General | 6 Months Ended |
Jun. 30, 2014 |
General | ' |
1. General: |
Managed Futures Premier Abingdon L.P. (formerly Abingdon Futures Fund L.P.) (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are traded by the Partnership through its investment in CMF Winton Master L.P. (the “Master”) are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. |
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of June 30, 2014, all trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”). |
During the three and six months ended June 30, 2014, the Partnership’s/Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. During prior periods included in this report, Citigroup Global Markets Inc. (“CGM”) also served as a commodity broker. |
On February 1, 2007, the Partnership allocated substantially all of its capital to the Master, a limited partnership organized under the partnership laws of the state of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master permits accounts managed by the Advisor using the Diversified Trading Program Without Equities (formerly the Diversified Program), the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected. The General Partner and the Advisor agreed that the Advisor will trade the Partnership’s assets allocated to the Advisor at a level that is up to 1.5 times the amount of assets allocated. |
On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Units were first issued on April 1, 2011 and August 1, 2011, respectively. Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Units that a Limited Partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the Limited Partner, although the General Partner may determine to offer Redeemable Units to investors at its discretion. Class Z Units were offered to certain employees of Morgan Stanley Smith Barney and its affiliates (and their family members). Class A Units, Class D Units, and Class Z Units are identical, except that Class D Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 1.25% (a 1.25% annual rate) of the Net Assets of Class D as of the ending of each month, and Class Z Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.5% (a 0.5% annual rate) of the Net Assets of Class Z as of the ending of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.5% (a 2.5% annual rate) of the net assets of Class A. |
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2014. |
During the second quarter of 2013, the Master entered into a foreign exchange brokerage account agreement with MS&Co. The Master commenced foreign exchange trading through an account at MS&Co. on or about May 1, 2013. During the third quarter of 2013, the Master also entered into a futures brokerage account agreement with MS&Co. The Master commenced futures trading through an account at MS&Co. on or about July 22, 2013. Effective October 29, 2013, the Partnership entered into a futures brokerage account agreement with MS&Co. and began transferring the brokerage account of the Partnership from CGM to MS&Co. The Partnership, through its investment in the Master, pays MS&Co. trading fees for the clearing and, where applicable, execution of transactions. |
Effective October 1, 2013, the Partnership ceased paying a brokerage fee to CGM. Also effective October 1, 2013, the Partnership entered into a selling agreement with Morgan Stanley Smith Barney LLC (d/b/a Morgan Stanley Wealth Management). Pursuant to the selling agreement, Morgan Stanley Wealth Management received a selling agent fee equal to an annual rate of (i) 4.5% of the Partnership’s month-end net assets for Class A Units, (ii) 1.875% of the Partnership’s month-end net assets for Class D Units and (iii) 1.125% of the Partnership’s month-end net assets for Class Z Units. The selling agent fee received by Morgan Stanley Wealth Management will be shared with other properly licensed and/or registered selling agents and to financial advisers who have sold Redeemable Units in the Partnership. |
Effective April 1, 2014, the monthly ongoing selling agent fee was reduced from (i) an annual rate of 4.5% to an annual rate of 2.5% of month-end Net Assets for Class A Units, (ii) an annual rate of 1.875% to an annual rate of 1.25% of month-end Net Assets for Class D Units and (iii) an annual rate of 1.125% to an annual rate of 0.5% of month-end Net Assets for Class Z Units. |
