Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Jul. 31, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | ABFF | |
Entity Registrant Name | MANAGED FUTURES PREMIER ABINGDON L.P. | |
Entity Central Index Key | 1,386,164 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Redeemable Units of Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 158,528.7262 | |
Redeemable Units of Class D [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 14,179.1386 | |
Redeemable Units of Class Z [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 471.4422 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Assets: | |||
Investment in the Master, at fair value | [1] | $ 247,741,461 | $ 234,617,857 |
Cash at MS&Co. | 283,174 | 329,610 | |
Cash at bank | 607 | ||
Total assets | 248,025,242 | 234,947,467 | |
Accrued expenses: | |||
Ongoing selling agent fees | 388,160 | 367,700 | |
Management fees | 309,278 | 292,913 | |
General Partner fees | 206,185 | 195,275 | |
Professional fees | 214,905 | 249,711 | |
Redemptions payable to Limited Partners | 500,969 | 8,142,717 | |
Total liabilities | 1,619,497 | 9,248,316 | |
Partners' Capital: | |||
Total partners' capital (net asset value) | 246,405,745 | 225,699,151 | |
Total liabilities and partners' capital | 248,025,242 | 234,947,467 | |
Class A [Member] | |||
Partners' Capital: | |||
Limited Partners | 224,226,599 | 204,669,817 | |
Total partners' capital (net asset value) | $ 224,226,599 | $ 204,669,817 | |
Net asset value per Redeemable Unit | $ 1,411.78 | $ 1,351.03 | |
Class D [Member] | |||
Partners' Capital: | |||
Limited Partners | $ 18,938,524 | $ 18,010,427 | |
Total partners' capital (net asset value) | $ 18,938,524 | $ 18,010,427 | |
Net asset value per Redeemable Unit | $ 1,335.66 | $ 1,270.21 | |
Class Z [Member] | |||
Partners' Capital: | |||
General Partner | $ 2,599,029 | $ 2,462,400 | |
Limited Partners | 641,593 | 556,507 | |
Total partners' capital (net asset value) | $ 3,240,622 | $ 3,018,907 | |
Net asset value per Redeemable Unit | $ 1,360.92 | $ 1,289.37 | |
[1] | Defined in Note 1. |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - shares | Jun. 30, 2016 | Dec. 31, 2015 |
Class A [Member] | ||
General Partner capital, Redeemable Units outstanding | 0 | 0 |
Limited Partners capital, Redeemable Units outstanding | 158,825.6532 | 151,491.9322 |
Class D [Member] | ||
General Partner capital, Redeemable Units outstanding | 0 | 0 |
Limited Partners capital, Redeemable Units outstanding | 14,179.1386 | 14,179.1386 |
Class Z [Member] | ||
General Partner capital, Redeemable Units outstanding | 1,909.7640 | 1,909.7640 |
Limited Partners capital, Redeemable Units outstanding | 471.4422 | 431.6102 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Income: | |||||
Interest income allocated from the Master | $ 133,684 | $ 3,443 | $ 267,552 | $ 7,363 | |
Expenses: | |||||
Expenses allocated from the Master | 77,654 | 85,391 | 152,911 | 159,869 | |
Ongoing selling agent fees | 1,114,162 | 1,055,958 | 2,245,468 | 2,124,704 | |
Management fees | 887,842 | 843,820 | 1,790,803 | 1,688,840 | |
General Partner fees | 591,896 | 562,547 | 1,193,868 | 1,125,894 | |
Incentive fees | 3,535,100 | ||||
Professional fees | 148,682 | 86,001 | 298,647 | 152,347 | |
Total expenses | 2,820,236 | 2,633,717 | 5,681,697 | 8,786,754 | |
Net investment loss | (2,686,552) | (2,630,274) | (5,414,145) | (8,779,391) | |
Net gains (losses) on investment in the Master: | |||||
Net realized gains (losses) on closed contracts allocated from the Master | (8,635,318) | (13,337,481) | (224,926) | 8,431,438 | |
Net change in unrealized gains (losses) on open contracts allocated from the Master | 16,092,916 | (8,737,817) | 16,259,387 | (10,213,296) | |
Total trading results | 7,457,598 | (22,075,298) | 16,034,461 | (1,781,858) | |
Net income (loss) | 4,771,046 | (24,705,572) | 10,620,316 | (10,561,249) | |
Net income (loss) allocation by Class: | |||||
Net income (loss) allocated from Master | 4,771,046 | (24,705,572) | 10,620,316 | (10,561,249) | |
Class A [Member] | |||||
Net gains (losses) on investment in the Master: | |||||
Net income (loss) | 4,282,574 | (22,449,824) | 9,521,410 | (9,463,728) | |
Net income (loss) allocation by Class: | |||||
Net income (loss) allocated from Master | $ 4,282,574 | $ (22,449,824) | $ 9,521,410 | $ (9,463,728) | |
Net asset value per Redeemable Unit: | |||||
Net asset value per Redeemable Unit | $ 1,411.78 | $ 1,319.79 | $ 1,411.78 | $ 1,319.79 | |
Net income (loss) per Redeemable Unit | |||||
Net income (loss) per Redeemable Unit | [1] | $ 26.26 | $ (151.08) | $ 60.75 | $ (59.49) |
Weighted average Redeemable Units outstanding | |||||
Weighted average Redeemable Units outstanding | 158,195.9512 | 148,823.4815 | 155,753.8032 | 145,224.0905 | |
Class D [Member] | |||||
Net gains (losses) on investment in the Master: | |||||
Net income (loss) | $ 410,293 | $ (1,940,524) | $ 928,097 | $ (975,615) | |
Net income (loss) allocation by Class: | |||||
Net income (loss) allocated from Master | $ 410,293 | $ (1,940,524) | $ 928,097 | $ (975,615) | |
Net asset value per Redeemable Unit: | |||||
Net asset value per Redeemable Unit | $ 1,335.66 | $ 1,233.09 | $ 1,335.66 | $ 1,233.09 | |
Net income (loss) per Redeemable Unit | |||||
Net income (loss) per Redeemable Unit | [1] | $ 28.94 | $ (136.86) | $ 65.45 | $ (47.49) |
Weighted average Redeemable Units outstanding | |||||
Weighted average Redeemable Units outstanding | 14,179.1386 | 14,179.1386 | 14,179.1386 | 12,481.7491 | |
Class Z [Member] | |||||
Net gains (losses) on investment in the Master: | |||||
Net income (loss) | $ 78,179 | $ (315,224) | $ 170,809 | $ (121,906) | |
Net income (loss) allocation by Class: | |||||
Net income (loss) allocated from Master | $ 78,179 | $ (315,224) | $ 170,809 | $ (121,906) | |
Net asset value per Redeemable Unit: | |||||
Net asset value per Redeemable Unit | $ 1,360.92 | $ 1,247.01 | $ 1,360.92 | $ 1,247.01 | |
Net income (loss) per Redeemable Unit | |||||
Net income (loss) per Redeemable Unit | [1] | $ 31.98 | $ (135.80) | $ 71.55 | $ (43.14) |
Weighted average Redeemable Units outstanding | |||||
Weighted average Redeemable Units outstanding | 2,360.0402 | 2,315.9455 | 2,350.7072 | 2,201.1134 | |
[1] | Represents the change in net asset value per Redeemable Unit during the period. |
Statements of Income and Expen5
Statements of Income and Expenses (Parenthetical) - shares | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
General Partners, Redeemable Units outstanding | 175,385.9980 | 168,012.4450 | 164,785.4370 | 146,678.5930 |
Class A [Member] | ||||
Limited Partners, Redeemable Units outstanding | 158,825.6532 | 151,491.9322 | 148,264.9242 | |
General Partners, Redeemable Units outstanding | 158,825.6532 | 151,491.9322 | 148,264.9242 | 133,862.9462 |
Class D [Member] | ||||
Limited Partners, Redeemable Units outstanding | 14,179.1386 | 14,179.1386 | 14,179.1386 | |
General Partners, Redeemable Units outstanding | 14,179.1386 | 14,179.1386 | 14,179.1386 | 10,729.3656 |
Class Z [Member] | ||||
Limited Partners, Redeemable Units outstanding | 471.4422 | 431.6102 | 2,341.3742 | |
General Partners, Redeemable Units outstanding | 2,381.2062 | 2,341.3742 | 2,341.3742 | 2,086.2812 |
Statements of Changes in Partne
Statements of Changes in Partners' Capital - USD ($) | Total | Limited Partners [Member] | General Partner [Member] | Class A [Member] | Class A [Member]Limited Partners [Member] | Class D [Member] | Class D [Member]Limited Partners [Member] | Class Z [Member] | Class Z [Member]Limited Partners [Member] | Class Z [Member]General Partner [Member] |
Balance, value at Dec. 31, 2014 | $ 201,065,289 | $ 184,633,894 | $ 13,739,779 | $ 2,691,616 | ||||||
Balance, Redeemable Units at Dec. 31, 2014 | 146,678.5930 | 133,862.9462 | 10,729.3656 | 2,086.2812 | ||||||
Subscriptions, value | $ 33,314,303 | $ 300,000 | $ 28,544,303 | $ 4,720,000 | $ 50,000 | $ 300,000 | ||||
Subscriptions, Redeemable Units | 23,683.755 | 216.95 | 20,195.839 | 3,449.773 | 38.143 | 216.95 | ||||
Net income (loss) | $ (10,561,249) | $ (9,463,728) | $ (975,615) | $ (121,906) | ||||||
Redemptions, value | $ (8,035,657) | $ (8,035,657) | ||||||||
Redemptions, Redeemable Units | (5,793.861) | (5,793.861) | ||||||||
Balance, value at Jun. 30, 2015 | $ 216,082,686 | $ 195,678,812 | $ 17,484,164 | $ 2,919,710 | ||||||
Balance, Redeemable Units at Jun. 30, 2015 | 164,785.4370 | 148,264.9242 | 14,179.1386 | 2,341.3742 | ||||||
Net income (loss) | $ (24,705,572) | $ (22,449,824) | $ (1,940,524) | $ (315,224) | ||||||
Balance, value at Jun. 30, 2015 | $ 216,082,686 | $ 195,678,812 | $ 17,484,164 | $ 2,919,710 | ||||||
Balance, Redeemable Units at Jun. 30, 2015 | 164,785.4370 | 148,264.9242 | 14,179.1386 | 2,341.3742 | ||||||
Balance, value at Dec. 31, 2015 | $ 225,699,151 | $ 204,669,817 | $ 18,010,427 | $ 3,018,907 | ||||||
Balance, Redeemable Units at Dec. 31, 2015 | 168,012.4450 | 151,491.9322 | 14,179.1386 | 2,341.3742 | ||||||
Subscriptions, value | $ 20,630,949 | $ 20,580,043 | $ 50,906 | |||||||
Subscriptions, Redeemable Units | 14,935.141 | 14,895.309 | 39.832 | |||||||
Net income (loss) | $ 10,620,316 | $ 9,521,410 | $ 928,097 | $ 170,809 | ||||||
Redemptions, value | $ (10,544,671) | $ (10,544,671) | ||||||||
Redemptions, Redeemable Units | (7,561.588) | (7,561.588) | ||||||||
Balance, value at Jun. 30, 2016 | $ 246,405,745 | $ 224,226,599 | $ 18,938,524 | $ 3,240,622 | ||||||
Balance, Redeemable Units at Jun. 30, 2016 | 175,385.9980 | 158,825.6532 | 14,179.1386 | 2,381.2062 | ||||||
Net income (loss) | $ 4,771,046 | $ 4,282,574 | $ 410,293 | $ 78,179 | ||||||
Balance, value at Jun. 30, 2016 | $ 246,405,745 | $ 224,226,599 | $ 18,938,524 | $ 3,240,622 | ||||||
