Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Feb. 01, 2016 | Jun. 30, 2015 | |
Document And Entity Information | |||
Entity Registrant Name | World Monitor Trust III - Series J | ||
Entity Central Index Key | 1,345,991 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2015 | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2,015 | ||
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 | 138,862.2159 | ||
Entity Value of Interests | $ 12,875,139 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION | Dec. 31, 2015USD ($)$ / Units | Dec. 31, 2014USD ($)$ / Units |
ASSETS | ||
Cash and cash equivalents (see Note 2) | $ 87,832 | $ 987,552 |
Due from Affiliated Investment Funds | 5,030,582 | 759,845 |
Investment in securities, at fair value (cost $3,055,928 and $10,296,827 at December 31, 2015 and 2014, respectively) | 3,016,930 | 10,187,034 |
Investment in Affiliated Investment Funds, at fair value (cost $3,733,685 and $3,965,279 at December 31, 2015 and 2014, respectively) (see Note 7) | 3,222,888 | 4,083,278 |
Total assets | 11,358,232 | 16,017,709 |
LIABILITIES | ||
Accrued expenses payable | 109,348 | 115,573 |
Service fees payable (see Note 5) | 18,601 | 25,659 |
Redemptions payable | 26,179 | 231,883 |
Total liabilities | 154,128 | 373,115 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total Unitholders' capital (Net Asset Value) | 11,204,104 | 15,644,594 |
Total liabilities and Unitholders' capital | 11,358,232 | 16,017,709 |
Capital Unit Class I [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Class I Units: Unitholders' Units - 132,228.873 and 164,636.168 Units outstanding at December 31, 2015 and 2014, respectively; Class II Units: Unitholders' Units -8,371.835 and 9,103.868 Units outstanding at December 31, 2015 and 2014, respectively | $ 10,428,454 | $ 14,707,477 |
NET ASSET VALUE PER UNIT | ||
Net asset value per unit | $ / Units | 78.87 | 89.33 |
Capital Unit Class II [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Class I Units: Unitholders' Units - 132,228.873 and 164,636.168 Units outstanding at December 31, 2015 and 2014, respectively; Class II Units: Unitholders' Units -8,371.835 and 9,103.868 Units outstanding at December 31, 2015 and 2014, respectively | $ 775,650 | $ 937,117 |
NET ASSET VALUE PER UNIT | ||
Net asset value per unit | $ / Units | 92.65 | 102.94 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Investments in Securities, at cost | $ 3,055,928 | $ 10,296,827 | ||
Investments in Affiliated Investment Funds, at cost | $ 3,733,685 | $ 3,965,279 | ||
Unitholders' capital, outstanding | 140,600.708 | 173,740.036 | 532,962.966 | 920,570.11 |
Capital Unit Class I [Member] | ||||
Unitholders' capital, outstanding | 132,228.873 | 164,636.168 | ||
Capital Unit Class II [Member] | ||||
Unitholders' capital, outstanding | 8,371.835 | 9,103.868 |
CONDENSED SCHEDULES OF INVESTME
CONDENSED SCHEDULES OF INVESTMENTS - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Investment in securities, at fair value | $ 3,016,930 | $ 10,187,034 |
Investment in Affiliated Investment Funds, at fair value | 3,222,888 | 4,083,278 |
Investments in Securities, at cost | 3,055,928 | 10,296,827 |
Investments in Affiliated Investment Funds, at cost | $ 3,733,685 | $ 3,965,279 |
JP Morgan Short Duration Bond - Select [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 0.00% | 21.72% |
Investment in securities, at fair value | $ 0 | $ 3,397,829 |
Fidelity Institutional Short Intermediate Government Mutual Fund [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 0.00% | 21.74% |
Investment in securities, at fair value | $ 0 | $ 3,400,797 |
T Rowe Price Short Term Mutual Fund [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 0.00% | 21.66% |
Investment in securities, at fair value | $ 0 | $ 3,388,408 |
Double Line Funds [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 26.39% | 0.00% |
Investment in securities, at fair value | $ 3,016,930 | $ 0 |
Investments in Securities at Fair Value [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 26.39% | 65.12% |
Investment in securities, at fair value | $ 3,016,930 | $ 10,187,034 |
Investments in Securities, at cost | $ 3,222,888 | $ 10,296,827 |
CTA Choice ELL [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 0.00% | 10.49% |
Investment in Affiliated Investment Funds, at fair value | $ 0 | $ 1,641,628 |
CTA Choice FRT [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 9.64% | 4.47% |
Investment in Affiliated Investment Funds, at fair value | $ 1,080,343 | $ 699,632 |
CTA Choice QNTM [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 9.82% | 0.00% |
Investment in Affiliated Investment Funds, at fair value | $ 1,099,543 | $ 0 |
CTA Choice RDOK [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 9.31% | 6.31% |
Investment in Affiliated Investment Funds, at fair value | $ 1,043,022 | $ 986,764 |
Other Investments in Affiliated Investment Funds [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 0.00% | 4.83% |
Investment in Affiliated Investment Funds, at fair value | $ 0 | $ 755,254 |
Investments in Affiliated Investment Funds [Member] | ||
Fair Value as a percentage of Unitholders' Capital | 28.77% | 26.10% |
Investment in Affiliated Investment Funds, at fair value | $ 3,222,888 | $ 4,083,278 |
Investments in Affiliated Investment Funds, at cost | $ 3,733,685 | $ 3,965,279 |
CONDENSED SCHEDULES OF INVESTM5
CONDENSED SCHEDULES OF INVESTMENTS (Parenthetical) - shares | Dec. 31, 2015 | Dec. 31, 2014 |
JP Morgan Short Duration Bond - Select [Member] | ||
Shares owned | 0 | 312,875.606 |
Fidelity Institutional Short Intermediate Government Mutual Fund [Member] | ||
Shares owned | 0 | 339,400.918 |
T Rowe Price Short Term Mutual Fund [Member] | ||
Shares owned | 0 | 713,349.067 |
Double Line Funds [Member] | ||
Shares owned | 301,994.965 | 0 |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
INVESTMENT INCOME | |||
Interest income | $ 14 | $ 915 | $ 2,596 |
Dividend income | 57,580 | 165,426 | 585,439 |
Total investment income | 57,594 | 166,341 | 588,035 |
EXPENSES | |||
Management fees to Managing Owner | 68,962 | 116,999 | 377,219 |
Managing Owner interest earned on Certain Investment Funds (see Note 4) | 12,381 | 106,501 | 142,048 |
Service fees - Class I Units (see Note 5) | 247,636 | 415,586 | 1,358,264 |
Sales commission | 137,854 | 236,991 | 765,539 |
Offering costs | 0 | 59,072 | 211,785 |
Operating expenses | 350,613 | 375,875 | 551,285 |
Total expenses | 817,446 | 1,311,024 | 3,406,140 |
Net investment loss | (759,852) | (1,144,683) | (2,818,105) |
REALIZED AND UNREALIZED GAIN OR (LOSS) ON INVESTMENTS | |||
Net realized loss on investment in securities | (64,120) | (133,338) | (63,290) |
Net change in unrealized appreciation/depreciation on investment in securities | 70,795 | 168,371 | (495,558) |
Net gain (loss) from investment in securities | 6,675 | 35,033 | (558,848) |
Net realized loss on investment in Affiliated Investment Funds | (240,896) | (1,651,994) | (7,513,245) |
Net change in unrealized depreciation/appreciation on investment in Affiliated Investment Funds | (628,796) | (649,646) | 1,973,188 |
Net loss from investment in Affiliated Investment Funds | (869,692) | (2,301,640) | (5,540,057) |
