | [2] |
Capital Unit Class II | ' | ' | ' | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | ' | ' | ' | |||
Net asset value per Unit at beginning of period | 115.74 | 127.6 | 136.55 | |||
Loss from operations: | ' | ' | ' | |||
Net realized and change in unrealized loss | -7.52 | [1] | -2.77 | [1] | 2.36 | [1] |
Interest income | 0 | [1] | 0.01 | [1] | 0 | [1] |
Dividend income | 0.86 | [1] | 0.84 | [1] | 0.27 | [1] |
Expenses | -3.05 | [2] | -2.64 | [2] | -1 | [2] |
Total loss from operations | -9.71 | -4.56 | 1.63 | |||
Net asset value per Unit at end of period | 106.03 | 115.74 | 127.6 | |||
Total Return | ' | ' | ' | |||
Total return before incentive fees | -8.39% | -9.29% | -5.84% | |||
Incentive fee | 0.00% | 0.00% | -0.71% | |||
Total return after incentive fees | -8.39% | -9.29% | -6.55% | |||
Supplemental data - Ratios to Average Net Asset Values: | ' | ' | ' | |||
Net investment loss before incentive fees | -1.99% | [2],[3] | -1.75% | [2],[3] | -2.96% | [2],[3] |
Incentive fee | 0.00% | [2] | 0.00% | [2] | -0.73% | [2] |
Net investment loss after incentive fees | -1.99% | [2] | -1.75% | [2] | -3.69% | [2] |
Interest income | 0.00% | 0.01% | 0.02% | |||
Dividend income | 0.78% | 0.99% | 0.98% | |||
Other expenses | 2.77% | [2] | 2.75% | [2] | 3.96% | [2] |
Total expenses | 2.77% | [2] | 2.75% | [2] | 4.69% | [2] |
[1] | Dividend income, interest income and other expenses per Unit are calculated by dividing dividend income, interest income and other expenses applicable to each Class by the weighted average number of Units of each Class outstanding during the year. Total trading and investing loss is a balancing amount necessary to reconcile change in Net Asset Value per Unit of each Class with the other per Unit information. | |||||
[2] | Trading Advisor management, incentive and various other operating expenses are charged indirectly within Series J's investment in Affiliated Investment Funds are included in Total Return. | |||||
[3] | Represents dividend and interest income less total expenses (exclusive of incentive fees). This excludes Series J's proportionate share of income and expenses from investment in Affiliated Investment Funds. |
SUBSEQUENT_EVENTS_Details_Narr
SUBSEQUENT EVENTS (Details Narrative) (Subsequent Event, USD $) | 3 Months Ended |
Mar. 18, 2014 | |
Subsequent Event | ' |
Subscriptions | $0 |
Redemptions | $20,387,947 |
SUBSEQUENT_EVENTS_Details
SUBSEQUENT EVENTS (Details) (Subsequent Event, Investments in Affiliated Investment Funds, USD $) | Feb. 28, 2014 |
Subsequent Event | Investments in Affiliated Investment Funds | ' |
Capital commitment to the Affiliated Investment Funds | ' |
Total Capital Commitment | $45,454,802 |
Net Asset Value | 10,208,746 |
Remaining Capital Commitment | $35,246,056 |
QUARTERLY_FINANCIAL_INFORMATIO2
QUARTERLY FINANCIAL INFORMATION UNAUDITED (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | |
Total revenues (losses) (including interest) | $2,189,054 | ($1,827,396) | ($4,896,993) | ($975,535) | ($6,008,434) | $2,609,722 | ($371,992) | ($4,455,615) | ' | ' | ' |
Total revenues (losses) (including interest) less commissions | 2,189,054 | -1,827,396 | -4,896,993 | -975,535 | -6,008,434 | 2,609,722 | -371,992 | -4,455,615 | ' | ' | ' |
Net income (loss) | 1,590,243 | -2,618,974 | -5,857,263 | -2,031,016 | -7,131,187 | 1,175,438 | -1,830,339 | -5,811,140 | -8,917,010 | -13,597,228 | -12,915,149 |
Capital Unit Class I | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | -8,127,221 | -12,261,676 | -11,658,503 |
Net (loss) income per weighted average unitholder | $2.55 | ($3.69) | ($7.26) | ($2.31) | ($7.36) | $1.05 | ($1.71) | ($4.88) | ($11.94) | ($12.75) | ($10.97) |
Capital Unit Class II | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ($789,789) | ($1,335,552) | ($1,250,610) |
Net (loss) income per weighted average unitholder | $2.55 | ($3.63) | ($7.53) | ($2.05) | ($7.47) | $1.85 | ($1.15) | ($4.65) | ($11.26) | ($11.43) | ($9.06) |