Balance, Redeemable Units at Jun. 30, 2016 | 175,385.9980 | 158,825.6532 | 14,179.1386 | 2,381.2062 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Managed Futures Premier Abingdon 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 indirectly 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 (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership privately and continuously offers redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. All trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”). During the reporting periods ended June 30, 2016 and 2015, the Partnership’s and the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership and the Master also deposit a portion of their cash in non-trading accounts at JPMorgan Chase Bank, N.A. 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. A limited partner in the Master may withdraw all or part of its capital contribution and undistributed profits, if any, from the Master as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner in the Master elects to redeem and informs the Master. The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2016. 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 are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and certain employees of Morgan Stanley and its subsidiaries (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. At June 30, 2016 and December 31, 2015, the Partnership owned approximately 42.9% and 38.9%, 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 its capital contributions and profits, if any, net of distributions or redemptions and losses, if any. 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. (or will reimburse MS&Co., if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”). The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management is paid a monthly ongoing selling agent fee at the rates described above. The ongoing selling agent fee received by Morgan Stanley Wealth Management is shared with the properly registered/exempted financial advisors of Morgan Stanley Wealth Management who sell Class A and/or Class D Redeemable Units. In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory, reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016, the results of its operations for the three and six months ended June 30, 2016 and 2015 and changes in partners’ capital for the six months ended June 30, 2016 and 2015. 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, 2015. The December 31, 2015 information has been derived from the audited financial statements as of and for the year ended December 31, 2015. 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. Use of Estimates Statement of Cash Flows: Partnership’s Investment Master’s Investments Master’s Fair Value of Financial Instruments Financial Instruments Master’s Cash Income Taxes Investment Company Status “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” Net Income (Loss) per Redeemable Unit “Financial Services – Investment Companies.” Recent Accounting Pronouncement Recognition and Measurement of Financial Assets and Financial Liabilities 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, 2015. The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2016 and December 31, 2015 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2016 and 2015 are presented below: CMF Winton Master L.P. Statements of Financial Condition (Unaudited) June 30, 2016 December 31, 2015 Assets: Equity in trading account: Investment in U.S. Treasury bills, at fair value (amortized cost $456,737,623 and $472,872,074 at June 30, 2016 and December 31, 2015, respectively) $ 456,892,688 $ 472,950,344 Cash at MS&Co. 12,764,389 25,746,373 Cash margin 63,688,189 99,262,577 Net unrealized appreciation on open futures contracts 39,683,773 5,389,377 Net unrealized appreciation on open forward contracts 4,105,053 - Total equity in trading account 577,134,092 603,348,671 Cash at bank 607 - Total assets $ 577,134,699 $ 603,348,671 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open forward contracts $ - $ 269,234 Accrued expenses: Professional fees 45,523 38,067 Total liabilities 45,523 307,301 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at June 30, 2016 and December 31, 2015 - - Limited Partners, 144,872.0830 and 161,976.6460 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively 577,089,176 603,041,370 Total liabilities and partners’ capital $ 577,134,699 $ 603,348,671 Net asset value per Redeemable Unit $ 3,983.44 $ 3,723.01 Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Condensed Schedule of Investments June 30, 2016 (Unaudited) Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 1,150 $ 2,809,789 0.49 % Grains 736 1,134,183 0.20 Indices 1,645 1,524,288 0.26 Interest Rates U.S. 1,712 9,769,086 1.69 Interest Rates Non-U.S. 20,163 15,905,199 2.76 Livestock 221 42,290 0.01 Metals 527 2,783,845 0.48 Softs 393 342,689 0.06 Total futures contracts purchased 34,311,369 5.95 Futures Contracts Sold Currencies 2,161 6,848,931 1.19 Energy 497 (483,582) (0.08) Grains 705 1,366,670 0.23 Indices 696 (585,430) (0.10) Interest Rates U.S. 920 (1,393,282) (0.24) Interest Rates Non-U.S. 142 (17,466) (0.00) * Livestock 290 107,378 0.02 Metals 62 (158,905) (0.03) Softs 429 (311,910) (0.06) Total futures contracts sold 5,372,404 0.93 Net unrealized appreciation on open futures contracts $ 39,683,773 6.88 % Unrealized Appreciation on Open Forward Contracts Currencies $ 307,886,860 $ 8,990,284 1.55 % Metals 482 1,189,365 0.21 Total unrealized appreciation on open forward contracts 10,179,649 1.76 Unrealized Depreciation on Open Forward Contracts Currencies $ 226,275,721 (3,862,879) (0.67) Metals 740 (2,211,717) (0.38) Total unrealized depreciation on open forward contracts (6,074,596) (1.05) Net unrealized appreciation on open forward contracts $ 4,105,053 0.71 % U.S. Government Securities Face Amount Maturity Date Description Fair Value % of Partners’ Capital U.S. Treasury bills, 0.205% $ 27,000,000 7/7/2016 (Amortized cost of $26,992,159) $ 26,999,696 4.68 % U.S. Treasury bills, 0.265% $ 140,000,000 8/11/2016 (Amortized cost of $139,926,831) 139,969,306 24.25 U.S. Treasury bills, 0.29% $ 260,000,000 8/11/2016 (Amortized cost of $259,836,633) 259,942,998 45.04 U.S. Treasury bills, 0.24% $ 30,000,000 9/29/2016 (Amortized cost of $29,982,000) 29,980,688 5.20 Total U.S. Government Securities $ 456,892,688 79.17 % * Due to rounding. Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2015 Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 510 $ 30,126 0.01 % Energy 75 (7,647) (0.00) * Grains 95 (17,551) (0.00) * Indices 2,628 1,099,760 0.18 Interest Rates U.S. 614 (610,774) (0.10) Interest Rates Non-U.S. 19,410 (3,062,521) (0.51) Livestock 3 160 0.00 * Softs 311 64,286 0.01 Total futures contracts purchased (2,504,161) (0.41) Futures Contracts Sold Currencies 4,548 3,922,263 0.65 Energy 2,317 1,273,340 0.21 Grains 2,492 2,035,524 0.34 Indices 1,710 (453,830) (0.08) Interest Rates U.S. 122 (3,016) (0.00) * Interest Rates Non-U.S. 556 (29,705) (0.00) * Livestock 394 (660,400) (0.11) Metals 1,441 2,011,420 0.33 Softs 544 (202,058) (0.03) Total futures contracts sold 7,893,538 1.31 Net unrealized appreciation on open futures contracts $ 5,389,377 0.90 % Unrealized Appreciation on Open Forward Contracts Currencies $ 285,098,551 $ 3,394,312 0.56 % Metals 492 1,854,557 0.31 Total unrealized appreciation on open forward contracts 5,248,869 0.87 Unrealized Depreciation on Open Forward Contracts Currencies $ 245,182,550 (4,880,125) (0.81) Metals 353 (637,978) (0.11) Total unrealized depreciation on open forward contracts (5,518,103) (0.92) Net unrealized depreciation on open forward contracts $ (269,234) (0.05)% U.S. Government Securities Face Amount Maturity Date Description Fair Value % of Partners’ U.S. Treasury bills, 0.19% $ 128,000,000 1/21/2016 (Amortized cost of $127,981,084) $ 127,991,600 21.23 % U.S. Treasury bills, 0.125% $ 345,000,000 2/11/2016 (Amortized cost of $344,890,990) 344,958,744 57.20 Total U.S. Government Securities $ 472,950,344 78.43 % * Due to rounding. Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Statements of Income and Expenses and Changes in Partners’ Capital (Unaudited) Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Investment Income: Interest income $ 319,721 $ 11,695 $ 661,185 $ 26,025 Expenses: Clearing fees 161,803 219,450 328,664 412,402 Professional fees 20,520 27,027 41,043 65,102 Total expenses 182,323 246,477 369,707 477,504 Net investment income (loss) 137,398 (234,782) 291,478 (451,479) Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (20,269,506) (38,258,932) 778,811 27,666,900 Net change in unrealized gains (losses) on open contracts 37,319,590 (25,643,607) 38,776,362 (28,325,645) Total trading results 17,050,084 (63,902,539) 39,555,173 (658,745) Net income (loss) 17,187,482 (64,137,321) 39,846,651 (1,110,224) Subscriptions - Limited Partners 12,010,492 21,423,134 20,730,949 38,306,707 Redemptions - Limited Partners (28,701,797) (41,897,509) (86,405,119) (108,157,378) Distribution of interest income to feeder funds (48,263) (11,695) (124,675) (26,025) Net increase (decrease) in Partners’ Capital 447,914 (84,623,391) (25,952,194) (70,986,920) Partners’ Capital, beginning of period 576,641,262 711,438,283 603,041,370 697,801,812 Partners’ Capital, end of period $ 577,089,176 $ 626,814,892 $ 577,089,176 $ 626,814,892 Net asset value per Redeemable Unit (144,872.0830 and 176,513.8464 Redeemable Units outstanding at June 30, 2016 and 2015, respectively) $ 3,983.44 $ 3,551.08 $ 3,983.44 $ 3,551.08 Net income (loss) per Redeemable Unit* $ 120.39 $ (360.86) $ 261.27 $ (19.06) Weighted average Redeemable Units outstanding 145,876.3773 181,548.6669 148,983.3565 185,758.8999 * Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds. |
Financial Highlights
Financial Highlights | 6 Months Ended |
Jun. 30, 2016 | |
