Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | Apr. 30, 2019 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | CERES ABINGDON L.P. | |
Trading Symbol | ABFF | |
Entity Central Index Key | 0001386164 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 110,116.3607 | |
Class D [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 17,913.2276 | |
Class Z [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 1,164.5352 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 | |
Assets: | |||
Investment in the Master(1) , at fair value | [1] | $ 174,013,278 | $ 183,004,312 |
Redemptions receivable from the Master | 5,157,341 | 1,543,808 | |
Cash at MS&Co. | 289,421 | 333,269 | |
Total assets | 179,460,040 | 184,881,389 | |
Accrued expenses: | |||
Ongoing selling agent fees | 268,902 | 278,171 | |
Management fees | 223,718 | 230,423 | |
General Partner fees | 149,145 | 153,615 | |
Professional fees | 216,606 | 264,945 | |
Redemptions payable to Limited Partners | 4,474,745 | 836,276 | |
Total liabilities | 5,333,116 | 1,763,430 | |
Partners' Capital: | |||
Total partners' capital (net asset value) | 174,126,924 | 183,117,959 | |
Total liabilities and partners' capital | 179,460,040 | 184,881,389 | |
Class A [Member] | |||
Partners' Capital: | |||
Limited Partners | 147,400,628 | 156,601,179 | |
Total partners' capital (net asset value) | $ 147,400,628 | $ 156,601,179 | |
Net asset value per Redeemable Unit | $ 1,318.94 | $ 1,313.04 | |
Class D [Member] | |||
Partners' Capital: | |||
Limited Partners | $ 23,136,161 | $ 22,960,575 | |
Total partners' capital (net asset value) | $ 23,136,161 | $ 22,960,575 | |
Net asset value per Redeemable Unit | $ 1,291.57 | $ 1,281.77 | |
Class Z [Member] | |||
Partners' Capital: | |||
General Partner | $ 2,025,636 | $ 2,006,492 | |
Limited Partners | 1,564,499 | 1,549,713 | |
Total partners' capital (net asset value) | $ 3,590,135 | $ 3,556,205 | |
Net asset value per Redeemable Unit | $ 1,343.45 | $ 1,330.76 | |
[1] | Defined in Note 1. |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - shares | Mar. 31, 2019 | Dec. 31, 2018 |
Class A [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 111,757.0047 | 119,266.5507 |
Class D [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 17,913.2276 | 17,913.2276 |
Class Z [Member] | ||
General Partner capital, Redeemable Units outstanding | 1,507.7830 | 1,507.7830 |
Limited Partners capital, Redeemable Units outstanding | 1,164.5352 | 1,164.5352 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Investment Income: | |||
Interest income allocated from the Master | $ 968,047 | $ 673,146 | |
Expenses: | |||
Expenses allocated from the Master | 57,373 | 80,915 | |
Ongoing selling agent fees | 805,200 | 945,960 | |
Management fees | 668,839 | 778,823 | |
General Partner fees | 445,893 | 519,215 | |
Professional fees | 123,572 | 141,819 | |
Total expenses | 2,100,877 | 2,466,732 | |
Net investment loss | (1,132,830) | (1,793,586) | |
Net gains (losses) on investment in the Master: | |||
Net realized gains (losses) on closed contracts allocated from the Master | (7,142,077) | (2,160,440) | |
Net change in unrealized gains (losses) on open contracts allocated from the Master | 9,046,250 | (5,267,256) | |
Total trading results | 1,904,173 | (7,427,696) | |
Net income (loss) | [1] | 771,343 | (9,221,282) |
Class A [Member] | |||
Net gains (losses) on investment in the Master: | |||
Net income (loss) | $ 561,827 | $ (8,090,956) | |
Net income (loss) per Redeemable Unit | [1] | $ 5.90 | $ (62.17) |
Weighted average Redeemable Units outstanding | 117,014.6150 | 129,289.8884 | |
Class D [Member] | |||
Net gains (losses) on investment in the Master: | |||
Net income (loss) | $ 175,586 | $ (1,001,425) | |
Net income (loss) per Redeemable Unit | [1] | $ 9.80 | $ (55.91) |
Weighted average Redeemable Units outstanding | 17,913.2276 | 17,913.2276 | |
Class Z [Member] | |||
Net gains (losses) on investment in the Master: | |||
Net income (loss) | $ 33,930 | $ (128,901) | |
Net income (loss) per Redeemable Unit | [1] | $ 12.69 | $ (55.11) |
Weighted average Redeemable Units outstanding | 2,672.3182 | 2,837.4495 | |
[1] | Represents the change in net asset value per Redeemable Unit during the period. |
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, 2017 | $ 207,686,502 | $ 179,443,770 | $ 24,077,868 | $ 4,164,864 | |||||||
Balance, Redeemable Units at Dec. 31, 2017 | 149,619.0995 | 128,698.8997 | 17,913.2276 | 3,006.9722 | |||||||
Subscriptions, value | $ 3,184,127 | $ 3,184,127 | |||||||||
Subscriptions, Redeemable Units | 2,193.4450 | 2,193.4450 | |||||||||
Redemptions, value | $ (6,385,174) | $ (375,000) | $ (6,385,174) | $ (375,000) | |||||||
Redemptions, Redeemable Units | (4,663.6310) | (254.2840) | (4,663.6310) | (254.2840) | |||||||
Net income (loss) | $ (9,221,282) | [1] | $ (8,090,956) | $ (1,001,425) | $ (128,901) | ||||||
Balance, value at Mar. 31, 2018 | $ 194,889,173 | $ 168,151,767 | $ 23,076,443 | $ 3,660,963 | |||||||
Balance, Redeemable Units at Mar. 31, 2018 | 146,894.6295 | 126,228.7137 | 17,913.2276 | 2,752.6882 | |||||||
Balance, value at Dec. 31, 2018 | $ 183,117,959 | $ 156,601,179 | $ 22,960,575 | $ 3,556,205 | |||||||
Balance, Redeemable Units at Dec. 31, 2018 | 139,852.0965 | 119,266.5507 | 17,913.2276 | 2,672.3182 | |||||||
Subscriptions, value | $ 200,000 | $ 200,000 | $ 0 | $ 0 | |||||||
Subscriptions, Redeemable Units | 156.1940 | 156.1940 | 0 | 0 | |||||||
Redemptions, value | $ (9,962,378) | $ (9,962,378) | $ 0 | $ 0 | |||||||
Redemptions, Redeemable Units | (7,665.7400) | (7,665.7400) | 0 | 0 | |||||||
Net income (loss) | $ 771,343 | [1] | $ 561,827 | $ 175,586 | $ 33,930 | ||||||
Balance, value at Mar. 31, 2019 | $ 174,126,924 | $ 147,400,628 | $ 23,136,161 | $ 3,590,135 | |||||||
Balance, Redeemable Units at Mar. 31, 2019 | 132,342.5505 | 111,757.0047 | 17,913.2276 | 2,672.3182 | |||||||
[1] | Represents the change in net asset value per Redeemable Unit during the period. |
Organization
Organization | 3 Months Ended |
Mar. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Ceres 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, 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 (as defined below) may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Master) 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 a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD 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. As of March 31, 2019, all trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”). During the reporting periods ended March 31, 2019 and 2018, the Partnership’s and the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A (“JPMorgan”) was also a foreign exchange forward contract counterparty for the Master. The Partnership and the Master deposited a portion of their cash in non-trading bank accounts at JPMorgan. 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 Master permits accounts managed by the Advisor pursuant to Diversified Macro Strategies (formerly, the Winton Futures 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 March 31, 2019. 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 Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units 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 A Redeemable Units and Class D Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions and non-U.S. investors. 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 2.00 At March 31, 2019 and December 31, 2018, the Partnership owned approximately 56.3% and 53.9%, 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. commodity exchanges and non-U.S. 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 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, 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. On July 12, 2017, the Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the Master and, indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. Under the FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of the Master during a month. 