Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2015 | Apr. 30, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | ABFF | |
Entity Registrant Name | MANAGED FUTURES PREMIER ABINGDON L.P. | |
Entity Central Index Key | 1386164 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Non-accelerated Filer | |
Redeemable Units of Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 147,044.06 | |
Redeemable Units of Class D [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 14,179.14 | |
Redeemable Units of Class Z [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 393.4672 |
Statements_of_Financial_Condit
Statements of Financial Condition (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Assets: | ||||
Investment in Master, at fair value | $235,798,622 | [1] | $208,372,534 | [1] |
Cash | 249,568 | 278,648 | ||
Total assets | 236,048,190 | 208,651,182 | ||
Accrued expenses: | ||||
Ongoing selling agent fees | 372,681 | 318,934 | ||
Management fees | 294,393 | 252,736 | ||
Administrative fees | 196,262 | 168,491 | ||
Incentive fees | 3,535,101 | 5,973,502 | ||
Other | 161,243 | 169,938 | ||
Redemptions payable to Limited Partners | 1,394,867 | 702,292 | ||
Total liabilities | 5,954,547 | 7,585,893 | ||
Partners' Capital: | ||||
Total partners' capital | 230,093,643 | 201,065,289 | ||
Total liabilities and partners' capital | 236,048,190 | 208,651,182 | ||
Class A [Member] | ||||
Partners' Capital: | ||||
Net asset value per unit | $1,470.87 | $1,379.28 | ||
Class D [Member] | ||||
Partners' Capital: | ||||
Net asset value per unit | $1,369.95 | $1,280.58 | ||
Class Z [Member] | ||||
Partners' Capital: | ||||
Net asset value per unit | $1,382.81 | $1,290.15 | ||
General Partner [Member] | Class Z [Member] | ||||
Partners' Capital: | ||||
General Partner | 2,340,843 | 2,183,984 | ||
Limited Partners [Member] | Class A [Member] | ||||
Partners' Capital: | ||||
Limited Partners | 212,284,021 | 184,633,894 | ||
Limited Partners [Member] | Class D [Member] | ||||
Partners' Capital: | ||||
Limited Partners | 14,924,688 | 13,739,779 | ||
Limited Partners [Member] | Class Z [Member] | ||||
Partners' Capital: | ||||
Limited Partners | $544,091 | $507,632 | ||
[1] | Defined in Note 1 |
Statements_of_Financial_Condit1
Statements of Financial Condition (Parenthetical) | Mar. 31, 2015 | Dec. 31, 2014 |
Class A [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 144,325.49 | |
Class A [Member] | General Partner [Member] | ||
General Partner capital, Units outstanding | 0 | 0 |
Class A [Member] | Limited Partners [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 144,325.49 | 133,862.95 |
Class D [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 10,894.35 | |
Class D [Member] | General Partner [Member] | ||
General Partner capital, Units outstanding | 0 | 0 |
Class D [Member] | Limited Partners [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 10,894.35 | 10,729.37 |
Class Z [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 2,086.28 | |
Class Z [Member] | General Partner [Member] | ||
General Partner capital, Units outstanding | 1,692.81 | 1,692.81 |
Class Z [Member] | Limited Partners [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 393.4672 | 393.4672 |
Statements_of_Income_and_Expen
Statements of Income and Expenses (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Income: | ||||
Interest income allocated from Master | $3,920 | $12,092 | ||
Expenses: | ||||
Expenses allocated from Master | 74,478 | 73,700 | ||
Ongoing selling agent fees | 1,068,746 | 2,088,281 | ||
Management fees | 845,020 | 727,507 | ||
Administrative fees | 563,347 | 242,503 | ||
Incentive fees | 3,535,100 | |||
Other | 66,346 | 76,854 | ||
Total expenses | 6,153,037 | 3,208,845 | ||
Net investment income (loss) | -6,149,117 | -3,196,753 | ||
Trading results: | ||||
Net realized gains (losses) on closed contracts allocated from Master | 21,768,919 | 4,128,090 | ||
Change in net unrealized gains (losses) on open contracts allocated from Master | -1,475,479 | -4,622,601 | ||
Total trading results allocated from Master | 20,293,440 | -494,511 | ||
Net income (loss) | 14,144,323 | -3,691,264 | ||
Class A [Member] | ||||
Net income (loss) allocation by class: | ||||
Net income (loss) allocated from Master | 12,986,096 | -3,533,716 | ||
Net asset value per redeemable unit | ||||
Net asset value per redeemable unit | $1,470.87 | $1,138.46 | ||
Net income (loss) per redeemable unit | ||||
Net income (loss) per redeemable unit | $91.59 | [1] | ($21.15) | [1] |
Weighted average units outstanding | ||||
Weighted average units outstanding | 141,624.70 | 157,498.85 | ||
Class D [Member] | ||||
Net income (loss) allocation by class: | ||||
Net income (loss) allocated from Master | 964,909 | -125,035 | ||
Net asset value per redeemable unit | ||||
Net asset value per redeemable unit | $1,369.95 | $1,047.11 | ||
Net income (loss) per redeemable unit | ||||
Net income (loss) per redeemable unit | $89.37 | [1] | ($12.44) | [1] |
Weighted average units outstanding | ||||
Weighted average units outstanding | 10,784.36 | 11,640.49 | ||
Class Z [Member] | ||||
Net income (loss) allocation by class: | ||||
Net income (loss) allocated from Master | $193,318 | ($32,513) | ||
Net asset value per redeemable unit | ||||
Net asset value per redeemable unit | $1,382.81 | $1,049.01 | ||
Net income (loss) per redeemable unit | ||||
Net income (loss) per redeemable unit | $92.66 | [1] | ($10.48) | [1] |
Weighted average units outstanding | ||||
Weighted average units outstanding | 2,086.28 | 2,780.22 | ||
[1] | Represents the change in net asset value per unit during the period. |
Statements_of_Income_and_Expen1
Statements of Income and Expenses (Parenthetical) | Mar. 31, 2015 | Mar. 31, 2014 |
Class A [Member] | ||
Limited Partners, Redeemable Units outstanding | 144,325.49 | 150,200.44 |
General Partners, Redeemable Units outstanding | 144,325.49 | 150,200.44 |
Class D [Member] | ||
Limited Partners, Redeemable Units outstanding | 10,894.35 | 8,284.64 |
General Partners, Redeemable Units outstanding | 10,894.35 | 8,284.64 |
Class Z [Member] | ||
Limited Partners, Redeemable Units outstanding | 2,086.28 | 2,746.72 |
General Partners, Redeemable Units outstanding | 2,086.28 | 2,746.72 |
Statements_of_Changes_in_Partn
Statements of Changes in Partners' Capital (USD $) | Total | Class A [Member] | Class D [Member] | Class Z [Member] | Abingdon [Member] | Abingdon [Member] | Abingdon [Member] | Abingdon [Member] | Abingdon [Member] | Abingdon [Member] | Abingdon [Member] | Abingdon [Member] |
USD ($) | USD ($) | Limited Partners [Member] | Class A [Member] | Class A [Member] | Class D [Member] | Class D [Member] | Class Z [Member] | Class Z [Member] | ||||
USD ($) | USD ($) | Limited Partners [Member] | USD ($) | Limited Partners [Member] | USD ($) | Limited Partners [Member] | ||||||
USD ($) | USD ($) | USD ($) | ||||||||||
Balance, value at Dec. 31, 2013 | $203,401,479 | $186,273,315 | $14,111,594 | $3,016,570 | ||||||||
Balance, units at Dec. 31, 2013 | 176,800.49 | 160,634.87 | 13,318.42 | 2,847.20 | ||||||||
Subscriptions, value | 6,309,601 | 6,309,601 | ||||||||||
Subscriptions, units | 5,519.95 | 5,519.95 | ||||||||||
Net income (loss) | -3,691,264 | -3,691,264 | -3,533,716 | -125,035 | -32,513 | |||||||
Redemptions, value | -23,466,262 | -18,051,906 | -5,311,637 | -102,719 | ||||||||
Redemptions, units | -21,088.64 | -15,954.39 | -5,033.77 | -100.478 | ||||||||
Balance, value at Mar. 31, 2014 | 182,553,554 | 170,997,294 | 8,674,922 | 2,881,338 | ||||||||
Balance, units at Mar. 31, 2014 | 150,200.44 | 8,284.64 | 2,746.72 | 161,231.80 | 150,200.44 | 8,284.64 | 2,746.72 | |||||
Balance, value at Dec. 31, 2014 | 201,065,289 | 201,065,289 | 184,633,894 | 13,739,779 | 2,691,616 | |||||||
Balance, units at Dec. 31, 2014 | 146,678.59 | 133,862.95 | 10,729.37 | 2,086.28 | ||||||||
Subscriptions, value | 16,883,573 | 16,663,573 | 220,000 | |||||||||
Subscriptions, units | 11,997.37 | 11,832.39 | 164.892 | |||||||||
Net income (loss) | 14,144,323 | 14,144,323 | 12,986,096 | 964,909 | 193,318 | |||||||
Redemptions, value | -1,999,542 | -1,999,542 | ||||||||||
Redemptions, units | -1,369.85 | -1,369.85 | ||||||||||
Balance, value at Mar. 31, 2015 | $230,093,643 | $230,093,643 | $212,284,021 | $14,924,688 | $2,884,934 | |||||||
Balance, units at Mar. 31, 2015 | 144,325.49 | 10,894.35 | 2,086.28 | 157,306.11 | 144,325.49 | 10,894.35 | 2,086.28 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Organization | 1. Organization: |
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, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, 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 General Partner (defined below) may also determine to invest up to all of the Partnership’s assets in United States Treasury bills. The Partnership privately and continuously offers redeemable units 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 March 31, 2015, all trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”). | |
As of March 31, 2015, the Partnership’s/Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. | |
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 Winton Futures Program (formerly, the Winton Diversified Program, as applied without equities), 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 as if the Partnership traded directly, 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. | |
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2015. | |
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 Redeemable 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 Redeemable 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 any Class of Redeemable Units to investors at its discretion. Class Z Redeemable Units were offered to certain employees of Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”) and its affiliates (and their family members). Class A Redeemable Units, Class D Redeemable Units, and Class Z Redeemable Units are identical, except that Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.75% (a 0.75% annual rate) of the net assets of Class D as of the end of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.00% (a 2.00% annual rate) of the net assets of Class A as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee. | |
The Master has entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&Co. The Partnership has also entered into a futures brokerage account agreement with MS&Co. The Partnership, through its investment in the Master, pays MS&Co. trading fees for the clearing and, where applicable, execution of transactions. | |
The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (the “Selling Agreement”). Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee. Prior to April 1, 2014, this monthly ongoing selling agent fee was paid at a rate equal to (i) 4.5% per year of month-end net assets for Class A Redeemable Units, (ii) 1.875% per year of month-end net assets for Class D Redeemable Units and (iii) 1.125% per year of month-end net assets for Class Z Redeemable Units. | |
Effective April 1, 2014, the monthly ongoing selling agent fee was reduced to (i) 2.5% per year of month-end net assets for Class A Redeemable Units, (ii) 1.25% per year of month-end net assets for Class D Redeemable Units and (iii) 0.5% per year of month-end net assets for Class Z Redeemable Units. | |
