(Exact name of registrant as specified in its charter) |
(State or other jurisdiction of |
(I.R.S. Employer | |
incorporation or organization) |
Identification No.) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
N/A |
N/A |
N/A |
Large accelerated filer |
Accelerated filer |
X | ||
September 30, 2024 (Unaudited) |
December 31, 2023 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Unrestricted cash |
$ |
$ |
||||||
Restricted cash |
||||||||
Foreign cash (cost $ September 30, 2024 and December 31, 2023, respectively) |
||||||||
Net unrealized appreciation on open futures contracts |
||||||||
Total equity in trading account |
||||||||
Interest receivable |
||||||||
Total assets |
$ |
$ |
||||||
Liabilities and Partners’ Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures contracts |
$ |
$ |
||||||
Net unrealized depreciation on open forward contracts |
||||||||
Accrued expenses: |
||||||||
Administrative and General Partner’s fees |
||||||||
Management fees |
||||||||
Professional fees |
||||||||
Redemptions payable to General Partner |
||||||||
Redemptions payable to Limited Partners |
||||||||
Total liabilities |
||||||||
Partners’ Capital: |
||||||||
General Partner, Class Z, |
||||||||
Limited Partners, Class A, |
||||||||
Limited Partners, Class Z, |
||||||||
Total partners’ capital (net asset value) |
||||||||
Total liabilities and partners’ capital |
$ |
$ |
||||||
Net asset value per Unit: |
||||||||
Class A |
$ |
$ |
||||||
Class Z |
$ |
$ |
||||||
Notional ($)/ Number of Contracts |
Fair Value |
% of Partners’ Capital |
||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
$ | % | ||||||||||
Energy |
( |
) | ( |
|||||||||
Grains |
||||||||||||
Indices |
||||||||||||
Interest Rates U.S. |
( |
) | ( |
|||||||||
Interest Rates Non-U.S. |
||||||||||||
Livestock |
||||||||||||
Metals |
||||||||||||
Softs |
||||||||||||
|
|
|
|
|
||||||||
Total futures contracts purchased |
||||||||||||
|
|
|
|
|
||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
||||||||||||
Energy |
( |
) | ( |
|||||||||
Grains |
( |
) | ( |
|||||||||
Indices |
( |
) | ( |
|||||||||
Interest Rates U.S. |
* | |||||||||||
Interest Rates Non-U.S. |
||||||||||||
Livestock |
( |
) | ( |
|||||||||
Metals |
( |
) | ( |
|||||||||
Softs |
( |
) | ( |
|||||||||
|
|
|
|
|
||||||||
Total futures contracts sold |
( |
) | ( |
|||||||||
|
|
|
|
|
||||||||
Net unrealized appreciation on open futures contracts |
$ | |
% | |||||||||
|
|
|
|
|
||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | |
$ | % | ||||||||
Metals |
||||||||||||
|
|
|
|
|
||||||||
Total unrealized appreciation on open forward contracts |
||||||||||||
|
|
|
|
|
||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | |
( |
) | ( |
|||||||
Metals |
( |
) | ( |
|||||||||
|
|
|
|
|
||||||||
Total unrealized depreciation on open forward contracts |
( |
) | ( |
|||||||||
|
|
|
|
|
||||||||
Net unrealized depreciation on open forward contracts |
$ | ( |
) | ( |
% | |||||||
|
|
|
|
|
Notional ($)/ Number of Contracts |
Fair Value |
% of Partners’ Capital |
||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
$ | % | ||||||||||
Energy |
( |
) | ( |
|||||||||
Grains |
( |
) | ( |
|||||||||
Indices |
||||||||||||
Interest Rates U.S. |
||||||||||||
Interest Rates Non-U.S. |
||||||||||||
Metals |
||||||||||||
Softs |
||||||||||||
|
|
|
|
|
||||||||
Total futures contracts purchased |
||||||||||||
|
|
|
|
|
||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
( |
) | ( |
|||||||||
Energy |
( |
) | ( |
|||||||||
Grains |
||||||||||||
Indices |
( |
) | ( |
|||||||||
Interest Rates U.S. |
( |
) | ( |
|||||||||
Interest Rates Non-U.S. |
( |
) | ( |
|||||||||
Livestock |
||||||||||||
Metals |
( |
) | ( |
|||||||||
Softs |
||||||||||||
|
|
|
|
|
||||||||
Total futures contracts sold |
( |
) | ( |
|||||||||
|
|
|
|
|
||||||||
Net unrealized depreciation on open futures contracts |
$ | ( |
) | ( |
% | |||||||
|
|
|
|
|
||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | |
$ | |
% | |||||||
Metals |
||||||||||||
|
|
|
|
|
||||||||
Total unrealized appreciation on open forward contracts |
||||||||||||
|
|
|
|
|
||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | ( |
) | ( |
||||||||
Metals |
( |
) | ( |
|||||||||
|
|
|
|
|
||||||||
Total unrealized depreciation on open forward contracts |
( |
) | ( |
|||||||||
|
|
|
|
|
||||||||
Net unrealized depreciation on open forward contracts |
$ | ( |
) | ( |
% | |||||||
|
|
|
|
|
Three Months Ended September 30, |
Nine Months Ended September 30, | |||||||||||||||
2024 |
2023 (1) |
2024 |
2023 (1) | |||||||||||||
Investment Income: |
||||||||||||||||
Interest income |
$ | $ | $ | $ | ||||||||||||
Interest income allocated from the Trading Company (2) |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total investment income |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Expenses: |
||||||||||||||||
Expenses allocated from the Trading Company |
||||||||||||||||
Clearing fees |
||||||||||||||||
Administrative and General Partner’s fees |
||||||||||||||||
Ongoing placement agent fees |
||||||||||||||||
Management fees |
||||||||||||||||
Incentive fees |
||||||||||||||||
Professional fees |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net investment income |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Trading Results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
( |
) | ||||||||||||||
Net realized gains (losses) on closed contracts allocated from the Trading Company |
||||||||||||||||
Net change in unrealized gains (losses) on open contracts |
( |
) | ||||||||||||||
Net change in unrealized gains (losses) on open contracts allocated from the Trading Company |
( |
) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total trading results |
( |
) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) |
$ | ( |
) | $ | $ | $ | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net income (loss) per Unit*: |
||||||||||||||||
Class A |
$ | ( |
) | $ | $ | $ | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Class Z |
$ | ( |
) | $ | $ | $ | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Weighted average Units outstanding: |
||||||||||||||||
Class A |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Class Z |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Not consolidated. |
(2) |
Defined in Note 1. |
* | Represents the change in net asset value per Unit during the period. |
Class A |
Class Z |
Total | ||||||||||||||||||||||
Amount |
Units |
Amount |
Units |
Amount |
Units | |||||||||||||||||||
Partners’ Capital, December 31, 2022 (1) |
$ | $ | $ | |||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net income (loss) |
- | - | - | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, September 30, 2023 (1) |
$ | |
$ | $ | |
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, June 30, 2023 (1) |
$ | $ | $ | |||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net income (loss) |
- | - | - | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, September 30, 2023 (1) |
$ | |
$ | |
|
$ | |
|||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
Class Z |
Total | ||||||||||||||||||||||
Amount |
Units |
Amount |
Units |
Amount |
Units | |||||||||||||||||||
Partners’ Capital, December 31, 2023 |
$ | |
$ | $ | ||||||||||||||||||||
Redemptions - General Partner |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net income (loss) |
- | - | - | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, September 30, 2024 |
$ | $ | $ | |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, June 30, 2024 |
$ | $ | $ | |||||||||||||||||||||
Redemptions - Limited Partners |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net income (loss) |
( |
) | - | ( |
) | - | ( |
) | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Partners’ Capital, September 30, 2024 |
$ | |
$ | |
|
$ | |
|||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Not consolidated. |
1. |
Organization: |
2. |
Basis of Presentation and Summary of Significant Accounting Policies: |
3. |
Financial Highlights: |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||||||||||||||||||
2024 |
2023 (1) |
2024 |
2023 (1) |
|||||||||||||||||||||||||||||
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
|||||||||||||||||||||||||
Per Unit Performance (for a unit outstanding throughout the period):* |
||||||||||||||||||||||||||||||||
Net realized and unrealized gains (losses) |
$ |
( |
$ |
( |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||
Net investment income |
||||||||||||||||||||||||||||||||
Increase (decrease) for the period |
( |
( |
||||||||||||||||||||||||||||||
Net asset value per Unit, beginning of period |
||||||||||||||||||||||||||||||||
Net asset value per Unit, end of period |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||||||||||||||||||
2024 |
2023 (1) |
2024 |
2023 (1) |
|||||||||||||||||||||||||||||
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
Class A |
Class Z |
|||||||||||||||||||||||||
Ratios to Average Limited Partners' Capital: ** |
||||||||||||||||||||||||||||||||
Net investment income *** |
% |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||||
Operating expenses |
% |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||||
Incentive fees |
% |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||||
Total expenses |
% |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||||
Total return: |
||||||||||||||||||||||||||||||||
Total return before incentive fees |
( |
% |
( |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||
Incentive fees |
% |
% |
( |
% |
( |
% |
( |
% |
( |
% |
( |
% |
( |
% | ||||||||||||||||||
Total return after incentive fees |
( |
% |
( |
% |
% |
% |
% |
% |
% |
% | ||||||||||||||||||||||
(1) |
Not consolidated. |
* |
Net investment income (loss) per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. |
** |
Annualized (except for incentive fees). |
*** |
Interest income less total expenses. |
4. |
Financial Instrument Risks: |
5. |
Trading Activities: |
September 30, 2024 |
Gross Amounts Recognized |
Gross Amounts Offset in the Consolidated Statements of Financial Condition |
Amounts Presented in the Consolidated Statements of Financial Condition |
Gross Amounts Not Offset in the Consolidated Statements of Financial Condition |
||||||||||||||||||||
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount |
||||||||||||||||||||||
Assets |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | $ | ( |
) | $ | $ | $ | $ | |
|||||||||||||||
Forwards |
( |
) | ||||||||||||||||||||||
( |
) | |||||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
) | ||||||||||||||||||||||
Total assets |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Liabilities |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | ( |
) | $ | $ | $ | $ | $ | ||||||||||||||||
Forwards |
( |
) | ( |
) | ||||||||||||||||||||
( |
) | ( |
) | |||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
) | ( |
) | ||||||||||||||||||||
Total liabilities |
$ | ( |
) | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||
Net fair value |
$ | * | ||||||||||||||||||||||
December 31, 2023 |
Gross Amounts Recognized |
Gross Amounts Offset in the Consolidated Statements of Financial Condition |
Amounts Presented in the Consolidated Statements of Financial Condition |
Gross Amounts Not Offset in the Consolidated Statements of Financial Condition |
||||||||||||||||||||