NET LOSS | $ (1,622,869) | $ (3,411,290) | $ (8,917,010) |
Capital Unit Class I [Member] | |||
NET LOSS PER WEIGHTED AVERAGE UNIT | |||
Net loss per weighted average Unit | $ (10.37) | $ (12.94) | $ (11.94) |
Capital Unit Class II [Member] | |||
NET LOSS PER WEIGHTED AVERAGE UNIT | |||
Net loss per weighted average Unit | $ (9.88) | $ (15.47) | $ (11.26) |
Managing Owner Interests - Capital Unit Class I [Member] | |||
NET LOSS PER WEIGHTED AVERAGE UNIT | |||
Weighted average number of Units outstanding | 148,445.168 | 242,375.918 | 680,773.228 |
Managing Owner Interests - Capital Unit Class II [Member] | |||
NET LOSS PER WEIGHTED AVERAGE UNIT | |||
Weighted average number of Units outstanding | 8,495.835 | 17,777.410 | 70,165.167 |
STATEMENTS OF CHANGES IN UNITHO
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL - USD ($) | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Capital Unit Class I [Member] | |||||||
Unitholders' capital, beginning balance | $ 14,707,477 | $ 45,929,534 | $ 14,707,477 | $ 45,929,534 | $ 86,058,399 | ||
Unitholders' capital, beginning balance, Units | 164,636.168 | 489,671.17 | 164,636.168 | 489,671.17 | 823,996.90 | ||
Additions | $ 1,769,679 | ||||||
Additions, Units | 17,682.56 | ||||||
Redemptions | $ (2,740,091) | $ (28,085,771) | $ (33,771,323) | ||||
Redemptions, Units | (32,407.295) | (325,034.998) | (352,008.291) | ||||
Net loss | $ (1,538,932) | $ (3,136,286) | $ (8,127,221) | ||||
Unitholders' capital, ending balance | $ 10,428,454 | $ 14,707,477 | $ 10,428,454 | $ 14,707,477 | $ 45,929,534 | ||
Unitholders' capital, ending balance, Units | 132,228.873 | 164,636.168 | 132,228.873 | 164,636.168 | 489,671.17 | ||
Capital Unit Class II [Member] | |||||||
Unitholders' capital, beginning balance | $ 937,117 | $ 4,590,324 | $ 937,117 | $ 4,590,324 | $ 11,177,006 | ||
Unitholders' capital, beginning balance, Units | 9,103.868 | 43,291.80 | 9,103.868 | 43,291.80 | 96,573.22 | ||
Additions | $ 164,000 | ||||||
Additions, Units | 1,457.36 | ||||||
Redemptions | $ (77,530) | $ (3,378,203) | $ (5,960,893) | ||||
Redemptions, Units | (732.033) | (34,187.932) | (54,738.773) | ||||
Net loss | $ (83,937) | $ (275,004) | $ (789,789) | ||||
Unitholders' capital, ending balance | $ 775,650 | $ 937,117 | $ 775,650 | $ 937,117 | $ 4,590,324 | ||
Unitholders' capital, ending balance, Units | 8,371.835 | 9,103.868 | 8,371.835 | 9,103.868 | 43,291.80 | ||
Unitholders' capital, beginning balance | $ 15,644,594 | $ 50,519,858 | $ 15,644,594 | $ 50,519,858 | $ 97,235,405 | ||
Unitholders' capital, beginning balance, Units | 173,740.036 | 532,962.966 | 173,740.036 | 532,962.966 | 920,570.11 | ||
Additions | $ 1,933,679 | ||||||
Additions, Units | 19,139.92 | ||||||
Redemptions | $ (2,817,621) | $ (31,463,974) | $ (39,732,216) | ||||
Redemptions, Units | (33,139.38) | (359,222.930) | (406,747.064) | ||||
Net loss | $ (412,509) | $ 735,956 | $ (172,893) | $ (4,445,704) | $ (1,622,869) | $ (3,411,290) | $ (8,917,010) |
Unitholders' capital, ending balance | $ 11,204,104 | $ 15,644,594 | $ 11,204,104 | $ 15,644,594 | $ 50,519,858 | ||
Unitholders' capital, ending balance, Units | 140,600.708 | 173,740.036 | 140,600.708 | 173,740.036 | 532,962.966 |
ORGANIZATION
ORGANIZATION | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
ORGANIZATION | Note 1. ORGANIZATION A. General Description of the Trust World Monitor Trust III (the Trust Series Trust Agreement Effective March 17, 2014, the Kenmar Group and the Olympia Group of Companies merged with the GEMS Group. In connection with the merger, certain changes in the corporate structure of the organization have occurred. Kenmar Preferred Investments, L.P. ( Kenmar Preferred Managing Owner Effective March 17, 2014, ClariTy Managed Account & Analytics Platform, L.P. changed its name and form of entity to ClariTy Managed Account & Analytics Platform, LLC ( ClariTy CTA Choice Effective March 17, 2014, Kenmar Global Investment Management, L.P changed its name and form of entity to Kenmar Global Investment Management, LLC (the Asset Allocator 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 interestholders 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 Trading Advisor Trading Advisors Each Trading Advisor listed below is referred to herein as an Affiliated Investment Fund Affiliated Investment Funds Affiliated Investment Fund Trading Advisor Trading Program Start Date Termination Date CTA Choice ORT ORT Ortus Major Currency Program 01/1/12 04/30/13 CTA Choice BEAM BEAM BEAM Bayesian Efficient Asset Management, LLC BEAM Multi-Strategy Program 01/1/12 04/30/13 CTA Choice HKSB HKSB Hawksbill Capital Management Hawksbill Global Diversified Program 12/1/12 08/31/13 CTA Choice EGLG EGLG Eagle Trading Systems Inc. Eagle Global Program 01/1/12 04/30/15 CTA Choice SAXN SAXN Saxon Investment Corporation Saxon Aggressive Diversified Program 01/1/12 12/31/14 CTA Choice GLAGS GLAGS Global Ag, LLC Diversified Program 12/1/12 12/31/14 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 12/31/15 CTA Choice FRT FRT Fort, L.P. Global Diversified Program 08/1/14 CTA Choice QNTM QNTM Quantmetrics Capital Management LLP QM Multi Strategy Program 05/1/15 CTA Choice SCT SCT SCT Capital Management Inc. AQT1X Trading Program 05/1/15 12/31/15 CTA Choice WTN WTN Winton Capital Management Limited Diversified Program 05/1/15 12/31/15 CTA Choice KEY KEY KeyQuant S.A.S. Key Trends Program 01/1/16 * Any loss carry forward from Series Js managed account was transferred over to Series Js member interest in the corresponding Affiliated Investment Fund. Series J meets the definition of an investment company in accordance with guidance under Accounting Standards Codification Topic 946 Financial Services Investment Companies B. Regulation As a registrant with the Securities and Exchange Commission ( SEC As a commodity pool, the Trust and each Series are subject to the regulations of the Commodity Futures Trading Commission ( CFTC NFA C. The Offering Series J offers units (the Units Class 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 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. 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 Js 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 ACCOUNTI
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2015 | |