Text Block [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner classes as a whole for the three and six months ended June 30, 2016 and 2015 were as follows: Three Months Ended 2016 2015 Per Redeemable Unit Performance (for a unit outstanding Class A Class D Class Z Class A Class D Class Z Net realized and unrealized gains (losses) $ 42.13 $ 39.90 $ 40.68 $ (134.62) $ (125.52) $ (126.76) Net investment loss (15.87) (10.96) (8.70) (16.46) (11.34) (9.04) Increase (decrease) for the period 26.26 28.94 31.98 (151.08) (136.86) (135.80) Net asset value per Redeemable Unit, beginning of period 1,385.52 1,306.72 1,328.94 1,470.87 1,369.95 1,382.81 Net asset value per Redeemable Unit, end of period $ 1,411.78 $ 1,335.66 $ 1,360.92 $ 1,319.79 $ 1,233.09 $ 1,247.01 Six Months Ended 2016 2015 Per Redeemable Unit Performance (for a unit outstanding Class A Class D Class Z Class A Class D Class Z Net realized and unrealized gains (losses) $ 93.22 $ 87.84 $ 89.30 $ (2.63) $ (2.86) $ (3.12) Net investment loss (32.47) (22.39) (17.75) (56.86) (44.63) (40.02) Increase (decrease) for the period 60.75 65.45 71.55 (59.49) (47.49) (43.14) Net asset value per Redeemable Unit, beginning of period 1,351.03 1,270.21 1,289.37 1,379.28 1,280.58 1,290.15 Net asset value per Redeemable Unit, end of period $ 1,411.78 $ 1,335.66 $ 1,360.92 $ 1,319.79 $ 1,233.09 $ 1,247.01 Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) Three Months Ended June 30, 2016 2015 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.7 ) % (3.4 ) % (2.7 ) % (4.8 ) % (3.7 ) % (2.9 ) % Operating expenses 5.0 % 3.6 % 2.9 % 4.8 % 3.7 % 2.9 % Incentive fees - % - % - % - % % % Total expenses 5.0 3.6 2.9 % 4.8 % 3.7 % 2.9 % Total return: Total return before incentive fees 1.9 % 2.2 % 2.4 % (10.3 ) % (10.0 ) % (9.8 ) % Incentive fees - % - % - % - % - % - % Total return after incentive fees 1.9 % 2.2 % 2.4 % (10.3 ) % (10.0 ) % (9.8 ) % Six Months Ended June 30, 2016 2015 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.8 ) % (3.4 ) % (2.7 ) % (6.6) % (5.1 ) % (4.5 ) % Operating expenses 5.0 % 3.7 % 2.9 % 5.0 % 3.7 % 2.9 % Incentive fees - % - % - % 1.6 % 1.4 % 1.6 % Total expenses 5.0 % 3.7 % 2.9 % 6.6 % 5.1 % 4.5 % Total return: Total return before incentive fees 4.5 % 5.2 % 5.5 % (2.7) % (2.3 ) % (1.7 ) % Incentive fees - % - % - % (1.6) % (1.4 ) % (1.6 ) % Total return after incentive fees 4.5 % 5.2 % 5.5 % (4.3) % (3.7 ) % (3.3 ) % * Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. ** Annualized (other than incentive fees). *** Interest income allocated from the Master less total expenses. 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 the limited partners’ share of income, expenses and average partners’ capital of the Partnership and includes the income and expenses allocated from the Master. Financial Highlights of the Master: Three Months Ended Six Months Ended 2016 2015 2016 2015 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ 119.45 $ (359.54) $ 259.31 $ (16.56) Net investment income (loss) 0.94 (1.32) 1.96 (2.50) Increase (decrease) for the period 120.39 (360.86) 261.27 (19.06) Distribution of interest income to feeder funds (0.33) (0.07) (0.84) (0.15) Net asset value per Redeemable Unit, beginning of period 3,863.38 3,912.01 3,723.01 3,570.29 Net asset value per Redeemable Unit, end of period $ 3,983.44 $ 3,551.08 $ 3,983.44 $ 3,551.08 Three Months Ended Six Months Ended 2016 2015 2016 2015 Ratios to Average Limited Partners’ Capital:** Net investment income (loss)*** 0.1 % (0.1 )% 0.1 % (0.1 )% Operating expenses 0.1 % 0.1 % 0.1 % 0.1 % Total return 3.1 % (9.2 )% 7.0 % (0.5 )% * Net investment income (loss) per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. ** Annualized. *** Interest income less total expenses. 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 the limited partners’ share of income, expenses and average partners’ capital. |
Trading Activities
Trading Activities | 6 Months Ended |
Jun. 30, 2016 | |
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 in the Statements of Income and Expenses. The futures brokerage account agreements with MS&Co. give the Partnership and the Master the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on its Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” Trading and transaction fees are based on the number of trades executed by the Advisor for the Master and the Partnership’s percentage ownership of the Master. All clearing fees paid to MS&Co. are borne by the Master and allocated to the Master’s limited partners, including the Partnership. All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded by the Master during the three months ended June 30, 2016 and 2015 was 31,670 and 47,675, respectively. The monthly average number of futures contracts traded by the Master during the six months ended June 30, 2016 and 2015 was 35,826 and 48,538, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended June 30, 2016 and 2015 was 930 and 1,380, respectively. The monthly average number of metals forward contracts traded by the Master during the six months ended June 30, 2016 and 2015 was 819 and 1,205, respectively. The average notional value of currency forward contracts traded by the Master during the three months ended June 30, 2016 and 2015 was $613,596,023 and $602,291,493, respectively. The average notional value of currency forward contracts traded by the Master during the six months ended June 30, 2016 and 2015 was $603,010,884 and $585,562,096, 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 June 30, 2016 and December 31, 2015, respectively. Gross Amounts Gross Amounts Statements of Amounts Statements of Gross Amounts Not Offset in the Net Amount June 30, 2016 Financial Cash Collateral Assets Futures $ 44,201,887 $ (4,518,114) $ 39,683,773 $ - $ - $ 39,683,773 Forwards 10,179,649 (6,074,596) 4,105,053 - - 4,105,053 Total assets $ 54,381,536 $ (10,592,710) $ 43,788,826 $ - $ - $ 43,788,826 Liabilities Futures $ (4,518,114) $ 4,518,114 $ - $ - $ - $ - Forwards (6,074,596) 6,074,596 - - - - Total liabilities $ (10,592,710) $ 10,592,710 $ - $ - $ - $ - Net fair value $ 43,788,826* Gross Amounts Gross Amounts Statements of Amounts Statements of Gross Amounts Not Offset in the Statements of Financial Condition Net December 31, 2015 Financial Cash Collateral Assets Futures $ 17,800,660 $ (12,411,283) $ 5,389,377 $ - $ - $ 5,389,377 Forwards 5,248,869 (5,248,869) - - - - Total assets $ 23,049,529 $ (17,660,152) $ 5,389,377 $ - $ - $ 5,389,377 Liabilities Futures $ (12,411,283) $ 12,411,283 $ - $ - $ - $ - Forwards (5,518,103) 5,248,869 (269,234) - - (269,234) Total liabilities $ (17,929,386) $ 17,660,152 $ (269,234) $ - $ - $ (269,234) Net fair value $ 5,120,143* * In the event of default by the Master, MS&Co., the Master’s commodity futures broker and the sole counterparty to the Master’s off-exchange-traded contracts, as applicable, has the right to offset the Master’s obligation with the Master’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’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 in the Master’s Statements of Financial Condition. In the case of exchange-traded contracts, the Master’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. The following tables indicate the gross fair values of the Master’s derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2016 and December 31, 2015, respectively. June 30, 2016 Assets Futures Contracts Currencies $ 10,130,251 Energy 161,783 Grains 2,782,904 Indices 1,729,358 Interest Rates U.S. 9,791,039 Interest Rates Non-U.S. 15,951,118 Livestock 297,763 Metals 2,790,945 Softs 566,726 Total unrealized appreciation on open futures contracts 44,201,887 Liabilities Futures Contracts Currencies (471,531) Energy (645,365) Grains (282,051) Indices (790,500) Interest Rates U.S. (1,415,235) Interest Rates Non-U.S. (63,385) Livestock (148,095) Metals (166,005) Softs (535,947) Total unrealized depreciation on open futures contracts (4,518,114) Net unrealized appreciation on open futures contracts $ 39,683,773 * Assets Forward Contracts Currencies $ 8,990,284 Metals 1,189,365 Total unrealized appreciation on open forward contracts 10,179,649 Liabilities Forward Contracts Currencies (3,862,879) Metals (2,211,717) Total unrealized depreciation on open forward contracts (6,074,596) Net unrealized appreciation on open forward contracts $ 4,105,053 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Master’s Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Master’s Statements of Financial Condition. December 31, 2015 Assets Futures Contracts Currencies $ 4,375,005 Energy 3,059,034 Grains 2,067,358 Indices 2,758,533 Interest Rates U.S. 7,546 Interest Rates Non-U.S. 3,038,265 Livestock 31,455 Metals 2,228,435 Softs 235,029 Total unrealized appreciation on open futures contracts 17,800,660 Liabilities Futures Contracts Currencies (422,616) Energy (1,793,341) Grains (49,385) Indices (2,112,603) Interest Rates U.S. (621,336) Interest Rates Non-U.S. (6,130,491) Livestock (691,695) Metals (217,015) Softs (372,801) Total unrealized depreciation on open futures contracts (12,411,283) Net unrealized appreciation on open futures contracts $ 5,389,377 * Assets Forward Contracts Currencies $ 3,394,312 Metals 1,854,557 Total unrealized appreciation on open forward contracts 5,248,869 Liabilities Forward Contracts Currencies (4,880,125) Metals (637,978) Total unrealized depreciation on open forward contracts (5,518,103) Net unrealized depreciation on open forward contracts $ (269,234 ) ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Master’s Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Master’s Statements of Financial Condition. The following table indicates the Master’s total trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2016 and 2015. Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Sector Currencies $ 11,775,135 $ (15,988,636) $ 7,326,396 $ 4,023,509 Energy (8,127,874) (13,347,908) (1,815,490) (12,199,271) Grains (1,900,206) (4,676,952) (1,939,135) (6,563,808) Indices (8,019,293) (9,362,567) (14,797,985) 9,834,648 Interest Rates U.S. 8,199,514 (3,327,426) 15,164,334 9,862,738 Interest Rates Non-U.S. 14,164,170 (18,301,771) 50,451,143 (5,176,533) Livestock 714,435 1,869 1,186,790 784,304 Metals 966,051 292,589 (15,401,208) (5,619,732) Softs (721,848) 808,263 (619,672) 4,395,400 Total $ 17,050,084 *** $ (63,902,539) *** $ 39,555,173 *** $ (658,745) *** *** This amount is included in “Total trading results” in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 5. Fair Value Measurements: Master’s Fair Value Measurements The fair value of exchange-traded futures and forward contracts is determined by the various 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 input 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. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period. The Master considers prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills and non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of June 30, 2016 and December 31, 2015 and for the periods ended June 30, 2016 and 2015, 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 reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2. June 30, 2016 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 456,892,688 $ - $ 456,892,688 $ - Futures 44,201,887 44,201,887 - - Forwards 10,179,649 1,189,365 8,990,284 - Total assets $ 511,274,224 $ 45,391,252 $ 465,882,972 $ - Liabilities Futures $ 4,518,114 $ 4,518,114 $ - $ - Forwards 6,074,596 2,211,717 3,862,879 - Total liabilities $ 10,592,710 $ 6,729,831 $ 3,862,879 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 472,950,344 $ - $ 472,950,344 $ - Futures 17,800,660 17,800,660 - - Forwards 5,248,869 1,854,557 3,394,312 - Total assets $ 495,999,873 $ 19,655,217 $ 476,344,656 $ - Liabilities Futures $ 12,411,283 $ 12,411,283 $ - $ - Forwards 5,518,103 637,978 4,880,125 - Total liabilities $ 17,929,386 $ 13,049,261 $ 4,880,125 $ - |