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount |
||||||||||||||||||||||
Assets |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
Forwards |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
( |
) | |||||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Total assets |
$ | $ | ( |
) | $ | $ | $ | $ | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities |
||||||||||||||||||||||||
MS&Co. |
||||||||||||||||||||||||
Futures |
$ | ( |
) | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||
Forwards |
( |
) | ( |
) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
( |
) | ( |
) | |||||||||||||||||||||
JPMorgan |
||||||||||||||||||||||||
Forwards |
( |
) | ( |
) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Total liabilities |
$ | ( |
) | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Net fair value |
$ | * | ||||||||||||||||||||||
|
|
* |
In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Consolidated Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
September 30, 2024 |
||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | |||
Energy |
||||
Grains |
||||
Indices |
||||
Interest Rates U.S. |
||||
Interest Rates Non-U.S. |
||||
Livestock |
||||
Metals |
||||
Softs |
||||
|
|
|||
Total unrealized appreciation on open futures contracts |
||||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
( |
|||
Energy |
( |
|||
Grains |
( |
|||
Indices |
( |
|||
Interest Rates U.S. |
( |
|||
Interest Rates Non-U.S. |
( |
|||
Livestock |
( |
|||
Metals |
( |
|||
Softs |
( |
|||
|
|
|||
Total unrealized depreciation on open futures contracts |
( |
|||
|
|
|||
Net unrealized appreciation on open futures contracts |
$ | * | ||
|
|
|||
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | |||
Metals |
||||
|
|
|||
Total unrealized appreciation on open forward contracts |
||||
|
|
|||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
( |
|||
Metals |
( |
|||
|
|
|||
Total unrealized depreciation on open forward contracts |
( |
|||
|
|
|||
Net unrealized depreciation on open forward contracts |
$ | ( |
** | |
|
|
* |
This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition. |
** |
This amount is in “Net unrealized depreciation on open forward contracts” in the Consolidated Statements of Financial Condition. |
December 31, 2023 |
||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | |||
Energy |
||||
Grains |
||||
Indices |
||||
Interest Rates U.S. |
||||
Interest Rates Non-U.S. |
||||
Livestock |
||||
Metals |
||||
Softs |
||||
Total unrealized appreciation on open futures contracts |
||||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
( |
|||
Energy |
( |
|||
Grains |
( |
|||
Indices |
( |
|||
Interest Rates U.S. |
( |
|||
Interest Rates Non-U.S. |
( |
|||
Livestock |
( |
|||
Metals |
( |
|||
Softs |
( |
|||
Total unrealized depreciation on open futures contracts |
( |
|||
Net unrealized depreciation on open futures contracts |
$ | ( |
* | |
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | |
||
Metals |
||||
Total unrealized appreciation on open forward contracts |
||||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
( |
|||
Metals |
( |
|||
Total unrealized depreciation on open forward contracts |
( |
|||
Net unrealized depreciation on open forward contracts |
$ | ( |
** | |
* |
This amount is in “Net unrealized depreciation on open futures contracts” in the Consolidated Statements of Financial Condition. |
** |
This amount is in “Net unrealized depreciation on open forward contracts” in the Consolidated Statements of Financial Condition. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
Sector |
2024 |
2023 (1) |
2024 |
2023 (1) |
||||||||||||
Currencies |
$ | ( |
$ | $ | ( |
$ | ||||||||||
Energy |
( |
( |
||||||||||||||
Grains |
( |
|||||||||||||||
Indices |
( |
( |
||||||||||||||
Interest Rates U.S. |
( |
( |
||||||||||||||
Interest Rates Non-U.S. |
( |
( |
||||||||||||||
Livestock |
( |
( |
( |
|||||||||||||
Metals |
( |
( |
( |
( |
||||||||||||
Softs |
||||||||||||||||
Total |
$ | ( |
*** | $ | |
*** | $ | |
*** | $ | |
*** | ||||
(1) |
Not consolidated. |
*** |
This amount is in “Total trading results” in the Consolidated Statements of Income and Expenses. |
6. |
Fair Value Measurements: |
September 30, 2024 |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||||
Assets |
||||||||||||||||||
Futures |
$ | $ | $ | $ | ||||||||||||||
Forwards |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total assets |
$ | $ | $ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Liabilities |
||||||||||||||||||
Futures |
$ | $ | $ | $ | ||||||||||||||
Forwards |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total liabilities |
$ | $ | $ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2023 |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||||
Assets |
||||||||||||||||||
Futures |
$ | $ | $ | $ | ||||||||||||||
Forwards |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total assets |
$ | $ | $ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Liabilities |
||||||||||||||||||
Futures |
$ | $ | $ | $ | ||||||||||||||
Forwards |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total liabilities |
$ | $ | $ | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
7. |
Investment in the Trading Company: |
September 30, 2024 |
||||||||||||||
Total Assets |
Total Liabilities |
Total Capital |
||||||||||||
CMF Winton |
$ | |
$ | |
$ | |
December 31, 2023 |
||||||||||||||
Total Assets |
Total Liabilities |
Total Capital |
||||||||||||
CMF Winton |
$ | |
$ | |
$ | |
For the three months ended September 30, 2024 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) |
||||||||||
CMF Winton |
$ | |
$ | ( |
$ | ( |
For the nine months ended September 30, 2024 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) |