Effective October 1, 2014, the monthly ongoing selling agent fee was (i) reduced to 2.0% per year of month-end net assets for Class A Redeemable Units, (ii) reduced to 0.75% per year of month-end net assets for Class D Redeemable Units and (iii) eliminated for Class Z Redeemable Units. As of the same date, the administrative fee increased from an annual rate of 0.50% to an annual rate of 1.00%. The October 1, 2014 fee changes offset each other, and, accordingly, there was no change to the aggregate fees incurred by the Partnership. |
Basis_of_Presentation_and_Summ
Basis of Presentation and Summary of Significant Accounting Policies | 3 Months Ended | ||||||||||||
Mar. 31, 2015 | |||||||||||||
Accounting Policies [Abstract] | |||||||||||||
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: | ||||||||||||
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at March 31, 2015 and December 31, 2014, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2015 and 2014. 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, 2014. The December 31, 2014 information has been derived from the audited financial statements as of and for the year ended December 31, 2014. | |||||||||||||
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. | |||||||||||||
At March 31, 2015 and December 31, 2014, the Partnership owned approximately 33.1% 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, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with MS&Co. 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 contributions and profits, if any, net of distributions or redemptions and losses, if any. | |||||||||||||
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. | |||||||||||||
Partnership’s Investment: The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per unit as calculated by the Master. The valuation of the Master’s investments including the classification within the fair value hierarchy of the investments held by the Master are described in Note 5. | |||||||||||||
Master’s Investments: Fair value of exchange-traded futures, option and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. | |||||||||||||
All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on the trade date and open contracts are recorded at fair value at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Master’s Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported on the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. | |||||||||||||
Investment Company Status. The Partnership has adopted Accounting Standards Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” Based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. | |||||||||||||
Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. | |||||||||||||
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2011 through 2014 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability. | |||||||||||||
Net Income (Loss) per unit. Net income (loss) per unit for each Class is calculated in accordance with investment company guidance. See Note 3, “Financial Highlights.” | |||||||||||||
Recent Accounting Pronouncement: In May 2015, the Financial Accounting Standards Board issued ASU 2015-07, “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent),” which relates to disclosures for investments that calculate net asset value per share (potentially funds of fund structures). The ASU requires investments for which the practical expedient is used to measure fair value at Net Asset Value (“NAV”) be removed from the fair value hierarchy. Instead, an entity is required to include those investments as a reconciling line item so that the total fair value amount of investments in the disclosure is consistent with the amount on the balance sheet. Further, the ASU requires entities to provide the disclosures in Accounting Standards Codification (“ASC”) 820-10-50-6A only for investments for which they elect to use the NAV practical expedient to determine fair value. The standard is effective for public business entities for fiscal years beginning after December 15, 2015, early adoption is permitted. The General Partner is currently evaluating the impact that the new pronouncement would have on the Partnership’s financial statements. | |||||||||||||
There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014. | |||||||||||||
The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2015 and December 31, 2014 and Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2015 and 2014 are presented below: | |||||||||||||
CMF Winton Master L.P. | |||||||||||||
Statements of Financial Condition | |||||||||||||
(Unaudited) | December 31, | ||||||||||||
March 31, | 2014 | ||||||||||||
2015 | |||||||||||||
Assets: | |||||||||||||
Equity in trading account: | |||||||||||||
Cash | $ | 572,355,792 | $ | 583,586,984 | |||||||||
Cash margin | 114,825,497 | 87,262,518 | |||||||||||
Net unrealized appreciation on open futures contracts | 26,135,562 | 32,298,121 | |||||||||||
Total assets | $ | 713,316,851 | $ | 703,147,623 | |||||||||
Liabilities and Partners’ Capital: | |||||||||||||
Liabilities: | |||||||||||||
Net unrealized depreciation on open forward contracts | $ | 1,806,378 | $ | 5,286,899 | |||||||||
Accrued expenses: | |||||||||||||
Professional fees | 72,190 | 38,281 | |||||||||||
Clearing fees due to MS&Co. | — | 20,631 | |||||||||||
Total liabilities | 1,878,568 | 5,345,811 | |||||||||||
Partners’ Capital: | |||||||||||||
General Partner, 0.0000 units outstanding at March 31, 2015 and December 31, 2014 | — | — | |||||||||||
Limited Partners, 181,860.1373 and 195,446.6928 units outstanding at March 31, 2015 and December 31, 2014, respectively | 711,438,283 | 697,801,812 | |||||||||||
Total liabilities and partners’ capital | $ | 713,316,851 | $ | 703,147,623 | |||||||||
Net asset value per unit | $ | 3,912.01 | $ | 3,570.29 | |||||||||
CMF Winton Master L.P. | |||||||||||||
Condensed Schedule of Investments | |||||||||||||
31-Mar-15 | |||||||||||||
(Unaudited) | |||||||||||||
Notional ($)/ | Fair Value | % of Partners’ | |||||||||||
Number of | Capital | ||||||||||||
Contracts | |||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 389 | $ | 140,218 | 0.02 | % | ||||||||
Energy | 477 | (770,740 | ) | (0.11 | ) | ||||||||
Grains | 562 | (370,263 | ) | (0.05 | ) | ||||||||
Indices | 6,926 | 2,213,061 | 0.31 | ||||||||||
Interest Rates U.S. | 16,146 | 10,607,835 | 1.49 | ||||||||||
Interest Rates Non-U.S. | 19,852 | 7,443,571 | 1.05 | ||||||||||
Softs | 192 | (221,339 | ) | (0.03 | ) | ||||||||
Total futures contracts purchased | 19,042,343 | 2.68 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 4,023 | 959,326 | 0.13 | ||||||||||
Energy | 1,565 | 3,708,569 | 0.52 | ||||||||||
Grains | 519 | (34,089 | ) | (0.00 | )* | ||||||||
Indices | 54 | (82,430 | ) | (0.01 | ) | ||||||||
Interest Rates Non-U.S. | 28 | 54 | 0 | * | |||||||||
Livestock | 449 | 205,193 | 0.03 | ||||||||||
Metals | 1,211 | (1,604,930 | ) | (0.23 | ) | ||||||||
Softs | 1,202 | 3,941,526 | 0.55 | ||||||||||
Total futures contracts sold | 7,093,219 | 0.99 | |||||||||||
Net unrealized appreciation on open futures contracts | 26,135,562 | 3.67 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 348,120,139 | 3,278,079 | 0.46 | |||||||||
Metals | 156 | 356,771 | 0.05 | ||||||||||
Total unrealized appreciation on open forward contracts | 3,634,850 | 0.51 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 186,872,765 | (2,963,000 | ) | (0.41 | ) | |||||||
Metals | 689 | (2,478,228 | ) | (0.35 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (5,441,228 | ) | (0.76 | ) | |||||||||
Net unrealized depreciation on open forward contracts | (1,806,378 | ) | (0.25 | ) | |||||||||
Net fair value | $ | 24,329,184 | 3.42 | % | |||||||||
* Due to rounding. | |||||||||||||
CMF Winton Master L.P. | |||||||||||||
Condensed Schedule of Investments | |||||||||||||
December 31, 2014 | |||||||||||||
Notional ($)/ | Fair Value | % of Partners’ | |||||||||||
Number of | Capital | ||||||||||||
Contracts | |||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 48 | $ | 89,449 | 0.01 | % | ||||||||
Energy | 345 | (3,240,330 | ) | (0.46 | ) | ||||||||
Grains | 1,142 | (547,033 | ) | (0.08 | ) | ||||||||
Indices | 4,399 | 7,141,455 | 1.02 | ||||||||||
Interest Rates U.S. | 11,509 | (1,203,705 | ) | (0.17 | ) | ||||||||
Interest Rates Non-U.S. | 15,522 | 10,815,045 | 1.55 | ||||||||||
Livestock | 147 | (414,305 | ) | (0.06 | ) | ||||||||
Metals | 1 | (1,320 | ) | (0.00 | )* | ||||||||
Softs | 231 | 72,885 | 0.01 | ||||||||||
Total futures contracts purchased | 12,712,141 | 1.82 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 5,042 | 7,261,530 | 1.04 | ||||||||||
Energy | 913 | 10,503,341 | 1.51 | ||||||||||
Grains | 207 | (178,058 | ) | (0.03 | ) | ||||||||
Indices | 208 | (875,800 | ) | (0.13 | ) | ||||||||
Interest Rates Non-U.S. | 203 | (42,225 | ) | (0.01 | ) | ||||||||
Livestock | 235 | 593,170 | 0.09 | ||||||||||
Metals | 730 | 681,990 | 0.1 | ||||||||||
Softs | 802 | 1,642,032 | 0.24 | ||||||||||
Total futures contracts sold | 19,585,980 | 2.81 | |||||||||||
Net unrealized appreciation on open futures contracts | 32,298,121 | 4.63 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 214,890,277 | 2,852,834 | 0.41 | |||||||||
Metals | 669 | 2,265,003 | 0.32 | ||||||||||
Total unrealized appreciation on open forward contracts | 5,117,837 | 0.73 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 293,627,256 | (7,383,994 | ) | (1.06 | ) | |||||||
Metals | 892 | (3,020,742 | ) | (0.43 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (10,404,736 | ) | (1.49 | ) | |||||||||
Net unrealized depreciation on open forward contracts | (5,286,899 | ) | (0.76 | ) | |||||||||
Net fair value | $ | 27,011,222 | 3.87 | % | |||||||||
* | Due to rounding. | ||||||||||||
CMF Winton Master L.P. | |||||||||||||
Statements of Income and Expenses and Changes in Partners’ Capital | |||||||||||||
(Unaudited) | |||||||||||||
Three Months Ended | |||||||||||||
March 31, | |||||||||||||
2015 | 2014 | ||||||||||||
Investment Income: | |||||||||||||
Interest income | $ | 14,330 | $ | 47,993 | |||||||||
Expenses: | |||||||||||||
Clearing fees | 192,952 | 225,255 | |||||||||||
Professional fees | 38,075 | 23,126 | |||||||||||
Total expenses | 231,027 | 248,381 | |||||||||||
Net investment income (loss) | (216,697 | ) | (200,388 | ) | |||||||||
Trading results: | |||||||||||||
Net gains (losses) on trading of commodity interests: | |||||||||||||
Net realized gains (losses) on closed contracts | 65,925,832 | 14,141,943 | |||||||||||
Change in net unrealized gains (losses) on open contracts | (2,682,038 | ) | (15,547,440 | ) | |||||||||
Total trading results | 63,243,794 | (1,405,497 | ) | ||||||||||
Net income (loss) | 63,027,097 | (1,605,885 | ) | ||||||||||
Subscriptions — Limited Partners | 16,883,573 | 20,895,025 | |||||||||||
Redemptions — Limited Partners | (66,259,869 | ) | (78,706,308 | ) | |||||||||
Distribution of interest income to feeder funds | (14,330 | ) | (47,993 | ) | |||||||||
Net increase (decrease) in Partners’ Capital | 13,636,471 | (59,465,161 | ) | ||||||||||
Partners’ Capital, beginning of period | 697,801,812 | 700,949,432 | |||||||||||