Certain prior period amounts have been reclassified to conform to current year presentation. Amounts reported on the Statements of Income and Expenses as ongoing selling agent fees were previously presented as brokerage fees. |
At June 30, 2014 and December 31, 2013, the Partnership owned approximately 28.9% and 29.9%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. During the three and six months ended June 30, 2014, the Master engaged in such trading through a commodity brokerage account maintained with MS&Co. During prior periods covered by this report, the Master engaged in such trading through commodity brokerage accounts maintained with CGM. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein. |
The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of their capital contribution and profits, if any, net of distributions and losses, if any. |
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2014 and December 31, 2013, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2014 and 2013. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2013. |
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. |
Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. |
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The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2014 and December 31, 2013 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2014 and 2013 are presented below: |
CMF Winton Master L.P. |
Statements of Financial Condition |
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| | | | | | | | | | | | | | | | |
| | (Unaudited) | | | December 31, | | | | | | | | | |
June 30, | 2013 | | | | | | | | |
2014 | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity in trading account: | | | | | | | | | | | | | | | | |
Cash | | $ | 490,993,939 | | | $ | 564,039,261 | | | | | | | | | |
Cash margin | | | 123,628,651 | | | | 107,350,321 | | | | | | | | | |
Net unrealized appreciation on open futures contracts | | | 16,194,091 | | | | 33,840,928 | | | | | | | | | |
Net unrealized appreciation on open forward contracts | | | 572,174 | | | | — | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total assets | | $ | 631,388,855 | | | $ | 705,230,510 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Liabilities and Partners’ Capital: | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Net unrealized depreciation on open forward contracts | | $ | — | | | $ | 115,667 | | | | | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | |
Professional fees | | | 22,295 | | | | 42,089 | | | | | | | | | |
Clearing fees due to MS&Co. | | | 22,437 | | | | 24,849 | | | | | | | | | |
Redemptions payable | | | — | | | | 4,098,473 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total liabilities | | | 44,732 | | | | 4,281,078 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Partners’ Capital: | | | | | | | | | | | | | | | | |
General Partner, 0.0000 unit equivalents at June 30, 2014 and December 31, 2013 | | | — | | | | — | | | | | | | | | |
Limited Partners, 213,121.5543 and 254,353.1742 Redeemable Units outstanding at June 30, 2014 and December 31, 2013, respectively | | | 631,344,123 | | | | 700,949,432 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total liabilities and partners’ capital | | $ | 631,388,855 | | | $ | 705,230,510 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net asset value per unit | | $ | 2,962.37 | | | $ | 2,755.81 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
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CMF Winton Master L.P. |
Condensed Schedule of Investments |
30-Jun-14 |
(Unaudited) |
|
| | | | | | | | | | | | | | | | |
| | Notional ($)/ | | | Fair Value | | | % of Partners’ | | | | | |
Number of | Capital | | | | |
Contracts | | | | | |
Futures Contracts Purchased | | | | | | | | | | | | | | | | |
Currencies | | | 5,733 | | | $ | 7,145,356 | | | | 1.13 | % | | | | |
Energy | | | 1,298 | | | | 230,910 | | | | 0.04 | | | | | |
Grains | | | 2,528 | | | | (5,731,443 | ) | | | (0.91 | ) | | | | |
Indices | | | 8,921 | | | | 1,862,067 | | | | 0.29 | | | | | |