||||||||||
CMF Winton |
$ | |
$ | |
$ | |
For the three months ended September 30, 2023 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) |
||||||||||
CMF Winton |
$ | |
$ | |
$ | |
For the nine months ended September 30, 2023 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) |
||||||||||
CMF Winton |
$ | |
$ | |
$ | |
September 30, 2024 |
For the three months ended September 30, 2024 |
|||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Income (Loss) |
Investment Objective |
Redemptions Permitted | ||||||||||||||||||||
CMF Winton |
$ | |
$ | ( |
$ | $ | $ | ( |
Commodity Portfolio | Monthly |
September 30, 2024 |
For the nine months ended September 30, 2024 |
|||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Income (Loss) |
Investment Objective |
Redemptions Permitted | ||||||||||||||||||||
CMF Winton |
$ | |
$ | |
$ | $ | $ | |
Commodity Portfolio | Monthly |
December 31, 2023 |
For the three months ended September 30, 2023 |
|||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Income (Loss) |
Investment Objective |
Redemptions Permitted | ||||||||||||||||||||
CMF Winton |
$ | |
$ | |
$ | $ | $ | Commodity Portfolio | Monthly |
December 31, 2023 |
For the nine months ended September 30, 2023 |
|||||||||||||||||||||||||||
% of |
Expenses |
Net |
||||||||||||||||||||||||||
Funds |
Partners’ Capital |
Fair Value |
Income (Loss) |
Clearing Fees |
Professional Fees |
Income (Loss) |
Investment Objective |
Redemptions Permitted | ||||||||||||||||||||
CMF Winton |
$ | |
$ | |
$ | $ | $ | Commodity Portfolio | Monthly |
8. |
Subsequent Events: |
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not have, nor does it expect to have, any capital assets. The Partnership does not engage in sales of goods or services. Its assets are its (i) equity in trading account, consisting of restricted and unrestricted cash, net unrealized appreciation on open futures contracts and net unrealized appreciation on open forward contracts, as applicable, and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2024.
The Partnership’s/Trading Company’s investment in Futures Interests may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or option contract has increased or decreased by an amount equal to the daily limit, positions in that futures or option contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Partnership/Trading Company from promptly liquidating its futures or option contracts and result in restrictions on redemptions.
There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership/Trading Company from trading in potentially profitable markets or prevent the Partnership/Trading Company from promptly liquidating unfavorable positions in such markets, subjecting it to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s/Trading Company’s assets.
Other than the risks inherent in commodity futures, forwards, options, swaps and other derivatives trading and U.S. Treasury bills and money market mutual fund securities, the General Partner knows of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnership’s/Trading Company’s liquidity increasing or decreasing in any material way.
The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by net realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemptions of Units. The Partnership’s primary need for capital resources is for Futures Interests trading.
For the nine months ended September 30, 2024, the Partnership’s capital increased 1.0% from $147,258,595 to $148,795,858. This increase was attributable to a net income of $8,857,304 which was partially offset by redemptions of 233,110.561 Class A limited partner Units totaling $7,220,187 and redemptions of 7,288.629 Class Z General Partner Units totaling $99,854. Future redemptions could impact the amount of funds available for investments in commodity contract positions in subsequent periods.
Other than as discussed above, there are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership’s capital resource arrangements at the present time.
Off-Balance Sheet Arrangements and Contractual Obligations
The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.
Critical Accounting Policies
The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting periods. The General Partner believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” of the Financial Statements.
21
The Partnership/Trading Company records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and net change in unrealized gains (losses) in the Consolidated Statements of Income and Expenses.
Results of Operations
During the Partnership’s third quarter of 2024, the net asset value per Unit for Class A decreased 6.0% from $31.59 to $29.70 as compared to an increase of 3.9% during the third quarter of 2023. During the Partnership’s third quarter of 2024, the net asset value per Unit for Class Z decreased 5.8% from $13.70 to $12.91 as compared to an increase of 4.1% during the third quarter of 2023. The Partnership experienced a net trading loss before fees and expenses in the third quarter of 2024 of $9,943,247. Losses were primarily attributable to the Partnership’s trading of Futures Interests in currencies, energy, indices, U.S. interest rates, livestock and metals and were partially offset by gains in grains, non-U.S. interest rates and softs. The Partnership experienced a net trading gain before fees and expenses in the third quarter of 2023 of $5,877,947. Gains were primarily attributable to the Partnership’s trading of Futures Interests in currencies, energy, grains, U.S. interest rates, livestock and softs and were partially offset by losses in indices, non-U.S. interest rates and metals.
