0001193125-20-215954.txt : 20200811 0001193125-20-215954.hdr.sgml : 20200811 20200811120617 ACCESSION NUMBER: 0001193125-20-215954 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 43 CONFORMED PERIOD OF REPORT: 20200630 FILED AS OF DATE: 20200811 DATE AS OF CHANGE: 20200811 FILER: COMPANY DATA: COMPANY CONFORMED NAME: POTOMAC FUTURES FUND LP CENTRAL INDEX KEY: 0001043565 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 133937275 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-50735 FILM NUMBER: 201091665 BUSINESS ADDRESS: STREET 1: C/O CERES MANAGED FUTURES LLC STREET 2: 522 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 855-672-4468 MAIL ADDRESS: STREET 1: C/O CERES MANAGED FUTURES LLC STREET 2: 522 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BARNEY POTOMAC FUTURES FUND LP DATE OF NAME CHANGE: 19970806 10-Q 1 d926357d10q.htm 10-Q 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2020

OR (  ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to         

Commission File Number 000-50735

POTOMAC FUTURES FUND L.P.

 

(Exact name of registrant as specified in its charter)

 

New York   13-3937275
(State or other jurisdiction of   (I.R.S. Employer
incorporation or organization)   Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

 

(Address of principal executive offices) (Zip Code)

(855) 672-4468

 

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

 

Title of each class   Trading Symbol(s)   Name of each exchange on which registered
N/A   N/A   N/A

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X    No     

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes X    No     

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer          Accelerated filer         Non-accelerated filer X
Smaller reporting company           Emerging growth company       

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.     

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes        No X

As of July 31, 2020, 20,194.0158 Limited Partnership Class A Redeemable Units were outstanding and 22.3230 Limited Partnership Class Z Redeemable Units were outstanding.

 


PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Potomac Futures Fund L.P.

Statements of Financial Condition

 

     June 30,
2020
(Unaudited)
  December 31,
2019

Assets:

    

Equity in trading account:

    

Unrestricted cash

    $ 21,106,254      $ 25,418,567  

Restricted cash

     7,565,621       10,484,390  

Net unrealized appreciation on open futures contracts

     304,193       -    
  

 

 

 

 

 

 

 

Total equity in trading account

     28,976,068       35,902,957  
  

 

 

 

 

 

 

 

Interest receivable

     2,441       38,067  
  

 

 

 

 

 

 

 

Total assets

    $         28,978,509      $         35,941,024  
  

 

 

 

 

 

 

 

Liabilities and Partners’ Capital:

    

Liabilities:

    

Net unrealized depreciation on open futures contracts

    $ -        $ 446,009  

Net unrealized depreciation on open forward contracts

     507,789       681,111  

Accrued expenses:

    

Ongoing selling agent fees

     46,757       57,335  

Management fees

     35,353       43,144  

General Partner fees

     21,212       25,886  

Professional fees

     141,817       241,545  

Redemptions payable to Limited Partners

     339,164       267,526  
  

 

 

 

 

 

 

 

Total liabilities

     1,092,092       1,762,556  
  

 

 

 

 

 

 

 

Partners’ Capital:

    

General Partner, Class Z, 412.4990 Redeemable Units outstanding at June 30, 2020 and December 31, 2019

     392,323       388,047  

Limited Partners, Class Z, 22.3230 Redeemable Units outstanding at June 30, 2020 and December 31, 2019

     21,231       21,000  

Limited Partners, Class A, 20,968.7808 and 25,797.7368 Redeemable Units outstanding at June 30, 2020 and December 31, 2019, respectively

     27,472,863       33,769,421  
  

 

 

 

 

 

 

 

Total partners’ capital (net asset value)

     27,886,417       34,178,468  
  

 

 

 

 

 

 

 

Total liabilities and partners’ capital

    $ 28,978,509      $ 35,941,024  
  

 

 

 

 

 

 

 

Net asset value per Redeemable Unit:

    

Class A

    $ 1,310.18      $ 1,309.01  
  

 

 

 

 

 

 

 

Class Z

    $ 951.09       $ 940.72   
  

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

1


Potomac Futures Fund L.P.

Condensed Schedule of Investments

June 30, 2020

(Unaudited)

 

    Notional ($)/Number
of Contracts
    Fair Value   % of Partners’
Capital
 

Futures Contracts Purchased

     

Indices

    87      $ (18,623)       (0.07)   % 

Interest Rates U.S.

    294       78,959        0.28   

Interest Rates Non-U.S.

