Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2020 | Apr. 30, 2020 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2020 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | CERES ABINGDON L.P. | |
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 | |
Entity Current Reporting Status | Yes | |
Entity Shell Company | false | |
Entity Interactive Data Current | Yes | |
Entity Address, State or Province | NY | |
Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 79,271.3757 | |
Class D [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 4,532.8096 | |
Class Z [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 187.2652 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||
Investment in the Master(1) , at fair value | [1] | $ 99,434,279 | $ 128,504,409 |
Redemptions receivable from the Master | 10,512,733 | 1,274,473 | |
Cash at MS&Co. | 327,629 | 340,290 | |
Total assets | 110,274,641 | 130,119,172 | |
Accrued expenses: | |||
Ongoing selling agent fees | 175,926 | 207,853 | |
Management fees | 137,325 | 162,062 | |
General Partner fees | 91,550 | 108,041 | |
Professional fees | 238,588 | 261,695 | |
Redemptions payable to Limited Partners | 10,083,308 | 761,466 | |
Total liabilities | 10,726,697 | 1,501,117 | |
Partners' Capital: | |||
Total partners' capital (net asset value) | 99,547,944 | 128,618,055 | |
Total liabilities and partners' capital | $ 110,274,641 | 130,119,172 | |
Net asset value per Redeemable Unit | $ 3,689.80 | ||
Class A [Member] | |||
Partners' Capital: | |||
Limited Partners | $ 92,928,850 | 121,031,295 | |
Total partners' capital (net asset value) | $ 92,928,850 | $ 121,031,295 | |
Net asset value per Redeemable Unit | $ 1,140.38 | $ 1,311.75 | |
Class D [Member] | |||
Partners' Capital: | |||
Limited Partners | $ 5,125,690 | $ 5,877,521 | |
Total partners' capital (net asset value) | $ 5,125,690 | $ 5,877,521 | |
Net asset value per Redeemable Unit | $ 1,130.80 | $ 1,296.66 | |
Class Z [Member] | |||
Partners' Capital: | |||
General Partner | $ 1,271,477 | $ 1,455,237 | |
Limited Partners | 221,927 | 254,002 | |
Total partners' capital (net asset value) | $ 1,493,404 | $ 1,709,239 | |
Net asset value per Redeemable Unit | $ 1,185.10 | $ 1,356.37 | |
[1] | Defined in Note 1. |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - shares | Mar. 31, 2020 | Dec. 31, 2019 |
Class A [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 81,489.7247 | 92,267.0207 |
Class D [Member] | ||
Limited Partners capital, Redeemable Units outstanding | 4,532.8096 | 4,532.8096 |
Class Z [Member] | ||
General Partner capital, Redeemable Units outstanding | 1,072.8890 | 1,072.8890 |
Limited Partners capital, Redeemable Units outstanding | 187.2652 | 187.2652 |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | ||
Investment Income: | |||
Interest income allocated from the Master | $ 332,981 | $ 968,047 | |
Expenses: | |||
Expenses allocated from the Master | 88,430 | 57,373 | |
Ongoing selling agent fees | 571,623 | 805,200 | |
Management fees | 446,038 | 668,839 | |
General Partner fees | 297,359 | 445,893 | |
Professional fees | 83,914 | 123,572 | |
Total expenses | 1,487,364 | 2,100,877 | |
Net investment loss | (1,154,383) | (1,132,830) | |
Net gains (losses) on investment in the Master: | |||
Net realized gains (losses) on closed contracts allocated from the Master | (18,550,738) | (7,142,077) | |
Net change in unrealized gains (losses) on open contracts allocated from the Master | 3,160,971 | 9,046,250 | |
Total trading results | (15,389,767) | 1,904,173 | |
Net income (loss) | (16,544,150) | 771,343 | |
Class A [Member] | |||
Net gains (losses) on investment in the Master: | |||
Net income (loss) | $ (15,576,484) | $ 561,827 | |
Net income (loss) per Redeemable Unit | [1] | $ (171.37) | $ 5.90 |
Weighted average Redeemable Units outstanding | 91,303.3837 | 117,014.6150 | |
Class D [Member] | |||
Net gains (losses) on investment in the Master: | |||
Net income (loss) | $ (751,831) | $ 175,586 | |
Net income (loss) per Redeemable Unit | [1] | $ (165.86) | $ 9.80 |
Weighted average Redeemable Units outstanding | 4,532.8096 | 17,913.2276 | |
Class Z [Member] | |||
Net gains (losses) on investment in the Master: | |||
Net income (loss) | $ (215,835) | $ 33,930 | |
Net income (loss) per Redeemable Unit | [1] | $ (171.27) | $ 12.69 |
Weighted average Redeemable Units outstanding | 1,260.1542 | 2,672.3182 | |
[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] | Class A [Member] | Class A [Member]Limited Partners [Member] | Class D [Member] | Class Z [Member] |
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 | ||||
Subscriptions, Redeemable Units | 156.1940 | 156.1940 | ||||
Redemptions, value | $ (9,962,378) | $ (9,962,378) | ||||
Redemptions, Redeemable Units | (7,665.7400) | (7,665.7400) | ||||
Net income (loss) | $ 771,343 | $ 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 | ||
Balance, value at Dec. 31, 2019 | $ 128,618,055 | $ 121,031,295 | $ 5,877,521 | $ 1,709,239 | ||
Balance, Redeemable Units at Dec. 31, 2019 | 98,059.9845 | 92,267.0207 | 4,532.8096 | 1,260.1542 | ||
Redemptions, value | $ (12,525,961) | $ (12,525,961) | ||||
Redemptions, Redeemable Units | (10,777.2960) | (10,777.2960) | ||||
Net income (loss) | $ (16,544,150) | $ (15,576,484) | $ (751,831) | $ (215,835) | ||
Balance, value at Mar. 31, 2020 | $ 99,547,944 | $ 92,928,850 | $ 5,125,690 | $ 1,493,404 | ||
Balance, Redeemable Units at Mar. 31, 2020 | 87,282.6885 | 81,489.7247 | 4,532.8096 | 1,260.1542 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2020 | |
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. 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, 2020, all trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”). During the reporting periods ended March 31, 2020 and 2019, 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. 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), 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 limited partners as a result of the investment in the Master are approximately the same as if the Partnership traded directly, and redemption rights are not affected. The General Partner and the Advisor agreed that the Advisor will trade the Partnership’s assets allocated to the Advisor at a level that is up to 1.5 times the amount of assets allocated. The amount of leverage may be increased or decreased in the future. 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 had 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, 2020. 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. Management fees, ongoing selling agent fees, the General Partner fee and incentive fees are charged at the Partnership level. Clearing fees are borne by the Master and allocated to the Partnerships’ limited partners. Professional fees are borne by the Master and allocated to the Partnership. At March 31, 2020 and December 31, 2019, the Partnership owned approximately 70.4% and 62.5%, 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. 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, 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. The General Partner has 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, 2020 | |