Financial Instrument Risks
Financial Instrument Risks | 6 Months Ended |
Jun. 30, 2016 | |
Investments, All Other Investments [Abstract] | |
Financial Instrument Risks | 6. Financial Instrument Risks: In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards, 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 21.2% to 30.3% of the Master’s contracts are traded OTC. Futures Contracts Forward Foreign Currency Contracts London Metals Exchange Forward Contracts 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 in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. Market risk is the potential for changes in the value of the financial instruments traded by the 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 Master is exposed to 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 an 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 an MS&Co. affiliate, the Partnership’s/Master’s counterparty is 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 and forward contracts by sector, margin requirements, gain and loss transactions and collateral positions. 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. 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 | 6 Months Ended |
Jun. 30, 2016 | |
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 to or disclosure in the financial statements. |
Basis of Presentation and Sum14
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates |
Statement of Cash Flows | Statement of Cash Flows: |
Partnership's Investment | Partnership’s Investment |
Master's Investments | Master’s Investments |
Master's Fair Value of Financial Instruments | Master’s Fair Value of Financial Instruments Financial Instruments |
Master's Cash | Master’s Cash |
Income Taxes | Income Taxes |
Investment Company Status | Investment Company Status “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” |
Net Income (Loss) per Redeemable Unit | Net Income (Loss) per Redeemable Unit “Financial Services – Investment Companies.” |
Recent Accounting Pronouncement | Recent Accounting Pronouncement Recognition and Measurement of Financial Assets and Financial Liabilities |
Basis of Presentation and Sum15
Basis of Presentation and Summary of Significant Accounting Policies (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Statements of Financial Condition | CMF Winton Master L.P. Statements of Financial Condition (Unaudited) June 30, 2016 December 31, 2015 Assets: Equity in trading account: Investment in U.S. Treasury bills, at fair value (amortized cost $456,737,623 and $472,872,074 at June 30, 2016 and December 31, 2015, respectively) $ 456,892,688 $ 472,950,344 Cash at MS&Co. 12,764,389 25,746,373 Cash margin 63,688,189 99,262,577 Net unrealized appreciation on open futures contracts 39,683,773 5,389,377 Net unrealized appreciation on open forward contracts 4,105,053 - Total equity in trading account 577,134,092 603,348,671 Cash at bank 607 - Total assets $ 577,134,699 $ 603,348,671 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open forward contracts $ - $ 269,234 Accrued expenses: Professional fees 45,523 38,067 Total liabilities 45,523 307,301 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at June 30, 2016 and December 31, 2015 - - Limited Partners, 144,872.0830 and 161,976.6460 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively 577,089,176 603,041,370 Total liabilities and partners’ capital $ 577,134,699 $ 603,348,671 Net asset value per Redeemable Unit $ 3,983.44 $ 3,723.01 |
Condensed Schedule of Investments | Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Condensed Schedule of Investments June 30, 2016 (Unaudited) Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 1,150 $ 2,809,789 0.49 % Grains 736 1,134,183 0.20 Indices 1,645 1,524,288 0.26 Interest Rates U.S. 1,712 9,769,086 1.69 Interest Rates Non-U.S. 20,163 15,905,199 2.76 Livestock 221 42,290 0.01 Metals 527 2,783,845 0.48 Softs 393 342,689 0.06 Total futures contracts purchased 34,311,369 5.95 Futures Contracts Sold Currencies 2,161 6,848,931 1.19 Energy 497 (483,582) (0.08) Grains 705 1,366,670 0.23 Indices 696 (585,430) (0.10) Interest Rates U.S. 920 (1,393,282) (0.24) Interest Rates Non-U.S. 142 (17,466) (0.00) * Livestock 290 107,378 0.02 Metals 62 (158,905) (0.03) Softs 429 (311,910) (0.06) Total futures contracts sold 5,372,404 0.93 Net unrealized appreciation on open futures contracts $ 39,683,773 6.88 % Unrealized Appreciation on Open Forward Contracts Currencies $ 307,886,860 $ 8,990,284 1.55 % Metals 482 1,189,365 0.21 Total unrealized appreciation on open forward contracts 10,179,649 1.76 Unrealized Depreciation on Open Forward Contracts Currencies $ 226,275,721 (3,862,879) (0.67) Metals 740 (2,211,717) (0.38) Total unrealized depreciation on open forward contracts (6,074,596) (1.05) Net unrealized appreciation on open forward contracts $ 4,105,053 0.71 % U.S. Government Securities Face Amount Maturity Date Description Fair Value % of Partners’ Capital U.S. Treasury bills, 0.205% $ 27,000,000 7/7/2016 (Amortized cost of $26,992,159) $ 26,999,696 4.68 % U.S. Treasury bills, 0.265% $ 140,000,000 8/11/2016 (Amortized cost of $139,926,831) 139,969,306 24.25 U.S. Treasury bills, 0.29% $ 260,000,000 8/11/2016 (Amortized cost of $259,836,633) 259,942,998 45.04 U.S. Treasury bills, 0.24% $ 30,000,000 9/29/2016 (Amortized cost of $29,982,000) 29,980,688 5.20 Total U.S. Government Securities $ 456,892,688 79.17 % * Due to rounding. Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2015 Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 510 $ 30,126 0.01 % Energy 75 (7,647) (0.00) * Grains 95 (17,551) (0.00) * Indices 2,628 1,099,760 0.18 Interest Rates U.S. 614 (610,774) (0.10) Interest Rates Non-U.S. 19,410 (3,062,521) (0.51) Livestock 3 160 0.00 * Softs 311 64,286 0.01 Total futures contracts purchased (2,504,161) (0.41) Futures Contracts Sold Currencies 4,548 3,922,263 0.65 Energy 2,317 1,273,340 0.21 Grains 2,492 2,035,524 0.34 Indices 1,710 (453,830) (0.08) Interest Rates U.S. 122 (3,016) (0.00) * Interest Rates Non-U.S. 556 (29,705) (0.00) * Livestock 394 (660,400) (0.11) Metals 1,441 2,011,420 0.33 Softs 544 (202,058) (0.03) Total futures contracts sold 7,893,538 1.31 Net unrealized appreciation on open futures contracts $ 5,389,377 0.90 % Unrealized Appreciation on Open Forward Contracts Currencies $ 285,098,551 $ 3,394,312 0.56 % Metals 492 1,854,557 0.31 Total unrealized appreciation on open forward contracts 5,248,869 0.87 Unrealized Depreciation on Open Forward Contracts Currencies $ 245,182,550 (4,880,125) (0.81) Metals 353 (637,978) (0.11) Total unrealized depreciation on open forward contracts (5,518,103) (0.92) Net unrealized depreciation on open forward contracts $ (269,234) (0.05)% U.S. Government Securities Face Amount Maturity Date Description Fair Value % of Partners’ U.S. Treasury bills, 0.19% $ 128,000,000 1/21/2016 (Amortized cost of $127,981,084) $ 127,991,600 21.23 % U.S. Treasury bills, 0.125% $ 345,000,000 2/11/2016 (Amortized cost of $344,890,990) 344,958,744 57.20 Total U.S. Government Securities $ 472,950,344 78.43 % * Due to rounding. |
Statements of Income and Expenses and Changes in Partners' Capital | Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Statements of Income and Expenses and Changes in Partners’ Capital (Unaudited) Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Investment Income: Interest income $ 319,721 $ 11,695 $ 661,185 $ 26,025 Expenses: Clearing fees 161,803 219,450 328,664 412,402 Professional fees 20,520 27,027 41,043 65,102 Total expenses 182,323 246,477 369,707 477,504 Net investment income (loss) 137,398 (234,782) 291,478 (451,479) Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (20,269,506) (38,258,932) 778,811 27,666,900 Net change in unrealized gains (losses) on open contracts 37,319,590 (25,643,607) 38,776,362 (28,325,645) Total trading results 17,050,084 (63,902,539) 39,555,173 (658,745) Net income (loss) 17,187,482 (64,137,321) 39,846,651 (1,110,224) Subscriptions - Limited Partners 12,010,492 21,423,134 20,730,949 38,306,707 Redemptions - Limited Partners (28,701,797) (41,897,509) (86,405,119) (108,157,378) Distribution of interest income to feeder funds (48,263) (11,695) (124,675) (26,025) Net increase (decrease) in Partners’ Capital 447,914 (84,623,391) (25,952,194) (70,986,920) Partners’ Capital, beginning of period 576,641,262 711,438,283 603,041,370 697,801,812 Partners’ Capital, end of period $ 577,089,176 $ 626,814,892 $ 577,089,176 $ 626,814,892 Net asset value per Redeemable Unit (144,872.0830 and 176,513.8464 Redeemable Units outstanding at June 30, 2016 and 2015, respectively) $ 3,983.44 $ 3,551.08 $ 3,983.44 $ 3,551.08 Net income (loss) per Redeemable Unit* $ 120.39 $ (360.86) $ 261.27 $ (19.06) Weighted average Redeemable Units outstanding 145,876.3773 181,548.6669 148,983.3565 185,758.8999 * Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds. |