During the third quarter, the Partnership’s most notable losses were incurred during August within the global stock index sector from long positions in Asian, U.S., and European equity index futures as stock prices retreated after the Bank of Japan unexpectedly raised interest rates, while technology stocks also fell under broad selling pressure. In the currencies, losses were recorded during July and August from short positions in the Japanese yen versus the U.S. dollar as the value of the yen surged higher as the Bank of Japan (“BOJ”) raised interest rates following protracted weakness in the nation’s currency. Smaller currency losses were experienced during July and August from short positions in the Euro and Swiss franc. Further losses were incurred during July and August from short positions in U.S. fixed income futures as yields fell and prices rose amid rising expectations for multiple interest rate cuts by the Fed in 2024. In the energies, losses were recorded throughout the third quarter from long positions in crude oil futures as prices declined amid high global inventories and on concerns a slowdown in the global economy would diminish energy demand. Additional losses were experienced in the metals sector during July and August from long positions in industrial metals as prices slid on an outlook for slowing import demand from China. A portion of the Partnership’s losses for the third quarter was offset by gains achieved within the agricultural sector during July from short positions in soybeans, wheat, and corn futures as grain prices trended lower as industry reports predicted larger-than-expected crop harvests in the U.S. and South America. Further gains in the agriculturals were recorded during August and September from long positions in coffee futures as drought conditions in key global growing regions threatened crops.
During the Partnership’s nine months ended September 30, 2024, the net asset value per Unit for Class A increased 5.8% from $28.07 to $29.70 as compared to an increase of 10.0% during the nine months ended September 30, 2023. During the Partnership’s nine months ended September 30, 2024, the net asset value per Unit for Class Z increased 6.4% from $12.13 to $12.91 as compared to an increase of 10.6% during the nine months ended September 30, 2023. The Partnership experienced a net trading gain before fees and expenses in the nine months ended September 30, 2024 of $8,692,178. Gains were primarily attributable to the Partnership’s trading of Futures Interests in grains, indices and softs and were partially offset by losses in currencies, energy, U.S. and non-U.S. interest rates, livestock and metals. The Partnership experienced a net trading gain before fees and expenses in the nine months ended September 30, 2023 of $14,533,761. Gains were primarily attributable to the Partnership’s trading of Futures Interests in currencies, energy, indices, U.S. interest rates, livestock and softs and were partially offset by losses in grains, non-U.S. interest rates and metals.
During the first nine months of the year, the Partnership’s largest gains were achieved within the agricultural markets from January through April from long positions in cocoa futures as cocoa prices surged to record highs amid concern extremely hot weather conditions in key West African growing regions would severely damage crops. Further gains within the agricultural markets were experienced during January, February, June, and July from short positions in corn and wheat futures. Gains were also experienced within the global stock index sector during January, February, and March from long positions in Asian, European, and U.S. equity index futures as prices rallied during the first quarter amid investor expectations for global central banks, most notably the Fed, to be aggressive in cutting interest rates in the second half of 2024. A portion of the Partnership’s overall gains for the first nine months of the year was offset by losses in the energies during May, July, August, and September from long positions in crude oil futures as prices declined amid high global inventories and on concerns a slowdown in the global economy would diminish energy demand. Within the metals sector, losses were recorded during February and June from long positions in copper futures as price uncertainty over the strength of the Chinee housing and manufacturing sectors resulted in reversals of previous bullish price trends in copper. Losses were incurred within the currency markets during the second and third quarters from short positions in the Euro versus the U.S. dollar as the value of the U.S. currency weakened versus its Eurozone counterpart.
22
Additional losses were recorded from May through August from short positions in U.S. and European fixed income futures as yields fell as improving economic data spurred speculation central banks across the globe would be aggressive in cutting interest rates through the end of 2024.
Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase not only the risk involved in commodity trading, but also the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Trading Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Trading Advisor is able to identify them, the Partnership expects to increase capital through operations.
The Partnership receives monthly interest on 100% of the average daily equity maintained in cash in the Partnership’s account during each month at a rate equal to 100% of the monthly average of the 4-week U.S. Treasury bill discount rate. For the avoidance of doubt, the Partnership will not receive interest on amounts in the futures brokerage account that are committed to margin. Any interest earned on the Partnership’s cash account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market fund securities will be retained by the Partnership, as applicable. Interest income for the three and nine months ended September 30, 2024 decreased by $99,623 and increased by $535,882, respectively, as compared to the corresponding periods in 2023. The decrease in interest income was primarily due to lower interest rates and lower average daily equity during the three months ended September 30, 2024 as compared to the corresponding period in 2023. The increase in interest income was primarily due to higher interest rates and higher average daily equity during the nine months ended September 30, 2024 as compared to the corresponding period in 2023. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on (1) the average daily equity maintained in cash in the Partnership’s accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and (3) interest rates over which none of the Partnership or MS&Co. has control.
Certain clearing fees are based on the number of trades executed by the Trading Advisors for the Partnership. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees for the three and nine months ended September 30, 2024 increased by $83,290 and $175,539, respectively, as compared to the corresponding periods in 2023. The increase in clearing fees was primarily due to an increase in the number of trades made by the Partnership during the three and nine months ended September 30, 2024 as compared to the corresponding periods in 2023.
Ongoing placement agent fees are calculated as a percentage of the Partnership’s Class A adjusted net assets on the first day of each month and are affected by trading performance, subscriptions, and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Ongoing placement agent fees for the three and nine months ended September 30, 2024 decreased by $8,384 and increased by $385, respectively, as compared to the corresponding periods in 2023. The decrease was primarily due to a decrease in Class A adjusted net assets during the three months ended September 30, 2024 as compared to the corresponding period in 2023. The increase was primarily due to an increase in Class A adjusted net assets during the nine months ended September 30, 2024 as compared to the corresponding period in 2023.