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 The weighted average number of Units outstanding was computed for purposes of disclosing net gain (loss) per weighted average Unit. 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, which are valued using the net asset value on the last day of the period. Realized gains and losses from investment in securities and Affiliated Investment Funds 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 Js 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 practice 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 the Affiliated Investment Funds is at fair value. There are no Level 3 investments on December 31, 2015 or 2014, nor any portion of the interim periods. The following tables summarize the assets measured at fair value using the fair value hierarchy: December 31, 2015 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 3,016,930 $ 0 $ 0 $ 3,016,930 Investment in Affiliated Investment Funds, at fair value $ 0 $ 3,222,888 $ 0 $ 3,222,888 December 31, 2014 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 10,187,034 $ 0 $ 0 $ 10,187,034 Investment in Affiliated Investment Funds, at fair value $ 0 $ 4,083,278 $ 0 $ 4,083,278 B. 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 institutions 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. C. 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 appropriately recognizes and discloses uncertain tax provisions in their financial statements. Recognition is permitted for each position if, based on its technical merits, it is more likely than not that the position will be upheld under audit by tax authorities. The Managing Owner has reviewed Series Js tax positions for all open years and concluded that no provision for income taxes or expense is required in these financial statements. Series J has elected an accounting policy to classify interest and penalties related to income taxes as interest or other expense. There have been no differences between the tax basis and book basis of assets, liabilities or Unitholders capital since inception of Series J. D. 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. E. Offering Costs In accordance with the Trusts 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 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, 2015, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $2,300,021 and $2,280,415, respectively. Of the $2,280,415, 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, 2015 and 2014, Series Js allocable portion of ongoing offering costs did not exceed 0.50% per annum of the Net Asset Value of Series J. F. Interest and Dividends Interest is recorded on an accrual basis. Dividends are recorded on the ex-dividend date. G. Investment in Affiliated Investment Funds The investment in Affiliated Investment Funds is reported at fair value in Series Js statements of financial condition. Fair value ordinarily is the funds net asset value as determined for the Affiliated Investment Funds in accordance with the funds valuation policies and reported at the time of Series Js valuation by the management of the funds. Generally, the fair value of Series Js investment in Affiliated Investment Funds represents the amount that Series J could reasonably expect to receive from the Affiliated Investment Funds if Series Js investment was 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. H. New Accounting Pronouncement In May, 2015, the FASB issued Accounting Standards Update No. 2015-07 (ASU 2015-07), Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or its Equivalent) . |
RELATED PARTIES
RELATED PARTIES | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
RELATED PARTIES | Note 3. RELATED PARTIES Series J reimburses Kenmar Preferred and its affiliates for services it performs for Series J, which include, but are not limited to: management, legal, accounting, registrar, transfer and assignment functions, investor communications, printing, and other administrative services. The expenses incurred by Series J for services performed by Kenmar Preferred and its affiliates for Series J were as follows: 2015 2014 2013 Management fees to Managing Owner $ 68,962 $ 116,999 $ 377,219 Managing Owner interest earned on Certain Investment Funds 12,381 106,501 142,048 Operating expenses 136,564 141,527 198,657 Total $ 217,907 $ 365,027 $ 717,924 Expenses payable to the Managing Owner and its affiliates, which are included in accrued expenses payable in the statements of financial condition as of December 31, 2015 and 2014, were $33,772 and $33,110, respectively. |
MANAGING OWNER AND AFFILIATES
MANAGING OWNER AND AFFILIATES | 12 Months Ended |
Dec. 31, 2015 | |
Managing Owner And Affiliates | |
MANAGING OWNER AND AFFILIATES | Note 4. MANAGING OWNER AND AFFILIATES The Managing Owner is paid a monthly management fee of 1/12 th 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 rules and regulations (collectively, Certain Investment Funds th 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 Js 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 Owners portion of Certain Investment Funds income. For the years ended December 31, 2015, 2014 and 2013, the Managing Owners portion of interest earned on Certain Investment Funds amounted to $12,381, $106,501 and $142,048, respectively. Series J pays a monthly administrative services fee to ClariTy for risk management and related services with respect to monitoring the Trading Advisors, indirectly through its investment in Affiliated Investment Funds based on their respective beginning of month Allocated Assets. For the years ended December 31, 2015, 2014 and 2013, the administrative services fee earned indirectly totaled $39,467, $59,293 and $191,420, respectively. |
SERVICE FEES AND SALES COMMISSI
SERVICE FEES AND SALES COMMISSIONS | 12 Months Ended |
Dec. 31, 2015 | |
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 th CSA th th The Service Fee Class I Units (as described below) disclosed in the statements of operations represents (i) the monthly 1/12 th th For the years ended December 31, 2015, 2014 and 2013, the Service Fee Class I Units is composed of the following: 2015 2014 2013 Monthly 1/12 th $ 258,694 $ 437,028 $ 1,371,472 Initial up-front 2% sales commissions 0 0 35,394 Series Js recapture on 1/12 th (11,058 ) (21,442 ) (48,602 ) Total $ 247,636 $ 415,586 $ 1,358,264 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 1/12 th th |
ADMINISTRATOR
ADMINISTRATOR | 12 Months Ended |
Dec. 31, 2015 | |
Administrator | |
ADMINISTRATOR | Note 6. ADMINISTRATOR SS&C GlobeOp Financial Services LLC ( SS&C GlobeOp Administrator Series J indirectly pays its pro-rata share of administrator fees through its investment in Affiliated Investment Funds. For the years ended December 31, 2015, 2014 and 2013, Series J indirectly paid administrator fees totaling $90,811, $65,713 and $137,016, respectively. Series J also pays administrator fees directly to SS&C GlobeOp. For the years ended December 31, 2015, 2014 and 2013, Series J directly paid SS&C GlobeOp administrator fees of $25,000, $29,479 and $25,000, respectively. |
INVESTMENT IN AFFILIATED INVEST
INVESTMENT IN AFFILIATED INVESTMENT FUNDS | 12 Months Ended |
Dec. 31, 2015 | |