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, 2020, and the results of its operations and the changes in partners’ capital for the three months ended March 31, 2020 and 2019. 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 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, 2020 and December 31, 2019 and Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2020 and 2019 are presented below: CMF Winton Master L.P. Statements of Financial Condition March 31, 2020 December 31, 2019 Assets: Equity in trading accounts: Unrestricted cash $ 149,902,541 $ 182,012,280 Restricted cash 17,468,285 32,343,512 Net unrealized appreciation on open futures contracts 1,233,844 - Net unrealized appreciation on open forward contracts 444,797 - Total equity in trading accounts 169,049,467 214,355,792 Total assets $ 169,049,467 $ 214,355,792 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open futures contracts $ - $ 869,229 Net unrealized depreciation on open forward contracts - 2,050,966 Accrued expenses: Professional fees 66,180 59,679 Redemptions payable 27,747,627 5,973,309 Total liabilities 27,813,807 8,953,183 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at March 31, 2020 and December 31, 2019 - - Limited Partners, 38,277.3364 and 48,847.3360 Redeemable Units outstanding at March 31, 2020 and December 31, 2019, respectively 141,235,660 205,402,609 Total partners’ capital (net asset value) 141,235,660 205,402,609 Total liabilities and partners’ capital $ 169,049,467 $ 214,355,792 Net asset value per Redeemable Unit $ 3,689.80 $ 4,204.99 CMF Winton Master L.P. Condensed Schedule of Investments March 31, 2020 (Unaudited) Notional ($)/ Fair Value % of Partners’ Capital Futures Contracts Purchased Currencies 277 $ (357,540) (0.25) % Grains 4 517 0.00 * Indices 32 157,200 0.11 Interest Rates U.S. 143 1,124,374 0.80 Interest Rates Non-U.S. 1,384 (117,809) (0.09) Metals 113 (80,262) (0.06) Softs 169 (424,537) (0.30) Total futures contracts purchased 301,943 0.21 Futures Contracts Sold Currencies 672 590,843 0.42 Energy 454 1,155,646 0.82 Grains 663 (320,691) (0.24) Indices 216 (414,297) (0.29) Interest Rates U.S. 54 (194,117) (0.14) Interest Rates Non-U.S. 355 (102,765) (0.07) Livestock 220 256,720 0.18 Metals 128 (360,020) (0.25) Softs 356 320,582 0.23 Total futures contracts sold 931,901 0.66 Net unrealized appreciation on open futures contracts $ 1,233,844 0.87 % Unrealized Appreciation on Open Forward Contracts Currencies $ 53,810,316 $ 2,015,890 1.43 % Metals 1,150 8,517,270 6.03 Total unrealized appreciation on open forward contracts 10,533,160 7.46 Unrealized Depreciation on Open Forward Contracts Currencies $ 102,724,644 (3,982,883) (2.83) Metals 613 (6,105,480) (4.32) Total unrealized depreciation on open forward contracts (10,088,363) (7.15) Net unrealized appreciation on open forward contracts $ 444,797 0.31 % * Due to rounding. CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2019 Notional ($)/ Fair Value % of Partners’ Capital Futures Contracts Purchased Currencies 1,026 $ 816,084 0.40 % Energy 546 499,579 0.24 Grains 202 245,197 0.12 Indices 1,457 743,917 0.36 Interest Rates U.S. 452 (1,147,946) (0.56) Interest Rates Non-U.S. 1,986 (1,180,458) (0.57) Livestock 7 1,107 0.00 * Metals 795 2,077,798 1.01 Softs 325 (242,815) (0.12) Total futures contracts purchased 1,812,463 0.88 Futures Contracts Sold Currencies 1,365 (1,740,121) (0.85) Energy 759 978,732 0.48 Grains 859 (1,131,908) (0.55) Indices 292 (217,870) (0.11) Interest Rates U.S. 616 127,032 0.06 Interest Rates Non-U.S. 551 30,449 0.01 Livestock 48 (63,920) (0.03) Softs 465 (664,086) (0.31) Total futures contracts sold (2,681,692) (1.30) Net unrealized depreciation on open futures contracts $ (869,229) (0.42) % Unrealized Appreciation on Open Forward Contracts Currencies $ 83,027,986 $ 1,138,504 0.55 % Metals 430 1,781,416 0.87 Total unrealized appreciation on open forward contracts 2,919,920 1.42 Unrealized Depreciation on Open Forward Contracts Currencies $ 42,818,809 (710,829) (0.35) Metals 902 (4,260,057) (2.07) Total unrealized depreciation on open forward contracts (4,970,886) (2.42) Net unrealized depreciation on open forward contracts $ (2,050,966) (1.00) % * Due to rounding. CMF Winton Master L.P. Statements of Income and Expenses and Changes in Partners’ Capital (Unaudited) Three Months Ended March 31, 2020 2019 Investment Income: Interest income $ 526,273 $ 1,770,886 Expenses: Clearing fees 117,667 89,282 Professional fees 21,000 15,750 Total expenses 138,667 105,032 Net investment income (loss) 387,606 1,665,854 Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (28,591,076 ) (13,387,345 ) Net change in unrealized gains (losses) on open contracts 4,637,288 16,624,678 Total trading results (23,953,788 ) 3,237,333 Net income (loss) (23,566,182 ) 4,903,187 Subscriptions - Limited Partners - 932,964 Redemptions - Limited Partners (40,111,052 ) (34,865,572 ) Distribution of interest income to feeder funds (489,715 ) (1,718,739 ) Net increase (decrease) in Partners’ Capital (64,166,949 ) (30,748,160 ) Partners’ Capital, beginning of period 205,402,609 339,199,614 Partners’ Capital, end of period $ 141,235,660 $ 308,451,454 Net asset value per Redeemable Unit (38,277.3364 and 74,682.3046 Redeemable Units outstanding at March 31, 2020 and 2019, respectively) $ 3,689.80 $ 4,130.18 Net income (loss) per Redeemable Unit* $ (504.86 ) $ 67.27 Weighted average Redeemable Units outstanding 47,391.1239 80,663.7625 * 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, 2020 | |
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, 2020 and 2019 were as follows: Three Months Ended March 31, 2020 2019 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Class A Class D Class Z Class A Class D Class Z Net realized and unrealized gains (losses) $ (159.22) $ (157.63) $ (165.03) $ 14.80 $ 14.53 $ 15.13 Net investment loss (12.15) (8.23) (6.24) (8.90) (4.73) (2.44) Increase (decrease) for the period (171.37) (165.86) (171.27) 5.90 9.80 12.69 Net asset value per Redeemable Unit, beginning of period 1,311.75 1,296.66 1,356.37 1,313.04 1,281.77 1,330.76 Net asset value per Redeemable Unit, end of period $ 1,140.38 $ 1,130.80 $ 1,185.10 $ 1,318.94 $ 1,291.57 $ 1,343.45 Three Months Ended March 31, 2020 2019 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.0) % (2.7) % (1.9) % (2.8) % (1.5) % (0.7) % Operating expenses 5.2 % 3.8 % 3.0 % 5.0 % 3.7 % 2.9 % Incentive fees - % - % - % - % - % - % Total expenses 5.2 % 3.8 % 3.0 % 5.0 % 3.7 % 2.9 % Total return: Total return before incentive fees (13.1) % (12.8) % (12.6) % 0.4 % 0.8 % 1.0 % Incentive fees - % - % - % - % - % - % Total return after incentive fees (13.1) % (12.8) % (12.6) % 0.4 % 0.8 % 1.0 % * 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, 2020 2019 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ (513.04) $ 46.62 Net investment income (loss) 8.18 20.65 Increase (decrease) for the period (504.86) 67.27 Distribution of interest income to feeder funds (10.33) (21.31) Net asset value per Redeemable Unit, beginning of period 4,204.99 4,084.22 Net asset value per Redeemable Unit, end of period $ 3,689.80 $ 4,130.18 Three Months Ended March 31, 2020 2019 Ratios to Average Limited Partners’ Capital:** Net investment income (loss)*** 0.8 % 2.1 % Operating expenses 0.3 % 0.1 % Total return (12.0) % 1.6 % * 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, 2020 | |