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 | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at March 31, 2019, and the results of its operations and the changes in partners’ capital for the three months ended March 31, 2019 and 2018. These financial statements present the results for 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, 2018. The December 31, 2018 information has been derived from the audited financial statements as of and for the year ended December 31, 2018. 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 Profit Allocation Statement of Cash Flows. Statement of Cash Flows.” Partnership’s Investment Master’s Investments first-in, first-out Master’s Cash Income Taxes Income Taxes “more-likely-than-not” more-likely-than-not Investment Company Status 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” Net Income (Loss) per Redeemable Unit “Financial Services – Investment Companies.” “ 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 The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2019 and December 31, 2018 and Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2019 and 2018 are presented below: CMF Winton Master L.P. Statements of Financial Condition March 31, 2019 December 31, Assets: Equity in trading accounts: Unrestricted cash $ 273,919,921 $ 312,715,105 Restricted cash 38,721,664 40,002,084 Net unrealized appreciation on open futures contracts 9,173,803 - Total equity in trading accounts 321,815,388 352,717,189 Subscription receivable - 261,448 Total assets $ 321,815,388 $ 352,978,637 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open futures contracts $ - $ 5,670,226 Net unrealized depreciation on open forward contracts 794,387 2,569,275 Accrued expenses: Professional fees 55,994 54,808 Redemptions payable 12,513,553 5,484,714 Total liabilities 13,363,934 13,779,023 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at March 31, 2019 and December 31, 2018 - - Limited Partners, 74,682.3046 and 83,051.1742 Redeemable Units outstanding at March 31, 2019 and December 31, 2018, respectively 308,451,454 339,199,614 Total partners’ capital (net asset value) 308,451,454 339,199,614 Total liabilities and partners’ capital $ 321,815,388 $ 352,978,637 Net asset value per Redeemable Unit $ 4,130.18 $ 4,084.22 CMF Winton Master L.P. Condensed Schedule of Investments March 31, 2019 (Unaudited) Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 1,032 $ (463,072) (0.15) % Energy 1,168 (611,692) (0.20) Grains 29 (2,117) (0.00) * Indices 1,087 1,437,581 0.47 Interest Rates U.S. 271 626,758 0.20 Interest Rates Non-U.S. 2,943 3,447,218 1.12 Livestock 194 (253,008) (0.08) Metals 7 (62,050) (0.02) Total futures contracts purchased 4,119,618 1.34 Futures Contracts Sold Currencies 2,701 829,938 0.27 Energy 155 195,680 0.06 Grains 2,369 3,309,420 1.08 Indices 449 42,670 0.01 Interest Rates U.S. 335 (304,820) (0.10) Interest Rates Non-U.S. 1,983 (923,192) (0.30) Livestock 61 (159,620) (0.05) Metals 608 1,033,225 0.33 Softs 1,725 1,030,884 0.33 Total futures contracts sold 5,054,185 1.63 Net unrealized appreciation on open futures contracts $ 9,173,803 2.97 % Unrealized Appreciation on Open Forward Contracts Currencies $ 76,746,711 $ 1,013,033 0.33 % Metals 629 1,315,960 0.43 Total unrealized appreciation on open forward contracts 2,328,993 0.76 Unrealized Depreciation on Open Forward Contracts Currencies $ 86,389,943 (1,089,552) (0.36) Metals 989 (2,033,828) (0.66) Total unrealized depreciation on open forward contracts (3,123,380) (1.02) Net unrealized depreciation on open forward contracts $ (794,387) (0.26) % * Due to rounding. CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2018 Notional ($)/ Number of Fair Value % of Partners’ Futures Contracts Purchased Currencies 665 $ 498,240 0.15 % Energy 807 (7,683,693) (2.27) Grains 23 1,389 0.00 * Indices 598 (1,528,397) (0.45) Interest Rates U.S. 274 511,781 0.15 Interest Rates Non-U.S. 6,276 3,509,049 1.04 Livestock 24 10,030 0.00 * Metals 110 (167,968) (0.05) Softs 78 (275,765) (0.08) Total futures contracts purchased (5,125,334) (1.51) Futures Contracts Sold Currencies 2,903 (2,494,808) (0.74) Energy 833 3,839,606 1.13 Grains 1,819 698,944 0.21 Indices 459 721,056 0.21 Interest Rates U.S. 356 (418,226) (0.12) Interest Rates Non-U.S. 612 (946,029) (0.28) Livestock 182 119,878 0.04 Metals 602 (2,647,825) (0.78) Softs 1,888 582,512 0.17 Total futures contracts sold (544,892) (0.16) Net unrealized depreciation on open futures contracts $ (5,670,226) (1.67) % Unrealized Appreciation on Open Forward Contracts Currencies $ 77,973,985 $ 1,063,380 0.31 % Metals 754 1,571,426 0.46 Total unrealized appreciation on open forward contracts 2,634,806 0.77 Unrealized Depreciation on Open Forward Contracts Currencies $ 59,643,530 (813,774) (0.24) Metals 875 (4,390,307) (1.29) Total unrealized depreciation on open forward contracts (5,204,081) (1.53) Net unrealized depreciation on open forward contracts $ (2,569,275) (0.76) % * Due to rounding. CMF Winton Master L.P. Statements of Income and Expenses and Changes in Partners’ Capital (Unaudited) Three Months Ended 2019 2018 Investment Income: Interest income $ 1,770,886 $ 1,246,335 Expenses: Clearing fees 89,282 132,389 Professional fees 15,750 17,195 Total expenses 105,032 149,584 Net investment income (loss) 1,665,854 1,096,751 Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (13,387,345) (3,338,467) Net change in unrealized gains (losses) on open contracts 16,624,678 (8,398,044) Total trading results 3,237,333 (11,736,511) Net income (loss) 4,903,187 (10,639,760) Subscriptions - Limited Partners 932,964 7,572,573 Redemptions - Limited Partners (34,865,572) (36,492,259) Distribution of interest income to feeder funds (1,718,739) (1,125,484) Net increase (decrease) in Partners’ Capital (30,748,160) (40,684,930) Partners’ Capital, beginning of period 339,199,614 397,648,307 Partners’ Capital, end of period $ 308,451,454 $ 356,963,377 Net asset value per Redeemable Unit $ 4,130.18 $ 4,048.00 Net income (loss) per Redeemable Unit* $ 67.27 $ (138.70) Weighted average Redeemable Units outstanding 80,663.7625 91,740.2584 * 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 | 3 Months Ended |
Mar. 31, 2019 | |
Investment Company [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner classes as a whole for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 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) $ 14.80 $ 14.53 $ 15.13 $ (49.54) $ (47.91) $ (49.11) Net investment loss (8.90) (4.73) (2.44) (12.63) (8.00) (6.00) Increase (decrease) for the period 5.90 9.80 12.69 (62.17) (55.91) (55.11) Net asset value per Redeemable Unit, beginning of period 1,313.04 1,281.77 1,330.76 1,394.29 1,344.14 1,385.07 Net asset value per Redeemable Unit, end of period $ 1,318.94 $ 1,291.57 $ 1,343.45 $ 1,332.12 $ 1,288.23 $ 1,329.96 Three Months Ended March 31, 2019 2018 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (2.8) % (1.5) % (0.7) % (3.7) % (2.4) % (1.7) % Operating expenses 5.0 % 3.7 % 2.9 % 5.1 % 3.7 % 3.0 % Incentive fees - % - % - % - % - % - % Total expenses 5.0 % 3.7 % 2.9 % 5.1 % 3.7 % 3.0 % Total return: Total return before incentive fees 0.4 % 0.8 % 1.0 % (4.5) % (4.2) % (4.0) % Incentive fees - % - % - % - % - % - % Total return after incentive fees 0.4 % 0.8 % 1.0 % (4.5) % (4.2) % (4.0) % * Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses 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 (except for 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 include the income and expenses allocated from the Master. Financial Highlights of the Master: Three Months Ended March 31, 2019 2018 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ 46.62 $ (150.65) Net investment income (loss) 20.65 11.95 Increase (decrease) for the period 67.27 (138.70) Distribution of interest income to feeder funds (21.31) (12.27) Net asset value per Redeemable Unit, beginning of period 4,084.22 4,198.97 Net asset value per Redeemable Unit, end of period $ 4,130.18 $ 4,048.00 Three Months Ended March 31, 2019 2018 Ratios to Average Limited Partners’ Capital:** Net investment income (loss)*** 2.1 % 1.1 % Operating expenses 0.1 % 0.2 % Total return 1.6 % (3.3) % * Net investment income (loss) per Redeemable Unit is calculated by dividing the interest income less total expenses 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 | 3 Months Ended |