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 Js investment in Affiliated Investment Funds represents 28.77% and 26.10% of the Net Asset Value of Series J at December 31, 2015 and 2014, respectively. The investment in Affiliated Investment Funds is reported in Series Js 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 tables summarize the change in net asset value (fair value) of Series Js investment in Affiliated Investment Funds for the years ended December 31, 2015 and 2014: Net asset value December 31, 2014 Purchases Loss Redemptions Net asset value December 31, 2015 Investment in Affiliated Investment Funds $ 4,083,278 $ 16,641,534 $ (869,692 ) $ (16,632,232 ) $ 3,222,888 Net asset value December 31, 2013 Purchases Loss Redemptions Net asset value December 31, 2014 Investment in Affiliated Investment Funds $ 12,249,728 $ 6,462,131 $ (2,301,640 ) $ (12,326,941 ) $ 4,083,278 The Affiliated Investment Funds are redeemable monthly and require a redemption notice of 1-5 days. Series J may make additional contributions to or redemptions from the Affiliated Investment Funds on a standard allocation date. The Affiliated Investment Funds engage in trading commodity futures including agricultural, currency, energy, interest rates and stock indices among other types, foreign currency forward contracts and options on futures contracts. Series J records its proportionate share of income or loss in the statements of operations. Prior to May 1, 2015, Series Js investment in Affiliated Investment Funds was not fully funded, but was subject to additional capital calls up to the full amount of the capital commitment. Effective May 1, 2015, in accordance with the amendment to CTA Choices Private Placement Memorandum, the full amount of Series Js capital contribution to an Affiliated Investment Fund is traded by each Trading Advisor pursuant to its trading strategy at the Affiliated Investment Funds Investment Level Factor. An Affiliated Investment Funds Investment Level Factor multiplied by the capital contribution of Series J to an Affiliated Investment Fund shall equal Series Js Investment Level. An Affiliated Investment Funds Investment Level Factor is the trading leverage factor of an Affiliated Investment Fund, as designated by ClariTy from time to time for such Affiliated Investment Fund, and reflects the level at which a Trading Advisor is instructed to trade the Affiliated Investment Funds assets. ClariTy may increase or decrease the Affiliated Investment Funds Investment Level Factor in its sole discretion. The following table sets out the total capital contribution and Investment Level split between net asset value: Total capital Total Investment Level December 31, CTA Choice FRT $ 1,080,343 $ 2,221,777 CTA Choice QNTM 1,099,543 2,215,639 CTA Choice RDOK 1,043,002 2,119,690 Total $ 3,222,888 $ 6,557,106 Series Js 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, 2015 | |
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, 2015 | |
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 Series J pays indirectly through its investment in Affiliated Investment Funds, the following Trading Advisors management fees (based on Series Js Allocated Assets as of each standard allocation date) and incentive fees for achieving New High Net Trading Profits, in Series Js capital accounts within the Affiliated Investment Funds as defined in their respective advisory agreements: Affiliated Investment Fund Management Fee Incentive Fee CTA Choice EGLG** 2.00 % 25.00 % CTA Choice ELL*** 0.00 % 30.00 % CTA Choice FRT 2.00 % 20.00 % CTA Choice GLAGS* 2.00 % 20.00 % CTA Choice QNTM 1.00 % 25.00 % CTA Choice RDOK 2.00 % 20.00 % CTA Choice SAXN* 0.00 % 25.00 % CTA Choice SCT*** , 0.75 % 20.00 % CTA Choice WTN*** 1.50 % 20.00 % * Series J fully redeemed from CTA Choice GLAGS and CTA Choice SAXN as of December 31, 2014. ** Series J fully redeemed from CTA Choice EGLG as of April 30, 2015. *** Series J fully redeemed from CTA Choice ELL, CTA Choice SCT and CTA Choice WTN as of December 31, 2015. **** Series J invested in CTA Choice SCTs 2x program and pays a management fee of 1.50%. For the years ended December 31, 2015, 2014 and 2013, the Trading Advisor management fees paid indirectly within each Affiliated Investment Fund based on Series Js Allocated Assets as of each standard allocation date, of $220,796, $290,792 and $948,597, respectively. For the years ended December 31, 2015, 2014 and 2013, the Trading Advisor incentive fees paid indirectly within Series Js investment in Affiliated Investment Funds totaled $195,512, $256,149 and $519,605, respectively. C. Commissions Series J, indirectly through the commodity trading activity of the Affiliated Investment Funds, is obligated to pay all floor brokerage expenses, give-up charges and NFA clearing and exchange fees. These activities are reflected within the respective net asset value of each of the Affiliated Investment Funds. |
DERIVATIVE INSTRUMENTS AND ASSO
DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 and 2014. Derivative trading activity is conducted within the Affiliated Investment Funds. Series Js 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 Js 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 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, 2015 | |
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, 2015, 2014 and 2013. This information has been derived from information presented in the financial statements: Class I Class II 2015 2014 2013 2015 2014 2013 Per Unit Performance (for a Unit outstanding throughout the entire year) Net Asset Value per Unit at beginning of year $ 89.33 $ 93.80 $ 104.44 $ 102.94 $ 106.03 $ 115.74 Loss from operations: Net realized and change in unrealized (loss) gain (1) (5.55 ) 0.02 (6.72 ) (6.58 ) 0.11 (7.52 ) Interest income (1) 0.00 0.00 0.00 0.00 0.00 0.00 Dividend income (1) 0.36 0.63 0.77 0.43 0.71 0.86 Expenses (3) (5.27 ) (5.12 ) (4.69 ) (4.14 ) (3.91 ) (3.05 ) Total loss from operations (10.46 ) (4.47 ) (10.64 ) (10.29 ) (3.09 ) (9.71 ) Net Asset Value per Unit at end of year $ 78.87 $ 89.33 $ 93.80 $ 92.65 $ 102.94 $ 106.03 Total Return (3) (11.71 )% (4.77 )% (10.19 )% (10.00 )% (2.91 )% (8.39 )% Supplemental data Ratios to average Net Asset Value: Net investment loss (2), (3) (5.72 )% (5.11 )% (4.00 )% (3.73 )% (3.19 )% (1.99 )% Interest income 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Dividend income 0.42 % 0.72 % 0.79 % 0.43 % 0.71 % 0.78 % Other expenses (3) 6.14 % 5.83 % 4.79 % 4.16 % 3.90 % 2.77 % Total return is calculated based on the change in value of a Unit during the year. An individual Unitholders total return 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 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. Net realized and change in unrealized (loss) gain is a balancing amount necessary to reconcile the 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. This excludes Series Js 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 Js investment in Affiliated Investment Funds are included in Total Return. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2015 | |
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 commitment as of January 31, 2016: Total capital contribution Total Affiliated Investment Funds $ 9,044,538 $ 13,438,450 From January 1, 2016 through March 23, 2016, there were estimated redemptions of $463,000. |
Quarterly Financial Information