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, 2020 and 2019 was 9,436 and 15,907, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended March 31, 2020 and 2019 was 1,548 and 1,645, respectively. The monthly average notional value of currency forward contracts traded by the Master during the three months ended March 31, 2020 and 2019 was $145,771,349 and $197,176,705, 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, 2020 and December 31, 2019, respectively. Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ Net March 31, 2020 Recognized Condition Condition Instruments Pledged* Amount Assets MS&Co. Futures $ 5,734,172 $ (4,500,328) $ 1,233,844 $ - $ - $ 1,233,844 Forwards 8,517,270 (6,105,480) 2,411,790 - - 2,411,790 14,251,442 (10,605,808) 3,645,634 - - 3,645,634 JPMorgan Forwards 2,015,890 (2,015,890) - - - - Total assets $ 16,267,332 $ (12,621,698) $ 3,645,634 $ - $ - $ 3,645,634 Liabilities MS&Co. Futures $ (4,500,328) $ 4,500,328 $ - $ - $ - $ - Forwards (6,105,480) 6,105,480 - - - - (10,605,808) 10,605,808 - - - - JPMorgan Forwards (3,982,883) 2,015,890 (1,966,993) - 1,966,993 - Total liabilities $ (14,588,691) $ 12,621,698 $ (1,966,993) $ - $ 1,966,993 $ - Net fair value $ 3,645,634 * Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ Net December 31, 2019 Recognized Condition Condition Instruments Pledged* Amount Assets MS&Co. Futures $ 6,198,249 $ (6,198,249) $ - $ - $ - $ - Forwards 1,781,416 (1,781,416) - - - - 7,979,665 (7,979,665) - - - - JPMorgan Forwards 1,138,504 (710,829) 427,675 - - 427,675 Total assets $ 9,118,169 $ (8,690,494) $ 427,675 $ - $ - $ 427,675 Liabilities MS&Co. Futures $ (7,067,478) $ 6,198,249 $ (869,229) $ - $ 869,229 $ - Forwards (4,260,057) 1,781,416 (2,478,641) - 2,478,641 - (11,327,535) 7,979,665 (3,347,870) - 3,347,870 - JPMorgan Forwards (710,829) 710,829 - - - - Total liabilities $ (12,038,364) $ 8,690,494 $ (3,347,870) $ - $ 3,347,870 $ - Net fair value $ 427,675 * * 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 Master has netting agreements with both MS&Co. and JPMorgan. The “Net unrealized appreciation on open forward contracts” and “Net unrealized depreciation on open forward contracts” as presented on the Statements of Financial Condition, as applicable, is the net of the amounts presented in the tables above for MS&Co. and JPMorgan. 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, 2020 and December 31, 2019, respectively. March 31, 2020 Assets Futures Contracts Currencies $ 1,315,677 Energy 1,222,420 Grains 201,404 Indices 168,228 Interest Rates U.S. 1,124,405 Interest Rates Non-U.S. 592,698 Livestock 398,408 Metals 155,265 Softs 555,667 Total unrealized appreciation on open futures contracts 5,734,172 Liabilities Futures Contracts Currencies (1,082,374 ) Energy (66,774 ) Grains (521,578 ) Indices (425,325 ) Interest Rates U.S. (194,148 ) Interest Rates Non-U.S. (813,272 ) Livestock (141,688 ) Metals (595,547 ) Softs (659,622 ) Total unrealized depreciation on open futures contracts (4,500,328 ) Net unrealized appreciation on open futures contracts $ 1,233,844 * Assets Forward Contracts Currencies $ 2,015,890 Metals 8,517,270 Total unrealized appreciation on open forward contracts 10,533,160 Liabilities Forward Contracts Currencies (3,982,883 ) Metals (6,105,480 ) Total unrealized depreciation on open forward contracts (10,088,363 ) Net unrealized appreciation on open forward contracts $ 444,797 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Master’s Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Master’s Statements of Financial Condition. December 31, 2019 Assets Futures Contracts Currencies $ 882,389 Energy 1,610,681 Grains 248,161 Indices 1,039,584 Interest Rates U.S. 133,188 Interest Rates Non-U.S. 119,694 Livestock 2,270 Metals 2,107,650 Softs 54,632 Total unrealized appreciation on open futures contracts 6,198,249 Liabilities Futures Contracts Currencies (1,806,426 ) Energy (132,370 ) Grains (1,134,872 ) Indices (513,537 ) Interest Rates U.S. (1,154,102 ) Interest Rates Non-U.S. (1,269,703 ) Livestock (65,083 ) Metals (29,852 ) Softs (961,533 ) Total unrealized depreciation on open futures contracts (7,067,478 ) Net unrealized depreciation on open futures contracts $ (869,229 ) * Assets Forward Contracts Currencies $ 1,138,504 Metals 1,781,416 Total unrealized appreciation on open forward contracts 2,919,920 Liabilities Forward Contracts Currencies (710,829 ) Metals (4,260,057 ) Total unrealized depreciation on open forward contracts (4,970,886 ) Net unrealized depreciation on open forward contracts $ (2,050,966 ) ** * 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, 2020 and 2019, respectively. Three Months Ended March 31, 2020 2019 Sector Currencies $ (6,706,169 ) $ 1,028,205 Energy (3,803,142 ) (6,833,697 ) Grains 493,619 3,420,567 Indices (17,414,130 ) 3,567,356 Interest Rates U.S. 3,986,866 237,116 Interest Rates Non-U.S. (736,133 ) 3,319,930 Livestock 1,236,615 (983,460 ) Metals 1,055,222 (1,176,605 ) Softs (2,066,536 ) 657,921 Total $ (23,953,788 ) *** $ 3,237,333 *** *** 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, 2020 | |
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, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 5,734,172 $ 5,734,172 $ - $ - Forwards 10,533,160 - 10,533,160 - Total assets $ 16,267,332 $ 5,734,172 $ 10,533,160 $ - Liabilities Futures $ 4,500,328 $ 4,500,328 $ - $ - Forwards 10,088,363 - 10,088,363 - Total liabilities $ 14,588,691 $ 4,500,328 $ 10,088,363 $ - December 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 6,198,249 $ 6,198,249 $ - $ - Forwards 2,919,920 - 2,919,920 - Total assets $ 9,118,169 $ 6,198,249 $ 2,919,920 $ - Liabilities Futures $ 7,067,478 $ 7,067,478 $ - $ - Forwards 4,970,886 - 4,970,886 - Total liabilities $ 12,038,364 $ 7,067,478 $ 4,970,886 $ - |
Financial Instrument Risks
Financial Instrument Risks | 3 Months Ended |
Mar. 31, 2020 | |
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 over-the-counter Futures Contracts Forward Foreign Currency Contracts London Metal Exchange Forward Contracts 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., MS&Co. affiliates and/or JPMorgan are or were 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 General Partner considers the risk of any future obligation relating to these indemnifications to be remote. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2020 | |
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, 2020 | |
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, 2020 | |
Statements of Financial Condition | CMF Winton Master L.P. Statements of Financial Condition March 31, 2020 December 31, 2019 Assets: Equity in trading accounts: Unrestricted cash $ 149,902,541 $ 182,012,280 Restricted cash 17,468,285 32,343,512 Net unrealized appreciation on open futures contracts 1,233,844 - Net unrealized appreciation on open forward contracts 444,797 - Total equity in trading accounts 169,049,467 214,355,792 Total assets $ 169,049,467 $ 214,355,792 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open futures contracts $ - $ 869,229 Net unrealized depreciation on open forward contracts - 2,050,966 Accrued expenses: Professional fees 66,180 59,679 Redemptions payable 27,747,627 5,973,309 Total liabilities 27,813,807 8,953,183 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at March 31, 2020 and December 31, 2019 - - Limited Partners, 38,277.3364 and 48,847.3360 Redeemable Units outstanding at March 31, 2020 and December 31, 2019, respectively 141,235,660 205,402,609 Total partners’ capital (net asset value) 141,235,660 205,402,609 Total liabilities and partners’ capital $ 169,049,467 $ 214,355,792 Net asset value per Redeemable Unit $ 3,689.80 $ 4,204.99 |