Mar. 31, 2019 | |
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 The futures brokerage account agreements with MS&Co. give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and open forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts in the 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 March 31, 2019 and 2018 was 15,907 and 20,523, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended March 31, 2019 and 2018 was 1,645 and 2,242, respectively. The monthly average notional value of currency forward contracts traded by the Master during the three months ended March 31, 2019 and 2018 was $197,176,705 and $436,728,273, 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 agreements or similar arrangements as of March 31, 2019 and December 31, 2018, respectively. March 31, 2019 Gross Amounts Gross Amounts Statements of Amounts Statements of Financial Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets MS&Co Futures $ 13,584,764 $ (4,410,961) $ 9,173,803 $ - $ - $ 9,173,803 Forwards 1,315,960 (1,315,960) - - - - 14,900,724 (5,726,921) 9,173,803 - - 9,173,803 JPMorgan Forwards 1,013,033 (1,013,033) - - - - Total assets $ 15,913,757 $ (6,739,954) $ 9,173,803 $ - $ - $ 9,173,803 Liabilities MS&Co Futures $ (4,410,961) $ 4,410,961 $ - $ - $ - $ - Forwards (2,033,828) 1,315,960 (717,868) - 716,210 (1,658) (6,444,789) 5,726,921 (717,868) - 716,210 (1,658) JPMorgan Forwards (1,089,552) 1,013,033 (76,519) - 76,519 - Total liabilities $ (7,534,341) $ 6,739,954 $ (794,387) $ - $ 792,729 $ (1,658) Net fair value $ 9,172,145 * December 31, 2018 Gross Amounts Gross Amounts Statements of Amounts Presented in the Statements of Financial Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets MS&Co. Futures $ 12,642,665 $ (12,642,665) $ - $ - $ - $ - Forwards 1,579,370 (1,579,370) - - - - 14,222,035 (14,222,035) - - - - JPMorgan Forwards 1,055,436 (813,774) 241,662 - - 241,662 Total assets $ 15,277,471 $ (15,035,809) $ 241,662 $ - $ - $ 241,662 Liabilities MS&Co. Futures $ (18,312,891) $ 12,642,665 $ (5,670,226) $ - $ 5,670,226 $ - Forwards (4,390,307) 1,579,370 (2,810,937) - 2,810,937 - (22,703,198) 14,222,035 (8,481,163) - 8,481,163 - JPMorgan Forwards (813,774) 813,774 - - - - Total liabilities $ (23,516,972) $ 15,035,809 $ (8,481,163) $ - $ 8,481,163 $ - Net fair value $ 241,662 * * In the event of default by the Master, MS&Co., the Master’s commodity futures broker and a counterparty to certain of the Master’s non-exchange-traded non-exchange-traded 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 March 31, 2019 and December 31, 2018, respectively. March 31, Assets Futures Contracts Currencies $ 1,372,322 Energy 456,421 Grains 3,327,131 Indices 1,706,453 Interest Rates U.S. 634,430 Interest Rates Non-U.S. 3,455,697 Livestock 64,752 Metals 1,069,255 Softs 1,498,303 Total unrealized appreciation on open futures contracts 13,584,764 Liabilities Futures Contracts Currencies (1,005,456) Energy (872,433) Grains (19,828) Indices (226,202) Interest Rates U.S. (312,492) Interest Rates Non-U.S. (931,671) Livestock (477,380) Metals (98,080) Softs (467,419) Total unrealized depreciation on open futures contracts (4,410,961) Net unrealized appreciation on open futures contracts $ 9,173,803 * Assets Forward Contracts Currencies $ 1,013,033 Metals 1,315,960 Total unrealized appreciation on open forward contracts 2,328,993 Liabilities Forward Contracts Currencies (1,089,552) Metals (2,033,828) Total unrealized depreciation on open forward contracts (3,123,380) Net unrealized depreciation on open forward contracts $ (794,387) ** * 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. December 31, Assets Futures Contracts Currencies $ 1,121,770 Energy 3,883,716 Grains 763,198 Indices 755,310 Interest Rates U.S. 517,969 Interest Rates Non-U.S. 3,526,064 Livestock 198,893 Metals 171,670 Softs 1,704,075 Total unrealized appreciation on open futures contracts 12,642,665 Liabilities Futures Contracts Currencies (3,118,338) Energy (7,727,803) Grains (62,865) Indices (1,562,651) Interest Rates U.S. (424,414) Interest Rates Non-U.S. (963,044) Livestock (68,985) Metals (2,987,463) Softs (1,397,328) Total unrealized depreciation on open futures contracts (18,312,891) Net unrealized depreciation on open futures contracts $ (5,670,226) * Assets Forward Contracts Currencies $ 1,063,380 Metals 1,571,426 Total unrealized appreciation on open forward contracts 2,634,806 Liabilities Forward Contracts Currencies (813,774) Metals (4,390,307) Total unrealized depreciation on open forward contracts (5,204,081) Net unrealized depreciation on open forward contracts $ (2,569,275) ** * This amount is in “Net unrealized depreciation 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 months ended March 31, 2019 and 2018, respectively. Three Months Ended March 31, 2019 2018 Sector Currencies $ 1,028,205 $ (4,786,268) Energy (6,833,697) (1,322,683) Grains 3,420,567 (3,071,831) Indices 3,567,356 (1,050,723) Interest Rates U.S. 237,116 (874,210) Interest Rates Non-U.S. 3,319,930 1,765,428 Livestock (983,460) (212,688) Metals (1,176,605) (3,730,620) Softs 657,921 1,547,084 Total $ 3,237,333 *** $ (11,736,511) *** *** This amount is in “Total trading results” in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2019 | |
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 The Master considers prices for commodity futures 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 March 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 13,584,764 $ 13,584,764 $ - $ - Forwards 2,328,993 - 2,328,993 - Total assets $ 15,913,757 $ 13,584,764 $ 2,328,993 $ - Liabilities Futures $ 4,410,961 $ 4,410,961 $ - $ - Forwards 3,123,380 - 3,123,380 - Total liabilities $ 7,534,341 $ 4,410,961 $ 3,123,380 $ - December 31, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 12,642,665 $ 12,642,665 $ - $ - Forwards 2,634,806 - 2,634,806 - Total assets $ 15,277,471 $ 12,642,665 $ 2,634,806 $ - Liabilities Futures $ 18,312,891 $ 18,312,891 $ - $ - Forwards 5,204,081 - 5,204,081 - Total liabilities $ 23,516,972 $ 18,312,891 $ 5,204,081 $ - |
Financial Instrument Risks
Financial Instrument Risks | 3 Months Ended |
Mar. 31, 2019 | |
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. 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 19.7% to 32.4% of the Master’s contracts are traded OTC. Futures Contracts . The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. Forward Foreign Currency Contracts . Forward foreign currency contracts are those co ntracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Master’s Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. London Metal Exchange Forward Contracts . Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Variation margin may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included 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 held 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., an MS&Co. affiliate or JPMorgan are counterparties or brokers 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 mitigate 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. In the ordinary course of business, the Master enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Master’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Master. The Master considers the risk of any future obligation relating to these indemnifications to be remote. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | 7. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates |
Profit Allocation | Profit Allocation |
Statement of Cash Flows | Statement of Cash Flows. Statement of Cash Flows.” |
Partnership's Investment | Partnership’s Investment |
Master's Investments | Master’s Investments first-in, first-out Master’s Cash |
Income Taxes | Income Taxes Income Taxes “more-likely-than-not” more-likely-than-not |
Investment Company Status | Investment Company Status 2013-08, “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.” “ |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies (Tables) - CMF Winton Master L.P. [Member] | 3 Months Ended |