Financial Highlights (Tables)
Financial Highlights (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Text Block [Abstract] | |
Financial Highlights for Limited Partner Classes | Financial highlights for the limited partner classes as a whole for the three and six months ended June 30, 2016 and 2015 were as follows: Three Months Ended 2016 2015 Per Redeemable Unit Performance (for a unit outstanding Class A Class D Class Z Class A Class D Class Z Net realized and unrealized gains (losses) $ 42.13 $ 39.90 $ 40.68 $ (134.62) $ (125.52) $ (126.76) Net investment loss (15.87) (10.96) (8.70) (16.46) (11.34) (9.04) Increase (decrease) for the period 26.26 28.94 31.98 (151.08) (136.86) (135.80) Net asset value per Redeemable Unit, beginning of period 1,385.52 1,306.72 1,328.94 1,470.87 1,369.95 1,382.81 Net asset value per Redeemable Unit, end of period $ 1,411.78 $ 1,335.66 $ 1,360.92 $ 1,319.79 $ 1,233.09 $ 1,247.01 Six Months Ended 2016 2015 Per Redeemable Unit Performance (for a unit outstanding Class A Class D Class Z Class A Class D Class Z Net realized and unrealized gains (losses) $ 93.22 $ 87.84 $ 89.30 $ (2.63) $ (2.86) $ (3.12) Net investment loss (32.47) (22.39) (17.75) (56.86) (44.63) (40.02) Increase (decrease) for the period 60.75 65.45 71.55 (59.49) (47.49) (43.14) Net asset value per Redeemable Unit, beginning of period 1,351.03 1,270.21 1,289.37 1,379.28 1,280.58 1,290.15 Net asset value per Redeemable Unit, end of period $ 1,411.78 $ 1,335.66 $ 1,360.92 $ 1,319.79 $ 1,233.09 $ 1,247.01 Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) Three Months Ended June 30, 2016 2015 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.7 ) % (3.4 ) % (2.7 ) % (4.8 ) % (3.7 ) % (2.9 ) % Operating expenses 5.0 % 3.6 % 2.9 % 4.8 % 3.7 % 2.9 % Incentive fees - % - % - % - % % % Total expenses 5.0 3.6 2.9 % 4.8 % 3.7 % 2.9 % Total return: Total return before incentive fees 1.9 % 2.2 % 2.4 % (10.3 ) % (10.0 ) % (9.8 ) % Incentive fees - % - % - % - % - % - % Total return after incentive fees 1.9 % 2.2 % 2.4 % (10.3 ) % (10.0 ) % (9.8 ) % Six Months Ended June 30, 2016 2015 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.8 ) % (3.4 ) % (2.7 ) % (6.6) % (5.1 ) % (4.5 ) % Operating expenses 5.0 % 3.7 % 2.9 % 5.0 % 3.7 % 2.9 % Incentive fees - % - % - % 1.6 % 1.4 % 1.6 % Total expenses 5.0 % 3.7 % 2.9 % 6.6 % 5.1 % 4.5 % Total return: Total return before incentive fees 4.5 % 5.2 % 5.5 % (2.7) % (2.3 ) % (1.7 ) % Incentive fees - % - % - % (1.6) % (1.4 ) % (1.6 ) % Total return after incentive fees 4.5 % 5.2 % 5.5 % (4.3) % (3.7 ) % (3.3 ) % * Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. ** Annualized (other than incentive fees). *** Interest income allocated from the Master less total expenses. 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 the limited partners’ share of income, expenses and average partners’ capital of the Partnership and includes the income and expenses allocated from the Master. Financial Highlights of the Master: Three Months Ended Six Months Ended 2016 2015 2016 2015 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ 119.45 $ (359.54) $ 259.31 $ (16.56) Net investment income (loss) 0.94 (1.32) 1.96 (2.50) Increase (decrease) for the period 120.39 (360.86) 261.27 (19.06) Distribution of interest income to feeder funds (0.33) (0.07) (0.84) (0.15) Net asset value per Redeemable Unit, beginning of period 3,863.38 3,912.01 3,723.01 3,570.29 Net asset value per Redeemable Unit, end of period $ 3,983.44 $ 3,551.08 $ 3,983.44 $ 3,551.08 Three Months Ended Six Months Ended 2016 2015 2016 2015 Ratios to Average Limited Partners’ Capital:** Net investment income (loss)*** 0.1 % (0.1 )% 0.1 % (0.1 )% Operating expenses 0.1 % 0.1 % 0.1 % 0.1 % Total return 3.1 % (9.2 )% 7.0 % (0.5 )% * Net investment income (loss) per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. ** Annualized. *** Interest income less total expenses. |
Trading Activities (Tables)
Trading Activities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Brokers and Dealers [Abstract] | |
Summary of Valuation of Master's Investments | 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 June 30, 2016 and December 31, 2015, respectively. Gross Amounts Gross Amounts Statements of Amounts Statements of Gross Amounts Not Offset in the Net Amount June 30, 2016 Financial Cash Collateral Assets Futures $ 44,201,887 $ (4,518,114) $ 39,683,773 $ - $ - $ 39,683,773 Forwards 10,179,649 (6,074,596) 4,105,053 - - 4,105,053 Total assets $ 54,381,536 $ (10,592,710) $ 43,788,826 $ - $ - $ 43,788,826 Liabilities Futures $ (4,518,114) $ 4,518,114 $ - $ - $ - $ - Forwards (6,074,596) 6,074,596 - - - - Total liabilities $ (10,592,710) $ 10,592,710 $ - $ - $ - $ - Net fair value $ 43,788,826* Gross Amounts Gross Amounts Statements of Amounts Statements of Gross Amounts Not Offset in the Statements of Financial Condition Net December 31, 2015 Financial Cash Collateral Assets Futures $ 17,800,660 $ (12,411,283) $ 5,389,377 $ - $ - $ 5,389,377 Forwards 5,248,869 (5,248,869) - - - - Total assets $ 23,049,529 $ (17,660,152) $ 5,389,377 $ - $ - $ 5,389,377 Liabilities Futures $ (12,411,283) $ 12,411,283 $ - $ - $ - $ - Forwards (5,518,103) 5,248,869 (269,234) - - (269,234) Total liabilities $ (17,929,386) $ 17,660,152 $ (269,234) $ - $ - $ (269,234) Net fair value $ 5,120,143* * In the event of default by the Master, MS&Co., the Master’s commodity futures broker and the sole counterparty to the Master’s off-exchange-traded contracts, as applicable, has the right to offset the Master’s obligation with the Master’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’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 in the Master’s Statements of Financial Condition. In the case of exchange-traded contracts, the Master’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default. |
Gross Fair Values of Master's Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities | The following tables indicate the gross fair values of the Master’s derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2016 and December 31, 2015, respectively. June 30, 2016 Assets Futures Contracts Currencies $ 10,130,251 Energy 161,783 Grains 2,782,904 Indices 1,729,358 Interest Rates U.S. 9,791,039 Interest Rates Non-U.S. 15,951,118 Livestock 297,763 Metals 2,790,945 Softs 566,726 Total unrealized appreciation on open futures contracts 44,201,887 Liabilities Futures Contracts Currencies (471,531) Energy (645,365) Grains (282,051) Indices (790,500) Interest Rates U.S. (1,415,235) Interest Rates Non-U.S. (63,385) Livestock (148,095) Metals (166,005) Softs (535,947) Total unrealized depreciation on open futures contracts (4,518,114) Net unrealized appreciation on open futures contracts $ 39,683,773 * Assets Forward Contracts Currencies $ 8,990,284 Metals 1,189,365 Total unrealized appreciation on open forward contracts 10,179,649 Liabilities Forward Contracts Currencies (3,862,879) Metals (2,211,717) Total unrealized depreciation on open forward contracts (6,074,596) Net unrealized appreciation on open forward contracts $ 4,105,053 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Master’s Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Master’s Statements of Financial Condition. December 31, 2015 Assets Futures Contracts Currencies $ 4,375,005 Energy 3,059,034 Grains 2,067,358 Indices 2,758,533 Interest Rates U.S. 7,546 Interest Rates Non-U.S. 3,038,265 Livestock 31,455 Metals 2,228,435 Softs 235,029 Total unrealized appreciation on open futures contracts 17,800,660 Liabilities Futures Contracts Currencies (422,616) Energy (1,793,341) Grains (49,385) Indices (2,112,603) Interest Rates U.S. (621,336) Interest Rates Non-U.S. (6,130,491) Livestock (691,695) Metals (217,015) Softs (372,801) Total unrealized depreciation on open futures contracts (12,411,283) Net unrealized appreciation on open futures contracts $ 5,389,377 * Assets Forward Contracts Currencies $ 3,394,312 Metals 1,854,557 Total unrealized appreciation on open forward contracts 5,248,869 Liabilities Forward Contracts Currencies (4,880,125) Metals (637,978) Total unrealized depreciation on open forward contracts (5,518,103) Net unrealized depreciation on open forward contracts $ (269,234 ) ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Master’s Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Master’s Statements of Financial Condition. |
Master's Trading Gains and Losses, by Market Sector, on Derivative Instruments | The following table indicates the Master’s total trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2016 and 2015. Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Sector Currencies $ 11,775,135 $ (15,988,636) $ 7,326,396 $ 4,023,509 Energy (8,127,874) (13,347,908) (1,815,490) (12,199,271) Grains (1,900,206) (4,676,952) (1,939,135) (6,563,808) Indices (8,019,293) (9,362,567) (14,797,985) 9,834,648 Interest Rates U.S. 8,199,514 (3,327,426) 15,164,334 9,862,738 Interest Rates Non-U.S. 14,164,170 (18,301,771) 50,451,143 (5,176,533) Livestock 714,435 1,869 1,186,790 784,304 Metals 966,051 292,589 (15,401,208) (5,619,732) Softs (721,848) 808,263 (619,672) 4,395,400 Total $ 17,050,084 *** $ (63,902,539) *** $ 39,555,173 *** $ (658,745) *** *** This amount is included in “Total trading results” in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Master's Fair Value Measurements | June 30, 2016 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 456,892,688 $ - $ 456,892,688 $ - Futures 44,201,887 44,201,887 - - Forwards 10,179,649 1,189,365 8,990,284 - Total assets $ 511,274,224 $ 45,391,252 $ 465,882,972 $ - Liabilities Futures $ 4,518,114 $ 4,518,114 $ - $ - Forwards 6,074,596 2,211,717 3,862,879 - Total liabilities $ 10,592,710 $ 6,729,831 $ 3,862,879 $ - December 31, 2015 Total Level 1 Level 2 Level 3 Assets U.S. Treasury bills $ 472,950,344 $ - $ 472,950,344 $ - Futures 17,800,660 17,800,660 - - Forwards 5,248,869 1,854,557 3,394,312 - Total assets $ 495,999,873 $ 19,655,217 $ 476,344,656 $ - Liabilities Futures $ 12,411,283 $ 12,411,283 $ - $ - Forwards 5,518,103 637,978 4,880,125 - Total liabilities $ 17,929,386 $ 13,049,261 $ 4,880,125 $ - |