Condensed Schedule of Investments | CMF Winton Master L.P. Condensed Schedule of Investments March 31, 2020 (Unaudited) Notional ($)/ Fair Value % of Partners’ Capital Futures Contracts Purchased Currencies 277 $ (357,540) (0.25) % Grains 4 517 0.00 * Indices 32 157,200 0.11 Interest Rates U.S. 143 1,124,374 0.80 Interest Rates Non-U.S. 1,384 (117,809) (0.09) Metals 113 (80,262) (0.06) Softs 169 (424,537) (0.30) Total futures contracts purchased 301,943 0.21 Futures Contracts Sold Currencies 672 590,843 0.42 Energy 454 1,155,646 0.82 Grains 663 (320,691) (0.24) Indices 216 (414,297) (0.29) Interest Rates U.S. 54 (194,117) (0.14) Interest Rates Non-U.S. 355 (102,765) (0.07) Livestock 220 256,720 0.18 Metals 128 (360,020) (0.25) Softs 356 320,582 0.23 Total futures contracts sold 931,901 0.66 Net unrealized appreciation on open futures contracts $ 1,233,844 0.87 % Unrealized Appreciation on Open Forward Contracts Currencies $ 53,810,316 $ 2,015,890 1.43 % Metals 1,150 8,517,270 6.03 Total unrealized appreciation on open forward contracts 10,533,160 7.46 Unrealized Depreciation on Open Forward Contracts Currencies $ 102,724,644 (3,982,883) (2.83) Metals 613 (6,105,480) (4.32) Total unrealized depreciation on open forward contracts (10,088,363) (7.15) Net unrealized appreciation on open forward contracts $ 444,797 0.31 % * Due to rounding. CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2019 Notional ($)/ Fair Value % of Partners’ Capital Futures Contracts Purchased Currencies 1,026 $ 816,084 0.40 % Energy 546 499,579 0.24 Grains 202 245,197 0.12 Indices 1,457 743,917 0.36 Interest Rates U.S. 452 (1,147,946) (0.56) Interest Rates Non-U.S. 1,986 (1,180,458) (0.57) Livestock 7 1,107 0.00 * Metals 795 2,077,798 1.01 Softs 325 (242,815) (0.12) Total futures contracts purchased 1,812,463 0.88 Futures Contracts Sold Currencies 1,365 (1,740,121) (0.85) Energy 759 978,732 0.48 Grains 859 (1,131,908) (0.55) Indices 292 (217,870) (0.11) Interest Rates U.S. 616 127,032 0.06 Interest Rates Non-U.S. 551 30,449 0.01 Livestock 48 (63,920) (0.03) Softs 465 (664,086) (0.31) Total futures contracts sold (2,681,692) (1.30) Net unrealized depreciation on open futures contracts $ (869,229) (0.42) % Unrealized Appreciation on Open Forward Contracts Currencies $ 83,027,986 $ 1,138,504 0.55 % Metals 430 1,781,416 0.87 Total unrealized appreciation on open forward contracts 2,919,920 1.42 Unrealized Depreciation on Open Forward Contracts Currencies $ 42,818,809 (710,829) (0.35) Metals 902 (4,260,057) (2.07) Total unrealized depreciation on open forward contracts (4,970,886) (2.42) Net unrealized depreciation on open forward contracts $ (2,050,966) (1.00) % |
Statements of Income and Expenses and Changes in Partners' Capital | CMF Winton Master L.P. Statements of Income and Expenses and Changes in Partners’ Capital (Unaudited) Three Months Ended March 31, 2020 2019 Investment Income: Interest income $ 526,273 $ 1,770,886 Expenses: Clearing fees 117,667 89,282 Professional fees 21,000 15,750 Total expenses 138,667 105,032 Net investment income (loss) 387,606 1,665,854 Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (28,591,076 ) (13,387,345 ) Net change in unrealized gains (losses) on open contracts 4,637,288 16,624,678 Total trading results (23,953,788 ) 3,237,333 Net income (loss) (23,566,182 ) 4,903,187 Subscriptions - Limited Partners - 932,964 Redemptions - Limited Partners (40,111,052 ) (34,865,572 ) Distribution of interest income to feeder funds (489,715 ) (1,718,739 ) Net increase (decrease) in Partners’ Capital (64,166,949 ) (30,748,160 ) Partners’ Capital, beginning of period 205,402,609 339,199,614 Partners’ Capital, end of period $ 141,235,660 $ 308,451,454 Net asset value per Redeemable Unit (38,277.3364 and 74,682.3046 Redeemable Units outstanding at March 31, 2020 and 2019, respectively) $ 3,689.80 $ 4,130.18 Net income (loss) per Redeemable Unit* $ (504.86 ) $ 67.27 Weighted average Redeemable Units outstanding 47,391.1239 80,663.7625 * 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, 2020 | |
Financial Highlights | Financial highlights for the limited partner classes as a whole for the three months ended March 31, 2020 and 2019 were as follows: Three Months Ended March 31, 2020 2019 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Class A Class D Class Z Class A Class D Class Z Net realized and unrealized gains (losses) $ (159.22) $ (157.63) $ (165.03) $ 14.80 $ 14.53 $ 15.13 Net investment loss (12.15) (8.23) (6.24) (8.90) (4.73) (2.44) Increase (decrease) for the period (171.37) (165.86) (171.27) 5.90 9.80 12.69 Net asset value per Redeemable Unit, beginning of period 1,311.75 1,296.66 1,356.37 1,313.04 1,281.77 1,330.76 Net asset value per Redeemable Unit, end of period $ 1,140.38 $ 1,130.80 $ 1,185.10 $ 1,318.94 $ 1,291.57 $ 1,343.45 Three Months Ended March 31, 2020 2019 Class A Class D Class Z Class A Class D Class Z Ratios to Average Limited Partners’ Capital:** Net investment loss*** (4.0) % (2.7) % (1.9) % (2.8) % (1.5) % (0.7) % Operating expenses 5.2 % 3.8 % 3.0 % 5.0 % 3.7 % 2.9 % Incentive fees - % - % - % - % - % - % Total expenses 5.2 % 3.8 % 3.0 % 5.0 % 3.7 % 2.9 % Total return: Total return before incentive fees (13.1) % (12.8) % (12.6) % 0.4 % 0.8 % 1.0 % Incentive fees - % - % - % - % - % - % Total return after incentive fees (13.1) % (12.8) % (12.6) % 0.4 % 0.8 % 1.0 % * 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 | 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, 2020 2019 Per Redeemable Unit Performance (for a unit outstanding throughout the period):* Net realized and unrealized gains (losses) $ (513.04) $ 46.62 Net investment income (loss) 8.18 20.65 Increase (decrease) for the period (504.86) 67.27 Distribution of interest income to feeder funds (10.33) (21.31) Net asset value per Redeemable Unit, beginning of period 4,204.99 4,084.22 Net asset value per Redeemable Unit, end of period $ 3,689.80 $ 4,130.18 Three Months Ended March 31, 2020 2019 Ratios to Average Limited Partners’ Capital:** Net investment income (loss)*** 0.8 % 2.1 % Operating expenses 0.3 % 0.1 % Total return (12.0) % 1.6 % * 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, 2020 | |
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, 2020 and December 31, 2019, respectively. Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ Net March 31, 2020 Recognized Condition Condition Instruments Pledged* Amount Assets MS&Co. Futures $ 5,734,172 $ (4,500,328) $ 1,233,844 $ - $ - $ 1,233,844 Forwards 8,517,270 (6,105,480) 2,411,790 - - 2,411,790 14,251,442 (10,605,808) 3,645,634 - - 3,645,634 JPMorgan Forwards 2,015,890 (2,015,890) - - - - Total assets $ 16,267,332 $ (12,621,698) $ 3,645,634 $ - $ - $ 3,645,634 Liabilities MS&Co. Futures $ (4,500,328) $ 4,500,328 $ - $ - $ - $ - Forwards (6,105,480) 6,105,480 - - - - (10,605,808) 10,605,808 - - - - JPMorgan Forwards (3,982,883) 2,015,890 (1,966,993) - 1,966,993 - Total liabilities $ (14,588,691) $ 12,621,698 $ (1,966,993) $ - $ 1,966,993 $ - Net fair value $ 3,645,634 * Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ Net December 31, 2019 Recognized Condition Condition Instruments Pledged* Amount Assets MS&Co. Futures $ 6,198,249 $ (6,198,249) $ - $ - $ - $ - Forwards 1,781,416 (1,781,416) - - - - 7,979,665 (7,979,665) - - - - JPMorgan Forwards 1,138,504 (710,829) 427,675 - - 427,675 Total assets $ 9,118,169 $ (8,690,494) $ 427,675 $ - $ - $ 427,675 Liabilities MS&Co. Futures $ (7,067,478) $ 6,198,249 $ (869,229) $ - $ 869,229 $ - Forwards (4,260,057) 1,781,416 (2,478,641) - 2,478,641 - (11,327,535) 7,979,665 (3,347,870) - 3,347,870 - JPMorgan Forwards (710,829) 710,829 - - - - Total liabilities $ (12,038,364) $ 8,690,494 $ (3,347,870) $ - $ 3,347,870 $ - Net fair value $ 427,675 * * 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, 2020 and December 31, 2019, respectively. March 31, 2020 Assets Futures