Mar. 31, 2019 | |
Statements of Financial Condition | CMF Winton Master L.P. Statements of Financial Condition March 31, 2019 December 31, Assets: Equity in trading accounts: Unrestricted cash $ 273,919,921 $ 312,715,105 Restricted cash 38,721,664 40,002,084 Net unrealized appreciation on open futures contracts 9,173,803 - Total equity in trading accounts 321,815,388 352,717,189 Subscription receivable - 261,448 Total assets $ 321,815,388 $ 352,978,637 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open futures contracts $ - $ 5,670,226 Net unrealized depreciation on open forward contracts 794,387 2,569,275 Accrued expenses: Professional fees 55,994 54,808 Redemptions payable 12,513,553 5,484,714 Total liabilities 13,363,934 13,779,023 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at March 31, 2019 and December 31, 2018 - - Limited Partners, 74,682.3046 and 83,051.1742 Redeemable Units outstanding at March 31, 2019 and December 31, 2018, respectively 308,451,454 339,199,614 Total partners’ capital (net asset value) 308,451,454 339,199,614 Total liabilities and partners’ capital $ 321,815,388 $ 352,978,637 Net asset value per Redeemable Unit $ 4,130.18 $ 4,084.22 |
Condensed Schedule of Investments | CMF Winton Master L.P. Condensed Schedule of Investments March 31, 2019 (Unaudited) Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 1,032 $ (463,072) (0.15) % Energy 1,168 (611,692) (0.20) Grains 29 (2,117) (0.00) * Indices 1,087 1,437,581 0.47 Interest Rates U.S. 271 626,758 0.20 Interest Rates Non-U.S. 2,943 3,447,218 1.12 Livestock 194 (253,008) (0.08) Metals 7 (62,050) (0.02) Total futures contracts purchased 4,119,618 1.34 Futures Contracts Sold Currencies 2,701 829,938 0.27 Energy 155 195,680 0.06 Grains 2,369 3,309,420 1.08 Indices 449 42,670 0.01 Interest Rates U.S. 335 (304,820) (0.10) Interest Rates Non-U.S. 1,983 (923,192) (0.30) Livestock 61 (159,620) (0.05) Metals 608 1,033,225 0.33 Softs 1,725 1,030,884 0.33 Total futures contracts sold 5,054,185 1.63 Net unrealized appreciation on open futures contracts $ 9,173,803 2.97 % Unrealized Appreciation on Open Forward Contracts Currencies $ 76,746,711 $ 1,013,033 0.33 % Metals 629 1,315,960 0.43 Total unrealized appreciation on open forward contracts 2,328,993 0.76 Unrealized Depreciation on Open Forward Contracts Currencies $ 86,389,943 (1,089,552) (0.36) Metals 989 (2,033,828) (0.66) Total unrealized depreciation on open forward contracts (3,123,380) (1.02) Net unrealized depreciation on open forward contracts $ (794,387) (0.26) % * Due to rounding. CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2018 Notional ($)/ Number of Fair Value % of Partners’ Futures Contracts Purchased Currencies 665 $ 498,240 0.15 % Energy 807 (7,683,693) (2.27) Grains 23 1,389 0.00 * Indices 598 (1,528,397) (0.45) Interest Rates U.S. 274 511,781 0.15 Interest Rates Non-U.S. 6,276 3,509,049 1.04 Livestock 24 10,030 0.00 * Metals 110 (167,968) (0.05) Softs 78 (275,765) (0.08) Total futures contracts purchased (5,125,334) (1.51) Futures Contracts Sold Currencies 2,903 (2,494,808) (0.74) Energy 833 3,839,606 1.13 Grains 1,819 698,944 0.21 Indices 459 721,056 0.21 Interest Rates U.S. 356 (418,226) (0.12) Interest Rates Non-U.S. 612 (946,029) (0.28) Livestock 182 119,878 0.04 Metals 602 (2,647,825) (0.78) Softs 1,888 582,512 0.17 Total futures contracts sold (544,892) (0.16) Net unrealized depreciation on open futures contracts $ (5,670,226) (1.67) % Unrealized Appreciation on Open Forward Contracts Currencies $ 77,973,985 $ 1,063,380 0.31 % Metals 754 1,571,426 0.46 Total unrealized appreciation on open forward contracts 2,634,806 0.77 Unrealized Depreciation on Open Forward Contracts Currencies $ 59,643,530 (813,774) (0.24) Metals 875 (4,390,307) (1.29) Total unrealized depreciation on open forward contracts (5,204,081) (1.53) Net unrealized depreciation on open forward contracts $ (2,569,275) (0.76) % * Due to rounding. |
Statements of Income and Expenses and Changes in Partners' Capital | CMF Winton Master L.P. Statements of Income and Expenses and Changes in Partners’ Capital (Unaudited) Three Months Ended 2019 2018 Investment Income: Interest income $ 1,770,886 $ 1,246,335 Expenses: Clearing fees 89,282 132,389 Professional fees 15,750 17,195 Total expenses 105,032 149,584 Net investment income (loss) 1,665,854 1,096,751 Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (13,387,345) (3,338,467) Net change in unrealized gains (losses) on open contracts 16,624,678 (8,398,044) Total trading results 3,237,333 (11,736,511) Net income (loss) 4,903,187 (10,639,760) Subscriptions - Limited Partners 932,964 7,572,573 Redemptions - Limited Partners (34,865,572) (36,492,259) Distribution of interest income to feeder funds (1,718,739) (1,125,484) Net increase (decrease) in Partners’ Capital (30,748,160) (40,684,930) Partners’ Capital, beginning of period 339,199,614 397,648,307 Partners’ Capital, end of period $ 308,451,454 $ 356,963,377 Net asset value per Redeemable Unit $ 4,130.18 $ 4,048.00 Net income (loss) per Redeemable Unit* $ 67.27 $ (138.70) Weighted average Redeemable Units outstanding 80,663.7625 91,740.2584 * 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) | 3 Months Ended |
Mar. 31, 2019 | |
Financial Highlights | Financial highlights for the limited partner classes as a whole for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 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) $ 14.80 $ 14.53 $ 15.13 $ (49.54) $ (47.91) $ (49.11) Net investment loss (8.90) (4.73) (2.44) (12.63) (8.00) (6.00) Increase (decrease) for the period 5.90 9.80 12.69 (62.17) (55.91) (55.11) Net asset value per Redeemable Unit, beginning of period 1,313.04 1,281.77 1,330.76 1,394.29 1,344.14 1,385.07 Net asset value per Redeemable Unit, end of period $ 1,318.94 $ 1,291.57 $ 1,343.45 $ 1,332.12 $ 1,288.23 $ 1,329.96 Three Months Ended March 31, 2019 2018 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (2.8) % (1.5) % (0.7) % (3.7) % (2.4) % (1.7) % Operating expenses 5.0 % 3.7 % 2.9 % 5.1 % 3.7 % 3.0 % Incentive fees - % - % - % - % - % - % Total expenses 5.0 % 3.7 % 2.9 % 5.1 % 3.7 % 3.0 % Total return: Total return before incentive fees 0.4 % 0.8 % 1.0 % (4.5) % (4.2) % (4.0) % Incentive fees - % - % - % - % - % - % Total return after incentive fees 0.4 % 0.8 % 1.0 % (4.5) % (4.2) % (4.0) % * Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses 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 (except for incentive fees). *** Interest income allocated from the Master less total expenses. |
CMF Winton Master L.P. [Member] | |
Financial Highlights | Financial Highlights of the Master: Three Months Ended March 31, 2019 2018 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ 46.62 $ (150.65) Net investment income (loss) 20.65 11.95 Increase (decrease) for the period 67.27 (138.70) Distribution of interest income to feeder funds (21.31) (12.27) Net asset value per Redeemable Unit, beginning of period 4,084.22 4,198.97 Net asset value per Redeemable Unit, end of period $ 4,130.18 $ 4,048.00 Three Months Ended March 31, 2019 2018 Ratios to Average Limited Partners’ Capital:** Net investment income (loss)*** 2.1 % 1.1 % Operating expenses 0.1 % 0.2 % Total return 1.6 % (3.3) % * Net investment income (loss) per Redeemable Unit is calculated by dividing the interest income less total expenses 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) - CMF Winton Master L.P. [Member] | 3 Months Ended |
Mar. 31, 2019 | |