Organization - Additional Infor
Organization - Additional Information (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | Feb. 01, 2007 | Jun. 30, 2016 |
Subsidiary of Limited Liability Company or Limited Partnership [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 | |||
Percentage of Partnership owned | 42.90% | 38.90% | ||
Class A [Member] | ||||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||||
Ongoing selling agent fee | 2.00% | |||
Class D [Member] | ||||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||||
Ongoing selling agent 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. | |||
Limited Partners [Member] | ||||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||||
Units of Partnership purchased | 9,017.0917 | |||
Cash equal, Partnership purchased | $ 12,945,000 |
Basis of Presentation and Sum20
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Cash denominated in foreign currencies | $ 3,578,455 | $ 15,762,494 |
Cost of foreign currencies | 3,563,688 | $ 15,855,406 |
Provision for income tax | $ 0 |
Basis of Presentation and Sum21
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Detail) - USD ($) | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Equity in trading account: | |||||||
Investment in U.S. Treasury bills, at fair value (amortized cost $456,737,623 and $472,872,074 at June 30, 2016 and December 31, 2015, respectively) | [1] | $ 247,741,461 | $ 234,617,857 | ||||
Cash at MS&Co. | 283,174 | 329,610 | |||||
Cash at bank | 607 | ||||||
Total assets | 248,025,242 | 234,947,467 | |||||
Accrued expenses: | |||||||
Professional fees | 214,905 | 249,711 | |||||
Total liabilities | 1,619,497 | 9,248,316 | |||||
Partners' Capital: | |||||||
Total liabilities and partners' capital | 248,025,242 | 234,947,467 | |||||
CMF Winton Master L.P. [Member] | |||||||
Equity in trading account: | |||||||
Investment in U.S. Treasury bills, at fair value (amortized cost $456,737,623 and $472,872,074 at June 30, 2016 and December 31, 2015, respectively) | 456,892,688 | 472,950,344 | |||||
Cash at MS&Co. | 12,764,389 | 25,746,373 | |||||
Cash margin | 63,688,189 | 99,262,577 | |||||
Total equity in trading account | 577,134,092 | 603,348,671 | |||||
Cash at bank | 607 | ||||||
Total assets | 577,134,699 | 603,348,671 | |||||
Accrued expenses: | |||||||
Professional fees | 45,523 | 38,067 | |||||
Total liabilities | 45,523 | 307,301 | |||||
Partners' Capital: | |||||||
General Partner, 0.0000 Redeemable Units outstanding at June 30, 2016 and December 31, 2015 | 0 | 0 | |||||
Limited Partners, 144,872.0830 and 161,976.6460 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively | 577,089,176 | 603,041,370 | |||||
Total liabilities and partners' capital | $ 577,134,699 | $ 603,348,671 | |||||
Net asset value per Redeemable Unit | $ 3,983.44 | $ 3,863.38 | $ 3,723.01 | $ 3,551.08 | $ 3,912.01 | $ 3,570.29 | |
Futures Contracts [Member] | CMF Winton Master L.P. [Member] | |||||||
Equity in trading account: | |||||||
Net unrealized appreciation (depreciation) on open contracts | $ 39,683,773 | $ 5,389,377 | |||||
Forward Contracts [Member] | CMF Winton Master L.P. [Member] | |||||||
Equity in trading account: | |||||||
Net unrealized appreciation (depreciation) on open contracts | $ 4,105,053 | $ (269,234) | |||||
[1] | Defined in Note 1. |
Basis of Presentation and Sum22
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Parenthetical) (Detail) - CMF Winton Master L.P. [Member] - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Condensed Financial Statements, Captions [Line Items] | ||
Investment in U.S. Treasury bills, cost | $ 456,737,623 | $ 472,872,074 |
General Partner, Unit outstanding | 0 | 0 |
Limited Partners, Units outstanding | 144,872.0830 | 161,976.6460 |
Basis of Presentation and Sum23
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedule of Investments (Detail) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2016USD ($)Derivative | Dec. 31, 2015USD ($)Derivative | ||
Schedule of Investments [Line Items] | |||
Investment, Fair Value | [1] | $ 247,741,461 | $ 234,617,857 |
CMF Winton Master L.P. [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Fair Value | 456,892,688 | 472,950,344 | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | $ 39,683,773 | $ 5,389,377 | |
Percentage of Partners' Capital | 6.88% | 0.90% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | $ 34,311,369 | $ (2,504,161) | |
Percentage of Partners' Capital | 5.95% | (0.41%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 1,150 | 510 | |
Investment in Master, at fair value | $ 2,809,789 | $ 30,126 | |
Percentage of Partners' Capital | 0.49% | 0.01% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Grains [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 736 | 95 | |
Investment in Master, at fair value | $ 1,134,183 | $ (17,551) | |
Percentage of Partners' Capital | 0.20% | 0.00% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Indices [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 1,645 | 2,628 | |
Investment in Master, at fair value | $ 1,524,288 | $ 1,099,760 | |
Percentage of Partners' Capital | 0.26% | 0.18% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Interest Rates U.S. [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 1,712 | 614 | |
Investment in Master, at fair value | $ 9,769,086 | $ (610,774) | |
Percentage of Partners' Capital | 1.69% | (0.10%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Interest Rates Non-U.S. [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 20,163 | 19,410 | |
Investment in Master, at fair value | $ 15,905,199 | $ (3,062,521) | |
Percentage of Partners' Capital | 2.76% | (0.51%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Livestock [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 221 | 3 | |
Investment in Master, at fair value | $ 42,290 | $ 160 | |
Percentage of Partners' Capital | 0.01% | 0.00% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 527 | ||
Investment in Master, at fair value | $ 2,783,845 | ||
Percentage of Partners' Capital | 0.48% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Softs [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 393 | 311 | |
Investment in Master, at fair value | $ 342,689 | $ 64,286 | |
Percentage of Partners' Capital | 0.06% | 0.01% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Energy [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 75 | ||
Investment in Master, at fair value | $ (7,647) | ||
Percentage of Partners' Capital | 0.00% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | $ 5,372,404 | $ 7,893,538 | |
Percentage of Partners' Capital | 0.93% | 1.31% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 2,161 | 4,548 | |
Investment in Master, at fair value | $ 6,848,931 | $ 3,922,263 | |
Percentage of Partners' Capital | 1.19% | 0.65% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Grains [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 705 | 2,492 | |
Investment in Master, at fair value | $ 1,366,670 | $ 2,035,524 | |
Percentage of Partners' Capital | 0.23% | 0.34% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Indices [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 696 | 1,710 | |
Investment in Master, at fair value | $ (585,430) | $ (453,830) | |
Percentage of Partners' Capital | (0.10%) | (0.08%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Interest Rates U.S. [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 920 | 122 | |
Investment in Master, at fair value | $ (1,393,282) | $ (3,016) | |
Percentage of Partners' Capital | (0.24%) | 0.00% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Interest Rates Non-U.S. [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 142 | 556 | |
Investment in Master, at fair value | $ (17,466) | $ (29,705) | |
Percentage of Partners' Capital | 0.00% | 0.00% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Livestock [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 290 | 394 | |
Investment in Master, at fair value | $ 107,378 | $ (660,400) | |
Percentage of Partners' Capital | 0.02% | (0.11%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 62 | 1,441 | |
Investment in Master, at fair value | $ (158,905) | $ 2,011,420 | |
Percentage of Partners' Capital | (0.03%) | 0.33% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Softs [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 429 | 544 | |
Investment in Master, at fair value | $ (311,910) | $ (202,058) | |
Percentage of Partners' Capital | (0.06%) | (0.03%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Energy [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 497 | 2,317 | |
Investment in Master, at fair value | $ (483,582) | $ 1,273,340 | |
Percentage of Partners' Capital | (0.08%) | 0.21% | |
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | $ 4,105,053 | $ (269,234) | |
Percentage of Partners' Capital | 0.71% | (0.05%) | |
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation on open futures/forward contracts | $ 1,189,365 | $ 1,854,557 | |
Net unrealized depreciation on futures/forward contracts | (2,211,717) | (637,978) | |
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Fair Value | $ 456,892,688 | $ 472,950,344 | |
Percentage of Partners' Capital | 79.17% | 78.43% | |
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S. Treasury Bills, 0.205% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 27,000,000 | ||
Investment, Maturity Date | Jul. 7, 2016 | ||
Investment, Fair Value | $ 26,999,696 | ||
Percentage of Partners' Capital | 4.68% | ||
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S. Treasury Bills, 0.265% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 140,000,000 | ||
Investment, Maturity Date | Aug. 11, 2016 | ||
Investment, Fair Value | $ 139,969,306 | ||
Percentage of Partners' Capital | 24.25% | ||
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S. Treasury Bills, 0.29% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 260,000,000 | ||
Investment, Maturity Date | Aug. 11, 2016 | ||
Investment, Fair Value | $ 259,942,998 | ||