Contracts Currencies $ 1,315,677 Energy 1,222,420 Grains 201,404 Indices 168,228 Interest Rates U.S. 1,124,405 Interest Rates Non-U.S. 592,698 Livestock 398,408 Metals 155,265 Softs 555,667 Total unrealized appreciation on open futures contracts 5,734,172 Liabilities Futures Contracts Currencies (1,082,374 ) Energy (66,774 ) Grains (521,578 ) Indices (425,325 ) Interest Rates U.S. (194,148 ) Interest Rates Non-U.S. (813,272 ) Livestock (141,688 ) Metals (595,547 ) Softs (659,622 ) Total unrealized depreciation on open futures contracts (4,500,328 ) Net unrealized appreciation on open futures contracts $ 1,233,844 * Assets Forward Contracts Currencies $ 2,015,890 Metals 8,517,270 Total unrealized appreciation on open forward contracts 10,533,160 Liabilities Forward Contracts Currencies (3,982,883 ) Metals (6,105,480 ) Total unrealized depreciation on open forward contracts (10,088,363 ) Net unrealized appreciation on open forward contracts $ 444,797 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Master’s Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Master’s Statements of Financial Condition. December 31, 2019 Assets Futures Contracts Currencies $ 882,389 Energy 1,610,681 Grains 248,161 Indices 1,039,584 Interest Rates U.S. 133,188 Interest Rates Non-U.S. 119,694 Livestock 2,270 Metals 2,107,650 Softs 54,632 Total unrealized appreciation on open futures contracts 6,198,249 Liabilities Futures Contracts Currencies (1,806,426 ) Energy (132,370 ) Grains (1,134,872 ) Indices (513,537 ) Interest Rates U.S. (1,154,102 ) Interest Rates Non-U.S. (1,269,703 ) Livestock (65,083 ) Metals (29,852 ) Softs (961,533 ) Total unrealized depreciation on open futures contracts (7,067,478 ) Net unrealized depreciation on open futures contracts $ (869,229 ) * Assets Forward Contracts Currencies $ 1,138,504 Metals 1,781,416 Total unrealized appreciation on open forward contracts 2,919,920 Liabilities Forward Contracts Currencies (710,829 ) Metals (4,260,057 ) Total unrealized depreciation on open forward contracts (4,970,886 ) Net unrealized depreciation on open forward contracts $ (2,050,966 ) ** * 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, 2020 and 2019, respectively. Three Months Ended March 31, 2020 2019 Sector Currencies $ (6,706,169 ) $ 1,028,205 Energy (3,803,142 ) (6,833,697 ) Grains 493,619 3,420,567 Indices (17,414,130 ) 3,567,356 Interest Rates U.S. 3,986,866 237,116 Interest Rates Non-U.S. (736,133 ) 3,319,930 Livestock 1,236,615 (983,460 ) Metals 1,055,222 (1,176,605 ) Softs (2,066,536 ) 657,921 Total $ (23,953,788 ) *** $ 3,237,333 *** *** 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, 2020 | |
CMF Winton Master L.P. [Member] | |
Master's Fair Value Measurements | March 31, 2020 Total Level 1 Level 2 Level 3 Assets Futures $ 5,734,172 $ 5,734,172 $ - $ - Forwards 10,533,160 - 10,533,160 - Total assets $ 16,267,332 $ 5,734,172 $ 10,533,160 $ - Liabilities Futures $ 4,500,328 $ 4,500,328 $ - $ - Forwards 10,088,363 - 10,088,363 - Total liabilities $ 14,588,691 $ 4,500,328 $ 10,088,363 $ - December 31, 2019 Total Level 1 Level 2 Level 3 Assets Futures $ 6,198,249 $ 6,198,249 $ - $ - Forwards 2,919,920 - 2,919,920 - Total assets $ 9,118,169 $ 6,198,249 $ 2,919,920 $ - Liabilities Futures $ 7,067,478 $ 7,067,478 $ - $ - Forwards 4,970,886 - 4,970,886 - Total liabilities $ 12,038,364 $ 7,067,478 $ 4,970,886 $ - |
Organization - Additional Infor
Organization - Additional Information (Detail) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
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 | 70.40% | 62.50% |
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, 2020 | Dec. 31, 2019 | |
Accounting Policies [Abstract] | ||
Cash denominated in foreign currencies | $ 4,150,692 | $ 5,683,449 |
Cost of foreign currencies | 4,009,487 | 5,580,696 |
Cash held for margin requirements | 17,468,285 | $ 32,343,512 |
Uncertain tax position | $ 0 | |
Open tax year | 2016 2017 2018 2019 |
Basis of Presentation and Sum_5
Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Equity in trading accounts: | ||||
Restricted cash | $ 17,468,285 | $ 32,343,512 | ||
Total assets | 110,274,641 | 130,119,172 | ||
Accrued expenses: | ||||
Professional fees | 238,588 | 261,695 | ||
Total liabilities | 10,726,697 | 1,501,117 | ||
Partners' Capital: | ||||
Total partners' capital (net asset value) | 99,547,944 | 128,618,055 | $ 174,126,924 | $ 183,117,959 |
Total liabilities and partners' capital | $ 110,274,641 | 130,119,172 | ||
Net asset value per Redeemable Unit | $ 3,689.80 | $ 4,130.18 | ||
CMF Winton Master L.P. [Member] | ||||
Equity in trading accounts: | ||||
Unrestricted cash | $ 149,902,541 | 182,012,280 | ||
Restricted cash | 17,468,285 | 32,343,512 | ||
Net unrealized appreciation on open contracts | 3,645,634 | 427,675 | ||
Total equity in trading accounts | 169,049,467 | 214,355,792 | ||
Total assets | 169,049,467 | 214,355,792 | ||
Liabilities: | ||||
Net unrealized depreciation on open contracts | 1,966,993 | 3,347,870 | ||
Accrued expenses: | ||||
Professional fees | 66,180 | 59,679 | ||
Redemptions payable | 27,747,627 | 5,973,309 | ||
Total liabilities | 27,813,807 | 8,953,183 | ||
Partners' Capital: | ||||
Limited Partners, 38,277.3364 and 48,847.3360 Redeemable Units outstanding at March 31, 2020 and December 31, 2019, respectively | 141,235,660 | 205,402,609 | ||
Total partners' capital (net asset value) | 141,235,660 | 205,402,609 | $ 308,451,454 | $ 339,199,614 |
Total liabilities and partners' capital | $ 169,049,467 | $ 214,355,792 | ||
Net asset value per Redeemable Unit | $ 3,689.80 | $ 4,204.99 | $ 4,130.18 | $ 4,084.22 |
Future Contracts [Member] | CMF Winton Master L.P. [Member] | ||||
Equity in trading accounts: | ||||
Net unrealized appreciation on open contracts | $ 1,233,844 | |||
Liabilities: | ||||
Net unrealized depreciation on open contracts | $ 869,229 | |||
Forward Contracts [Member] | CMF Winton Master L.P. [Member] | ||||
Equity in trading accounts: | ||||
Net unrealized appreciation on open contracts | $ 444,797 | |||
Liabilities: | ||||
Net unrealized depreciation on open contracts | $ 2,050,966 |
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, 2020 | Dec. 31, 2019 |
Condensed Financial Statements, Captions [Line Items] | ||
General Partner, Unit outstanding | 0 | 0 |
Limited Partners, Units outstanding | 38,277.3364 | 48,847.3360 |
Basis of Presentation and Sum_7
Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedule of Investments (Detail) | Mar. 31, 2020USD ($)Derivative | Dec. 31, 2019USD ($)Derivative | ||
Schedule of Investments [Line Items] | ||||
Investment in Master, at fair value | [1] | $ 99,434,279 | $ 128,504,409 | |
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized appreciation (depreciation) on open contracts | $ 444,797 | $ (2,050,966) | ||
Percentage of Partners' Capital | 0.31% | (1.00%) | ||
Total unrealized appreciation on open contracts | $ 10,533,160 | $ 2,919,920 | ||
Total unrealized depreciation on open contracts | (10,088,363) | (4,970,886) | ||
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Notional | 53,810,316 | 83,027,986 | ||
Total unrealized appreciation on open contracts | 2,015,890 | 1,138,504 | ||
Notional | 102,724,644 | 42,818,809 | ||
Total unrealized depreciation on open contracts | (3,982,883) | (710,829) | ||
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 8,517,270 | 1,781,416 | ||
Total unrealized depreciation on open contracts | $ (6,105,480) | $ (4,260,057) | ||