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 agreements or similar arrangements as of March 31, 2019 and December 31, 2018, respectively. March 31, 2019 Gross Amounts Gross Amounts Statements of Amounts Statements of Financial Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets MS&Co Futures $ 13,584,764 $ (4,410,961) $ 9,173,803 $ - $ - $ 9,173,803 Forwards 1,315,960 (1,315,960) - - - - 14,900,724 (5,726,921) 9,173,803 - - 9,173,803 JPMorgan Forwards 1,013,033 (1,013,033) - - - - Total assets $ 15,913,757 $ (6,739,954) $ 9,173,803 $ - $ - $ 9,173,803 Liabilities MS&Co Futures $ (4,410,961) $ 4,410,961 $ - $ - $ - $ - Forwards (2,033,828) 1,315,960 (717,868) - 716,210 (1,658) (6,444,789) 5,726,921 (717,868) - 716,210 (1,658) JPMorgan Forwards (1,089,552) 1,013,033 (76,519) - 76,519 - Total liabilities $ (7,534,341) $ 6,739,954 $ (794,387) $ - $ 792,729 $ (1,658) Net fair value $ 9,172,145 * December 31, 2018 Gross Amounts Gross Amounts Statements of Amounts Presented in the Statements of Financial Gross Amounts Not Offset in the Net Amount Financial Cash Collateral Assets MS&Co. Futures $ 12,642,665 $ (12,642,665) $ - $ - $ - $ - Forwards 1,579,370 (1,579,370) - - - - 14,222,035 (14,222,035) - - - - JPMorgan Forwards 1,055,436 (813,774) 241,662 - - 241,662 Total assets $ 15,277,471 $ (15,035,809) $ 241,662 $ - $ - $ 241,662 Liabilities MS&Co. Futures $ (18,312,891) $ 12,642,665 $ (5,670,226) $ - $ 5,670,226 $ - Forwards (4,390,307) 1,579,370 (2,810,937) - 2,810,937 - (22,703,198) 14,222,035 (8,481,163) - 8,481,163 - JPMorgan Forwards (813,774) 813,774 - - - - Total liabilities $ (23,516,972) $ 15,035,809 $ (8,481,163) $ - $ 8,481,163 $ - Net fair value $ 241,662 * * In the event of default by the Master, MS&Co., the Master’s commodity futures broker and a counterparty to certain of the Master’s non-exchange-traded non-exchange-traded |
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 March 31, 2019 and December 31, 2018, respectively. March 31, Assets Futures Contracts Currencies $ 1,372,322 Energy 456,421 Grains 3,327,131 Indices 1,706,453 Interest Rates U.S. 634,430 Interest Rates Non-U.S. 3,455,697 Livestock 64,752 Metals 1,069,255 Softs 1,498,303 Total unrealized appreciation on open futures contracts 13,584,764 Liabilities Futures Contracts Currencies (1,005,456) Energy (872,433) Grains (19,828) Indices (226,202) Interest Rates U.S. (312,492) Interest Rates Non-U.S. (931,671) Livestock (477,380) Metals (98,080) Softs (467,419) Total unrealized depreciation on open futures contracts (4,410,961) Net unrealized appreciation on open futures contracts $ 9,173,803 * Assets Forward Contracts Currencies $ 1,013,033 Metals 1,315,960 Total unrealized appreciation on open forward contracts 2,328,993 Liabilities Forward Contracts Currencies (1,089,552) Metals (2,033,828) Total unrealized depreciation on open forward contracts (3,123,380) Net unrealized depreciation on open forward contracts $ (794,387) ** * 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. December 31, Assets Futures Contracts Currencies $ 1,121,770 Energy 3,883,716 Grains 763,198 Indices 755,310 Interest Rates U.S. 517,969 Interest Rates Non-U.S. 3,526,064 Livestock 198,893 Metals 171,670 Softs 1,704,075 Total unrealized appreciation on open futures contracts 12,642,665 Liabilities Futures Contracts Currencies (3,118,338) Energy (7,727,803) Grains (62,865) Indices (1,562,651) Interest Rates U.S. (424,414) Interest Rates Non-U.S. (963,044) Livestock (68,985) Metals (2,987,463) Softs (1,397,328) Total unrealized depreciation on open futures contracts (18,312,891) Net unrealized depreciation on open futures contracts $ (5,670,226) * Assets Forward Contracts Currencies $ 1,063,380 Metals 1,571,426 Total unrealized appreciation on open forward contracts 2,634,806 Liabilities Forward Contracts Currencies (813,774) Metals (4,390,307) Total unrealized depreciation on open forward contracts (5,204,081) Net unrealized depreciation on open forward contracts $ (2,569,275) ** * This amount is in “Net unrealized depreciation 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 months ended March 31, 2019 and 2018, respectively. Three Months Ended March 31, 2019 2018 Sector Currencies $ 1,028,205 $ (4,786,268) Energy (6,833,697) (1,322,683) Grains 3,420,567 (3,071,831) Indices 3,567,356 (1,050,723) Interest Rates U.S. 237,116 (874,210) Interest Rates Non-U.S. 3,319,930 1,765,428 Livestock (983,460) (212,688) Metals (1,176,605) (3,730,620) Softs 657,921 1,547,084 Total $ 3,237,333 *** $ (11,736,511) *** *** This amount is 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) | 3 Months Ended |
Mar. 31, 2019 | |
CMF Winton Master L.P. [Member] | |
Master's Fair Value Measurements | March 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 13,584,764 $ 13,584,764 $ - $ - Forwards 2,328,993 - 2,328,993 - Total assets $ 15,913,757 $ 13,584,764 $ 2,328,993 $ - Liabilities Futures $ 4,410,961 $ 4,410,961 $ - $ - Forwards 3,123,380 - 3,123,380 - Total liabilities $ 7,534,341 $ 4,410,961 $ 3,123,380 $ - December 31, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 12,642,665 $ 12,642,665 $ - $ - Forwards 2,634,806 - 2,634,806 - Total assets $ 15,277,471 $ 12,642,665 $ 2,634,806 $ - Liabilities Futures $ 18,312,891 $ 18,312,891 $ - $ - Forwards 5,204,081 - 5,204,081 - Total liabilities $ 23,516,972 $ 18,312,891 $ 5,204,081 $ - |
Organization - Additional Infor
Organization - Additional Information (Detail) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Maximum amount of partnership assets allocated to trading advisor | 1.5 times | |
CMF Winton Master L.P. [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Percentage of Partnership owned | 56.30% | 53.90% |
Class D [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Monthly ongoing selling agent fee | 0.0625% | |
Ongoing selling agent fee | 0.75% | |
Class A [Member] | ||
Subsidiary of Limited Liability Company or Limited Partnership [Line Items] | ||
Monthly ongoing selling agent fee | 0.1667% | |
Ongoing selling agent fee | 2.00% |
Basis of Presentation and Sum_4
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | |
Accounting Policies [Abstract] | ||
Cash denominated in foreign currencies | $ 1,311,534 | $ 2,271,393 |
Cost of foreign currencies | 1,307,821 | 2,273,441 |
Cash held for margin requirements | 38,721,664 | $ 40,002,084 |
Uncertain tax position | $ 0 | |
Open tax year | 2015 2016 2017 2018 |
Basis of Presentation and Sum_5
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Detail) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 |
Equity in trading accounts: | ||||
Restricted cash | $ 38,721,664 | $ 40,002,084 | ||
Total assets | 179,460,040 | 184,881,389 | ||
Accrued expenses: | ||||
Professional fees | 216,606 | 264,945 | ||
Total liabilities | 5,333,116 | 1,763,430 | ||
Partners' Capital: | ||||
Total partners' capital (net asset value) | 174,126,924 | 183,117,959 | $ 194,889,173 | $ 207,686,502 |
Total liabilities and partners' capital | 179,460,040 | 184,881,389 | ||
CMF Winton Master L.P. [Member] | ||||
Equity in trading accounts: | ||||
Unrestricted cash | 273,919,921 | 312,715,105 | ||
Restricted cash | 38,721,664 | 40,002,084 | ||
Net unrealized depreciation on open contracts | 9,173,803 | 241,662 | ||
Total equity in trading accounts | 321,815,388 | 352,717,189 | ||
Subscription receivable | 0 | 261,448 | ||
Total assets | 321,815,388 | 352,978,637 | ||
Liabilities: | ||||
Net unrealized depreciation on open contracts | 794,387 | 8,481,163 | ||
Accrued expenses: | ||||
Professional fees | 55,994 | 54,808 | ||
Redemptions payable | 12,513,553 | 5,484,714 | ||
Total liabilities | 13,363,934 | 13,779,023 | ||
Partners' Capital: | ||||
General Partner, 0.0000 Redeemable Units outstanding at March 31, 2019 and December 31, 2018 | 0 | |||
Limited Partners, 74,682.3046 and 83,051.1742 Redeemable Units outstanding at March 31, 2019 and December 31, 2018, respectively | 308,451,454 | 339,199,614 | ||
Total partners' capital (net asset value) | 308,451,454 | 339,199,614 | $ 356,963,377 | $ 397,648,307 |
Total liabilities and partners' capital | $ 321,815,388 | $ 352,978,637 | ||
Net asset value per Redeemable Unit | $ 4,130.18 | $ 4,084.22 | $ 4,048 | $ 4,198.97 |
Future Contracts [Member] | CMF Winton Master L.P. [Member] | ||||
Equity in trading accounts: | ||||
Net unrealized depreciation on open contracts | $ 9,173,803 | |||
Liabilities: | ||||
Net unrealized depreciation on open contracts | 0 | $ 5,670,226 | ||
Forward Contracts [Member] | CMF Winton Master L.P. [Member] | ||||
Liabilities: | ||||
Net unrealized depreciation on open contracts | $ 794,387 | $ 2,569,275 |
Basis of Presentation and Sum_6