Partners’ Capital, end of period | $ | 711,438,283 | $ | 641,484,271 | |||||||||
Net asset value per unit | $ | 3,912.01 | $ | 2,750.90 | |||||||||
(181,860.1373 and 233,190.8491 units outstanding | |||||||||||||
at March 31, 2015 and 2014, respectively) | |||||||||||||
Net income (loss) per unit * | $ | 341.8 | $ | (4.71 | ) | ||||||||
Weighted average units outstanding | 189,969.13 | 249,639.10 | |||||||||||
* | Represents the change in net asset value per unit during the period before distribution of interest income to feeder funds. |
Financial_Highlights
Financial Highlights | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Text Block [Abstract] | |||||||||||||||||||||||||
Financial Highlights | 3 | Financial Highlights: | |||||||||||||||||||||||
Financial highlights for the each limited partner class for the three months ended March 31, 2015 and 2014 were as follows: | |||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class D | Class Z | ||||||||||||||||||||
Net realized and unrealized gains (losses) | $ | 131.99 | $ | 122.66 | $ | 123.64 | $ | (1.80 | ) | $ | (1.59 | ) | $ | (1.57 | ) | ||||||||||
Interest Income allocated from Master | 0.03 | 0.03 | 0.03 | 0.07 | 0.07 | 0.05 | |||||||||||||||||||
Expenses | (40.43 | ) | (33.32 | ) | (31.01 | ) | (19.42 | ) | (10.92 | ) | (8.96 | ) | |||||||||||||
Increase (decrease) for the period | 91.59 | 89.37 | 92.66 | (21.15 | ) | (12.44 | ) | (10.48 | ) | ||||||||||||||||
Net Asset Value per Redeemable Unit, beginning of period | 1,379.28 | 1,280.58 | 1,290.15 | 1,159.61 | 1,059.55 | 1,059.49 | |||||||||||||||||||
Net Asset Value per Redeemable Unit, end of period | $ | 1,470.87 | $ | 1,369.95 | $ | 1,382.81 | $ | 1,138.46 | $ | 1,047.11 | $ | 1,049.01 | |||||||||||||
Ongoing selling agent fees and clearing fees allocated from the Master, which were previously included in net realized and unrealized gains (losses) per Redeemable Unit and excluded from expenses per Redeemable Unit, are now excluded from net realized and unrealized gains (losses) per Redeemable Unit and included in expenses per Redeemable Unit. This information was previously included as a footnote to the financial highlights table. | |||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class D | Class Z | ||||||||||||||||||||
Ratios to Average Net Assets:* | |||||||||||||||||||||||||
Net investment income (loss)** | (5.0 | )% | (3.6 | )% | (2.9 | )% | (7.0 | )% | (4.5 | )% | (3.3 | )% | |||||||||||||
Operating expenses | 5 | % | 3.6 | % | 2.9 | % | 7 | % | 4.6 | % | 3.3 | % | |||||||||||||
Incentive fees | 1.6 | % | 1.6 | % | 1.6 | % | — | % | — | % | — | % | |||||||||||||
Total expenses and incentive fees | 6.6 | % | 5.2 | % | 4.5 | % | 7 | % | 4.6 | % | 3.3 | % | |||||||||||||
Total return: | |||||||||||||||||||||||||
Total return before incentive fees | 8.2 | % | 8.6 | % | 8.8 | % | (1.8 | )% | (1.2 | )% | (1.0 | )% | |||||||||||||
Incentive fees | (1.6 | )% | (1.6 | )% | (1.6 | )% | — | % | — | % | — | % | |||||||||||||
Total return after incentive fees | 6.6 | % | 7 | % | 7.2 | % | (1.8 | )% | (1.2 | )% | (1.0 | )% | |||||||||||||
* | Annualized (other than incentive fees). | ||||||||||||||||||||||||
** | Interest income allocated from Master less total expenses. Does not reflect the effects of incentive fees. | ||||||||||||||||||||||||
The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class for the Classes using each of the limited partner’s share of income, expenses and average net assets of the Partnership including the income and expenses allocated from the Master. | |||||||||||||||||||||||||
Financial Highlights of the Master: | |||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Net realized and unrealized gains (losses) | $ | 342.98 | $ | (3.87 | ) | ||||||||||||||||||||
Interest income | 0.08 | 0.2 | |||||||||||||||||||||||
Expenses | (1.26 | ) | (1.04 | ) | |||||||||||||||||||||
Increase (decrease) for the period | 341.8 | (4.71 | ) | ||||||||||||||||||||||
Distribution | (0.08 | ) | (0.20 | ) | |||||||||||||||||||||
Net asset Value per unit, beginning of period | 3,570.29 | 2,755.81 | |||||||||||||||||||||||
Net asset Value per unit, end of period | $ | 3,912.01 | $ | 2,750.90 | |||||||||||||||||||||
Clearing fees which were previously included in net realized and unrealized gains (losses) per unit and excluded from expenses per unit are now excluded from net realized gains (losses) per unit and included in expenses per unit. This information was previously included as a footnote to the financial highlights table. | |||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Ratios to Average Net Assets:** | |||||||||||||||||||||||||
Net investment income (loss)* | -0.1 | % | -0.1 | % | |||||||||||||||||||||
Operating expenses | 0.1 | % | 0.2 | % | |||||||||||||||||||||
Total return | 9.6 | % | -0.2 | % | |||||||||||||||||||||
* | Interest income less total expenses (exclusive of incentive fees). | ||||||||||||||||||||||||
** | Annualized. | ||||||||||||||||||||||||
The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using each limited partner’s share of income, expenses and average net assets. |
Trading_Activities
Trading Activities | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Brokers and Dealers [Abstract] | |||||||||||||||||||||||||
Trading Activities | 4 | Trading Activities: | |||||||||||||||||||||||
The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro rata share of the results of the Master’s trading activities are shown on the Statements of Income and Expenses. | |||||||||||||||||||||||||
The customer agreement among the Partnership, the Master and MS&Co. gives the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and open forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” have been met. | |||||||||||||||||||||||||
Trading and transaction fees are based on the number of trades executed by the Advisor and the Partnership’s percentage ownership of the Master. All trading, exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”) paid to MS&Co. are borne by the Master and allocated to the Partnership. | |||||||||||||||||||||||||
All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts held during the three months ended March 31, 2015 and 2014 was 49,401 and 48,175, respectively. The monthly average number of metals forward contracts held during the three months ended March 31, 2015 and 2014 was 1,030 and 709, respectively. The average notional value of currency forward contracts held during the three months ended March 31, 2015 and 2014 was $568,832,699 and $621,656,667, respectively. | |||||||||||||||||||||||||
The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
31-Mar-15 | Gross Amounts | Gross Amounts | Amounts Presented | Financial | Collateral | Net | |||||||||||||||||||
Recognized | Offset in the | in the Statements of | Instruments | (Received)/Pledged* | Amount | ||||||||||||||||||||
Statements of | Financial | ||||||||||||||||||||||||
Financial | Condition | ||||||||||||||||||||||||
Condition | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | $ | 34,393,853 | $ | (8,258,291 | ) | $ | 26,135,562 | $ | — | $ | — | $ | 26,135,562 | ||||||||||||
Forwards | 3,634,850 | (3,634,850 | ) | — | — | — | — | ||||||||||||||||||
Total assets | $ | 38,028,703 | $ | (11,893,141 | ) | $ | 26,135,562 | $ | — | $ | — | $ | 26,135,562 | ||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | $ | (8,258,291 | ) | $ | 8,258,291 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Forwards | (5,441,228 | ) | 3,634,850 | (1,806,378 | ) | — | — | (1,806,378 | ) | ||||||||||||||||
Total liabilities | $ | (13,699,519 | ) | $ | 11,893,141 | $ | (1,806,378 | ) | $ | — | $ | — | $ | (1,806,378 | ) | ||||||||||
Net fair value | $ | 24,329,184 | * | ||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
31-Dec-14 | Gross Amounts | Gross Amounts | Amounts Presented | Financial | Collateral | Net | |||||||||||||||||||
Recognized | Offset in the | in the Statements of | Instruments | (Received)/Pledged* | Amount | ||||||||||||||||||||
Statements of | Financial | ||||||||||||||||||||||||
Financial | Condition | ||||||||||||||||||||||||
Condition | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | $ | 43,561,809 | $ | (11,263,688 | ) | $ | 32,298,121 | $ | — | $ | — | $ | 32,298,121 | ||||||||||||
Forwards | 5,117,837 | (5,117,837 | ) | — | — | — | — | ||||||||||||||||||
Total assets | $ | 48,679,646 | $ | (16,381,525 | ) | $ | 32,298,121 | $ | — | $ | — | $ | 32,298,121 | ||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | $ | (11,263,688 | ) | $ | 11,263,688 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Forwards | (10,404,736 | ) | 5,117,837 | (5,286,899 | ) | — | — | (5,286,899 | ) | ||||||||||||||||
Total liabilities | $ | (21,668,424 | ) | $ | 16,381,525 | $ | (5,286,899 | ) | $ | — | $ | — | $ | (5,286,899 | ) | ||||||||||
Net fair value | $ | 27,011,222 | * | ||||||||||||||||||||||
* | In the event of default by the Master, MS&Co., the sole counterparty to the Master’s derivative contracts, has the right to offset the Master’s obligation with the cash held by the Master, thereby minimizing the counterparty’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master is exposed to the amount shown on the Statements of Financial Condition. | ||||||||||||||||||||||||
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | 2,910,052 | |||||||||||||||||||||||
Energy | 4,173,334 | ||||||||||||||||||||||||
Grains | 151,231 | ||||||||||||||||||||||||
Indices | 3,726,587 | ||||||||||||||||||||||||
Interest Rates U.S. | 10,739,357 | ||||||||||||||||||||||||
Interest Rates Non-U.S. | 7,757,882 | ||||||||||||||||||||||||
Livestock | 607,928 | ||||||||||||||||||||||||
Metals | 324,083 | ||||||||||||||||||||||||
Softs | 4,003,399 | ||||||||||||||||||||||||
Total unrealized appreciation on open futures contracts | $ | 34,393,853 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | (1,810,508 | ) | ||||||||||||||||||||||
Energy | (1,235,505 | ) | |||||||||||||||||||||||
Grains | (555,583 | ) | |||||||||||||||||||||||
Indices | (1,595,956 | ) | |||||||||||||||||||||||
Interest Rates U.S. | (131,522 | ) | |||||||||||||||||||||||
Interest Rates Non-U.S. | (314,257 | ) | |||||||||||||||||||||||
Livestock | (402,735 | ) | |||||||||||||||||||||||
Metals | (1,929,013 | ) | |||||||||||||||||||||||
Softs | (283,212 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open futures contracts | $ | (8,258,291 | ) | ||||||||||||||||||||||
Net unrealized appreciation on open futures contracts | $ | 26,135,562 | * | ||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | 3,278,079 | |||||||||||||||||||||||
Metals | 356,771 | ||||||||||||||||||||||||
Total unrealized appreciation on open forward contracts | $ | 3,634,850 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | (2,963,000 | ) | ||||||||||||||||||||||
Metals | (2,478,228 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open forward contracts | $ | (5,441,228 | ) | ||||||||||||||||||||||
Net unrealized depreciation on open forward contracts | $ | (1,806,378 | )** | ||||||||||||||||||||||
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
** | This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | 7,910,345 | |||||||||||||||||||||||
Energy | 10,516,685 | ||||||||||||||||||||||||
Grains | 204,223 | ||||||||||||||||||||||||