CMF Winton Master L.P. [Member] | Unrealized Depreciation [Member] | Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Percentage of Partners' Capital | (7.15%) | (2.42%) | ||
CMF Winton Master L.P. [Member] | Unrealized Depreciation [Member] | Forward Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Percentage of Partners' Capital | (2.83%) | (0.35%) | ||
CMF Winton Master L.P. [Member] | Unrealized Depreciation [Member] | Forward Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 613 | 902 | ||
Percentage of Partners' Capital | (4.32%) | (2.07%) | ||
CMF Winton Master L.P. [Member] | Unrealized Appreciation [Member] | Forward Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Percentage of Partners' Capital | 7.46% | 1.42% | ||
CMF Winton Master L.P. [Member] | Unrealized Appreciation [Member] | Forward Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Percentage of Partners' Capital | 1.43% | 0.55% | ||
CMF Winton Master L.P. [Member] | Unrealized Appreciation [Member] | Forward Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 1,150 | 430 | ||
Percentage of Partners' Capital | 6.03% | 0.87% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Net unrealized appreciation (depreciation) on open contracts | $ 1,233,844 | $ (869,229) | ||
Percentage of Partners' Capital | 0.87% | (0.42%) | ||
Total unrealized appreciation on open contracts | $ 5,734,172 | $ 6,198,249 | ||
Total unrealized depreciation on open contracts | (4,500,328) | (7,067,478) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 1,315,677 | 882,389 | ||
Total unrealized depreciation on open contracts | (1,082,374) | (1,806,426) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Energy [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 1,222,420 | 1,610,681 | ||
Total unrealized depreciation on open contracts | (66,774) | (132,370) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Grains [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 201,404 | 248,161 | ||
Total unrealized depreciation on open contracts | (521,578) | (1,134,872) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 168,228 | 1,039,584 | ||
Total unrealized depreciation on open contracts | (425,325) | (513,537) | ||
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 | 1,124,405 | 133,188 | ||
Total unrealized depreciation on open contracts | (194,148) | (1,154,102) | ||
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 | 592,698 | 119,694 | ||
Total unrealized depreciation on open contracts | (813,272) | (1,269,703) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Livestock [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 398,408 | 2,270 | ||
Total unrealized depreciation on open contracts | (141,688) | (65,083) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 155,265 | 2,107,650 | ||
Total unrealized depreciation on open contracts | (595,547) | (29,852) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Softs [Member] | ||||
Schedule of Investments [Line Items] | ||||
Total unrealized appreciation on open contracts | 555,667 | 54,632 | ||
Total unrealized depreciation on open contracts | (659,622) | (961,533) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment in Master, at fair value | $ 301,943 | $ 1,812,463 | ||
Percentage of Partners' Capital | 0.21% | 0.88% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 277 | 1,026 | ||
Investment in Master, at fair value | $ (357,540) | $ 816,084 | ||
Percentage of Partners' Capital | (0.25%) | 0.40% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Energy [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 454 | 546 | ||
Investment in Master, at fair value | $ 1,155,646 | $ 499,579 | ||
Percentage of Partners' Capital | 0.82% | 0.24% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Grains [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 4 | 202 | ||
Investment in Master, at fair value | $ 517 | $ 245,197 | ||
Percentage of Partners' Capital | 0.00% | [2] | 0.12% | |
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 32 | 1,457 | ||
Investment in Master, at fair value | $ 157,200 | $ 743,917 | ||
Percentage of Partners' Capital | 0.11% | 0.36% | ||
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 | 143 | 452 | ||
Investment in Master, at fair value | $ 1,124,374 | $ (1,147,946) | ||
Percentage of Partners' Capital | 0.80% | (0.56%) | ||
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 | 1,384 | 1,986 | ||
Investment in Master, at fair value | $ (117,809) | $ (1,180,458) | ||
Percentage of Partners' Capital | (0.09%) | (0.57%) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Livestock [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 7 | |||
Investment in Master, at fair value | $ 1,107 | |||
Percentage of Partners' Capital | [2] | 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 | 113 | 795 | ||
Investment in Master, at fair value | $ (80,262) | $ 2,077,798 | ||
Percentage of Partners' Capital | (0.06%) | 1.01% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Softs [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 169 | 325 | ||
Investment in Master, at fair value | $ (424,537) | $ (242,815) | ||
Percentage of Partners' Capital | (0.30%) | (0.12%) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | ||||
Schedule of Investments [Line Items] | ||||
Investment in Master, at fair value | $ 931,901 | $ (2,681,692) | ||
Percentage of Partners' Capital | 0.66% | (1.30%) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 672 | 1,365 | ||
Investment in Master, at fair value | $ 590,843 | $ (1,740,121) | ||
Percentage of Partners' Capital | 0.42% | (0.85%) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Energy [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 759 | |||
Investment in Master, at fair value | $ 978,732 | |||
Percentage of Partners' Capital | 0.48% | |||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Grains [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 663 | 859 | ||
Investment in Master, at fair value | $ (320,691) | $ (1,131,908) | ||
Percentage of Partners' Capital | (0.24%) | (0.55%) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 216 | 292 | ||
Investment in Master, at fair value | $ (414,297) | $ (217,870) | ||
Percentage of Partners' Capital | (0.29%) | (0.11%) | ||
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 | 54 | 616 | ||
Investment in Master, at fair value | $ (194,117) | $ 127,032 | ||
Percentage of Partners' Capital | (0.14%) | 0.06% | ||
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 | 355 | 551 | ||
Investment in Master, at fair value | $ (102,765) | $ 30,449 | ||
Percentage of Partners' Capital | (0.07%) | 0.01% | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Livestock [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 220 | 48 | ||
Investment in Master, at fair value | $ 256,720 | $ (63,920) | ||
Percentage of Partners' Capital | 0.18% | (0.03%) | ||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 128 | |||
Investment in Master, at fair value | $ (360,020) | |||
Percentage of Partners' Capital | (0.25%) | |||
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Softs [Member] | ||||
Schedule of Investments [Line Items] | ||||
Number of Contracts | Derivative | 356 | 465 | ||
Investment in Master, at fair value | $ 320,582 | $ (664,086) | ||
Percentage of Partners' Capital | 0.23% | (0.31%) | ||
[1] | Defined in Note 1. | |||
[2] | Due to rounding. |
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, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Investment Income: | |||||
Interest income | $ 332,981 | $ 968,047 | |||
Expenses: | |||||