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Parenthetical) (Detail) - CMF Winton Master L.P. [Member] - shares | Mar. 31, 2019 | Dec. 31, 2018 |
Condensed Financial Statements, Captions [Line Items] | ||
General Partner, Unit outstanding | 0 | 0 |
Limited Partners, Units outstanding | 74,682.3046 | 83,051.1742 |
Basis of Presentation and Sum_7
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedule of Investments (Detail) | Mar. 31, 2019USD ($)Derivative | Dec. 31, 2018USD ($)Derivative | |
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | [1] | $ 174,013,278 | $ 183,004,312 |
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation (depreciation) on open contracts | $ (794,387) | $ (2,569,275) | |
Percentage of Partners' Capital | (0.26%) | (0.76%) | |
Total unrealized appreciation on open contracts | $ 2,328,993 | $ 2,634,806 | |
Total unrealized depreciation on open contracts | (3,123,380) | (5,204,081) | |
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Notional | 76,746,711 | 77,973,985 | |
Total unrealized appreciation on open contracts | 1,013,033 | 1,063,380 | |
Notional | 86,389,943 | 59,643,530 | |
Total unrealized depreciation on open contracts | (1,089,552) | (813,774) | |
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 1,315,960 | 1,571,426 | |
Total unrealized depreciation on open contracts | $ (2,033,828) | $ (4,390,307) | |
CMF Winton Master L.P. [Member] | Unrealized Depreciation [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Percentage of Partners' Capital | (1.02%) | (1.53%) | |
CMF Winton Master L.P. [Member] | Unrealized Depreciation [Member] | Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Percentage of Partners' Capital | (0.36%) | (0.24%) | |
CMF Winton Master L.P. [Member] | Unrealized Depreciation [Member] | Forward Contracts [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 989 | 875 | |
Percentage of Partners' Capital | (0.66%) | (1.29%) | |
CMF Winton Master L.P. [Member] | Unrealized Appreciation [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Percentage of Partners' Capital | 0.76% | 0.77% | |
CMF Winton Master L.P. [Member] | Unrealized Appreciation [Member] | Forward Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Percentage of Partners' Capital | 0.33% | 0.31% | |
CMF Winton Master L.P. [Member] | Unrealized Appreciation [Member] | Forward Contracts [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 629 | 754 | |
Percentage of Partners' Capital | 0.43% | 0.46% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation (depreciation) on open contracts | $ 9,173,803 | $ (5,670,226) | |
Percentage of Partners' Capital | 2.97% | (1.67%) | |
Total unrealized appreciation on open contracts | $ 13,584,764 | $ 12,642,665 | |
Total unrealized depreciation on open contracts | (4,410,961) | (18,312,891) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 1,372,322 | 1,121,770 | |
Total unrealized depreciation on open contracts | (1,005,456) | (3,118,338) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Energy [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 456,421 | 3,883,716 | |
Total unrealized depreciation on open contracts | (872,433) | (7,727,803) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Grains [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 3,327,131 | 763,198 | |
Total unrealized depreciation on open contracts | (19,828) | (62,865) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Indices [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 1,706,453 | 755,310 | |
Total unrealized depreciation on open contracts | (226,202) | (1,562,651) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Interest Rates U.S. [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 634,430 | 517,969 | |
Total unrealized depreciation on open contracts | (312,492) | (424,414) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 3,455,697 | 3,526,064 | |
Total unrealized depreciation on open contracts | (931,671) | (963,044) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Livestock [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 64,752 | 198,893 | |
Total unrealized depreciation on open contracts | (477,380) | (68,985) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 1,069,255 | 171,670 | |
Total unrealized depreciation on open contracts | (98,080) | (2,987,463) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Softs [Member] | |||
Schedule of Investments [Line Items] | |||
Total unrealized appreciation on open contracts | 1,498,303 | 1,704,075 | |
Total unrealized depreciation on open contracts | (467,419) | (1,397,328) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | $ 4,119,618 | $ (5,125,334) | |
Percentage of Partners' Capital | 1.34% | (1.51%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 1,032 | 665 | |
Investment in Master, at fair value | $ (463,072) | $ 498,240 | |
Percentage of Partners' Capital | (0.15%) | 0.15% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Energy [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 1,168 | 807 | |
Investment in Master, at fair value | $ (611,692) | $ (7,683,693) | |
Percentage of Partners' Capital | (0.20%) | (2.27%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Grains [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 29 | 23 | |
Investment in Master, at fair value | $ (2,117) | $ 1,389 | |
Percentage of Partners' Capital | (0.00%) | 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 | 1,087 | 598 | |
Investment in Master, at fair value | $ 1,437,581 | $ (1,528,397) | |
Percentage of Partners' Capital | 0.47% | (0.45%) | |
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 | 271 | 274 | |
Investment in Master, at fair value | $ 626,758 | $ 511,781 | |
Percentage of Partners' Capital | 0.20% | 0.15% | |
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 | 2,943 | 6,276 | |
Investment in Master, at fair value | $ 3,447,218 | $ 3,509,049 | |
Percentage of Partners' Capital | 1.12% | 1.04% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Livestock [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 194 | 24 | |
Investment in Master, at fair value | $ (253,008) | $ 10,030 | |
Percentage of Partners' Capital | (0.08%) | 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 | 7 | 110 | |
Investment in Master, at fair value | $ (62,050) | $ (167,968) | |
Percentage of Partners' Capital | (0.02%) | (0.05%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Softs [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 78 | ||
Investment in Master, at fair value | $ (275,765) | ||
Percentage of Partners' Capital | (0.08%) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | |||
Schedule of Investments [Line Items] | |||
Investment in Master, at fair value | $ 5,054,185 | $ (544,892) | |
Percentage of Partners' Capital | 1.63% | (0.16%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Currencies [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 2,701 | 2,903 | |
Investment in Master, at fair value | $ 829,938 | $ (2,494,808) | |
Percentage of Partners' Capital | 0.27% | (0.74%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Energy [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 155 | 833 | |
Investment in Master, at fair value | $ 195,680 | $ 3,839,606 | |
Percentage of Partners' Capital | 0.06% | 1.13% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Grains [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 2,369 | 1,819 | |
Investment in Master, at fair value | $ 3,309,420 | $ 698,944 | |
Percentage of Partners' Capital | 1.08% | 0.21% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Indices [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 449 | 459 | |
Investment in Master, at fair value | $ 42,670 | $ 721,056 | |
Percentage of Partners' Capital | 0.01% | 0.21% | |
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 | 335 | 356 | |
Investment in Master, at fair value | $ (304,820) | $ (418,226) | |
Percentage of Partners' Capital | (0.10%) | (0.12%) | |
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 | 1,983 | 612 | |
Investment in Master, at fair value | $ (923,192) | $ (946,029) | |