Indices | 9,120,453 | ||||||||||||||||||||||||
Interest Rates U.S. | 1,652,217 | ||||||||||||||||||||||||
Interest Rates Non-U.S. | 10,825,920 | ||||||||||||||||||||||||
Livestock | 599,795 | ||||||||||||||||||||||||
Metals | 922,115 | ||||||||||||||||||||||||
Softs | 1,810,056 | ||||||||||||||||||||||||
Total unrealized appreciation on open futures contracts | $ | 43,561,809 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | (559,366 | ) | ||||||||||||||||||||||
Energy | (3,253,674 | ) | |||||||||||||||||||||||
Grains | (929,314 | ) | |||||||||||||||||||||||
Indices | (2,854,798 | ) | |||||||||||||||||||||||
Interest Rates U.S. | (2,855,922 | ) | |||||||||||||||||||||||
Interest Rates Non-U.S. | (53,100 | ) | |||||||||||||||||||||||
Livestock | (420,930 | ) | |||||||||||||||||||||||
Metals | (241,445 | ) | |||||||||||||||||||||||
Softs | (95,139 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open futures contracts | $ | (11,263,688 | ) | ||||||||||||||||||||||
Net unrealized appreciation on open futures contracts | $ | 32,298,121 | * | ||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | 2,852,834 | |||||||||||||||||||||||
Metals | 2,265,003 | ||||||||||||||||||||||||
Total unrealized appreciation on open forward contracts | $ | 5,117,837 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | (7,383,994 | ) | ||||||||||||||||||||||
Metals | (3,020,742 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open forward contracts | $ | (10,404,736 | ) | ||||||||||||||||||||||
Net unrealized depreciation on open forward contracts | $ | (5,286,899 | )** | ||||||||||||||||||||||
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
** | This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
Sector | 2015 | 2014 | |||||||||||||||||||||||
Currencies | $ | 20,012,145 | $ | (173,020 | ) | ||||||||||||||||||||
Energy | 1,148,637 | 903,931 | |||||||||||||||||||||||
Grains | (1,886,856 | ) | 4,144,453 | ||||||||||||||||||||||
Indices | 19,197,215 | (12,692,120 | ) | ||||||||||||||||||||||
Interest Rates U.S. | 13,190,164 | (3,148,842 | ) | ||||||||||||||||||||||
Interest Rates Non-U.S. | 13,125,238 | 17,837,661 | |||||||||||||||||||||||
Livestock | 782,435 | 4,251,797 | |||||||||||||||||||||||
Metals | (5,912,321 | ) | (7,842,119 | ) | |||||||||||||||||||||
Softs | 3,587,137 | (4,687,238 | ) | ||||||||||||||||||||||
Total | $ | 63,243,794 | *** | $ | (1,405,497 | )*** | |||||||||||||||||||
*** | This amount is included in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
Fair_Value_Measurements
Fair Value Measurements | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||
Fair Value Measurements | 5 | Fair Value Measurements: | |||||||||||||||
Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. | |||||||||||||||||
The Master considers prices for exchange-traded commodity futures, forward, option and swap contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2015 and December 31, 2014, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the three months ended March 31, 2015 and for the year ended December 31, 2014, there were no transfers of assets or liabilities between Level 1 and Level 2. | |||||||||||||||||
March 31, | Level 1 | Level 2 | Level 3 | ||||||||||||||
2015 | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 34,393,853 | $ | 34,393,853 | $ | — | $ | — | |||||||||
Forwards | 3,634,850 | 356,771 | 3,278,079 | — | |||||||||||||
Total Assets | $ | 38,028,703 | $ | 34,750,624 | $ | 3,278,079 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | 8,258,291 | $ | 8,258,291 | $ | — | $ | — | |||||||||
Forwards | 5,441,228 | 2,478,228 | 2,963,000 | — | |||||||||||||
Total Liabilities | $ | 13,699,519 | $ | 10,736,519 | $ | 2,963,000 | $ | — | |||||||||
Net fair value | $ | 24,329,184 | $ | 24,014,105 | $ | 315,079 | $ | — | |||||||||
December 31, | Level 1 | Level 2 | Level 3 | ||||||||||||||
2014 | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 43,561,809 | $ | 43,561,809 | $ | — | $ | — | |||||||||
Forwards | 5,117,837 | 2,265,003 | 2,852,834 | — | |||||||||||||
Total Assets | $ | 48,679,646 | $ | 45,826,812 | $ | 2,852,834 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | — | $ | — | |||||||||||||
$ | 11,263,688 | $ | 11,263,688 | ||||||||||||||
Forwards | 10,404,736 | 3,020,742 | 7,383,994 | — | |||||||||||||
Total Liabilities | $ | 21,668,424 | $ | 14,284,430 | $ | 7,383,994 | $ | — | |||||||||
Net fair value | $ | 27,011,222 | $ | 31,542,382 | $ | (4,531,160 | ) | $ | — | ||||||||
Financial_Instrument_Risks
Financial Instrument Risks | 3 Months Ended | |
Mar. 31, 2015 | ||
Investments, All Other Investments [Abstract] | ||
Financial Instrument Risks | 6 | Financial Instrument Risks: |
In the normal course of business, the Partnership, indirectly through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time, approximately 3.9% to 26.1% of the Partnership’s/Master’s contracts are traded OTC. | ||
The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master on each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. | ||
Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. | ||
The Master does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results on investments in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. | ||
Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master on each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. | ||
The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under New York law. | ||
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. | ||
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Master’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration risk, as MS&Co. or a MS&Co. affiliate is the sole counterparty or broker with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or a MS&Co. affiliate, the Partnership’s/Master’s counterparty was an exchange or clearing organization. | ||
The General Partner monitors and attempts to control the Partnership’s/Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions. | ||
The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity. |
Subsequent_Events
Subsequent Events | 3 Months Ended | |
Mar. 31, 2015 | ||
Subsequent Events [Abstract] | ||
Subsequent Events | 7 | Subsequent Events. |
The General Partner evaluates events that occur after the balance sheet date but before financial statements are issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements. |
Basis_of_Presentation_and_Summ1
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Partnership's Investments | Partnership’s Investment: The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per unit as calculated by the Master. The valuation of the Master’s investments including the classification within the fair value hierarchy of the investments held by the Master are described in Note 5. |
Master's Investments | Master’s Investments: Fair value of exchange-traded futures, option and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. |
All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on the trade date and open contracts are recorded at fair value at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Master’s Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported on the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. | |
Investment Company Status | Investment Company Status. The Partnership has adopted Accounting Standards Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” Based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. |
Income Taxes | Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. |
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2011 through 2014 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability. | |
Net Income (Loss) per unit | Net Income (Loss) per unit. Net income (loss) per unit for each Class is calculated in accordance with investment company guidance. See Note 3, “Financial Highlights.” |
Recent Accounting Pronouncement | Recent Accounting Pronouncement: In May 2015, the Financial Accounting Standards Board issued ASU 2015-07, “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent),” which relates to disclosures for investments that calculate net asset value per share (potentially funds of fund structures). The ASU requires investments for which the practical expedient is used to measure fair value at Net Asset Value (“NAV”) be removed from the fair value hierarchy. Instead, an entity is required to include those investments as a reconciling line item so that the total fair value amount of investments in the disclosure is consistent with the amount on the balance sheet. Further, the ASU requires entities to provide the disclosures in Accounting Standards Codification (“ASC”) 820-10-50-6A only for investments for which they elect to use the NAV practical expedient to determine fair value. The standard is effective for public business entities for fiscal years beginning after December 15, 2015, early adoption is permitted. The General Partner is currently evaluating the impact that the new pronouncement would have on the Partnership’s financial statements. |
There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014. |
Basis_of_Presentation_and_Summ2
Basis of Presentation and Summary of Significant Accounting Policies (Tables) | 3 Months Ended | ||||||||||||
Mar. 31, 2015 | |||||||||||||
Accounting Policies [Abstract] | |||||||||||||
Statements of Financial Condition | CMF Winton Master L.P. | ||||||||||||
Statements of Financial Condition | |||||||||||||
(Unaudited) | December 31, | ||||||||||||
March 31, | 2014 | ||||||||||||
2015 | |||||||||||||
Assets: | |||||||||||||
Equity in trading account: | |||||||||||||
Cash | $ | 572,355,792 | $ | 583,586,984 | |||||||||
Cash margin | 114,825,497 | 87,262,518 | |||||||||||
Net unrealized appreciation on open futures contracts | 26,135,562 | 32,298,121 | |||||||||||
Total assets | $ | 713,316,851 | $ | 703,147,623 | |||||||||
Liabilities and Partners’ Capital: | |||||||||||||
Liabilities: | |||||||||||||
Net unrealized depreciation on open forward contracts | $ | 1,806,378 | $ | 5,286,899 | |||||||||
Accrued expenses: | |||||||||||||
Professional fees | 72,190 | 38,281 | |||||||||||
Clearing fees due to MS&Co. | — | 20,631 | |||||||||||
Total liabilities | 1,878,568 | 5,345,811 | |||||||||||
Partners’ Capital: | |||||||||||||
General Partner, 0.0000 units outstanding at March 31, 2015 and December 31, 2014 | — | — | |||||||||||
Limited Partners, 181,860.1373 and 195,446.6928 units outstanding at March 31, 2015 and December 31, 2014, respectively | 711,438,283 | 697,801,812 | |||||||||||
Total liabilities and partners’ capital | $ | 713,316,851 | $ | 703,147,623 | |||||||||
Net asset value per unit | $ | 3,912.01 | $ | 3,570.29 | |||||||||
Condensed Schedule of Investments | CMF Winton Master L.P. | ||||||||||||
Condensed Schedule of Investments | |||||||||||||
31-Mar-15 | |||||||||||||
(Unaudited) | |||||||||||||
Notional ($)/ | Fair Value | % of Partners’ | |||||||||||
Number of | Capital | ||||||||||||
Contracts | |||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 389 | $ | 140,218 | 0.02 | % | ||||||||
Energy | 477 | (770,740 | ) | (0.11 | ) | ||||||||
Grains | 562 | (370,263 | ) | (0.05 | ) | ||||||||
Indices | 6,926 | 2,213,061 | 0.31 | ||||||||||
Interest Rates U.S. | 16,146 | 10,607,835 | 1.49 | ||||||||||