Professional fees | 83,914 | 123,572 | |||
Total expenses | 1,487,364 | 2,100,877 | |||
Net investment income (loss) | (1,154,383) | (1,132,830) | |||
Net gains (losses) on trading of commodity interests: | |||||
Net change in unrealized gains (losses) on open contracts | 3,160,971 | 9,046,250 | |||
Total trading results | (15,389,767) | 1,904,173 | |||
Net income (loss) | (16,544,150) | 771,343 | |||
Balance, value | 128,618,055 | 183,117,959 | |||
Balance, value | $ 99,547,944 | $ 174,126,924 | |||
Net asset value per Redeemable Unit (38,277.3364 and 74,682.3046 Redeemable Units outstanding at March 31, 2020 and 2019, respectively) | $ 3,689.80 | $ 4,130.18 | |||
CMF Winton Master L.P. [Member] | |||||
Investment Income: | |||||
Interest income | $ 526,273 | $ 1,770,886 | |||
Expenses: | |||||
Clearing fees | 117,667 | 89,282 | |||
Professional fees | 21,000 | 15,750 | |||
Total expenses | 138,667 | 105,032 | |||
Net investment income (loss) | 387,606 | 1,665,854 | |||
Net gains (losses) on trading of commodity interests: | |||||
Net realized gains (losses) on closed contracts | (28,591,076) | (13,387,345) | |||
Net change in unrealized gains (losses) on open contracts | 4,637,288 | 16,624,678 | |||
Total trading results | (23,953,788) | 3,237,333 | |||
Net income (loss) | (23,566,182) | 4,903,187 | |||
Subscriptions - Limited Partners | 0 | 932,964 | |||
Redemptions - Limited Partners | (40,111,052) | (34,865,572) | |||
Distribution of interest income to feeder funds | (489,715) | (1,718,739) | |||
Net increase (decrease) in Partners' Capital | (64,166,949) | (30,748,160) | |||
Balance, value | 205,402,609 | 339,199,614 | |||
Balance, value | $ 141,235,660 | $ 308,451,454 | |||
Net asset value per Redeemable Unit (38,277.3364 and 74,682.3046 Redeemable Units outstanding at March 31, 2020 and 2019, respectively) | $ 3,689.80 | $ 4,130.18 | $ 4,204.99 | $ 4,084.22 | |
Net income (loss) per Redeemable Unit | [1] | $ (504.86) | $ 67.27 | ||
Weighted average Redeemable Units outstanding | 47,391.1239 | 80,663.7625 | |||
[1] | Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds. |
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, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Condensed Financial Statements, Captions [Line Items] | ||||
Net asset value per redeemable unit outstanding | 87,282.6885 | 98,059.9845 | 132,342.5505 | 139,852.0965 |
CMF Winton Master L.P. [Member] | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Net asset value per redeemable unit outstanding | 38,277.3364 | 74,682.3046 |
Financial Highlights - Financia
Financial Highlights - Financial Highlights for Limited Partner Classes (Detail) - $ / shares | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Redeemable Unit, end of period | $ 3,689.80 | $ 4,130.18 |
CMF Winton Master L.P. [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | (513.04) | 46.62 |
Net investment loss | 8.18 | 20.65 |
Increase (decrease) for the period | (504.86) | 67.27 |
Distribution of interest income to feeder funds | (10.33) | (21.31) |
Net asset value per Redeemable Unit, beginning of period | 4,204.99 | 4,084.22 |
Net asset value per Redeemable Unit, end of period | $ 3,689.80 | $ 4,130.18 |
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | 0.80% | 2.10% |
Operating expenses | 0.30% | 0.10% |
Total return | (12.00%) | 1.60% |
Class A [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Redeemable Unit, beginning of period | $ 1,311.75 | |
Net asset value per Redeemable Unit, end of period | 1,140.38 | |
Class A [Member] | Limited Partners [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | (159.22) | $ 14.80 |
Net investment loss | (12.15) | (8.90) |
Increase (decrease) for the period | (171.37) | 5.90 |
Net asset value per Redeemable Unit, beginning of period | 1,311.75 | 1,313.04 |
Net asset value per Redeemable Unit, end of period | $ 1,140.38 | $ 1,318.94 |
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (4.00%) | (2.80%) |
Operating expenses | 5.20% | 5.00% |
Incentive fees | 0.00% | 0.00% |
Total expenses | 5.20% | 5.00% |
Total return: | ||
Total return before incentive fees | (13.10%) | 0.40% |
Incentive fees | 0.00% | 0.00% |
Total return after incentive fees | (13.10%) | 0.40% |
Class D [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Redeemable Unit, beginning of period | $ 1,296.66 | |
Net asset value per Redeemable Unit, end of period | 1,130.80 | |
Class D [Member] | Limited Partners [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | (157.63) | $ 14.53 |
Net investment loss | (8.23) | (4.73) |
Increase (decrease) for the period | (165.86) | 9.80 |
Net asset value per Redeemable Unit, beginning of period | 1,296.66 | 1,281.77 |
Net asset value per Redeemable Unit, end of period | $ 1,130.80 | $ 1,291.57 |
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (2.70%) | (1.50%) |
Operating expenses | 3.80% | 3.70% |
Incentive fees | 0.00% | 0.00% |
Total expenses | 3.80% | 3.70% |
Total return: | ||
Total return before incentive fees | (12.80%) | 0.80% |
Incentive fees | 0.00% | 0.00% |
Total return after incentive fees | (12.80%) | 0.80% |
Class Z [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net asset value per Redeemable Unit, beginning of period | $ 1,356.37 | |
Net asset value per Redeemable Unit, end of period | 1,185.10 | |
Class Z [Member] | Limited Partners [Member] | ||
Per Redeemable Unit Performance (for a unit outstanding throughout the period): | ||
Net realized and unrealized gains (losses) | (165.03) | $ 15.13 |
Net investment loss | (6.24) | (2.44) |
Increase (decrease) for the period | (171.27) | 12.69 |
Net asset value per Redeemable Unit, beginning of period | 1,356.37 | 1,330.76 |
Net asset value per Redeemable Unit, end of period | $ 1,185.10 | $ 1,343.45 |
Ratios to Average Limited Partners' Capital: | ||
Net investment loss | (1.90%) | (0.70%) |
Operating expenses | 3.00% | 2.90% |
Incentive fees | 0.00% | 0.00% |
Total expenses | 3.00% | 2.90% |
Total return: | ||
Total return before incentive fees | (12.60%) | 1.00% |
Incentive fees | 0.00% | 0.00% |
Total return after incentive fees | (12.60%) | 1.00% |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) | 3 Months Ended | |
Mar. 31, 2020USD ($)Contract | Mar. 31, 2019USD ($)Contract | |
Trading Activity, Gains and Losses, Net [Line Items] | ||
Monthly average number of futures contracts traded | 9,436 | 15,907 |
Monthly average number of metals forward contracts traded | 1,548 | 1,645 |
Forward Contracts [Member] | Currencies [Member] | Weighted Average [Member] | ||
Trading Activity, Gains and Losses, Net [Line Items] | ||
Average notional values of currency forward contracts | $ | $ 145,771,349 | $ 197,176,705 |
Trading Activities - Summary of
Trading Activities - Summary of Valuation of Master's Investments (Detail) - CMF Winton Master L.P. [Member] - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 16,267,332 | $ 9,118,169 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (12,621,698) | (8,690,494) |
Amounts Presented in the Statements of Financial Condition, Assets | 3,645,634 | 427,675 |
Net Amount, Assets | 3,645,634 | 427,675 |
Gross Amounts Recognized, Liabilities | (14,588,691) | (12,038,364) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 12,621,698 | 8,690,494 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (1,966,993) | (3,347,870) |
Financial Instruments, Liabilities | 0 | |
Cash Collateral Received/Pledged, Liabilities | 1,966,993 | 3,347,870 |
Net fair value | 3,645,634 | 427,675 |