Percentage of Partners' Capital | 45.04% | ||
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S. Treasury Bills, 0.24% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 30,000,000 | ||
Investment, Maturity Date | Sep. 29, 2016 | ||
Investment, Fair Value | $ 29,980,688 | ||
Percentage of Partners' Capital | 5.20% | ||
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S. Treasury Bills, 0.19% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 128,000,000 | ||
Investment, Maturity Date | Jan. 21, 2016 | ||
Investment, Fair Value | $ 127,991,600 | ||
Percentage of Partners' Capital | 21.23% | ||
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S. Treasury Bills, 0.125% [Member] | |||
Schedule of Investments [Line Items] | |||
Investment, Face Amount | $ 345,000,000 | ||
Investment, Maturity Date | Feb. 11, 2016 | ||
Investment, Fair Value | $ 344,958,744 | ||
Percentage of Partners' Capital | 57.20% | ||
CMF Winton Master L.P. [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation on open futures/forward contracts | $ 10,179,649 | $ 5,248,869 | |
Percentage of Partners' Capital | 1.76% | 0.87% | |
CMF Winton Master L.P. [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Notional | $ 307,886,860 | $ 285,098,551 | |
Net unrealized appreciation on open futures/forward contracts | $ 8,990,284 | $ 3,394,312 | |
Percentage of Partners' Capital | 1.55% | 0.56% | |
CMF Winton Master L.P. [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 482 | 492 | |
Percentage of Partners' Capital | 0.21% | 0.31% | |
CMF Winton Master L.P. [Member] | Net Unrealized Depreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized depreciation on futures/forward contracts | $ (6,074,596) | $ (5,518,103) | |
Percentage of Partners' Capital | (1.05%) | (0.92%) | |
CMF Winton Master L.P. [Member] | Net Unrealized Depreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Notional | $ 226,275,721 | $ 245,182,550 | |
Net unrealized depreciation on futures/forward contracts | $ (3,862,879) | $ (4,880,125) | |
Percentage of Partners' Capital | (0.67%) | (0.81%) | |
CMF Winton Master L.P. [Member] | Net Unrealized Depreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 740 | 353 | |
Percentage of Partners' Capital | (0.38%) | (0.11%) | |
[1] | Defined in Note 1. |
Basis of Presentation and Sum24
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedule of Investments (Parenthetical) (Detail) - CMF Winton Master L.P. [Member] - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 456,737,623 | $ 472,872,074 |
U.S. Treasury Bills, 0.205% [Member] | U.S. Government Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 26,992,159 | |
Investment, interest rate | 0.205% | |
U.S. Treasury Bills, 0.265% [Member] | U.S. Government Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 139,926,831 | |
Investment, interest rate | 0.265% | |
U.S. Treasury Bills, 0.29% [Member] | U.S. Government Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 259,836,633 | |
Investment, interest rate | 0.29% | |
U.S. Treasury Bills, 0.24% [Member] | U.S. Government Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 29,982,000 | |
Investment, interest rate | 0.24% | |
U.S. Treasury Bills, 0.19% [Member] | U.S. Government Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 127,981,084 | |
Investment, interest rate | 0.19% | |
U.S. Treasury Bills, 0.125% [Member] | U.S. Government Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Investment in U.S. Treasury bills, Amortized cost | $ 344,890,990 | |
Investment, interest rate | 0.125% |
Basis of Presentation and Sum25
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Investment Income: | ||||||||
Interest income | $ 133,684 | $ 3,443 | $ 267,552 | $ 7,363 | ||||
Expenses: | ||||||||
Professional fees | 148,682 | 86,001 | 298,647 | 152,347 | ||||
Total expenses | 2,820,236 | 2,633,717 | 5,681,697 | 8,786,754 | ||||
Net investment income (loss) | (2,686,552) | (2,630,274) | (5,414,145) | (8,779,391) | ||||
Net gains (losses) on trading of commodity interests: | ||||||||
Net realized gains (losses) on closed contracts | (8,635,318) | (13,337,481) | (224,926) | 8,431,438 | ||||
Net change in unrealized gains (losses) on open contracts | 16,092,916 | (8,737,817) | 16,259,387 | (10,213,296) | ||||
Total trading results | 7,457,598 | (22,075,298) | 16,034,461 | (1,781,858) | ||||
Net income (loss) | 4,771,046 | (24,705,572) | 10,620,316 | (10,561,249) | ||||
Balance, value | 225,699,151 | 201,065,289 | ||||||
Balance, value | 246,405,745 | 216,082,686 | 246,405,745 | 216,082,686 | ||||
CMF Winton Master L.P. [Member] | ||||||||
Investment Income: | ||||||||
Interest income | 319,721 | 11,695 | 661,185 | 26,025 | ||||
Expenses: | ||||||||
Clearing fees | 161,803 | 219,450 | 328,664 | 412,402 | ||||
Professional fees | 20,520 | 27,027 | 41,043 | 65,102 | ||||
Total expenses | 182,323 | 246,477 | 369,707 | 477,504 | ||||
Net investment income (loss) | 137,398 | (234,782) | 291,478 | (451,479) | ||||
Net gains (losses) on trading of commodity interests: | ||||||||
Net realized gains (losses) on closed contracts | (20,269,506) | (38,258,932) | 778,811 | 27,666,900 | ||||
Net change in unrealized gains (losses) on open contracts | 37,319,590 | (25,643,607) | 38,776,362 | (28,325,645) | ||||
Total trading results | 17,050,084 | (63,902,539) | 39,555,173 | (658,745) | ||||
Net income (loss) | 17,187,482 | (64,137,321) | 39,846,651 | (1,110,224) | ||||
Subscriptions - Limited Partners | 12,010,492 | 21,423,134 | 20,730,949 | 38,306,707 | ||||
Redemptions - Limited Partners | (28,701,797) | (41,897,509) | (86,405,119) | (108,157,378) | ||||
Distribution of interest income to feeder funds | (48,263) | (11,695) | (124,675) | (26,025) | ||||
Net increase (decrease) in Partners' Capital | 447,914 | (84,623,391) | (25,952,194) | (70,986,920) | ||||
Balance, value | 576,641,262 | 711,438,283 | 603,041,370 | 697,801,812 | ||||
Balance, value | $ 577,089,176 | $ 626,814,892 | $ 577,089,176 | $ 626,814,892 | ||||
Net asset value per Redeemable Unit (144,872.0830 and 176,513.8464 Redeemable Units outstanding at June 30, 2016 and 2015, respectively) | $ 3,983.44 | $ 3,551.08 | $ 3,983.44 | $ 3,551.08 | $ 3,863.38 | $ 3,723.01 | $ 3,912.01 | $ 3,570.29 |
Net income (loss) per Redeemable Unit | $ 120.39 | $ (360.86) | $ 261.27 | $ (19.06) | ||||
Weighted average Redeemable Units outstanding | 145,876.3773 | 181,548.6669 | 148,983.3565 | 185,758.8999 |
Basis of Presentation and Sum26
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Parenthetical) (Detail) - shares | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Condensed Financial Statements, Captions [Line Items] | ||||
Net asset value per redeemable unit outstanding | 175,385.9980 | 168,012.4450 | 164,785.4370 | 146,678.5930 |
CMF Winton Master L.P. [Member] | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Net asset value per redeemable unit outstanding | 144,872.0830 | 176,513.8464 |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Classes (Detail) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
CMF Winton Master L.P. [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | $ 119.45 | $ (359.54) | $ 259.31 | $ (16.56) |
Net investment income (loss) | 0.94 | (1.32) | 1.96 | (2.50) |
Increase (decrease) for the period | 120.39 | (360.86) | 261.27 | (19.06) |
Distribution of interest income to feeder funds | (0.33) | (0.07) | (0.84) | (0.15) |
Net asset value per Redeemable Unit, beginning of period | 3,863.38 | 3,912.01 | 3,723.01 | 3,570.29 |
Net asset value per Redeemable Unit, end of period | $ 3,983.44 | $ 3,551.08 | $ 3,983.44 | $ 3,551.08 |
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | 0.10% | (0.10%) | 0.10% | (0.10%) |
Operating expenses | 0.10% | 0.10% | 0.10% | 0.10% |
Total return | 3.10% | (9.20%) | 7.00% | (0.50%) |
Class A [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net asset value per Redeemable Unit, beginning of period | $ 1,351.03 | |||
Net asset value per Redeemable Unit, end of period | $ 1,411.78 | $ 1,319.79 | 1,411.78 | $ 1,319.79 |
Class A [Member] | Limited Partners [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | 42.13 | (134.62) | 93.22 | (2.63) |
Net investment income (loss) | (15.87) | (16.46) | (32.47) | (56.86) |
Increase (decrease) for the period | 26.26 | (151.08) | 60.75 | (59.49) |
Net asset value per Redeemable Unit, beginning of period | 1,385.52 | 1,470.87 | 1,351.03 | 1,379.28 |
Net asset value per Redeemable Unit, end of period | $ 1,411.78 | $ 1,319.79 | $ 1,411.78 | $ 1,319.79 |
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | (4.70%) | (4.80%) | (4.80%) | (6.60%) |
Operating expenses | 5.00% | 4.80% | 5.00% | 5.00% |
Incentive fees | 1.60% | |||
Total expenses | 5.00% | 4.80% | 5.00% | 6.60% |
Total return: | ||||
Total return before incentive fees | 1.90% | (10.30%) | 4.50% | (2.70%) |
Incentive fees | (1.60%) | |||
Total return after incentive fees | 1.90% | (10.30%) | 4.50% | (4.30%) |
Class D [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net asset value per Redeemable Unit, beginning of period | $ 1,270.21 | |||
Net asset value per Redeemable Unit, end of period | $ 1,335.66 | $ 1,233.09 | 1,335.66 | $ 1,233.09 |
Class D [Member] | Limited Partners [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | 39.90 | (125.52) | 87.84 | (2.86) |
Net investment income (loss) | (10.96) | (11.34) | (22.39) | (44.63) |
Increase (decrease) for the period | 28.94 | (136.86) | 65.45 | (47.49) |
Net asset value per Redeemable Unit, beginning of period | 1,306.72 | 1,369.95 | 1,270.21 | 1,280.58 |
Net asset value per Redeemable Unit, end of period | $ 1,335.66 | $ 1,233.09 | $ 1,335.66 | $ 1,233.09 |
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | (3.40%) | (3.70%) | (3.40%) | (5.10%) |
Operating expenses | 3.60% | 3.70% | 3.70% | 3.70% |
Incentive fees | 1.40% | |||
Total expenses | 3.60% | 3.70% | 3.70% | 5.10% |
Total return: | ||||
Total return before incentive fees | 2.20% | (10.00%) | 5.20% | (2.30%) |
Incentive fees | (1.40%) | |||
Total return after incentive fees | 2.20% | (10.00%) | 5.20% | (3.70%) |