Interest Rates Non-U.S. | 19,852 | 7,443,571 | 1.05 | ||||||||||
Softs | 192 | (221,339 | ) | (0.03 | ) | ||||||||
Total futures contracts purchased | 19,042,343 | 2.68 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 4,023 | 959,326 | 0.13 | ||||||||||
Energy | 1,565 | 3,708,569 | 0.52 | ||||||||||
Grains | 519 | (34,089 | ) | (0.00 | )* | ||||||||
Indices | 54 | (82,430 | ) | (0.01 | ) | ||||||||
Interest Rates Non-U.S. | 28 | 54 | 0 | * | |||||||||
Livestock | 449 | 205,193 | 0.03 | ||||||||||
Metals | 1,211 | (1,604,930 | ) | (0.23 | ) | ||||||||
Softs | 1,202 | 3,941,526 | 0.55 | ||||||||||
Total futures contracts sold | 7,093,219 | 0.99 | |||||||||||
Net unrealized appreciation on open futures contracts | 26,135,562 | 3.67 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 348,120,139 | 3,278,079 | 0.46 | |||||||||
Metals | 156 | 356,771 | 0.05 | ||||||||||
Total unrealized appreciation on open forward contracts | 3,634,850 | 0.51 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 186,872,765 | (2,963,000 | ) | (0.41 | ) | |||||||
Metals | 689 | (2,478,228 | ) | (0.35 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (5,441,228 | ) | (0.76 | ) | |||||||||
Net unrealized depreciation on open forward contracts | (1,806,378 | ) | (0.25 | ) | |||||||||
Net fair value | $ | 24,329,184 | 3.42 | % | |||||||||
* Due to rounding. | |||||||||||||
CMF Winton Master L.P. | |||||||||||||
Condensed Schedule of Investments | |||||||||||||
December 31, 2014 | |||||||||||||
Notional ($)/ | Fair Value | % of Partners’ | |||||||||||
Number of | Capital | ||||||||||||
Contracts | |||||||||||||
Futures Contracts Purchased | |||||||||||||
Currencies | 48 | $ | 89,449 | 0.01 | % | ||||||||
Energy | 345 | (3,240,330 | ) | (0.46 | ) | ||||||||
Grains | 1,142 | (547,033 | ) | (0.08 | ) | ||||||||
Indices | 4,399 | 7,141,455 | 1.02 | ||||||||||
Interest Rates U.S. | 11,509 | (1,203,705 | ) | (0.17 | ) | ||||||||
Interest Rates Non-U.S. | 15,522 | 10,815,045 | 1.55 | ||||||||||
Livestock | 147 | (414,305 | ) | (0.06 | ) | ||||||||
Metals | 1 | (1,320 | ) | (0.00 | )* | ||||||||
Softs | 231 | 72,885 | 0.01 | ||||||||||
Total futures contracts purchased | 12,712,141 | 1.82 | |||||||||||
Futures Contracts Sold | |||||||||||||
Currencies | 5,042 | 7,261,530 | 1.04 | ||||||||||
Energy | 913 | 10,503,341 | 1.51 | ||||||||||
Grains | 207 | (178,058 | ) | (0.03 | ) | ||||||||
Indices | 208 | (875,800 | ) | (0.13 | ) | ||||||||
Interest Rates Non-U.S. | 203 | (42,225 | ) | (0.01 | ) | ||||||||
Livestock | 235 | 593,170 | 0.09 | ||||||||||
Metals | 730 | 681,990 | 0.1 | ||||||||||
Softs | 802 | 1,642,032 | 0.24 | ||||||||||
Total futures contracts sold | 19,585,980 | 2.81 | |||||||||||
Net unrealized appreciation on open futures contracts | 32,298,121 | 4.63 | |||||||||||
Unrealized Appreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 214,890,277 | 2,852,834 | 0.41 | |||||||||
Metals | 669 | 2,265,003 | 0.32 | ||||||||||
Total unrealized appreciation on open forward contracts | 5,117,837 | 0.73 | |||||||||||
Unrealized Depreciation on Open Forward Contracts | |||||||||||||
Currencies | $ | 293,627,256 | (7,383,994 | ) | (1.06 | ) | |||||||
Metals | 892 | (3,020,742 | ) | (0.43 | ) | ||||||||
Total unrealized depreciation on open forward contracts | (10,404,736 | ) | (1.49 | ) | |||||||||
Net unrealized depreciation on open forward contracts | (5,286,899 | ) | (0.76 | ) | |||||||||
Net fair value | $ | 27,011,222 | 3.87 | % | |||||||||
* | Due to rounding. | ||||||||||||
Statements of Income and Expenses and Changes in Partners' Capital | CMF Winton Master L.P. | ||||||||||||
Statements of Income and Expenses and Changes in Partners’ Capital | |||||||||||||
(Unaudited) | |||||||||||||
Three Months Ended | |||||||||||||
March 31, | |||||||||||||
2015 | 2014 | ||||||||||||
Investment Income: | |||||||||||||
Interest income | $ | 14,330 | $ | 47,993 | |||||||||
Expenses: | |||||||||||||
Clearing fees | 192,952 | 225,255 | |||||||||||
Professional fees | 38,075 | 23,126 | |||||||||||
Total expenses | 231,027 | 248,381 | |||||||||||
Net investment income (loss) | (216,697 | ) | (200,388 | ) | |||||||||
Trading results: | |||||||||||||
Net gains (losses) on trading of commodity interests: | |||||||||||||
Net realized gains (losses) on closed contracts | 65,925,832 | 14,141,943 | |||||||||||
Change in net unrealized gains (losses) on open contracts | (2,682,038 | ) | (15,547,440 | ) | |||||||||
Total trading results | 63,243,794 | (1,405,497 | ) | ||||||||||
Net income (loss) | 63,027,097 | (1,605,885 | ) | ||||||||||
Subscriptions — Limited Partners | 16,883,573 | 20,895,025 | |||||||||||
Redemptions — Limited Partners | (66,259,869 | ) | (78,706,308 | ) | |||||||||
Distribution of interest income to feeder funds | (14,330 | ) | (47,993 | ) | |||||||||
Net increase (decrease) in Partners’ Capital | 13,636,471 | (59,465,161 | ) | ||||||||||
Partners’ Capital, beginning of period | 697,801,812 | 700,949,432 | |||||||||||
Partners’ Capital, end of period | $ | 711,438,283 | $ | 641,484,271 | |||||||||
Net asset value per unit | $ | 3,912.01 | $ | 2,750.90 | |||||||||
(181,860.1373 and 233,190.8491 units outstanding | |||||||||||||
at March 31, 2015 and 2014, respectively) | |||||||||||||
Net income (loss) per unit * | $ | 341.8 | $ | (4.71 | ) | ||||||||
Weighted average units outstanding | 189,969.13 | 249,639.10 | |||||||||||
* | Represents the change in net asset value per unit during the period before distribution of interest income to feeder funds. |
Financial_Highlights_Tables
Financial Highlights (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Financial Highlights for Each Limited Partner Class | Financial highlights for the each limited partner class for the three months ended March 31, 2015 and 2014 were as follows: | ||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class D | Class Z | ||||||||||||||||||||
Net realized and unrealized gains (losses) | $ | 131.99 | $ | 122.66 | $ | 123.64 | $ | (1.80 | ) | $ | (1.59 | ) | $ | (1.57 | ) | ||||||||||
Interest Income allocated from Master | 0.03 | 0.03 | 0.03 | 0.07 | 0.07 | 0.05 | |||||||||||||||||||
Expenses | (40.43 | ) | (33.32 | ) | (31.01 | ) | (19.42 | ) | (10.92 | ) | (8.96 | ) | |||||||||||||
Increase (decrease) for the period | 91.59 | 89.37 | 92.66 | (21.15 | ) | (12.44 | ) | (10.48 | ) | ||||||||||||||||
Net Asset Value per Redeemable Unit, beginning of period | 1,379.28 | 1,280.58 | 1,290.15 | 1,159.61 | 1,059.55 | 1,059.49 | |||||||||||||||||||
Net Asset Value per Redeemable Unit, end of period | $ | 1,470.87 | $ | 1,369.95 | $ | 1,382.81 | $ | 1,138.46 | $ | 1,047.11 | $ | 1,049.01 | |||||||||||||
Percentage of Financial Highlights for Each Limited Partner Class | |||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class D | Class Z | ||||||||||||||||||||
Ratios to Average Net Assets:* | |||||||||||||||||||||||||
Net investment income (loss)** | (5.0 | )% | (3.6 | )% | (2.9 | )% | (7.0 | )% | (4.5 | )% | (3.3 | )% | |||||||||||||
Operating expenses | 5 | % | 3.6 | % | 2.9 | % | 7 | % | 4.6 | % | 3.3 | % | |||||||||||||
Incentive fees | 1.6 | % | 1.6 | % | 1.6 | % | — | % | — | % | — | % | |||||||||||||
Total expenses and incentive fees | 6.6 | % | 5.2 | % | 4.5 | % | 7 | % | 4.6 | % | 3.3 | % | |||||||||||||
Total return: | |||||||||||||||||||||||||
Total return before incentive fees | 8.2 | % | 8.6 | % | 8.8 | % | (1.8 | )% | (1.2 | )% | (1.0 | )% | |||||||||||||
Incentive fees | (1.6 | )% | (1.6 | )% | (1.6 | )% | — | % | — | % | — | % | |||||||||||||
Total return after incentive fees | 6.6 | % | 7 | % | 7.2 | % | (1.8 | )% | (1.2 | )% | (1.0 | )% | |||||||||||||
* | Annualized (other than incentive fees). | ||||||||||||||||||||||||
** | Interest income allocated from Master less total expenses. Does not reflect the effects of incentive fees. | ||||||||||||||||||||||||
Limited Partners [Member] | |||||||||||||||||||||||||
Financial Highlights for Each Limited Partner Class | Financial Highlights of the Master: | ||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Net realized and unrealized gains (losses) | $ | 342.98 | $ | (3.87 | ) | ||||||||||||||||||||
Interest income | 0.08 | 0.2 | |||||||||||||||||||||||
Expenses | (1.26 | ) | (1.04 | ) | |||||||||||||||||||||
Increase (decrease) for the period | 341.8 | (4.71 | ) | ||||||||||||||||||||||
Distribution | (0.08 | ) | (0.20 | ) | |||||||||||||||||||||
Net asset Value per unit, beginning of period | 3,570.29 | 2,755.81 | |||||||||||||||||||||||
Net asset Value per unit, end of period | $ | 3,912.01 | $ | 2,750.90 | |||||||||||||||||||||
Percentage of Financial Highlights for Each Limited Partner Class | |||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Ratios to Average Net Assets:** | |||||||||||||||||||||||||
Net investment income (loss)* | -0.1 | % | -0.1 | % | |||||||||||||||||||||
Operating expenses | 0.1 | % | 0.2 | % | |||||||||||||||||||||
Total return | 9.6 | % | -0.2 | % | |||||||||||||||||||||
* | Interest income less total expenses (exclusive of incentive fees). | ||||||||||||||||||||||||
** | Annualized. |
Trading_Activities_Tables
Trading Activities (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Brokers and Dealers [Abstract] | |||||||||||||||||||||||||
Valuation of Master's Investment | The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
31-Mar-15 | Gross Amounts | Gross Amounts | Amounts Presented | Financial | Collateral | Net | |||||||||||||||||||
Recognized | Offset in the | in the Statements of | Instruments | (Received)/Pledged* | Amount | ||||||||||||||||||||
Statements of | Financial | ||||||||||||||||||||||||
Financial | Condition | ||||||||||||||||||||||||
Condition | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | $ | 34,393,853 | $ | (8,258,291 | ) | $ | 26,135,562 | $ | — | $ | — | $ | 26,135,562 | ||||||||||||
Forwards | 3,634,850 | (3,634,850 | ) | — | — | — | — | ||||||||||||||||||
Total assets | $ | 38,028,703 | $ | (11,893,141 | ) | $ | 26,135,562 | $ | — | $ | — | $ | 26,135,562 | ||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | $ | (8,258,291 | ) | $ | 8,258,291 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Forwards | (5,441,228 | ) | 3,634,850 | (1,806,378 | ) | — | — | (1,806,378 | ) | ||||||||||||||||
Total liabilities | $ | (13,699,519 | ) | $ | 11,893,141 | $ | (1,806,378 | ) | $ | — | $ | — | $ | (1,806,378 | ) | ||||||||||
Net fair value | $ | 24,329,184 | * | ||||||||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||||||||||
Statements of Financial Condition | |||||||||||||||||||||||||
31-Dec-14 | Gross Amounts | Gross Amounts | Amounts Presented | Financial | Collateral | Net | |||||||||||||||||||
Recognized | Offset in the | in the Statements of | Instruments | (Received)/Pledged* | Amount | ||||||||||||||||||||
Statements of | Financial | ||||||||||||||||||||||||
Financial | Condition | ||||||||||||||||||||||||
Condition | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures | $ | 43,561,809 | $ | (11,263,688 | ) | $ | 32,298,121 | $ | — | $ | — | $ | 32,298,121 | ||||||||||||
Forwards | 5,117,837 | (5,117,837 | ) | — | — | — | — | ||||||||||||||||||