General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership. The General Partner’s fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the beginning of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. General Partner’s fees for the three and nine months ended September 30, 2024 decreased by $8,576 and increased by $486, respectively, as compared to the corresponding periods in 2023. The decrease was primarily due to a decrease in average net assets during the three months ended September 30, 2024 as compared to the corresponding period in 2023. The increase was primarily due to an increase in average net assets during the nine months ended September 30, 2024 as compared to the corresponding period in 2023. Effective January 1, 2021, the Partnership directly pays the brokerage fees and other transaction-related fees and expenses, as incurred and also pays its ongoing administrative, operating, offering and organizational expenses (including, but not limited to, periodic legal, accounting, administrative, filing, reporting and data processing fees) and its pro rata share of such expenses of any trading company to which the Partnership has allocated assets.
23
Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the beginning of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Management fees for the three and nine months ended September 30, 2024 decreased by $23,203 and increased by $16,923, respectively, as compared to the corresponding periods in 2023. The decrease was primarily due to a decrease in average net assets during the three months ended September 30, 2024 as compared to the corresponding period in 2023. The increase was primarily due to an increase in average net assets during the nine months ended September 30, 2024 as compared to the corresponding period in 2023.
Incentive fees are based on the new trading profits generated by the Trading Advisors at the end of the year as defined in the management agreement among the Partnership, the General Partner and the relevant Trading Advisor. Trading performance for the three and nine months ended September 30, 2024 resulted in incentive fees of $0 and $1,081,370, respectively. Trading performance for the three and nine months ended September 30, 2023 resulted in incentive fees of $207,613. To the extent that a Trading Advisor incurs a loss for the Partnership, the Trading Advisor will not be paid incentive fees until such Trading Advisor recovers any net loss incurred and earns additional new trading profits for the Partnership.
In allocating substantially all of the assets of the Partnership among the Trading Advisors, the General Partner considers, among other factors, the Trading Advisors’ past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Trading Advisors and allocate assets to additional advisors at any time.
As of September 30, 2024 and June 30, 2024, the Partnership’s assets were allocated among the Trading Advisors in the following approximate percentages:
Advisor |
September 30, 2024 | September 30, 2024 (percentage of Partners’ Capital) |
June 30, 2024 | June 30, 2024 (percentage of Partners’ Capital) |
||||||||||||
Campbell |
$ | 41,696,229 | 28% | $ | 40,095,293 | 25% | ||||||||||
EMC |
11,965,257 | 8% | 12,885,992 | 8% | ||||||||||||
Graham |
31,864,649 | 21% | 39,189,319 | 24% | ||||||||||||
WCM |
53,092,471 | 36% | 58,427,255 | 36% | ||||||||||||
Unallocated |
10,177,252 | 7% | 10,487,732 | 7% |
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Introduction
The Partnership and the Trading Company are commodity pools engaged primarily in the speculative trading of Futures Interests. The market-sensitive instruments held by the Partnership are acquired for speculative trading purposes only and, as a result, all or substantially all of the Partnership’s assets are at risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is inherent to the primary business activity of the Partnership.
The Futures Interests on such contracts traded by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of held interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership’s open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward and exchange-traded futures-styled option contracts are settled daily through variation margin. Gains and losses on non-exchange-traded forward currency contracts and forward currency option contracts are settled upon termination of the contract. Gains and losses on non-exchange-traded forward currency option contracts are settled on an agreed-upon settlement date.
The Partnership’s total market risk may increase or decrease as it is influenced by a wide variety of factors, including, but not limited to, the diversification among the Partnership’s open positions, the volatility present within the markets, and the liquidity of the markets.
The face value of the market sector instruments held by the Partnership is typically many times the applicable margin requirements. Margin requirements generally range between 2% and 15% of contract face value. Additionally, the use of leverage causes the face value of the market sector instruments held by the Partnership typically to be many times the total capitalization of the Partnership.
24
The Partnership’s past performance is no guarantee of its future results. Any attempt to numerically quantify the Partnership’s market risk is limited by the uncertainty of its speculative trading. The Partnership’s speculative trading and use of leverage may cause future losses and volatility (i.e., “risk of ruin”) that far exceed the Partnership’s experience to date as discussed under the “Partnership’s Value at Risk in Different Market Sectors” section and significantly exceed the Value at Risk tables disclosed.
Limited partners will not be liable for losses exceeding the current net asset value of their investment.
Quantifying the Partnership’s and the Trading Company’s Trading Value at Risk
The following quantitative disclosures regarding the Partnership’s/Trading Company’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933, as amended (the “Securities Act”) and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
The Partnership/Trading Company accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s open positions is directly reflected in the Partnership’s/Trading Company’s earnings and cash flow.
The Partnership’s/Trading Company’s risk exposure in the market sectors traded by the Trading Advisors is estimated below in terms of Value at Risk. Please note that the Value at Risk model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either Ceres or the Trading Advisor in their daily risk management activities.