    880       194,935        0.70   

Metals

    29       59,175        0.21   

Softs

    3       (5,830)       (0.01)  
   

 

 

 

 

 

 

 

Total futures contracts purchased

      308,616        1.11   
   

 

 

 

 

 

 

 

Futures Contracts Sold

     

Energy

    139       83,846        0.30   

Grains

    382       (44,201)       (0.16)  

Indices

    59       (3,132)       (0.01)  

Interest Rates Non-U.S.

    119       (13,807)       (0.05)  

Livestock

    5       (3,718)       (0.01)  

Metals

    1       (2,190)       (0.01)  

Softs

    56       (21,221)       (0.08)  
   

 

 

 

 

 

 

 

Total futures contracts sold

      (4,423)       (0.02)  
   

 

 

 

 

 

 

 

Net unrealized appreciation on open futures contracts

     $ 304,193        1.09    % 
   

 

 

 

 

 

 

 

Unrealized Appreciation on Open Forward Contracts

     

Currencies

   $ 111,833,980      $ 926,912        3.32    % 

Metals

    149       426,713        1.53   
   

 

 

 

 

 

 

 

Total unrealized appreciation on open forward contracts

      1,353,625        4.85   
   

 

 

 

 

 

 

 

Unrealized Depreciation on Open Forward Contracts

     

Currencies

   $ 115,284,453       (1,228,781)       (4.40)  

Metals

    232       (632,633)       (2.27)  
   

 

 

 

 

 

 

 

Total unrealized depreciation on open forward contracts

      (1,861,414)        (6.67)  
   

 

 

 

 

 

 

 

Net unrealized depreciation on open forward contracts

     $ (507,789)       (1.82)   % 
   

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

2


Potomac Futures Fund L.P.

Condensed Schedule of Investments

December 31, 2019

 

    Notional ($)/
Number of
Contracts
    Fair Value     % of Partners’
Capital
 

Futures Contracts Purchased

     

Energy

    126      $ 132,267        0.39    % 

Grains

    97       11,742        0.03   

Indices

    302       33,970        0.10   

Interest Rates U.S.

    326       (8,797)       (0.03)  

Interest Rates Non-U.S.

    1,593       (640,186)       (1.87)  

Metals

    34       136,400                0.40   

Softs

    7       700        0.00    * 
   

 

 

   

 

 

 

Total futures contracts purchased

      (333,904)       (0.98)  
   

 

 

   

 

 

 

Futures Contracts Sold

     

Energy

    124       66,510        0.19   

Grains

    100       (184,878)       (0.53)  

Indices

    37       8,643        0.03   

Interest Rates U.S.

    77       27,782        0.08   

Interest Rates Non-U.S.

    245       110,563        0.32   

Livestock

    40       (12,430)       (0.04)  

Metals

    14       1,063        0.00    * 

Softs

    103       (129,358)       (0.37)  
   

 

 

   

 

 

 

Total futures contracts sold

      (112,105)       (0.32)  
   

 

 

   

 

 

 

Net unrealized depreciation on open futures contracts

           $ (446,009)       (1.30)   % 
   

 

 

   

 

 

 

Unrealized Appreciation on Open Forward Contracts

     

Currencies

   $         172,288,041      $ 2,642,228        7.74    % 

Metals

    137       442,448        1.29   
   

 

 

   

 

 

 

Total unrealized appreciation on open forward contracts

              3,084,676        9.03   
   

 

 

   

 

 

 

Unrealized Depreciation on Open Forward Contracts

     

Currencies

   $ 185,693,020      $ (2,938,180)       (8.60)  

Metals

    235       (827,607)       (2.42)  
   

 

 

   

 

 

 

Total unrealized depreciation on open forward contracts

      (3,765,787)       (11.02)  
   

 

 

   

 

 

 

Net unrealized depreciation on open forward contracts

     $ (681,111)       (1.99)   % 
   

 

 

   

 

 

 

 

*

Due to rounding.

 

See accompanying notes to financial statements.

 

3


Potomac Futures Fund L.P.

Statements of Income and Expenses

(Unaudited)

 

    Three Months Ended
June 30,
  Six Months Ended
June 30,
    2020   2019   2020   2019

Investment Income:

       

  Interest income

   $ 7,688      $ 199,091      $ 101,792      $ 386,595  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment income

    7,688       199,091       101,792       386,595  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses:

       

  Clearing fees related to direct investments

    39,664       62,461       100,771       120,400  

  Ongoing selling agent fees

    152,764       187,536       332,529       372,363  

  Management fees

    115,370       141,546       250,856       281,275  

  General Partner fees

    69,222       84,927       150,514       168,765  

  Professional fees

    9,500       64,489       9,500       141,325  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

    386,520       540,959       844,170       1,084,128  

  Expenses borne by the General Partner

    -         (20,314     -         (51,156
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net expenses

    386,520       520,645       844,170       1,032,972  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss

    (378,832     (321,554     (742,378     (646,377
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading Results:

       

Net gains (losses) on trading of commodity interests:

       

  Net realized gains (losses) on closed contracts

    845,985       2,781,868       185,940       3,770,655  

  Net change in unrealized gains (losses) on open contracts

    (2,334,777     (396,837     923,319       113,361  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total trading results

    (1,488,792     2,385,031       1,109,259       3,884,016  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss)

   $ (1,867,624    $ 2,063,477      $ 366,881      $ 3,237,639  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per Redeemable Unit *:

       

  Class A

   $ (84.33    $ 71.99      $ 1.17      $ 111.95  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  Class Z

   $ (56.14    $ 55.75      $ 10.37      $ 88.40  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average Redeemable Units outstanding:

       

  Class A

    22,451.3521       28,451.4631       24,001.1681       29,138.4600  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  Class Z

    434.8220        500.6847        434.8220        540.3633   
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

* Represents the change in net asset value per Redeemable Unit during the period.

 

See accompanying notes to financial statements.

 

4


Potomac Futures Fund L.P.

Statements of Changes in Partners’ Capital

For the Three and Six Months Ended June 30, 2020 and 2019

(Unaudited)

 

     Class A   Class Z   Total
     Amount   Redeemable
Units
  Amount   Redeemable
Units
  Amount   Redeemable
Units

Partners’ Capital, December 31, 2018

     $ 16,975,265       13,800.2198       $ 213,492       246.4190       $ 17,188,757       14,046.6388  

Subscriptions - General Partner

     -         -         269,705       311.3000       269,705       311.3000  

Subscriptions - Limited Partners

     20,370,031       16,558.7600       19,340       22.3230       20,389,371       16,581.0830  

Redemptions - General Partner

     -         -         (135,005     (145.2200     (135,005     (145.2200

Redemptions - Limited Partners

     (3,506,529     (2,767.1290     -         -         (3,506,529     (2,767.1290

Net income (loss)

     3,190,014       -         47,625       -         3,237,639       -    
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2019

     $ 37,028,781       27,591.8508       $ 415,157       434.8220       $ 37,443,938       28,026.6728  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, March 31, 2019

     $ 36,691,472       28,890.3478       $ 521,473       580.0420       $ 37,212,945       29,470.3898  

Subscriptions - Limited Partners

     35,000       27.1550       -         -         35,000       27.1550  

Redemptions - General Partner

     -         -         (135,005     (145.2200     (135,005     (145.2200

Redemptions - Limited Partners

     (1,732,479     (1,325.6520     -         -         (1,732,479     (1,325.6520

Net income (loss)

     2,034,788       -         28,689       -         2,063,477       -    
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2019

     $ 37,028,781       27,591.8508       $ 415,157       434.8220       $ 37,443,938       28,026.6728  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Class A   Class Z   Total
     Amount   Redeemable
Units
  Amount   Redeemable
Units
  Amount   Redeemable
Units

Partners’ Capital, December 31, 2019

     $ 33,769,421       25,797.7368       $ 409,047       434.8220     $ 34,178,468       26,232.5588  

Redemptions - Limited Partners

     (6,658,932     (4,828.9560     -         -         (6,658,932     (4,828.9560

Net income (loss)

     362,374       -         4,507       -         366,881       -    
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2020

     $ 27,472,863       20,968.7808       $ 413,554       434.8220       $ 27,886,417       21,403.6028  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, March 31, 2020

     $ 34,241,723       24,554.6788       $ 437,964       434.8220       $ 34,679,687       24,989.5008  

Redemptions - Limited Partners

     (4,925,646     (3,585.8980     -         -         (4,925,646     (3,585.8980

Net income (loss)

     (1,843,214     -         (24,410     -         (1,867,624     -    
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2020

     $   27,472,863        20,968.7808        $ 413,554        434.8220        $   27,886,417        21,403.6028   
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

5


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

1.

Organization:

Potomac Futures Fund L.P. (the “Partnership”) is a limited partnership organized on March 14, 1997 under the partnership laws of the State of New York to engage, directly and indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The Partnership commenced trading operations on October 1, 1997. The commodity interests traded directly by the Partnership are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership is authorized to sell an unlimited number of redeemable units of limited partnership interest (“Redeemable Units”). The Partnership privately and continuously offers Redeemable Units in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. All trading decisions for the Partnership are made by Campbell & Company, LP (the “Advisor”).

During the reporting periods ended June 30, 2020 and 2019, the Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant.