Total assets | $ | 48,679,646 | $ | (16,381,525 | ) | $ | 32,298,121 | $ | — | $ | — | $ | 32,298,121 | ||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures | $ | (11,263,688 | ) | $ | 11,263,688 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Forwards | (10,404,736 | ) | 5,117,837 | (5,286,899 | ) | — | — | (5,286,899 | ) | ||||||||||||||||
Total liabilities | $ | (21,668,424 | ) | $ | 16,381,525 | $ | (5,286,899 | ) | $ | — | $ | — | $ | (5,286,899 | ) | ||||||||||
Net fair value | $ | 27,011,222 | * | ||||||||||||||||||||||
* | In the event of default by the Master, MS&Co., the sole counterparty to the Master’s derivative contracts, has the right to offset the Master’s obligation with the cash held by the Master, thereby minimizing the counterparty’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master is exposed to the amount shown on the Statements of Financial Condition. | ||||||||||||||||||||||||
Gross Fair Values of Derivative Instruments of Futures Forward and Options Contracts | The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | 2,910,052 | |||||||||||||||||||||||
Energy | 4,173,334 | ||||||||||||||||||||||||
Grains | 151,231 | ||||||||||||||||||||||||
Indices | 3,726,587 | ||||||||||||||||||||||||
Interest Rates U.S. | 10,739,357 | ||||||||||||||||||||||||
Interest Rates Non-U.S. | 7,757,882 | ||||||||||||||||||||||||
Livestock | 607,928 | ||||||||||||||||||||||||
Metals | 324,083 | ||||||||||||||||||||||||
Softs | 4,003,399 | ||||||||||||||||||||||||
Total unrealized appreciation on open futures contracts | $ | 34,393,853 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | (1,810,508 | ) | ||||||||||||||||||||||
Energy | (1,235,505 | ) | |||||||||||||||||||||||
Grains | (555,583 | ) | |||||||||||||||||||||||
Indices | (1,595,956 | ) | |||||||||||||||||||||||
Interest Rates U.S. | (131,522 | ) | |||||||||||||||||||||||
Interest Rates Non-U.S. | (314,257 | ) | |||||||||||||||||||||||
Livestock | (402,735 | ) | |||||||||||||||||||||||
Metals | (1,929,013 | ) | |||||||||||||||||||||||
Softs | (283,212 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open futures contracts | $ | (8,258,291 | ) | ||||||||||||||||||||||
Net unrealized appreciation on open futures contracts | $ | 26,135,562 | * | ||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | 3,278,079 | |||||||||||||||||||||||
Metals | 356,771 | ||||||||||||||||||||||||
Total unrealized appreciation on open forward contracts | $ | 3,634,850 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | (2,963,000 | ) | ||||||||||||||||||||||
Metals | (2,478,228 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open forward contracts | $ | (5,441,228 | ) | ||||||||||||||||||||||
Net unrealized depreciation on open forward contracts | $ | (1,806,378 | )** | ||||||||||||||||||||||
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
** | This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | 7,910,345 | |||||||||||||||||||||||
Energy | 10,516,685 | ||||||||||||||||||||||||
Grains | 204,223 | ||||||||||||||||||||||||
Indices | 9,120,453 | ||||||||||||||||||||||||
Interest Rates U.S. | 1,652,217 | ||||||||||||||||||||||||
Interest Rates Non-U.S. | 10,825,920 | ||||||||||||||||||||||||
Livestock | 599,795 | ||||||||||||||||||||||||
Metals | 922,115 | ||||||||||||||||||||||||
Softs | 1,810,056 | ||||||||||||||||||||||||
Total unrealized appreciation on open futures contracts | $ | 43,561,809 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Futures Contracts | |||||||||||||||||||||||||
Currencies | $ | (559,366 | ) | ||||||||||||||||||||||
Energy | (3,253,674 | ) | |||||||||||||||||||||||
Grains | (929,314 | ) | |||||||||||||||||||||||
Indices | (2,854,798 | ) | |||||||||||||||||||||||
Interest Rates U.S. | (2,855,922 | ) | |||||||||||||||||||||||
Interest Rates Non-U.S. | (53,100 | ) | |||||||||||||||||||||||
Livestock | (420,930 | ) | |||||||||||||||||||||||
Metals | (241,445 | ) | |||||||||||||||||||||||
Softs | (95,139 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open futures contracts | $ | (11,263,688 | ) | ||||||||||||||||||||||
Net unrealized appreciation on open futures contracts | $ | 32,298,121 | * | ||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | 2,852,834 | |||||||||||||||||||||||
Metals | 2,265,003 | ||||||||||||||||||||||||
Total unrealized appreciation on open forward contracts | $ | 5,117,837 | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Forward Contracts | |||||||||||||||||||||||||
Currencies | $ | (7,383,994 | ) | ||||||||||||||||||||||
Metals | (3,020,742 | ) | |||||||||||||||||||||||
Total unrealized depreciation on open forward contracts | $ | (10,404,736 | ) | ||||||||||||||||||||||
Net unrealized depreciation on open forward contracts | $ | (5,286,899 | )** | ||||||||||||||||||||||
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
** | This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition. | ||||||||||||||||||||||||
Gains and Losses by Market Sector on Derivative Instruments | The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||
March 31, | |||||||||||||||||||||||||
Sector | 2015 | 2014 | |||||||||||||||||||||||
Currencies | $ | 20,012,145 | $ | (173,020 | ) | ||||||||||||||||||||
Energy | 1,148,637 | 903,931 | |||||||||||||||||||||||
Grains | (1,886,856 | ) | 4,144,453 | ||||||||||||||||||||||
Indices | 19,197,215 | (12,692,120 | ) | ||||||||||||||||||||||
Interest Rates U.S. | 13,190,164 | (3,148,842 | ) | ||||||||||||||||||||||
Interest Rates Non-U.S. | 13,125,238 | 17,837,661 | |||||||||||||||||||||||
Livestock | 782,435 | 4,251,797 | |||||||||||||||||||||||
Metals | (5,912,321 | ) | (7,842,119 | ) | |||||||||||||||||||||
Softs | 3,587,137 | (4,687,238 | ) | ||||||||||||||||||||||
Total | $ | 63,243,794 | *** | $ | (1,405,497 | )*** | |||||||||||||||||||
*** | This amount is included in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||
Master's Fair Value Measurements | During the three months ended March 31, 2015 and for the year ended December 31, 2014, there were no transfers of assets or liabilities between Level 1 and Level 2. | ||||||||||||||||
March 31, | Level 1 | Level 2 | Level 3 | ||||||||||||||
2015 | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 34,393,853 | $ | 34,393,853 | $ | — | $ | — | |||||||||
Forwards | 3,634,850 | 356,771 | 3,278,079 | — | |||||||||||||
Total Assets | $ | 38,028,703 | $ | 34,750,624 | $ | 3,278,079 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | 8,258,291 | $ | 8,258,291 | $ | — | $ | — | |||||||||
Forwards | 5,441,228 | 2,478,228 | 2,963,000 | — | |||||||||||||
Total Liabilities | $ | 13,699,519 | $ | 10,736,519 | $ | 2,963,000 | $ | — | |||||||||
Net fair value | $ | 24,329,184 | $ | 24,014,105 | $ | 315,079 | $ | — | |||||||||
December 31, | Level 1 | Level 2 | Level 3 | ||||||||||||||
2014 | |||||||||||||||||
Assets | |||||||||||||||||
Futures | $ | 43,561,809 | $ | 43,561,809 | $ | — | $ | — | |||||||||
Forwards | 5,117,837 | 2,265,003 | 2,852,834 | — | |||||||||||||
Total Assets | $ | 48,679,646 | $ | 45,826,812 | $ | 2,852,834 | $ | — | |||||||||
Liabilities | |||||||||||||||||
Futures | $ | — | $ | — | |||||||||||||
$ | 11,263,688 | $ | 11,263,688 | ||||||||||||||
Forwards | 10,404,736 | 3,020,742 | 7,383,994 | — | |||||||||||||
Total Liabilities | $ | 21,668,424 | $ | 14,284,430 | $ | 7,383,994 | $ | — | |||||||||
Net fair value | $ | 27,011,222 | $ | 31,542,382 | $ | (4,531,160 | ) | $ | — | ||||||||
Organization_Additional_Inform
Organization - Additional Information (Detail) (USD $) | 3 Months Ended | 0 Months Ended | ||||
Mar. 31, 2015 | Oct. 01, 2014 | Sep. 30, 2014 | Apr. 01, 2014 | Mar. 31, 2014 | Feb. 01, 2007 | |
Condensed Financial Statements, Captions [Line Items] | ||||||
Maximum number of units sold by Limited Partnership | 0 | |||||
Maximum amount of partnership assets allocated to trading advisor | Up to 1.5 times | |||||
Class A [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Percentage of brokerage fee | 2.00% | |||||
Class D [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Percentage of brokerage fee | 0.75% | |||||
Description of brokerage fee | Class A Redeemable Units, Class D Redeemable Units, and Class Z Redeemable Units are identical, except that Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.75% (a 0.75% annual rate) of the net assets of Class D as of the end of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.00% (a 2.00% annual rate) of the net assets of Class A as of the end of each month. | |||||
Morgan Stanley Wealth Management [Member] | Selling Agreement [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Annual rate of administrative fee | 1.00% | 0.50% | ||||
Morgan Stanley Wealth Management [Member] | Selling Agreement [Member] | Class A [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Brokerage fee on net assets | 2.00% | 2.50% | 4.50% | |||
Morgan Stanley Wealth Management [Member] | Selling Agreement [Member] | Class D [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Brokerage fee on net assets | 0.75% | 1.25% | 1.88% | |||
Morgan Stanley Wealth Management [Member] | Selling Agreement [Member] | Class Z [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Brokerage fee on net assets | 0.50% | 1.13% | ||||
Limited Partners [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Fair value of Partnership purchased | 12,945,000 | |||||
Number of units purchased in Partnership | 9,017.09 |
Basis_of_Presentation_and_Summ3
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
Condensed Financial Statements, Captions [Line Items] | ||
Provision for income tax | $0 | |
Limited Partners [Member] | ||
Condensed Financial Statements, Captions [Line Items] | ||
Percentage of Partnership owned | 33.10% | 29.90% |
Basis_of_Presentation_and_Summ4
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Equity in trading account: | ||||
Cash | $249,568 | $278,648 | ||
Total assets | 236,048,190 | 208,651,182 | ||
Accrued expenses: | ||||
Total liabilities | 5,954,547 | 7,585,893 | ||
Partners' Capital: | ||||
Total liabilities and partners' capital | 236,048,190 | 208,651,182 | ||
Cmf Winton Master Lp [Member] | ||||
Equity in trading account: | ||||
Cash | 572,355,792 | 583,586,984 | ||
Cash margin | 114,825,497 | 87,262,518 | ||
Net unrealized appreciation on open futures contracts | 26,135,562 | 32,298,121 | ||
Total assets | 713,316,851 | 703,147,623 | ||
Liabilities: | ||||
Net unrealized depreciation on open forward contracts | 1,806,378 | 5,286,899 | ||
Accrued expenses: | ||||
Professional fees | 72,190 | 38,281 | ||
Clearing fees due to MS&Co. | 20,631 | |||
Total liabilities | 1,878,568 | 5,345,811 | ||
Partners' Capital: | ||||
General Partner, 0.0000 units outstanding at March 31, 2015 and December 31, 2014 | 0 | 0 | ||
Limited Partners, 181,860.1373 and 195,446.6928 units outstanding at March 31, 2015 and December 31, 2014, respectively | 711,438,283 | 697,801,812 | ||
Total liabilities and partners' capital | $713,316,851 | $703,147,623 | ||
Net asset value per unit | $3,912.01 | $3,570.29 | $2,750.90 | $2,755.81 |
Basis_of_Presentation_and_Summ5
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Parenthetical) (Detail) (Cmf Winton Master Lp [Member]) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 |
Cmf Winton Master Lp [Member] | |||
Condensed Balance Sheet Statements, Captions [Line Items] | |||
General Partner, Unit outstanding | 0 | 0 | |