Quarterly Financial Information | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information | FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA The financial statements are incorporated by reference to pages 2 through 21 of the Registrants 2015 Annual Report, which is filed as an exhibit hereto. Selected unaudited quarterly financial data for the years ended December 31, 2015 and 2014 are summarized below: First Second Third Fourth 2015: Total revenues (losses) (including interest) $ 957,008 $ (1,508,748 ) $ (18,575 ) $ (235,108 ) Total revenues (losses) (including interest) less commissions $ 957,008 $ (1,508,748 ) $ (18,575 ) $ (235,108 ) Net income (loss) $ 735,956 $ (1,733,329 ) $ (212,987 ) $ (412,509 ) Net income (loss) per weighted average Unit Class I $ 4.26 $ (10.56 ) $ (1.43 ) $ (2.88 ) Net income (loss) per weighted average Unit Class II $ 5.38 $ (11.54 ) $ (1.20 ) $ (2.92 ) First Second Third Fourth 2014: Total revenues (losses) (including interest) $ (3,915,144 ) $ 171,812 $ 1,600,709 $ 42,357 Total revenues (losses) (including interest) less commissions $ (3,915,144 ) $ 171,812 $ 1,600,709 $ 42,357 Net income (loss) $ (4,445,704 ) $ (172,097 ) $ 1,379,404 $ (172,893 ) Net income (loss) per weighted average Unit Class I $ (10.74 ) $ (0.78 ) $ 7.19 $ (1.00 ) Net income (loss) per weighted average Unit Class II $ (11.76 ) $ (0.24 ) $ 8.72 $ (0.61 ) 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 ACCOUN21
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
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 The weighted average number of Units outstanding was computed for purposes of disclosing net gain (loss) per weighted average Unit. 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, which are valued using the net asset value on the last day of the period. Realized gains and losses from investment in securities and Affiliated Investment Funds 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 Js 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 practice 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 the Affiliated Investment Funds is at fair value. There are no Level 3 investments on December 31, 2015 or 2014, nor any portion of the interim periods. The following tables summarize the assets measured at fair value using the fair value hierarchy: December 31, 2015 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 3,016,930 $ 0 $ 0 $ 3,016,930 Investment in Affiliated Investment Funds, at fair value $ 0 $ 3,222,888 $ 0 $ 3,222,888 December 31, 2014 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 10,187,034 $ 0 $ 0 $ 10,187,034 Investment in Affiliated Investment Funds, at fair value $ 0 $ 4,083,278 $ 0 $ 4,083,278 |
Cash and Cash Equivalents | B. 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 institutions 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 | C. 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 appropriately recognizes and discloses uncertain tax provisions in their financial statements. Recognition is permitted for each position if, based on its technical merits, it is more likely than not that the position will be upheld under audit by tax authorities. The Managing Owner has reviewed Series Js tax positions for all open years and concluded that no provision for income taxes or expense is required in these financial statements. Series J has elected an accounting policy to classify interest and penalties related to income taxes as interest or other expense. 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 | D. 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 | E. Offering Costs In accordance with the Trusts 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 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, 2015, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $2,300,021 and $2,280,415, respectively. Of the $2,280,415, 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, 2015 and 2014, Series Js allocable portion of ongoing offering costs did not exceed 0.50% per annum of the Net Asset Value of Series J. |
Interest and Dividends | F. Interest and Dividends Interest is recorded on an accrual basis. Dividends are recorded on the ex-dividend date. |
Investments in Affiliated Investment Funds | G. Investment in Affiliated Investment Funds The investment in Affiliated Investment Funds is reported at fair value in Series Js statements of financial condition. Fair value ordinarily is the funds net asset value as determined for the Affiliated Investment Funds in accordance with the funds valuation policies and reported at the time of Series Js valuation by the management of the funds. Generally, the fair value of Series Js investment in Affiliated Investment Funds represents the amount that Series J could reasonably expect to receive from the Affiliated Investment Funds if Series Js investment was 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. |
New Accounting Pronouncement | H. New Accounting Pronouncement In May, 2015, the FASB issued Accounting Standards Update No. 2015-07 (ASU 2015-07), Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or its Equivalent) . |
ORGANIZATION (Tables)
ORGANIZATION (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of details of affiliated investment funds | Each Trading Advisor listed below is referred to herein as an Affiliated Investment Fund Affiliated Investment Funds Affiliated Investment Fund Trading Advisor Trading Program Start Date Termination Date CTA Choice ORT ORT Ortus Major Currency Program 01/1/12 04/30/13 CTA Choice BEAM BEAM BEAM Bayesian Efficient Asset Management, LLC BEAM Multi-Strategy Program 01/1/12 04/30/13 CTA Choice HKSB HKSB Hawksbill Capital Management Hawksbill Global Diversified Program 12/1/12 08/31/13 CTA Choice EGLG EGLG Eagle Trading Systems Inc. Eagle Global Program 01/1/12 04/30/15 CTA Choice SAXN SAXN Saxon Investment Corporation Saxon Aggressive Diversified Program 01/1/12 12/31/14 CTA Choice GLAGS GLAGS Global Ag, LLC Diversified Program 12/1/12 12/31/14 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 12/31/15 CTA Choice FRT FRT Fort, L.P. Global Diversified Program 08/1/14 CTA Choice QNTM QNTM Quantmetrics Capital Management LLP QM Multi Strategy Program 05/1/15 CTA Choice SCT SCT SCT Capital Management Inc. AQT1X Trading Program 05/1/15 12/31/15 CTA Choice WTN WTN Winton Capital Management Limited Diversified Program 05/1/15 12/31/15 CTA Choice KEY KEY KeyQuant S.A.S. Key Trends Program 01/1/16 * Any loss carry forward from Series Js managed account was transferred over to Series Js member interest in the corresponding Affiliated Investment Fund. |
SUMMARY OF SIGNIFICANT ACCOUN23
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Summary Of Significant Accounting Policies Tables | |
Schedule of assets measured at fair value | The following tables summarize the assets measured at fair value using the fair value hierarchy: December 31, 2015 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 3,016,930 $ 0 $ 0 $ 3,016,930 Investment in Affiliated Investment Funds, at fair value $ 0 $ 3,222,888 $ 0 $ 3,222,888 December 31, 2014 Level 1 Level 2 Level 3 Total Assets: Investment in securities, at fair value $ 10,187,034 $ 0 $ 0 $ 10,187,034 Investment in Affiliated Investment Funds, at fair value $ 0 $ 4,083,278 $ 0 $ 4,083,278 |
RELATED PARTIES (Tables)
RELATED PARTIES (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
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: 2015 2014 2013 Management fees to Managing Owner $ 68,962 $ 116,999 $ 377,219 Managing Owner interest earned on Certain Investment Funds 12,381 106,501 142,048 Operating expenses 136,564 141,527 198,657 Total $ 217,907 $ 365,027 $ 717,924 |
INVESTMENT IN AFFILIATED INVE25
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | |
Schedule of change in net asset value of investments in Affiliated Investment Funds | The following tables summarize the change in net asset value (fair value) of Series Js investment in Affiliated Investment Funds for the years ended December 31, 2015 and 2014: Net asset value December 31, 2014 Purchases Loss Redemptions Net asset value December 31, 2015 Investment in Affiliated Investment Funds $ 4,083,278 $ 16,641,534 $ (869,692 ) $ (16,632,232 ) $ 3,222,888 Net asset value December 31, 2013 Purchases Loss Redemptions Net asset value December 31, 2014 Investment in Affiliated Investment Funds $ 12,249,728 $ 6,462,131 $ (2,301,640 ) $ (12,326,941 ) $ 4,083,278 |
Schedule of capital commitment to Affiliated Investment Funds | The following table sets out the total capital contribution and Investment Level split between net asset value: Total capital Total Investment Level December 31, CTA Choice FRT $ 1,080,343 $ 2,221,777 CTA Choice QNTM 1,099,543 2,215,639 CTA Choice RDOK 1,043,002 2,119,690 Total $ 3,222,888 $ 6,557,106 |
COSTS, FEES AND EXPENSES (Table
COSTS, FEES AND EXPENSES (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Costs Fees And Expenses Tables | |
Schedule of direct management and incentive fees | Series J pays indirectly through its investment in Affiliated Investment Funds, the following Trading Advisors management fees (based on Series Js Allocated Assets as of each standard allocation date) and incentive fees for achieving New High Net Trading Profits, in Series Js capital accounts within the Affiliated Investment Funds as defined in their respective advisory agreements: Affiliated Investment Fund Management Fee Incentive Fee CTA Choice EGLG** 2.00 % 25.00 % CTA Choice ELL*** 0.00 % 30.00 % CTA Choice FRT 2.00 % 20.00 % CTA Choice GLAGS* 2.00 % 20.00 % CTA Choice QNTM 1.00 % 25.00 % CTA Choice RDOK 2.00 % 20.00 % CTA Choice SAXN* 0.00 % 25.00 % CTA Choice SCT*** , 0.75 % 20.00 % CTA Choice WTN*** 1.50 % 20.00 % * Series J fully redeemed from CTA Choice GLAGS and CTA Choice SAXN as of December 31, 2014. ** Series J fully redeemed from CTA Choice EGLG as of April 30, 2015. *** Series J fully redeemed from CTA Choice ELL, CTA Choice SCT and CTA Choice WTN as of December 31, 2015. **** Series J invested in CTA Choice SCTs 2x program and pays a management fee of 1.50%. |
FINANCIAL HIGHLIGHTS (Tables)
FINANCIAL HIGHLIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015, 2014 and 2013. This information has been derived from information presented in the financial statements: Class I Class II 2015 2014 2013 2015 2014 2013 Per Unit Performance (for a Unit outstanding throughout the entire year) Net Asset Value per Unit at beginning of year $ 89.33 $ 93.80 $ 104.44 $ 102.94 $ 106.03 $ 115.74 Loss from operations: Net realized and change in unrealized (loss) gain (1) (5.55 ) 0.02 (6.72 ) (6.58 ) 0.11 (7.52 ) Interest income (1) 0.00 0.00 0.00 0.00 0.00 0.00 Dividend income (1) 0.36 0.63 0.77 0.43 0.71 0.86 Expenses (3) (5.27 ) (5.12 ) (4.69 ) (4.14 ) (3.91 ) (3.05 ) Total loss from operations (10.46 ) (4.47 ) (10.64 ) (10.29 ) (3.09 ) (9.71 ) Net Asset Value per Unit at end of year $ 78.87 $ 89.33 $ 93.80 $ 92.65 $ 102.94 $ 106.03 Total Return (3) (11.71 )% (4.77 )% (10.19 )% (10.00 )% (2.91 )% (8.39 )% Supplemental data Ratios to average Net Asset Value: Net investment loss (2), (3) (5.72 )% (5.11 )% (4.00 )% (3.73 )% (3.19 )% (1.99 )% Interest income 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Dividend income 0.42 % 0.72 % 0.79 % 0.43 % 0.71 % 0.78 % Other expenses (3) 6.14 % 5.83 % 4.79 % 4.16 % 3.90 % 2.77 % Total return is calculated based on the change in value of a Unit during the year. An individual Unitholders total return 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 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. Net realized and change in unrealized (loss) gain is a balancing amount necessary to reconcile the 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. This excludes Series Js 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 Js investment in Affiliated Investment Funds are included in Total Return. |
SUBSEQUENT EVENTS (Tables)
SUBSEQUENT EVENTS (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Subsequent Events Tables | |
Total capital contributions and investment level split | The following table sets out the total capital commitment split between net asset value (amount funded) and the remaining capital commitment as of January 31, 2016: Total capital contribution Total Affiliated Investment Funds $ 9,044,538 $ 13,438,450 |
Quarterly Financial Informati29
Quarterly Financial Information (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summarized quarterly financial information | Selected unaudited quarterly financial data for the years ended December 31, 2015 and 2014 are summarized below: First Second Third Fourth 2015: Total revenues (losses) (including interest) $ 957,008 $ (1,508,748 ) $ (18,575 ) $ (235,108 ) Total revenues (losses) (including interest) less commissions $ 957,008 $ (1,508,748 ) $ (18,575 ) $ (235,108 ) Net income (loss) $ 735,956 $ (1,733,329 ) $ (212,987 ) $ (412,509 ) Net income (loss) per weighted average Unit Class I $ 4.26 $ (10.56 ) $ (1.43 ) $ (2.88 ) Net income (loss) per weighted average Unit Class II $ 5.38 $ (11.54 ) $ (1.20 ) $ (2.92 ) First Second Third Fourth 2014: Total revenues (losses) (including interest) $ (3,915,144 ) $ 171,812 $ 1,600,709 $ 42,357 Total revenues (losses) (including interest) less commissions $ (3,915,144 ) $ 171,812 $ 1,600,709 $ 42,357 Net income (loss) $ (4,445,704 ) $ (172,097 ) $ 1,379,404 $ (172,893 ) Net income (loss) per weighted average Unit Class I $ (10.74 ) $ (0.78 ) $ 7.19 $ (1.00 ) Net income (loss) per weighted average Unit Class II $ (11.76 ) $ (0.24 ) $ 8.72 $ (0.61 ) |
ORGANIZATION (Details Narrative
ORGANIZATION (Details Narrative) - USD ($) | Dec. 01, 2005 | Dec. 31, 2015 | Nov. 30, 2008 |
Subscription maximum | $ 375,000,000 | ||
Gross proceeds of initial offering | $ 31,024,443 | ||
Termination threshold - NAV adjustment | 50.00% | ||
Termination threshold - aggregate NAV | $ 10,000,000 | ||
New Subscribers [Member] | |||
Minimum aggregate initial subscription | 25,000 | ||
Minimum aggregate initial subscription - Benefit Plans | 10,000 | ||
Minimum purchase obligation for any single series | 5,000 | ||
Subscribers prior to November 30, 2008 [Member] | |||
Minimum aggregate initial subscription | $ 5,000 | ||
Minimum aggregate initial subscription - Benefit Plans | 2,000 | ||
Minimum purchase obligation for any single series | $ 500 | ||
Capital Unit Class I [Member] | |||
Subscription maximum | 281,250,000 | ||
Capital Unit Class II [Member] | |||
Subscription maximum | $ 93,750,000 |
ORGANIZATION (Details)
ORGANIZATION (Details) | 12 Months Ended | |
Dec. 31, 2015 | ||
CTA Choice ORT [Member] | ||
Affiliated Investment Fund Name: | CTA Choice ORT ( ORT | [1] |
Trading Advisor | Ortus | |
Trading Program | Major Currency Program | |
Start Date | Jan. 1, 2012 | |
Termination Date | Apr. 30, 2013 | |
CTA Choice BEAM [Member] | ||
Affiliated Investment Fund Name: | CTA Choice BEAM (BEAM) | |