Class Z [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net asset value per Redeemable Unit, beginning of period | $ 1,289.37 | |||
Net asset value per Redeemable Unit, end of period | $ 1,360.92 | $ 1,247.01 | 1,360.92 | $ 1,247.01 |
Class Z [Member] | Limited Partners [Member] | ||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | 40.68 | (126.76) | 89.30 | (3.12) |
Net investment income (loss) | (8.70) | (9.04) | (17.75) | (40.02) |
Increase (decrease) for the period | 31.98 | (135.80) | 71.55 | (43.14) |
Net asset value per Redeemable Unit, beginning of period | 1,328.94 | 1,382.81 | 1,289.37 | 1,290.15 |
Net asset value per Redeemable Unit, end of period | $ 1,360.92 | $ 1,247.01 | $ 1,360.92 | $ 1,247.01 |
Ratios to Average Limited Partners' Capital: | ||||
Net investment income (loss) | (2.70%) | (2.90%) | (2.70%) | (4.50%) |
Operating expenses | 2.90% | 2.90% | 2.90% | 2.90% |
Incentive fees | 1.60% | |||
Total expenses | 2.90% | 2.90% | 2.90% | 4.50% |
Total return: | ||||
Total return before incentive fees | 2.40% | (9.80%) | 5.50% | (1.70%) |
Incentive fees | (1.60%) | |||
Total return after incentive fees | 2.40% | (9.80%) | 5.50% | (3.30%) |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016USD ($)Contract | Jun. 30, 2015USD ($)Contract | Jun. 30, 2016USD ($)Contract | Jun. 30, 2015USD ($)Contract | |
Derivative [Line Items] | ||||
Monthly average number of futures contracts traded | 31,670 | 47,675 | 35,826 | 48,538 |
Monthly average number of metals forward contracts traded | 930 | 1,380 | 819 | 1,205 |
Forward Contracts [Member] | Currencies [Member] | Weighted Average [Member] | ||||
Derivative [Line Items] | ||||
Average notional values of currency forward contracts | $ | $ 613,596,023 | $ 602,291,493 | $ 603,010,884 | $ 585,562,096 |
Trading Activities - Summary of
Trading Activities - Summary of Valuation of Master's Investments (Detail) - CMF Winton Master L.P. [Member] - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 54,381,536 | $ 23,049,529 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (10,592,710) | (17,660,152) |
Amounts Presented in the Statements of Financial Condition, Assets | 43,788,826 | 5,389,377 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 43,788,826 | 5,389,377 |
Gross Amounts Recognized, Liabilities | (10,592,710) | (17,929,386) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 10,592,710 | 17,660,152 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (269,234) | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | (269,234) | |
Net fair value | 43,788,826 | 5,120,143 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 44,201,887 | 17,800,660 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (4,518,114) | (12,411,283) |
Amounts Presented in the Statements of Financial Condition, Assets | 39,683,773 | 5,389,377 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 39,683,773 | 5,389,377 |
Gross Amounts Recognized, Liabilities | (4,518,114) | (12,411,283) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 4,518,114 | 12,411,283 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 10,179,649 | 5,248,869 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (6,074,596) | (5,248,869) |
Amounts Presented in the Statements of Financial Condition, Assets | 4,105,053 | |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 4,105,053 | |
Gross Amounts Recognized, Liabilities | (6,074,596) | (5,518,103) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 6,074,596 | 5,248,869 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (269,234) | |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | $ 0 | 0 |
Net Amount, Liabilities | $ (269,234) |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Master's Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) - CMF Winton Master L.P. [Member] - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Net unrealized appreciation (depreciation) on open futures and forward contracts | $ 39,683,773 | $ 5,389,377 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Net unrealized appreciation (depreciation) on open futures and forward contracts | 4,105,053 | (269,234) |
Forward Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 1,189,365 | 1,854,557 |
Derivative liabilities | (2,211,717) | (637,978) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (4,518,114) | (12,411,283) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (471,531) | (422,616) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Energy [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (645,365) | (1,793,341) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (282,051) | (49,385) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Indices [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (790,500) | (2,112,603) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (1,415,235) | (621,336) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (63,385) | (6,130,491) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (148,095) | (691,695) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (166,005) | (217,015) |
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (535,947) | (372,801) |
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (6,074,596) | (5,518,103) |
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (3,862,879) | (4,880,125) |
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Derivative liabilities | (2,211,717) | (637,978) |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 44,201,887 | 17,800,660 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 10,130,251 | 4,375,005 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Energy [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 161,783 | 3,059,034 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 2,782,904 | 2,067,358 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Indices [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 1,729,358 | 2,758,533 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 9,791,039 | 7,546 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 15,951,118 | 3,038,265 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 297,763 | 31,455 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 2,790,945 | 2,228,435 |
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 566,726 | 235,029 |
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 10,179,649 | 5,248,869 |
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | 8,990,284 | 3,394,312 |
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open futures and forward contracts | $ 1,189,365 | $ 1,854,557 |
Trading Activities - Master's T
Trading Activities - Master's Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - CMF Winton Master L.P. [Member] - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative [Line Items] | ||||
Trading gains and losses | $ 17,050,084 | $ (63,902,539) | $ 39,555,173 | $ (658,745) |
Currencies [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | 11,775,135 | (15,988,636) | 7,326,396 | 4,023,509 |
Energy [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | (8,127,874) | (13,347,908) | (1,815,490) | (12,199,271) |
Grains [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | (1,900,206) | (4,676,952) | (1,939,135) | (6,563,808) |
Indices [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | (8,019,293) | (9,362,567) | (14,797,985) | 9,834,648 |
Interest Rates U.S. [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | 8,199,514 | (3,327,426) | 15,164,334 | 9,862,738 |
Interest Rates Non-U.S. [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | 14,164,170 | (18,301,771) | 50,451,143 | (5,176,533) |
Livestock [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | 714,435 | 1,869 | 1,186,790 | 784,304 |
Metals [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | 966,051 | 292,589 | (15,401,208) | (5,619,732) |
Softs [Member] | ||||
Derivative [Line Items] | ||||
Trading gains and losses | $ (721,848) | $ 808,263 | $ (619,672) | $ 4,395,400 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value Disclosures [Abstract] | ||
Transfers of assets between Level 1 and Level 2 | $ 0 | $ 0 |
Transfers of liabilities between Level 1 and Level 2 | $ 0 | $ 0 |
Fair Value Measurements - Maste
Fair Value Measurements - Master's Fair Value Measurements (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Derivative Assets | $ 511,274,224 | $ 495,999,873 |
Derivative Liabilities | 10,592,710 | 17,929,386 |
U.S. Treasury Bills [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 456,892,688 | 472,950,344 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 44,201,887 | 17,800,660 |
Derivative Liabilities | 4,518,114 | 12,411,283 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 10,179,649 | 5,248,869 |
Derivative Liabilities | 6,074,596 | 5,518,103 |
Level 1 [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 45,391,252 | 19,655,217 |
Derivative Liabilities | 6,729,831 | 13,049,261 |
Level 1 [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 44,201,887 | 17,800,660 |
Derivative Liabilities | 4,518,114 | 12,411,283 |
Level 1 [Member] | Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 1,189,365 | 1,854,557 |
Derivative Liabilities | 2,211,717 | 637,978 |
Level 2 [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 465,882,972 | 476,344,656 |
Derivative Liabilities | 3,862,879 | 4,880,125 |
Level 2 [Member] | U.S. Treasury Bills [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 456,892,688 | 472,950,344 |
Level 2 [Member] | Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Derivative Assets | 8,990,284 | 3,394,312 |
Derivative Liabilities | $ 3,862,879 | $ 4,880,125 |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Measurements Disclosure [Line Items] | |
Financial instruments maturity period | 1 year |
Credit Concentration Risk [Member] | Over the Counter [Member] | Minimum [Member] | |
Fair Value Measurements Disclosure [Line Items] | |
Concentration risk percentage | 21.20% |
Credit Concentration Risk [Member] | Over the Counter [Member] | Maximum [Member] | |
Fair Value Measurements Disclosure [Line Items] | |
Concentration risk percentage | 30.30% |