Limited Partners, Units outstanding | 181,860.14 | 195,446.69 | 233,190.85 |
Basis_of_Presentation_and_Summ6
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedule of Investments (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Schedule of Investments [Line Items] | ||||
Investment in Master, at fair value | $235,798,622 | [1] | $208,372,534 | [1] |
Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 34,393,853 | 43,561,809 | ||
Unrealized Depreciation on Open Forward Contracts | -8,258,291 | -11,263,688 | ||
Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 3,634,850 | 5,117,837 | ||
Unrealized Depreciation on Open Forward Contracts | -5,441,228 | -10,404,736 | ||
Currencies [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 2,910,052 | 7,910,345 | ||
Unrealized Depreciation on Open Forward Contracts | -1,810,508 | -559,366 | ||
Currencies [Member] | Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 3,278,079 | 2,852,834 | ||
Unrealized Depreciation on Open Forward Contracts | -2,963,000 | -7,383,994 | ||
Energy [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 4,173,334 | 10,516,685 | ||
Unrealized Depreciation on Open Forward Contracts | -1,235,505 | -3,253,674 | ||
Grains [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 151,231 | 204,223 | ||
Unrealized Depreciation on Open Forward Contracts | -555,583 | -929,314 | ||
Indices [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 3,726,587 | 9,120,453 | ||
Unrealized Depreciation on Open Forward Contracts | -1,595,956 | -2,854,798 | ||
Interest Rates U.S. [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 10,739,357 | 1,652,217 | ||
Unrealized Depreciation on Open Forward Contracts | -131,522 | -2,855,922 | ||
Interest Rates Non-U.S. [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 7,757,882 | 10,825,920 | ||
Unrealized Depreciation on Open Forward Contracts | -314,257 | -53,100 | ||
Livestock [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 607,928 | 599,795 | ||
Unrealized Depreciation on Open Forward Contracts | -402,735 | -420,930 | ||
Metals [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 324,083 | 922,115 | ||
Unrealized Depreciation on Open Forward Contracts | -1,929,013 | -241,445 | ||
Metals [Member] | Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 356,771 | 2,265,003 | ||
Unrealized Depreciation on Open Forward Contracts | -2,478,228 | -3,020,742 | ||
Softs [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 4,003,399 | 1,810,056 | ||
Unrealized Depreciation on Open Forward Contracts | -283,212 | -95,139 | ||
Cmf Winton Master Lp [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized appreciation on open futures contracts | 26,135,562 | 32,298,121 | ||
Net unrealized depreciation on open forward contracts | -1,806,378 | -5,286,899 | ||
Investment in Master, at fair value | 24,329,184 | 27,011,222 | ||
% of Partners' Capital | 3.42% | 3.87% | ||
Cmf Winton Master Lp [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
% of Partners' Capital | 3.67% | 4.63% | ||
Cmf Winton Master Lp [Member] | Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
% of Partners' Capital | -0.25% | -0.76% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment in Master, at fair value | 19,042,343 | 12,712,141 | ||
% of Partners' Capital | 2.68% | 1.82% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 389 | 48 | ||
Investment in Master, at fair value | 140,218 | 89,449 | ||
% of Partners' Capital | 0.02% | 0.01% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Energy [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 477 | 345 | ||
Investment in Master, at fair value | -770,740 | -3,240,330 | ||
% of Partners' Capital | -0.11% | -0.46% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Grains [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 562 | 1,142 | ||
Investment in Master, at fair value | -370,263 | -547,033 | ||
% of Partners' Capital | -0.05% | -0.08% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 6,926 | 4,399 | ||
Investment in Master, at fair value | 2,213,061 | 7,141,455 | ||
% of Partners' Capital | 0.31% | 1.02% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Interest Rates U.S. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 16,146 | 11,509 | ||
Investment in Master, at fair value | 10,607,835 | -1,203,705 | ||
% of Partners' Capital | 1.49% | -0.17% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Interest Rates Non-U.S. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 19,852 | 15,522 | ||
Investment in Master, at fair value | 7,443,571 | 10,815,045 | ||
% of Partners' Capital | 1.05% | 1.55% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Livestock [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 147 | |||
Investment in Master, at fair value | -414,305 | |||
% of Partners' Capital | -0.06% | |||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 1 | |||
Investment in Master, at fair value | -1,320 | |||
% of Partners' Capital | 0.00% | |||
Cmf Winton Master Lp [Member] | Futures Contracts Purchased [Member] | Softs [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 192 | 231 | ||
Investment in Master, at fair value | -221,339 | 72,885 | ||
% of Partners' Capital | -0.03% | 0.01% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment in Master, at fair value | 7,093,219 | 19,585,980 | ||
% of Partners' Capital | 0.99% | 2.81% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 4,023 | 5,042 | ||
Investment in Master, at fair value | 959,326 | 7,261,530 | ||
% of Partners' Capital | 0.13% | 1.04% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Energy [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 1,565 | 913 | ||
Investment in Master, at fair value | 3,708,569 | 10,503,341 | ||
% of Partners' Capital | 0.52% | 1.51% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Grains [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 519 | 207 | ||
Investment in Master, at fair value | -34,089 | -178,058 | ||
% of Partners' Capital | -0.03% | |||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 54 | 208 | ||
Investment in Master, at fair value | -82,430 | -875,800 | ||
% of Partners' Capital | -0.01% | -0.13% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Interest Rates Non-U.S. [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 28 | 203 | ||
Investment in Master, at fair value | 54 | -42,225 | ||
% of Partners' Capital | -0.01% | |||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Livestock [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 449 | 235 | ||
Investment in Master, at fair value | 205,193 | 593,170 | ||
% of Partners' Capital | 0.03% | 0.09% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 1,211 | 730 | ||
Investment in Master, at fair value | -1,604,930 | 681,990 | ||
% of Partners' Capital | -0.23% | 0.10% | ||
Cmf Winton Master Lp [Member] | Futures Contracts Sold [Member] | Softs [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 1,202 | 802 | ||
Investment in Master, at fair value | 3,941,526 | 1,642,032 | ||
% of Partners' Capital | 0.55% | 0.24% | ||
Cmf Winton Master Lp [Member] | Unrealized Appreciation On Open Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 3,634,850 | 5,117,837 | ||
% of Partners' Capital | 0.51% | 0.73% | ||
Cmf Winton Master Lp [Member] | Unrealized Appreciation On Open Forward Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Appreciation on Open Forward Contracts | 3,278,079 | 2,852,834 | ||
% of Partners' Capital | 0.46% | 0.41% | ||
Investment Owned, Balance, Principal Amount | 348,120,139 | 214,890,277 | ||
Cmf Winton Master Lp [Member] | Unrealized Appreciation On Open Forward Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 156 | 669 | ||
Unrealized Appreciation on Open Forward Contracts | 356,771 | 2,265,003 | ||
% of Partners' Capital | 0.05% | 0.32% | ||
Cmf Winton Master Lp [Member] | Unrealized Depreciation On Open Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Depreciation on Open Forward Contracts | -5,441,228 | -10,404,736 | ||
% of Partners' Capital | -0.76% | -1.49% | ||
Cmf Winton Master Lp [Member] | Unrealized Depreciation On Open Forward Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Unrealized Depreciation on Open Forward Contracts | -2,963,000 | -7,383,994 | ||
% of Partners' Capital | -0.41% | -1.06% | ||
Investment Owned, Balance, Principal Amount | 186,872,765 | 293,627,256 | ||
Cmf Winton Master Lp [Member] | Unrealized Depreciation On Open Forward Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | 689 | 892 | ||
Unrealized Depreciation on Open Forward Contracts | ($2,478,228) | ($3,020,742) | ||
% of Partners' Capital | -0.35% | -0.43% | ||
[1] | Defined in Note 1 |
Basis_of_Presentation_and_Summ7
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Detail) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | |
Investment Income: | ||||
Interest income | $3,920 | $12,092 | ||
Expenses: | ||||
Total expenses | 6,153,037 | 3,208,845 | ||
Net investment income (loss) | -6,149,117 | -3,196,753 | ||
Net gains (losses) on trading of commodity interests: | ||||
Net realized gains (losses) on closed contracts | 21,768,919 | 4,128,090 | ||
Change in net unrealized gains (losses) on open contracts | -1,475,479 | -4,622,601 | ||
Total trading results | 20,293,440 | -494,511 | ||
Balance, value | 201,065,289 | |||
Balance, value | 230,093,643 | |||
Cmf Winton Master Lp [Member] | ||||
Investment Income: | ||||
Interest income | 14,330 | 47,993 | ||
Expenses: | ||||
Clearing fees | 192,952 | 225,255 | ||
Professional fees | 38,075 | 23,126 | ||
Total expenses | 231,027 | 248,381 | ||
Net investment income (loss) | -216,697 | -200,388 | ||
Net gains (losses) on trading of commodity interests: | ||||
Net realized gains (losses) on closed contracts | 65,925,832 | 14,141,943 | ||
Change in net unrealized gains (losses) on open contracts | -2,682,038 | -15,547,440 | ||
Total trading results | 63,243,794 | -1,405,497 | ||
Net income (loss) | 63,027,097 | -1,605,885 | ||
Subscriptions - Limited Partners | 16,883,573 | 20,895,025 | ||
Redemptions - Limited Partners | -66,259,869 | -78,706,308 | ||
Distribution of interest income to feeder funds | -14,330 | -47,993 | ||
Net increase (decrease) in Partners' Capital | 13,636,471 | -59,465,161 | ||
Balance, value | 697,801,812 | 700,949,432 | ||
Balance, value | $711,438,283 | $641,484,271 | ||
Net asset value per unit (181,860.1373 and 233,190.8491 units outstanding at March 31, 2015 and 2014, respectively) | $3,912.01 | $2,750.90 | $3,570.29 | $2,755.81 |
Net income (loss) per unit | $341.80 | ($4.71) | ||
Weighted average units outstanding | 189,969.13 | 249,639.10 |
Basis_of_Presentation_and_Summ8
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Parenthetical) (Detail) (Cmf Winton Master Lp [Member]) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 |
Cmf Winton Master Lp [Member] | |||
Condensed Financial Statements, Captions [Line Items] | |||
Units outstanding | 181,860.14 | 195,446.69 | 233,190.85 |
Financial_Highlights_Changes_i
Financial Highlights - Changes in Net Asset Value Per Unit for Each Class (Detail) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Cmf Winton Master Lp [Member] | ||||
Capital Unit [Line Items] | ||||