Trading Advisor | BEAM Bayesian Efficient Asset Management, LLC | |
Trading Program | BEAM Multi-Strategy Program | |
Start Date | Jan. 1, 2012 | |
Termination Date | Apr. 30, 2013 | |
CTA Choice HKSB [Member] | ||
Affiliated Investment Fund Name: | CTA Choice HKSB (HKSB) | |
Trading Advisor | Hawksbill Capital Management | |
Trading Program | Hawksbill Global Diversified Program | |
Start Date | Dec. 1, 2012 | |
Termination Date | Aug. 31, 2013 | |
CTA Choice EGLG [Member] | ||
Affiliated Investment Fund Name: | CTA Choice EGLG ( EGLG | |
Trading Advisor | Eagle Trading Systems Inc. | |
Trading Program | Eagle Global Program | |
Start Date | Jan. 1, 2012 | |
Termination Date | Apr. 30, 2015 | |
CTA Choice SAXN [Member] | ||
Affiliated Investment Fund Name: | CTA Choice SAXN ( SAXN | |
Trading Advisor | Saxon Investment Corporation | |
Trading Program | Saxon Aggressive Diversified Program | |
Start Date | Jan. 1, 2012 | |
Termination Date | Dec. 31, 2014 | |
CTA Choice GLAGS [Member] | ||
Affiliated Investment Fund Name: | CTA Choice GLAGS ( GLAGS | |
Trading Advisor | Global Ag, LLC | |
Trading Program | Diversified Program | |
Start Date | Dec. 1, 2012 | |
Termination Date | Dec. 31, 2014 | |
CTA Choice RDOK [Member] | ||
Affiliated Investment Fund Name: | CTA Choice RDOK ( RDOK | |
Trading Advisor | Red Oak Commodity Advisors, Inc. | |
Trading Program | Fundamental Trading Program | |
Start Date | Dec. 1, 2012 | |
CTA Choice ELL [Member] | ||
Affiliated Investment Fund Name: | CTA Choice ELL ( ELL | |
Trading Advisor | Ellington Management Group, LLC | |
Trading Program | Global Macro Trading Program | |
Start Date | Dec. 1, 2013 | |
Termination Date | Dec. 31, 2015 | |
CTA Choice FRT [Member] | ||
Affiliated Investment Fund Name: | CTA Choice FRT ( FRT | |
Trading Advisor | Fort, L.P. | |
Trading Program | Global Diversified Program | |
Start Date | Aug. 1, 2014 | |
CTA Choice QNTM [Member] | ||
Affiliated Investment Fund Name: | CTA Choice QNTM ( QNTM | |
Trading Advisor | Quantmetrics Capital Management LLP | |
Trading Program | QM Multi Strategy Program | |
Start Date | May 1, 2015 | |
CTA Choice SCT [Member] | ||
Affiliated Investment Fund Name: | CTA Choice SCT ( SCT | |
Trading Advisor | SCT Capital Management Inc. | |
Trading Program | AQT1X Trading Program | |
Start Date | May 1, 2015 | |
Termination Date | Dec. 31, 2015 | |
CTA Choice WTN [Member] | ||
Affiliated Investment Fund Name: | CTA Choice WTN ( WTN | |
Trading Advisor | Winton Capital Management Limited | |
Trading Program | Diversified Program | |
Start Date | May 1, 2015 | |
Termination Date | Dec. 31, 2015 | |
CTA Choice KEY [Member] | ||
Affiliated Investment Fund Name: | CTA Choice KEY (KEY) | |
Trading Advisor | KeyQuant S.A.S | |
Trading Program | Key Trends Program | |
Start Date | Jan. 1, 2016 | |
[1] | 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. |
SUMMARY OF SIGNIFICANT ACCOUN32
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) - USD ($) | 12 Months Ended | 14 Months Ended | 109 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Nov. 30, 2006 | Dec. 31, 2015 | |
Number of monthly payments subject to reimbursement by Trust, without interest | 36 months | ||||
Total ongoing offering costs incurred to date | $ 2,936,640 | $ 2,936,640 | |||
Ongoing offering costs incurred not be reimbursed to the Managing Owner | $ 599,062 | ||||
Ongoing offering costs incurred | $ 0 | $ 59,072 | $ 211,785 | ||
Allocable Portion of ongoing offering costs | 0.50% | 0.50% | |||
Capital Unit Class II [Member] | |||||
Total ongoing offering costs incurred to date | $ 2,879,478 | 2,879,478 | |||
Ongoing offering costs incurred not be reimbursed to the Managing Owner | 635,144 | ||||
Ongoing offering costs incurred | 2,300,021 | ||||
Managing Owner Interests - Capital Unit Class II [Member] | |||||
Ongoing offering costs incurred | $ 2,280,415 |
SUMMARY OF SIGNIFICANT ACCOUN33
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Summary of assets and liabilities measured at fair value | ||
Investment in securities, at fair value | $ 3,016,930 | $ 10,187,034 |
Investment in Affiliated Investment Funds, at fair value | 3,222,888 | 4,083,278 |
Fair Value Inputs, Level 1 [Member] | ||
Summary of assets and liabilities measured at fair value | ||
Investment in securities, at fair value | 3,016,930 | 10,187,034 |
Investment in Affiliated Investment Funds, at fair value | 0 | 0 |
Fair Value Inputs, Level 2 [Member] | ||
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 | 3,222,888 | 4,083,278 |
Fair Value Inputs, Level 3 [Member] | ||
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 ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Related Party Transactions [Abstract] | ||
Expenses payable to kenmar preferred and its affiliates | $ 33,772 | $ 33,110 |
RELATED PARTIES (Details)
RELATED PARTIES (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Expenses | |||
Management fees to Managing Owner | $ 68,962 | $ 116,999 | $ 377,219 |
Managing Owner interest earned on Certain Investment Funds | 12,381 | 106,501 | 142,048 |
Operating expenses | 198,657 | ||
Related party expenses | $ 717,924 | ||
Kenmar Preferred and Affiliates [Member] | |||
Related Party Expenses | |||
Management fees to Managing Owner | 68,962 | 116,999 | |
Managing Owner interest earned on Certain Investment Funds | 12,381 | 106,501 | |
Operating expenses | 136,564 | 141,527 | |
Related party expenses | $ 217,907 | $ 365,027 |
MANAGING OWNER AND AFFILIATES (
MANAGING OWNER AND AFFILIATES (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Managing Owner And Affiliates | |||
Positive returns earned on investment in certain investment funds (percent) | 1.00% | ||
Managing owner interest earned on certain investment funds | $ 12,381 | $ 106,501 | $ 142,048 |
Administrative services fee earned | $ 39,467 | $ 59,293 | $ 191,420 |
Management fees on net assets (percent) | 0.50% | ||
Percentage of losses credited to company in calculating management fees | 100.00% |
SERVICE FEES AND SALES COMMIS37
SERVICE FEES AND SALES COMMISSIONS (Details Narrative) | Sep. 30, 2010 | Dec. 31, 2015 |
Annual Service fee paid to Wells Fargo | 0.10% | |
Capital Unit Class I [Member] | ||
Annual service fees | 2.00% | |
Upfront commission paid to correspondent selling agents | 2.00% | |
Annual Service fee paid to Wells Fargo | 0.30% |
SERVICE FEES AND SALES COMMIS38
SERVICE FEES AND SALES COMMISSIONS (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Composition of service fee - Class I Units | |||
Monthly 1/12 of 2% service fee calculated on all Class I Units | $ 258,694 | $ 437,028 | $ 1,371,472 |
Initial up-front 2% sales commissions | 35,394 | ||
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 | (11,058) | (21,442) | (48,602) |
Total | $ 247,636 | $ 415,586 | $ 1,358,264 |
ADMINISTRATOR (Details Narrativ
ADMINISTRATOR (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Administrative service fees | $ 247,636 | $ 415,586 | $ 1,358,264 |
Investments in Affiliated Investment Funds [Member] | |||
Administrative service fees | 90,811 | 65,713 | 13,716 |
Direct Paid Fees [Member] | |||
Administrative service fees | $ 25,000 | $ 29,479 | $ 25,000 |
INVESTMENT IN AFFILIATED INVE40