Value at Risk is a measure of the maximum amount which the Partnership/Trading Company could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Trading Company’s speculative trading and the recurrence of market movements far exceeding expectations in the markets traded by the Partnership/Trading Company could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Trading Company’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s/Trading Company’s losses in any market sector will be limited to Value at Risk or by the Partnership’s/Trading Company’s attempts to manage its market risk.
Exchange margin requirements have been used by the Partnership/Trading Company as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The first trading Value at Risk table reflects the market sensitive instruments held by the Partnership directly and through its investments in the Trading Company. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e. in the managed accounts in the Partnership’s name traded by certain Trading Advisors) and indirectly by the Trading Company separately. There have been no material changes in the trading Value at Risk, non-trading risk and risk management information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2023.
25
The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2024. As of September 30, 2024, the Partnership’s total capitalization was $148,795,858.
September 30, 2024 | ||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
||||||
Currencies |
$ | 8,786,526 | 5.91 | % | ||||
Energy |
2,396,217 | 1.61 | ||||||
Grains |
1,067,415 | 0.72 | ||||||
Indices |
5,795,550 | 3.89 | ||||||
Interest Rates U.S. |
1,730,735 | 1.16 | ||||||
Interest Rates Non-U.S. |
3,798,502 | 2.55 | ||||||
Livestock |
487,053 | 0.33 | ||||||
Metals |
2,911,618 | 1.96 | ||||||
Softs |
1,626,495 | 1.09 | ||||||
|
|
|
|
|||||
Total |
$ | 28,600,111 | 19.22 | % | ||||
|
|
|
|
The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2023. As of December 31, 2023, the Partnership’s total capitalization was $147,258,595.
December 31, 2023 | ||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
||||||
Currencies |
$ | 10,329,730 | 7.01 | % | ||||
Energy |
1,940,869 | 1.32 | ||||||
Grains |
1,285,152 | 0.87 | ||||||
Indices |
7,700,420 | 5.23 | ||||||
Interest Rates U.S. |
1,357,509 | 0.92 | ||||||
Interest Rates Non-U.S. |
1,758,231 | 1.19 | ||||||
Livestock |
377,521 | 0.26 | ||||||
Metals |
1,704,432 | 1.16 | ||||||
Softs |
1,191,163 | 0.81 | ||||||
|
|
|
|
|||||
Total |
$ | 27,645,027 | 18.77 | % | ||||
|
|
|
|
26
The following tables indicate the trading Value at Risk associated with the Partnership’s/Trading Company’s open positions by market category as of September 30, 2024 and December 31, 2023, and the highest, lowest and average values during the three months ended September 30, 2024 and for the twelve months ended December 31, 2023. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below.
As of September 30, 2024, the Partnership’s total capitalization was $148,795,858.
September 30, 2024 | ||||||||||||||||||||
Three Months Ended September 30, 2024 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Currencies |
$ | 7,630,724 | 5.13 | % | $ | 9,859,150 | $ | 7,397,733 | $ | 8,496,017 | ||||||||||
Energy |
1,367,990 | 0.92 | 1,609,577 | 1,094,307 | 1,351,650 | |||||||||||||||
Grains |
653,084 | 0.44 | 1,348,185 | 653,084 | 1,070,521 | |||||||||||||||
Indices |
4,576,766 | 3.08 | 6,071,621 | 2,093,362 | 4,216,337 | |||||||||||||||
Interest Rates U.S. |
1,267,466 | 0.85 | 1,905,998 | 453,754 | 1,040,891 | |||||||||||||||
Interest Rates Non-U.S. |
2,961,774 | 1.99 | 3,379,041 | 1,655,075 | 2,571,991 | |||||||||||||||
Livestock |
298,568 | 0.20 | 298,568 | 83,605 | 176,897 | |||||||||||||||
Metals |
1,249,364 | 0.84 | 1,538,665 | 915,206 | 1,307,970 | |||||||||||||||
Softs |
1,020,868 | 0.68 | 1,068,763 | 614,407 | 880,868 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 21,026,604 | 14.13 | % | ||||||||||||||||
|
|
|
|
*Average of daily Values at Risk.
As of December 31, 2023, the Partnership’s total capitalization was $147,258,595.
December 31, 2023 | ||||||||||||||||||||
Twelve Months Ended December 31, 2023 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Currencies |
$ | 9,467,974 | 6.43 | % | $ | 11,379,668 | $ | 5,252,896 | $ | 8,299,264 | ||||||||||
Energy |
1,513,171 | 1.03 | 2,641,048 | 786,787 | 1,521,765 | |||||||||||||||
Grains |
994,997 | 0.68 | 1,298,420 | 408,491 | 784,169 | |||||||||||||||
Indices |
5,890,513 | 4.00 | 6,277,615 | 2,668,807 | 4,475,101 | |||||||||||||||
Interest Rates U.S. |
1,237,198 | 0.84 | 1,916,976 | 413,207 | 1,085,983 | |||||||||||||||
Interest Rates Non-U.S. |
1,560,751 | 1.06 | 3,465,377 | 814,776 | 2,258,833 | |||||||||||||||
Livestock |
180,126 | 0.12 | 204,325 | 29,440 | 116,653 | |||||||||||||||
Metals |
1,048,611 | 0.71 | 2,193,239 | 853,351 | 1,539,392 | |||||||||||||||
Softs |
657,910 | 0.44 | 1,071,817 | 533,994 | 771,286 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 22,551,251 | 15.31 | % | ||||||||||||||||
|
|
|
|
*Annual average of daily Values at Risk.