Percentage of Partners' Capital | (0.30%) | (0.28%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Livestock [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 61 | 182 | |
Investment in Master, at fair value | $ (159,620) | $ 119,878 | |
Percentage of Partners' Capital | (0.05%) | 0.04% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Metals [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 608 | 602 | |
Investment in Master, at fair value | $ 1,033,225 | $ (2,647,825) | |
Percentage of Partners' Capital | 0.33% | (0.78%) | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Softs [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Derivative | 1,725 | 1,888 | |
Investment in Master, at fair value | $ 1,030,884 | $ 582,512 | |
Percentage of Partners' Capital | 0.33% | 0.17% | |
[1] | Defined in Note 1. |
Basis of Presentation and Sum_8
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Detail) - USD ($) | 3 Months Ended | ||||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Investment Income: | |||||
Interest income | $ 968,047 | $ 673,146 | |||
Expenses: | |||||
Professional fees | 123,572 | 141,819 | |||
Total expenses | 2,100,877 | 2,466,732 | |||
Net investment income (loss) | (1,132,830) | (1,793,586) | |||
Net gains (losses) on trading of commodity interests: | |||||
Net realized gains (losses) on closed contracts | (7,142,077) | (2,160,440) | |||
Net change in unrealized gains (losses) on open contracts | 9,046,250 | (5,267,256) | |||
Total trading results | 1,904,173 | (7,427,696) | |||
Net income (loss) | [1] | 771,343 | (9,221,282) | ||
Balance, value | 183,117,959 | 207,686,502 | |||
Balance, value | 174,126,924 | 194,889,173 | |||
CMF Winton Master L.P. [Member] | |||||
Investment Income: | |||||
Interest income | 1,770,886 | 1,246,335 | |||
Expenses: | |||||
Clearing fees | 89,282 | 132,389 | |||
Professional fees | 15,750 | 17,195 | |||
Total expenses | 105,032 | 149,584 | |||
Net investment income (loss) | 1,665,854 | 1,096,751 | |||
Net gains (losses) on trading of commodity interests: | |||||
Net realized gains (losses) on closed contracts | (13,387,345) | (3,338,467) | |||
Net change in unrealized gains (losses) on open contracts | 16,624,678 | (8,398,044) | |||
Total trading results | 3,237,333 | (11,736,511) | |||
Net income (loss) | 4,903,187 | (10,639,760) | |||
Subscriptions - Limited Partners | 932,964 | 7,572,573 | |||
Redemptions - Limited Partners | (34,865,572) | (36,492,259) | |||
Distribution of interest income to feeder funds | (1,718,739) | (1,125,484) | |||
Net increase (decrease) in Partners' Capital | (30,748,160) | (40,684,930) | |||
Balance, value | 339,199,614 | 397,648,307 | |||
Balance, value | $ 308,451,454 | $ 356,963,377 | |||
Net asset value per Redeemable Unit (74,682.3046 and 88,182.5867 Redeemable Units outstanding at March 31, 2019 and 2018, respectively) | $ 4,130.18 | $ 4,048 | $ 4,084.22 | $ 4,198.97 | |
Net income (loss) per Redeemable Unit | $ 67.27 | $ (138.70) | |||
Weighted average Redeemable Units outstanding | 80,663.7625 | 91,740.2584 | |||
[1] | Represents the change in net asset value per Redeemable Unit during the period. |
Basis of Presentation and Sum_9
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Parenthetical) (Detail) - shares | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 |
Condensed Financial Statements, Captions [Line Items] | ||||
Net asset value per redeemable unit outstanding | 132,342.5505 | 139,852.0965 | 146,894.6295 | 149,619.0995 |
CMF Winton Master L.P. [Member] | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Net asset value per redeemable unit outstanding | 74,682.3046 | 88,182.5867 |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Classes (Detail) - $ / shares | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
CMF Winton Master L.P. [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | $ 46.62 | $ (150.65) |
Net investment income (loss) | 20.65 | 11.95 |
Increase (decrease) for the period | 67.27 | (138.70) |
Distribution of interest income to feeder funds | (21.31) | (12.27) |
Net asset value per Redeemable Unit, beginning of period | 4,084.22 | 4,198.97 |
Net asset value per Redeemable Unit, end of period | $ 4,130.18 | $ 4,048 |
Ratios to Average Limited Partners' Capital: | ||
Net investment income (loss) | 2.10% | 1.10% |
Operating expenses | 0.10% | 0.20% |
Total return | 1.60% | (3.30%) |
Class A [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Redeemable Unit, beginning of period | $ 1,313.04 | |
Net asset value per Redeemable Unit, end of period | 1,318.94 | |
Class A [Member] | Limited Partners [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | 14.80 | $ (49.54) |
Net investment income (loss) | (8.90) | (12.63) |
Increase (decrease) for the period | 5.90 | (62.17) |
Net asset value per Redeemable Unit, beginning of period | 1,313.04 | 1,394.29 |
Net asset value per Redeemable Unit, end of period | $ 1,318.94 | $ 1,332.12 |
Ratios to Average Limited Partners' Capital: | ||
Net investment income (loss) | (2.80%) | (3.70%) |
Operating expenses | 5.00% | 5.10% |
Incentive fees | 0.00% | |
Total expenses | 5.00% | 5.10% |
Total return: | ||
Total return before incentive fees | 0.40% | (4.50%) |
Incentive fees | 0.00% | |
Total return after incentive fees | 0.40% | (4.50%) |
Class D [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Redeemable Unit, beginning of period | $ 1,281.77 | |
Net asset value per Redeemable Unit, end of period | 1,291.57 | |
Class D [Member] | Limited Partners [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | 14.53 | $ (47.91) |
Net investment income (loss) | (4.73) | (8) |
Increase (decrease) for the period | 9.80 | (55.91) |
Net asset value per Redeemable Unit, beginning of period | 1,281.77 | 1,344.14 |
Net asset value per Redeemable Unit, end of period | $ 1,291.57 | $ 1,288.23 |
Ratios to Average Limited Partners' Capital: | ||
Net investment income (loss) | (1.50%) | (2.40%) |
Operating expenses | 3.70% | 3.70% |
Incentive fees | 0.00% | |
Total expenses | 3.70% | 3.70% |
Total return: | ||
Total return before incentive fees | 0.80% | (4.20%) |
Incentive fees | 0.00% | |
Total return after incentive fees | 0.80% | (4.20%) |
Class Z [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Redeemable Unit, beginning of period | $ 1,330.76 | |
Net asset value per Redeemable Unit, end of period | 1,343.45 | |
Class Z [Member] | Limited Partners [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | 15.13 | $ (49.11) |
Net investment income (loss) | (2.44) | (6) |
Increase (decrease) for the period | 12.69 | (55.11) |
Net asset value per Redeemable Unit, beginning of period | 1,330.76 | 1,385.07 |
Net asset value per Redeemable Unit, end of period | $ 1,343.45 | $ 1,329.96 |
Ratios to Average Limited Partners' Capital: | ||
Net investment income (loss) | (0.70%) | (1.70%) |
Operating expenses | 2.90% | 3.00% |
Incentive fees | 0.00% | |
Total expenses | 2.90% | 3.00% |
Total return: | ||
Total return before incentive fees | 1.00% | (4.00%) |
Incentive fees | 0.00% | |
Total return after incentive fees | 1.00% | (4.00%) |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) | 3 Months Ended | |
Mar. 31, 2019USD ($)Contract | Mar. 31, 2018USD ($)Contract | |
Trading Activity, Gains and Losses, Net [Line Items] | ||
Monthly average number of futures contracts traded | 15,907 | 20,523 |
Monthly average number of metals forward contracts traded | 1,645 | 2,242 |
Forward Contracts [Member] | Currencies [Member] | Weighted Average [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average notional values of currency forward contracts | $ | $ 197,176,705 | $ 436,728,273 |
Trading Activities - Summary of
Trading Activities - Summary of Valuation of Master's Investments (Detail) - CMF Winton Master L.P. [Member] - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 15,913,757 | $ 15,277,471 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (6,739,954) | (15,035,809) |
Amounts Presented in the Statements of Financial Condition, Assets | 9,173,803 | 241,662 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 9,173,803 | 241,662 |