Interest Rates U.S. | | | 15,802 | | | | 2,335,867 | | | | 0.37 | | | | | |
Interest Rates Non-U.S. | | | 13,181 | | | | 13,162,284 | | | | 2.08 | | | | | |
Livestock | | | 557 | | | | 3,034,273 | | | | 0.48 | | | | | |
Metals | | | 17 | | | | 29,965 | | | | 0.01 | | | | | |
Softs | | | 758 | | | | 171,222 | | | | 0.03 | | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts purchased | | | | | | | 22,240,501 | | | | 3.52 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | |
Futures Contracts Sold | | | | | | | | | | | | | | | | |
Currencies | | | 1,589 | | | | (2,409,831 | ) | | | (0.38 | ) | | | | |
Energy | | | 186 | | | | (61,801 | ) | | | (0.01 | ) | | | | |
Grains | | | 267 | | | | 174,511 | | | | 0.03 | | | | | |
Indices | | | 5 | | | | (225 | ) | | | 0 | * | | | | |
Interest Rates Non-U.S. | | | 671 | | | | (7,860 | ) | | | 0 | * | | | | |
Metals | | | 716 | | | | (3,685,950 | ) | | | (0.58 | ) | | | | |
Softs | | | 385 | | | | (55,254 | ) | | | (0.01 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts sold | | | | | | | (6,046,410 | ) | | | (0.95 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on open futures contracts | | | | | | | 16,194,091 | | | | 2.57 | | | | | |
| | | | | | | |
Unrealized Appreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 325,716,569 | | | | 3,631,874 | | | | 0.58 | | | | | |
Metals | | | 815 | | | | 1,533,919 | | | | 0.24 | | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized appreciation on open forward contracts | | | | | | | 5,165,793 | | | | 0.82 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | |
Unrealized Depreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 293,361,206 | | | | (3,080,437 | ) | | | (0.49 | ) | | | | |
Metals | | | 583 | | | | (1,513,182 | ) | | | (0.24 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized depreciation on open forward contracts | | | | | | | (4,593,619 | ) | | | (0.73 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on open forward contracts | | | | | | | 572,174 | | | | 0.09 | | | | | |
| | | | | | | | | | | | | | | | |
Net fair value | | | | | | $ | 16,766,265 | | | | 2.66 | % | | | | |
| | | | | | | | | | | | | | | | |
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* Due to rounding. |
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CMF Winton Master L.P. |
Condensed Schedule of Investments |
December 31, 2013 |
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| | | | | | | | | | | | | | | | |
| | Notional ($)/ | | | Fair Value | | | % of Partners’ | | | | | |
Number of | Capital | | | | |
Contracts | | | | | |
Futures Contracts Purchased | | | | | | | | | | | | | | | | |
Currencies | | | 5,373 | | | $ | 3,425,223 | | | | 0.49 | % | | | | |
Energy | | | 746 | | | | 576,160 | | | | 0.08 | | | | | |
Grains | | | 1,016 | | | | (786,962 | ) | | | (0.11 | ) | | | | |
Indices | | | 8,741 | | | | 24,136,220 | | | | 3.44 | | | | | |
Interest Rates U.S. | | | 12,228 | | | | (645,879 | ) | | | (0.09 | ) | | | | |
Interest Rates Non-U.S. | | | 8,735 | | | | (4,849,383 | ) | | | (0.69 | ) | | | | |
Livestock | | | 289 | | | | (289,625 | ) | | | (0.04 | ) | | | | |
Metals | | | 11 | | | | 3,818 | | | | 0 | * | | | | |
Softs | | | 468 | | | | 151,075 | | | | 0.02 | | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts purchased | | | | | | | 21,720,647 | | | | 3.1 | | | | | |
| | | | | | | | | | | | | | | | |
Futures Contracts Sold | | | | | | | | | | | | | | | | |
Currencies | | | 3,983 | | | | 4,415,774 | | | | 0.63 | | | | | |
Energy | | | 325 | | | | (738,808 | ) | | | (0.11 | ) | | | | |
Grains | | | 2,677 | | | | 4,043,353 | | | | 0.58 | | | | | |
Indices | | | 44 | | | | (3,185 | ) | | | (0.00 | )* | | | | |
Interest Rates U.S. | | | 380 | | | | 493,922 | | | | 0.07 | | | | | |
Interest Rates Non-U.S. | | | 1,347 | | | | 172,152 | | | | 0.02 | | | | | |
Livestock | | | 159 | | | | (94,560 | ) | | | (0.01 | ) | | | | |
Metals | | | 767 | | | | 3,636,285 | | | | 0.52 | | | | | |
Softs | | | 943 | | | | 195,348 | | | | 0.03 | | | | | |
| | | | | | | | | | | | | | | | |
Total futures contracts sold | | | | | | | 12,120,281 | | | | 1.73 | | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized appreciation on open futures contracts | | | | | | | 33,840,928 | | | | 4.83 | | | | | |