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details Narrative) | Dec. 31, 2015 | Dec. 31, 2014 |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | ||
Portion of net asset value invested in affiliated investment funds | 28.77% | 26.10% |
INVESTMENT IN AFFILIATED INVE41
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Change in fair value of net asset value investments in Affiliated Investment Funds | ||
Investments in Affiliated Investment Funds, Net asset value, beginning balance | $ 4,083,278 | |
Investments in Affiliated Investment Funds, Net asset value, ending balance | 3,222,888 | $ 4,083,278 |
Investments in Affiliated Investment Funds [Member] | ||
Change in fair value of net asset value investments in Affiliated Investment Funds | ||
Investments in Affiliated Investment Funds, Net asset value, beginning balance | 4,083,278 | 12,249,728 |
Purchases | 16,641,534 | 6,462,131 |
Loss | (8,696,925) | (2,301,640) |
Redemptions | (16,632,232) | (12,326,941) |
Investments in Affiliated Investment Funds, Net asset value, ending balance | $ 3,222,888 | $ 4,083,278 |
INVESTMENT IN AFFILIATED INVE42
INVESTMENT IN AFFILIATED INVESTMENT FUNDS (Details 1) | Dec. 31, 2015USD ($) |
Total capital contribution | $ 3,222,888 |
Total investment level | 6,557,106 |
CTA Choice FRT [Member] | |
Total capital contribution | 1,080,343 |
Total investment level | 2,221,777 |
CTA Choice QNTM [Member] | |
Total capital contribution | 1,099,543 |
Total investment level | 2,215,639 |
CTA Choice RDOK [Member] | |
Total capital contribution | 1,043,002 |
Total investment level | $ 2,119,690 |
COSTS, FEES AND EXPENSES (Detai
COSTS, FEES AND EXPENSES (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Management fees paid | $ 220,796 | $ 290,792 | $ 948,597 |
Incentive fees paid | $ 195,512 | $ 256,149 | $ 519,605 |
Management fees on net assets (percent) | 0.50% | ||
CTA Choice SCT 2x Program [Member] | |||
Management fees on net assets (percent) | 1.50% |
COSTS, FEES AND EXPENSES (Det44
COSTS, FEES AND EXPENSES (Details) | Apr. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | |
Management fee (in percent) | 0.50% | |||
CTA Choice EGLG [Member] | ||||
Management fee (in percent) | [1] | 2.00% | ||
Incentive fee (in percent) | [1] | 25.00% | ||
CTA Choice ELL [Member] | ||||
Management fee (in percent) | [2] | 0.00% | ||
Incentive fee (in percent) | [2] | 30.00% | ||
CTA Choice FRT [Member] | ||||
Management fee (in percent) | 2.00% | |||
Incentive fee (in percent) | 20.00% | |||
CTA Choice GLAGS [Member] | ||||
Management fee (in percent) | [3] | 2.00% | ||
Incentive fee (in percent) | [3] | 20.00% | ||
CTA Choice QNTM [Member] | ||||
Management fee (in percent) | 1.00% | |||
Incentive fee (in percent) | 25.00% | |||
CTA Choice RDOK [Member] | ||||
Management fee (in percent) | 2.00% | |||
Incentive fee (in percent) | 20.00% | |||
CTA Choice SAXN [Member] | ||||
Management fee (in percent) | [3] | 0.00% | ||
Incentive fee (in percent) | [3] | 25.00% | ||
CTA Choice SCT [Member] | ||||
Management fee (in percent) | [2],[4] | 0.75% | ||
Incentive fee (in percent) | [2],[4] | 20.00% | ||
CTA Choice WTN [Member] | ||||
Management fee (in percent) | [2] | 1.50% | ||
Incentive fee (in percent) | [2] | 20.00% | ||
[1] | Series J fully redeemed from CTA Choice EGLG as of April 30, 2015. | |||
[2] | Series J fully redeemed from CTA Choice ELL, CTA Choice SCT and CTA Choice WTN as of December 31, 2015. | |||
[3] | Series J fully redeemed from CTA Choice GLAGS and CTA Choice SAXN as of December 31, 2014. | |||
[4] | Series J invests in CTA Choice SCT's 2x program and pays a management fee of 1.50%. |
FINANCIAL HIGHLIGHTS (Details)
FINANCIAL HIGHLIGHTS (Details) - $ / Units | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Capital Unit Class I [Member] | ||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||
Net Asset Value per Unit at beginning of period | 89.33 | 93.80 | 104.44 | |
Gain (Loss) from operations: | ||||
Net realized and change in unrealized (loss) gain | [1] | (5.55) | 0.02 | (6.72) |
Interest income | [1] | 0 | 0 | 0 |
Dividend income | [1] | 0.36 | 0.63 | 0.77 |
Expenses | (5.27) | (5.12) | (4.69) | |
Total loss from operations | (10.46) | (4.47) | (10.64) | |
Net Asset Value per Unit at end of period | 78.87 | 89.33 | 93.80 | |
Total Return | [2] | (11.71%) | (4.77%) | (10.19%) |
Supplemental data - Ratios to Average Net Asset Values: | ||||
Net investment loss | [2],[3] | (5.72%) | (5.11%) | (4.00%) |
Interest income | 0.00% | 0.00% | 0.00% | |
Dividend income | 0.42% | 0.72% | 0.79% | |
Other expenses | [2] | 6.14% | 5.83% | 4.79% |
Capital Unit Class II [Member] | ||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||
Net Asset Value per Unit at beginning of period | 102.94 | 106.03 | 115.74 | |
Gain (Loss) from operations: | ||||
Net realized and change in unrealized (loss) gain | [1] | (6.58) | 0.11 | (7.52) |
Interest income | [1] | 0 | 0 | 0 |
Dividend income | [1] | 0.43 | 0.71 | 0.86 |
Expenses | (4.14) | (3.91) | (3.05) | |
Total loss from operations | (10.29) | (3.09) | (9.71) | |
Net Asset Value per Unit at end of period | 92.65 | 102.94 | 106.03 | |
Total Return | [2] | (10.00%) | (2.91%) | (8.39%) |
Supplemental data - Ratios to Average Net Asset Values: | ||||
Net investment loss | [2],[3] | (3.73%) | (3.19%) | (1.99%) |
Interest income | 0.00% | 0.00% | 0.00% | |
Dividend income | 0.43% | 0.71% | 0.78% | |
Other expenses | [2] | 4.16% | 3.90% | 2.77% |
[1] | Dividend income, interest income and 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. Net realized and change in unrealized (loss) gain is a balancing amount necessary to reconcile the 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. 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) | 3 Months Ended |
Mar. 23, 2016USD ($) | |
Subsequent Event [Member] | |
Redemptions | $ 463,000 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - Subsequent Event [Member] - Investments in Affiliated Investment Funds [Member] | 1 Months Ended |
Jan. 31, 2016USD ($) | |
Capital commitment to the Affiliated Investment Funds | |
Total Investment Level | $ 13,438,450 |
Total Capital Contribution | $ 9,044,538 |
Quarterly Financial Informati48
Quarterly Financial Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Total revenues (losses) (including interest) | $ (235,108) | $ (18,575) | $ (1,508,748) | $ 957,008 | $ 42,357 | $ 1,600,709 | $ 171,812 | $ (3,915,144) | |||
Total revenues (losses) (including interest) less commissions | (235,108) | (18,575) | (1,508,748) | 957,008 | 42,357 | 1,600,709 | 171,812 | (3,915,144) | |||
Net income (loss) | $ (412,509) | $ (212,987) | $ (1,733,329) | $ 735,956 | $ (172,893) | $ 1,379,404 | $ (172,097) | $ (4,445,704) | $ (1,622,869) | $ (3,411,290) | $ (8,917,010) |
Capital Unit Class I [Member] | |||||||||||
Net income (loss) per weighted average Unit | $ (2.88) | $ (1.43) | $ (10.56) | $ 4.26 | $ (1) | $ 7.19 | $ (.78) | $ (10.74) | $ (10.37) | $ (12.94) | $ (11.94) |
Capital Unit Class II [Member] | |||||||||||
Net income (loss) per weighted average Unit | $ (2.92) | $ (1.20) | $ (11.54) | $ 5.38 | $ (.61) | $ 8.72 | $ (.24) | $ (11.76) | $ (9.88) | $ (15.47) | $ (11.26) |