27
As of September 30, 2024, the Trading Company’s total capitalization was $52,898,378 and the Partnership owned 100% of the Trading Company. The Partnership invests a portion of its assets in the Trading Company. The Trading Company’s Value at Risk as of September 30, 2024 was as follows:
September 30, 2024 | ||||||||||||||||||||
Three Months Ended September 30, 2024 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Currencies |
$ | 1,155,802 | 2.19 | % | $ | 1,782,781 | $ | 1,055,817 | $ | 1,408,216 | ||||||||||
Energy |
1,028,227 | 1.94 | 1,028,227 | 440,075 | 663,803 | |||||||||||||||
Grains |
414,331 | 0.78 | 759,787 | 414,331 | 624,928 | |||||||||||||||
Indices |
1,218,784 | 2.30 | 1,457,251 | 789,261 | 1,115,475 | |||||||||||||||
Interest Rates U.S. |
463,269 | 0.88 | 478,041 | 23,950 | 258,203 | |||||||||||||||
Interest Rates Non-U.S. |
836,728 | 1.58 | 943,747 | 207,248 | 649,728 | |||||||||||||||
Livestock |
188,485 | 0.36 | 275,193 | 83,078 | 192,484 | |||||||||||||||
Metals |
1,662,254 | 3.14 | 1,679,995 | 1,188,728 | 1,422,813 | |||||||||||||||
Softs |
605,627 | 1.15 | 605,627 | 310,983 | 423,087 | |||||||||||||||
|
|
|
|
|
||||||||||||||||
Total |
$ | 7,573,507 | 14.32 | % | ||||||||||||||||
|
|
|
|
|
*Average of daily Values at Risk.
As of December 31, 2023, the Trading Company’s total capitalization was $55,284,183 and the Partnership owned 100% of the Trading Company. The Partnership invests a portion of its assets in the Trading Company. The Trading Company’s Value at Risk as of December 31, 2023 was as follows:
December 31, 2023 | ||||||||||||||||||||
Twelve Months Ended December 31, 2023 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Currencies |
$ | 861,756 | 1.56 | % | $ | 2,053,848 | $ | 626,405 | $ | 1,409,839 | ||||||||||
Energy |
427,698 | 0.77 | 1,135,638 | 249,179 | 587,868 | |||||||||||||||
Grains |
290,155 | 0.52 | 735,560 | 158,388 | 385,141 | |||||||||||||||
Indices |
1,809,907 | 3.27 | 1,809,907 | 817,707 | 1,202,146 | |||||||||||||||
Interest Rates U.S. |
120,311 | 0.22 | 945,065 | 120,311 | 496,896 | |||||||||||||||
Interest Rates Non-U.S. |
197,480 | 0.36 | 1,526,996 | 184,160 | 826,918 | |||||||||||||||
Livestock |
197,395 | 0.36 | 350,185 | 38,400 | 216,072 | |||||||||||||||
Metals |
655,821 | 1.19 | 1,348,571 | 396,133 | 870,550 | |||||||||||||||
Softs |
533,253 | 0.96 | 912,521 | 412,857 | 654,256 | |||||||||||||||
|
|
|
|
|
||||||||||||||||
Total |
$ | 5,093,776 | 9.21 | % | ||||||||||||||||
|
|
|
|
|
*Annual average of daily Values at Risk.
28
Item 4. Controls and Procedures.
The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President (the General Partner’s principal executive officer) and Chief Financial Officer (“CFO”) (the General Partner’s principal financial officer) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2024 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.
The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
· | pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
· | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
· | provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements. |
There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended September 30, 2024 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.
29
Period |
Class A (a) Total Number of Units Purchased* |
Class A (b) Average Price Paid per Unit** |
(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Units that May Yet Be Purchased Under the Plans or Programs | ||||||||
July 1, 2024 - July 31, 2024 |
45,528.001 |
$ |
30.70 |
N/A |
N/A | |||||||
August 1, 2024 - August 31, 2024 |
19,636.659 |
$ |
29.28 |
N/A |
N/A | |||||||
September 1, 2024 - September 30, 2024 |
24,627.488 |
$ |
29.70 |
N/A |
N/A | |||||||
89,792.148 |
$ |
30.12 |
Item 6. Exhibits.
32.1 — Section 1350 Certification (Certification of President and Director) (filed herewith).
32.2 — Section 1350 Certification (Certification of Chief Financial Officer) (filed herewith).
101.INS Inline XBRL Instance Document.
101.SCH Inline XBRL Taxonomy Extension Schema Document.
101.CAL Inline XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB Inline XBRL Taxonomy Extension Label Linkbase Document.
101.PRE Inline XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF Inline XBRL Taxonomy Extension Definition Document.
104. Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).
37
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
CERES CLASSIC L.P.
By: | Ceres Managed Futures LLC | |
(General Partner) | ||
By: | /s/ Patrick T. Egan | |
Patrick T. Egan | ||
President and Director | ||
Date: November 12, 2024 | ||
By: | /s/ Brooke Lambert | |
Brooke Lambert | ||
Chief Financial Officer | ||
(Principal Accounting Officer) | ||
Date: | November 12, 2024 |
The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.
38