Gross Amounts Recognized, Liabilities | (7,534,341) | (23,516,972) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 6,739,954 | 15,035,809 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (794,387) | (8,481,163) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 792,729 | 8,481,163 |
Net Amount, Liabilities | (1,658) | 0 |
Net fair value | 9,172,145 | 241,662 |
MS&Co. [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 14,900,724 | 14,222,035 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (5,726,921) | (14,222,035) |
Amounts Presented in the Statements of Financial Condition, Assets | 9,173,803 | 0 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 9,173,803 | 0 |
Gross Amounts Recognized, Liabilities | (6,444,789) | (22,703,198) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 5,726,921 | 14,222,035 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (717,868) | (8,481,163) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 716,210 | 8,481,163 |
Net Amount, Liabilities | (1,658) | 0 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Amounts Presented in the Statements of Financial Condition, Assets | 9,173,803 | |
Amounts Presented in the Statements of Financial Condition, Liabilities | 0 | (5,670,226) |
Futures Contracts [Member] | MS&Co. [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 13,584,764 | 12,642,665 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (4,410,961) | (12,642,665) |
Amounts Presented in the Statements of Financial Condition, Assets | 9,173,803 | 0 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 9,173,803 | 0 |
Gross Amounts Recognized, Liabilities | (4,410,961) | (18,312,891) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 4,410,961 | 12,642,665 |
Amounts Presented in the Statements of Financial Condition, Liabilities | 0 | (5,670,226) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 0 | 5,670,226 |
Net Amount, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Amounts Presented in the Statements of Financial Condition, Liabilities | (794,387) | (2,569,275) |
Forward Contracts [Member] | MS&Co. [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 1,315,960 | 1,579,370 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (1,315,960) | (1,579,370) |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 0 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 0 | 0 |
Gross Amounts Recognized, Liabilities | (2,033,828) | (4,390,307) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 1,315,960 | 1,579,370 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (717,868) | (2,810,937) |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 716,210 | 2,810,937 |
Net Amount, Liabilities | (1,658) | 0 |
Forward Contracts [Member] | JPMorgan [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 1,013,033 | 1,055,436 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (1,013,033) | (813,774) |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 241,662 |
Financial Instruments, Assets | 0 | 0 |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 0 | 241,662 |
Gross Amounts Recognized, Liabilities | (1,089,552) | (813,774) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 1,013,033 | 813,774 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (76,519) | 0 |
Financial Instruments, Liabilities | 0 | 0 |
Cash Collateral Received/Pledged, Liabilities | 76,519 | 0 |
Net Amount, Liabilities | $ 0 | $ 0 |
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 ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | $ 13,584,764 | $ 12,642,665 |
Total unrealized depreciation on open contracts | (4,410,961) | (18,312,891) |
Net unrealized appreciation (depreciation) on open contracts | 9,173,803 | (5,670,226) |
Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,372,322 | 1,121,770 |
Total unrealized depreciation on open contracts | (1,005,456) | (3,118,338) |
Futures Contracts [Member] | Energy [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 456,421 | 3,883,716 |
Total unrealized depreciation on open contracts | (872,433) | (7,727,803) |
Futures Contracts [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 3,327,131 | 763,198 |
Total unrealized depreciation on open contracts | (19,828) | (62,865) |
Futures Contracts [Member] | Indices [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,706,453 | 755,310 |
Total unrealized depreciation on open contracts | (226,202) | (1,562,651) |
Futures Contracts [Member] | Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 634,430 | 517,969 |
Total unrealized depreciation on open contracts | (312,492) | (424,414) |
Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 3,455,697 | 3,526,064 |
Total unrealized depreciation on open contracts | (931,671) | (963,044) |
Futures Contracts [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 64,752 | 198,893 |
Total unrealized depreciation on open contracts | (477,380) | (68,985) |
Futures Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,069,255 | 171,670 |
Total unrealized depreciation on open contracts | (98,080) | (2,987,463) |
Futures Contracts [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,498,303 | 1,704,075 |
Total unrealized depreciation on open contracts | (467,419) | (1,397,328) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 2,328,993 | 2,634,806 |
Total unrealized depreciation on open contracts | (3,123,380) | (5,204,081) |
Net unrealized appreciation (depreciation) on open contracts | (794,387) | (2,569,275) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,013,033 | 1,063,380 |
Total unrealized depreciation on open contracts | (1,089,552) | (813,774) |
Forward Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,315,960 | 1,571,426 |
Total unrealized depreciation on open contracts | $ (2,033,828) | $ (4,390,307) |
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 | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Derivative [Line Items] | ||
Trading gains and losses | $ 3,237,333 | $ (11,736,511) |
Currencies [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 1,028,205 | (4,786,268) |
Energy [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | (6,833,697) | (1,322,683) |
Grains [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 3,420,567 | (3,071,831) |
Indices [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 3,567,356 | (1,050,723) |
Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 237,116 | (874,210) |
Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 3,319,930 | 1,765,428 |
Livestock [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | (983,460) | (212,688) |
Metals [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | (1,176,605) | (3,730,620) |
Softs [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | $ 657,921 | $ 1,547,084 |
Fair Value Measurements - Maste
Fair Value Measurements - Master's Fair Value Measurements (Detail) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | $ 15,913,757 | $ 15,277,471 |
Derivative Liabilities | 7,534,341 | 23,516,972 |
Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 13,584,764 | 12,642,665 |
Derivative Liabilities | 4,410,961 | 18,312,891 |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 2,328,993 | 2,634,806 |
Derivative Liabilities | 3,123,380 | 5,204,081 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 13,584,764 | 12,642,665 |
Derivative Liabilities | 4,410,961 | 18,312,891 |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 13,584,764 | 12,642,665 |
Derivative Liabilities | 4,410,961 | 18,312,891 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 2,328,993 | 2,634,806 |
Derivative Liabilities | 3,123,380 | 5,204,081 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 2,328,993 | 2,634,806 |
Derivative Liabilities | $ 3,123,380 | $ 5,204,081 |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2019 | |
Financial instruments maturity period | 1 year |
Credit Concentration Risk [Member] | Master's Contracts [Member] | Over the Counter [Member] | Minimum [Member] | |
Concentration risk percentage | 19.70% |
Credit Concentration Risk [Member] | Master's Contracts [Member] | Over the Counter [Member] | Maximum [Member] | |
Concentration risk percentage | 32.40% |