Net realized and unrealized gains (losses) | $342.98 | ($3.87) | ||
Interest income | $0.08 | $0.20 | ||
Expenses | ($1.26) | ($1.04) | ||
Increase (decrease) for the period | $341.80 | ($4.71) | ||
Distribution | ($0.08) | ($0.20) | ||
Net Asset Value per Redeemable Unit, beginning of period | $3,570.29 | $2,755.81 | ||
Net Asset Value per Redeemable Unit, end of period | $3,912.01 | $2,750.90 | ||
Class A [Member] | ||||
Capital Unit [Line Items] | ||||
Net realized and unrealized gains (losses) | $131.99 | ($1.80) | ||
Interest Income allocated from Master | $0.03 | $0.07 | ||
Expenses | ($40.43) | ($19.42) | ||
Increase (decrease) for the period | $91.59 | [1] | ($21.15) | [1] |
Net Asset Value per Redeemable Unit, beginning of period | $1,379.28 | $1,159.61 | ||
Net Asset Value per Redeemable Unit, end of period | $1,470.87 | $1,138.46 | ||
Class D [Member] | ||||
Capital Unit [Line Items] | ||||
Net realized and unrealized gains (losses) | $122.66 | ($1.59) | ||
Interest Income allocated from Master | $0.03 | $0.07 | ||
Expenses | ($33.32) | ($10.92) | ||
Increase (decrease) for the period | $89.37 | [1] | ($12.44) | [1] |
Net Asset Value per Redeemable Unit, beginning of period | $1,280.58 | $1,059.55 | ||
Net Asset Value per Redeemable Unit, end of period | $1,369.95 | $1,047.11 | ||
Class Z [Member] | ||||
Capital Unit [Line Items] | ||||
Net realized and unrealized gains (losses) | $123.64 | ($1.57) | ||
Interest Income allocated from Master | $0.03 | $0.05 | ||
Expenses | ($31.01) | ($8.96) | ||
Increase (decrease) for the period | $92.66 | [1] | ($10.48) | [1] |
Net Asset Value per Redeemable Unit, beginning of period | $1,290.15 | $1,059.49 | ||
Net Asset Value per Redeemable Unit, end of period | $1,382.81 | $1,049.01 | ||
[1] | Represents the change in net asset value per unit during the period. |
Financial_Highlights_Percentag
Financial Highlights - Percentage of Financial Highlights for Each Limited Partner Class (Detail) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Limited Partners [Member] | ||
Ratios to Average Net Assets: | ||
Net investment income (loss) | -0.10% | -0.10% |
Operating expenses | 0.10% | 0.20% |
Total return | 9.60% | -0.20% |
Class A [Member] | ||
Ratios to Average Net Assets: | ||
Net investment income (loss) | -5.00% | -7.00% |
Operating expenses | 5.00% | 7.00% |
Incentive fees | 1.60% | |
Total expenses and incentive fees | 6.60% | 7.00% |
Total return: | ||
Total return before incentive fees | 8.20% | -1.80% |
Incentive fees | -1.60% | |
Total return after incentive fees | 6.60% | -1.80% |
Class D [Member] | ||
Ratios to Average Net Assets: | ||
Net investment income (loss) | -3.60% | -4.50% |
Operating expenses | 3.60% | 4.60% |
Incentive fees | 1.60% | |
Total expenses and incentive fees | 5.20% | 4.60% |
Total return: | ||
Total return before incentive fees | 8.60% | -1.20% |
Incentive fees | -1.60% | |
Total return after incentive fees | 7.00% | -1.20% |
Class Z [Member] | ||
Ratios to Average Net Assets: | ||
Net investment income (loss) | -2.90% | -3.30% |
Operating expenses | 2.90% | 3.30% |
Incentive fees | 1.60% | |
Total expenses and incentive fees | 4.50% | 3.30% |
Total return: | ||
Total return before incentive fees | 8.80% | -1.00% |
Incentive fees | -1.60% | |
Total return after incentive fees | 7.20% | -1.00% |
Trading_Activities_Additional_
Trading Activities - Additional Information (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Contract | Contract | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Average number of futures contracts | 49,401 | 48,175 |
Average number of metals forward contracts | 1,030 | 709 |
Average notional value of currency forward contracts | $568,832,699 | $621,656,667 |
Trading_Activities_Summary_of_
Trading Activities - Summary of Gross and Net Amounts Recognized relating to Assets and Liabilities of Master's Derivatives and their Offsetting Subject to Master Netting Arrangements (Detail) (Cmf Winton Master Lp [Member], USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Gross Amounts Recognized, Assets | $38,028,703 | $48,679,646 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | -11,893,141 | -16,381,525 |
Net Amounts Presented in the Statements of Financial Condition, Assets | 26,135,562 | 32,298,121 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received, Assets | 0 | 0 |
Net Amount, Assets | 26,135,562 | 32,298,121 |
Gross Amounts Recognized, Liabilities | -13,699,519 | -21,668,424 |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 11,893,141 | 16,381,525 |
Net Amounts Presented in the Statements of Financial Condition, Liabilities | -1,806,378 | -5,286,899 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received, Liabilities | 0 | 0 |
Net Amount, Liabilities | -1,806,378 | -5,286,899 |
Net fair value | 24,329,184 | 27,011,222 |
Futures Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts Recognized, Assets | 34,393,853 | 43,561,809 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | -8,258,291 | -11,263,688 |
Net Amounts Presented in the Statements of Financial Condition, Assets | 26,135,562 | 32,298,121 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received, Assets | 0 | 0 |
Net Amount, Assets | 26,135,562 | 32,298,121 |
Gross Amounts Recognized, Liabilities | -8,258,291 | -11,263,688 |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 8,258,291 | 11,263,688 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts Recognized, Assets | 3,634,850 | 5,117,837 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | -3,634,850 | -5,117,837 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received, Assets | 0 | 0 |
Gross Amounts Recognized, Liabilities | -5,441,228 | -10,404,736 |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 3,634,850 | 5,117,837 |
Net Amounts Presented in the Statements of Financial Condition, Liabilities | -1,806,378 | -5,286,899 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received, Liabilities | 0 | 0 |
Net Amount, Liabilities | ($1,806,378) | ($5,286,899) |
Trading_Activities_Gross_Fair_
Trading Activities - Gross Fair Values of Derivative Instruments of Futures Forward and Options Contracts (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Futures Contracts [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | $34,393,853 | $43,561,809 |
Liabilities | -8,258,291 | -11,263,688 |
Net unrealized appreciation (depreciation) on open contracts | 26,135,562 | 32,298,121 |
Futures Contracts [Member] | Currencies [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 2,910,052 | 7,910,345 |
Liabilities | -1,810,508 | -559,366 |
Futures Contracts [Member] | Energy [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 4,173,334 | 10,516,685 |
Liabilities | -1,235,505 | -3,253,674 |
Futures Contracts [Member] | Grains [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 151,231 | 204,223 |
Liabilities | -555,583 | -929,314 |
Futures Contracts [Member] | Indices [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 3,726,587 | 9,120,453 |
Liabilities | -1,595,956 | -2,854,798 |
Futures Contracts [Member] | Interest Rates U.S. [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 10,739,357 | 1,652,217 |
Liabilities | -131,522 | -2,855,922 |
Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 7,757,882 | 10,825,920 |
Liabilities | -314,257 | -53,100 |
Futures Contracts [Member] | Livestock [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 607,928 | 599,795 |
Liabilities | -402,735 | -420,930 |
Futures Contracts [Member] | Metals [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 324,083 | 922,115 |
Liabilities | -1,929,013 | -241,445 |
Futures Contracts [Member] | Softs [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 4,003,399 | 1,810,056 |
Liabilities | -283,212 | -95,139 |
Forward Contracts [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 3,634,850 | 5,117,837 |
Liabilities | -5,441,228 | -10,404,736 |
Net unrealized appreciation (depreciation) on open contracts | -1,806,378 | -5,286,899 |
Forward Contracts [Member] | Currencies [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 3,278,079 | 2,852,834 |
Liabilities | -2,963,000 | -7,383,994 |
Forward Contracts [Member] | Metals [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Assets | 356,771 | 2,265,003 |
Liabilities | ($2,478,228) | ($3,020,742) |
Trading_Activities_Gains_and_L
Trading Activities - Gains and Losses by Market Sector on Derivative Instruments (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | $63,243,794 | ($1,405,497) |
Currencies [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | 20,012,145 | -173,020 |
Energy [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | 1,148,637 | 903,931 |
Grains [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | -1,886,856 | 4,144,453 |
Indices [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | 19,197,215 | -12,692,120 |
Interest Rates U.S. [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | 13,190,164 | -3,148,842 |
Interest Rates Non-U.S. [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | 13,125,238 | 17,837,661 |
Livestock [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | 782,435 | 4,251,797 |
Metals [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | -5,912,321 | -7,842,119 |
Softs [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gains and losses, by market sector, on derivative instruments | $3,587,137 | ($4,687,238) |
Fair_Value_Measurements_Additi
Fair Value Measurements - Additional Information (Detail) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Fair Value Disclosures [Abstract] | ||
Transfers of assets and liabilities between Level 1 and Level 2 | $0 | $0 |
Fair_Value_Measurements_Master
Fair Value Measurements - Master's Fair Value Measurements (Detail) (Cmf Winton Master Lp [Member], USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | $38,028,703 | $48,679,646 |
Derivative Liabilities | 13,699,519 | 21,668,424 |
Net fair value | 24,329,184 | 27,011,222 |
Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 34,393,853 | 43,561,809 |
Derivative Liabilities | 8,258,291 | 11,263,688 |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 3,634,850 | 5,117,837 |
Derivative Liabilities | 5,441,228 | 10,404,736 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 34,750,624 | 45,826,812 |
Derivative Liabilities | 10,736,519 | 14,284,430 |
Net fair value | 24,014,105 | 31,542,382 |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 34,393,853 | 43,561,809 |
Derivative Liabilities | 8,258,291 | 11,263,688 |
Level 1 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 356,771 | 2,265,003 |
Derivative Liabilities | 2,478,228 | 3,020,742 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 3,278,079 | 2,852,834 |
Derivative Liabilities | 2,963,000 | 7,383,994 |
Net fair value | 315,079 | -4,531,160 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 3,278,079 | 2,852,834 |
Derivative Liabilities | $2,963,000 | $7,383,994 |
Financial_Instrument_Risks_Add
Financial Instrument Risks - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Investments, All Other Investments [Abstract] | |
Minimum percentage of Funds' contracts traded over-the-counter | 3.90% |
Maximum percentage of Funds' contracts traded over-the-counter | 26.10% |
Maturity period of financial instruments | 1 year |