Unrealized Appreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 308,684,628 | | | | 3,159,694 | | | | 0.45 | | | | | |
Metals | | | 409 | | | | 772,295 | | | | 0.11 | | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized appreciation on open forward contracts | | | | | | | 3,931,989 | | | | 0.56 | | | | | |
| | | | | | | | | | | | | | | | |
Unrealized Depreciation on Open Forward Contracts | | | | | | | | | | | | | | | | |
Currencies | | $ | 244,487,457 | | | | (2,888,671 | ) | | | (0.41 | ) | | | | |
Metals | | | 682 | | | | (1,158,985 | ) | | | (0.17 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total unrealized depreciation on open forward contracts | | | | | | | (4,047,656 | ) | | | (0.58 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net unrealized depreciation on open forward contracts | | | | | | | (115,667 | ) | | | (0.02 | ) | | | | |
Net fair value | | | | | | $ | 33,725,261 | | | | 4.81 | % | | | | |
| | | | | | | | | | | | | | | | |
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* | Due to rounding. | | | | | | | | | | | | | | | |
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CMF Winton Master L.P. |
Statements of Income and Expenses and Changes in Partners’ Capital |
(Unaudited) |
|
| | | | | | | | | | | | | | | | |
| | Three Months Ended | | | Six Months Ended | |
June 30, | June 30, |
| | 2014 | | | 2013 | | | 2014 | | | 2013 | |
Investment Income: | | | | | | | | | | | | | | | | |
Interest income | | $ | 24,401 | | | $ | 42,239 | | | $ | 72,394 | | | $ | 148,912 | |
| | | | | | | | | | | | | | | | |
| | | | |
Expenses: | | | | | | | | | | | | | | | | |
Clearing fees | | | 199,588 | | | | 260,472 | | | | 424,843 | | | | 496,467 | |
Professional fees | | | 27,803 | | | | 30,747 | | | | 50,929 | | | | 83,832 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 227,391 | | | | 291,219 | | | | 475,772 | | | | 580,299 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | -202,990 | | | | (248,980 | ) | | | (403,378 | ) | | | (431,387 | ) |
| | | | | | | | | | | | | | | | |
Trading results: | | | | | | | | | | | | | | | | |
Net gains (losses) on trading of commodity interests: | | | | | | | | | | | | | | | | |
Net realized gains (losses) on closed contracts | | | 48,500,122 | | | | (9,950,806 | ) | | | 62,642,065 | | | | 41,503,760 | |
Change in net unrealized gains (losses) on open contracts | | | -1,411,556 | | | | 354,705 | | | | (16,958,996 | ) | | | (604,869 | ) |
| | | | | | | | | | | | | | | | |
Total trading results | | | 47,088,566 | | | | (9,596,101 | ) | | | 45,683,069 | | | | 40,898,891 | |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | 46,885,576 | | | | (9,845,081 | ) | | | 45,279,691 | | | | 40,467,504 | |
Subscriptions — Limited Partners | | | 4,817,637 | | | | 25,987,670 | | | | 25,712,662 | | | | 42,139,860 | |
Redemptions — Limited Partners | | | -61,818,960 | | | | (68,807,798 | ) | | | (140,525,268 | ) | | | (129,980,576 | ) |
Distribution of interest income to feeder funds | | | -24,401 | | | | (42,239 | ) | | | (72,394 | ) | | | (148,912 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in Partners’ Capital | | | -10,140,148 | | | | (52,707,448 | ) | | | (69,605,309 | ) | | | (47,522,124 | ) |
Partners’ Capital, beginning of period | | | 641,484,271 | | | | 765,095,837 | | | | 700,949,432 | | | | 759,910,513 | |
| | | | | | | | | | | | | | | | |
Partners’ Capital, end of period | | $ | 631,344,123 | | | $ | 712,388,389 | | | $ | 631,344,123 | | | $ | 712,388,389 | |
| | | | | | | | | | | | | | | | |
Net asset value per unit | | $ | 2,962.37 | | | $ | 2,515.12 | | | $ | 2,962.37 | | | $ | 2,515.12 | |
(213,121.5543 and 283,241.9493 units outstanding |
at June 30, 2014 and 2013, respectively) |
| | | | | | | | | | | | | | | | |
Net income (loss) per unit * | | $ | 211.58 | | | $ | -39.06 | | | $ | 206.87 | | | $ | 124.76 | |
| | | | | | | | | | | | | | | | |
Weighted average units outstanding | | | 226,703.92 | | | | 296,930.20 | | | | 238,171.51 | | | | 305,734.43 | |
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* | Based on changes in net asset value per unit before distribution of interest income to feeder funds. | | | | | | | | | | | | | | | |