MS&Co. [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 14,251,442 | 7,979,665 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (10,605,808) | (7,979,665) |
Amounts Presented in the Statements of Financial Condition, Assets | 3,645,634 | |
Net Amount, Assets | 3,645,634 | |
Gross Amounts Recognized, Liabilities | (10,605,808) | (11,327,535) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 10,605,808 | 7,979,665 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (3,347,870) | |
Cash Collateral Received/Pledged, Liabilities | 3,347,870 | |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Amounts Presented in the Statements of Financial Condition, Assets | 1,233,844 | |
Amounts Presented in the Statements of Financial Condition, Liabilities | (869,229) | |
Futures Contracts [Member] | MS&Co. [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 5,734,172 | 6,198,249 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (4,500,328) | (6,198,249) |
Amounts Presented in the Statements of Financial Condition, Assets | 1,233,844 | |
Net Amount, Assets | 1,233,844 | |
Gross Amounts Recognized, Liabilities | (4,500,328) | (7,067,478) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 4,500,328 | 6,198,249 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (869,229) | |
Cash Collateral Received/Pledged, Liabilities | 869,229 | |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Amounts Presented in the Statements of Financial Condition, Assets | 444,797 | |
Amounts Presented in the Statements of Financial Condition, Liabilities | (2,050,966) | |
Forward Contracts [Member] | MS&Co. [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 8,517,270 | 1,781,416 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (6,105,480) | (1,781,416) |
Amounts Presented in the Statements of Financial Condition, Assets | 2,411,790 | |
Net Amount, Assets | 2,411,790 | |
Gross Amounts Recognized, Liabilities | (6,105,480) | (4,260,057) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 6,105,480 | 1,781,416 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (2,478,641) | |
Cash Collateral Received/Pledged, Liabilities | 2,478,641 | |
Forward Contracts [Member] | JPMorgan [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 2,015,890 | 1,138,504 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (2,015,890) | (710,829) |
Amounts Presented in the Statements of Financial Condition, Assets | 0 | 427,675 |
Net Amount, Assets | 0 | 427,675 |
Gross Amounts Recognized, Liabilities | (3,982,883) | (710,829) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 2,015,890 | $ 710,829 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (1,966,993) | |
Cash Collateral Received/Pledged, Liabilities | $ 1,966,993 |
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, 2020 | Dec. 31, 2019 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | $ 5,734,172 | $ 6,198,249 |
Total unrealized depreciation on open contracts | (4,500,328) | (7,067,478) |
Net unrealized appreciation (depreciation) on open contracts | 1,233,844 | (869,229) |
Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,315,677 | 882,389 |
Total unrealized depreciation on open contracts | (1,082,374) | (1,806,426) |
Futures Contracts [Member] | Energy [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,222,420 | 1,610,681 |
Total unrealized depreciation on open contracts | (66,774) | (132,370) |
Futures Contracts [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 201,404 | 248,161 |
Total unrealized depreciation on open contracts | (521,578) | (1,134,872) |
Futures Contracts [Member] | Indices [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 168,228 | 1,039,584 |
Total unrealized depreciation on open contracts | (425,325) | (513,537) |
Futures Contracts [Member] | Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 1,124,405 | 133,188 |
Total unrealized depreciation on open contracts | (194,148) | (1,154,102) |
Futures Contracts [Member] | Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 592,698 | 119,694 |
Total unrealized depreciation on open contracts | (813,272) | (1,269,703) |
Futures Contracts [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 398,408 | 2,270 |
Total unrealized depreciation on open contracts | (141,688) | (65,083) |
Futures Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 155,265 | 2,107,650 |
Total unrealized depreciation on open contracts | (595,547) | (29,852) |
Futures Contracts [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 555,667 | 54,632 |
Total unrealized depreciation on open contracts | (659,622) | (961,533) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 10,533,160 | 2,919,920 |
Total unrealized depreciation on open contracts | (10,088,363) | (4,970,886) |
Net unrealized appreciation (depreciation) on open contracts | 444,797 | (2,050,966) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 2,015,890 | 1,138,504 |
Total unrealized depreciation on open contracts | (3,982,883) | (710,829) |
Forward Contracts [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 8,517,270 | 1,781,416 |
Total unrealized depreciation on open contracts | $ (6,105,480) | $ (4,260,057) |
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, 2020 | Mar. 31, 2019 | |
Derivative [Line Items] | ||
Trading gains and losses | $ (23,953,788) | $ 3,237,333 |
Currencies [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | (6,706,169) | 1,028,205 |
Energy [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | (3,803,142) | (6,833,697) |
Grains [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 493,619 | 3,420,567 |
Indices [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | (17,414,130) | 3,567,356 |
Interest Rates U.S. [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 3,986,866 | 237,116 |
Interest Rates Non-U.S. [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | (736,133) | 3,319,930 |
Livestock [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 1,236,615 | (983,460) |
Metals [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | 1,055,222 | (1,176,605) |
Softs [Member] | ||
Derivative [Line Items] | ||
Trading gains and losses | $ (2,066,536) | $ 657,921 |
Fair Value Measurements - Maste
Fair Value Measurements - Master's Fair Value Measurements (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | $ 16,267,332 | $ 9,118,169 |
Derivative Liabilities | 14,588,691 | 12,038,364 |
Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 5,734,172 | 6,198,249 |
Derivative Liabilities | 4,500,328 | 7,067,478 |
Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 10,533,160 | 2,919,920 |
Derivative Liabilities | 10,088,363 | 4,970,886 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 5,734,172 | 6,198,249 |
Derivative Liabilities | 4,500,328 | 7,067,478 |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 5,734,172 | 6,198,249 |
Derivative Liabilities | 4,500,328 | 7,067,478 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 10,533,160 | 2,919,920 |
Derivative Liabilities | 10,088,363 | 4,970,886 |
Level 2 [Member] | Forward Contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 10,533,160 | 2,919,920 |
Derivative Liabilities | $ 10,088,363 | $ 4,970,886 |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2020 | |
Financial instruments maturity period | 1 year |
Credit Concentration Risk [Member] | Master's Contracts [Member] | Over the Counter [Member] | Minimum [Member] | |
Concentration risk percentage | 18.70% |
Credit Concentration Risk [Member] | Master's Contracts [Member] | Over the Counter [Member] | Maximum [Member] | |
Concentration risk percentage | 31.90% |