As of March 22, 2016, the Partnership began offering two classes of limited partnership interests, Class A Redeemable Units and Class Z Redeemable Units. All Redeemable Units issued prior to February 29, 2016 were deemed “Class A Redeemable Units.” The rights, liabilities, risks, and fees associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and non-U.S. investors. Class Z Redeemable Units were first issued on July 1, 2016 at $1,000 per Redeemable Unit. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and may also be offered to certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units are identical, except that Class Z Redeemable Units are not subject to monthly ongoing selling agent fees.

As of July 17, 2017, the Advisor commenced trading the Partnership’s assets directly pursuant to the Campbell Managed Futures Portfolio, a proprietary, systematic trading program.

The General Partner is not aware of any material changes to the trading program other than as discussed above during the fiscal quarter ended June 30, 2020.

The Partnership’s trading of futures, forward, swap and option contracts, if applicable, on commodities are done primarily on U.S. and foreign commodity exchanges. The Partnership engages in such trading through commodity brokerage accounts maintained with MS&Co.

The Partnership has entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&Co. The Partnership pays MS&Co. (or will reimburse MS&Co., if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”).

 

6


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

The Partnership has also entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management received a monthly ongoing selling agent fee equal to 2.0% per year of the Partnership’s adjusted month-end net assets for Class A Redeemable Units. Class Z Redeemable Units are not subject to the ongoing selling agent fee. The ongoing selling agent fee received by Morgan Stanley Wealth Management will be shared with the properly registered/licensed financial advisors of Morgan Stanley Wealth Management who sell Class A Redeemable Units in the Partnership.

Effective January 1, 2019, the General Partner fee was reduced to 1/12 of 0.90% (0.90% per year) of month-end adjusted Net Assets per Class.

Effective January 1, 2017, the General Partner instituted a cap on the Partnership’s operating expenses such that the General Partner will be responsible for any such expenses to the extent they exceed 0.50% of the Partnership’s net assets in any calendar year.

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.

 

2.

Basis of Presentation and Summary of Significant Accounting Policies:

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at June 30, 2020, the results of its operations and the changes in partners’ capital for the three and six months ended June 30, 2020 and 2019. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2019. The December 31, 2019 information has been derived from the audited financial statements as of and for the year ended December 31, 2019.

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. The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material.

Profit Allocation. The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions, redemptions and losses, if any.

Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended June 30, 2020 and 2019, the Partnership carried no debt and substantially all of the Partnership’s investments were carried at fair value and classified as Level 1 and Level 2 measurements.

Partnership’s Investments. The valuation of the Partnership’s investments, including the classification within the fair value hierarchy of the investments held by the Partnership, are described in Note 5, “Fair Value Measurements.”

 

7


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

All commodity interests of the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests for the Partnership are recorded on the trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. The Partnership’s investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses for the Partnership are realized when contracts are liquidated and are determined using the first-in, first-out method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s Statements of Income and Expenses.

The Partnership does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s Statements of Income and Expenses.

Partnership’s Cash. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At June 30, 2020 and December 31, 2019, the amount of cash held for margin requirements was $7,565,621 and $10,484,390, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $(62,300) (proceeds of $62,291) at June 30, 2020 and $308,671 (cost of $308,475) at December 31, 2019.

Income Taxes. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “Income Taxes,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the more-likely-than-not threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Partnership’s Statements of Income and Expenses in the period in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2016 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status. The Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Accounting Standards Update 2013-08 “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.

Net Income (Loss) per Redeemable Unit. Net income (loss) per Redeemable Unit for each Class is calculated in accordance with ASC 946, “Financial Services – Investment Companies.” See Note 3, “Financial Highlights.”

There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2019.

 

8


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

3.

Financial Highlights:

Financial highlights for the limited partner class as a whole for the three and six months ended June 30, 2020 and 2019 were as follows:

 

    Three Months Ended
June 30,
    Six Months Ended
June 30,
 
    2020     2019     2020     2019  
    Class A     Class Z     Class A     Class Z     Class A     Class Z     Class A     Class Z  
Per Redeemable Unit Performance (for a unit oustanding throughout the period): *                
Net realized and unrealized gains (losses)    $ (67.60)      $ (48.93)      $ 83.23       $ 59.03       $ 31.88       $ 22.71       $ 134.01       $ 94.95   
Net investment loss     (16.73)       (7.21)       (11.24)       (3.28)       (30.71)       (12.34)       (22.06)       (6.55)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Increase (decrease) for the period     (84.33)       (56.14)       71.99        55.75        1.17        10.37        111.95        88.40   
Net asset value per Redeemable Unit, beginning of period         1,394.51            1,007.23            1,270.03            899.03            1,309.01            940.72            1,230.07            866.38   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Net asset value per Redeemable Unit, end of period    $ 1,310.18       $ 951.09       $ 1,342.02       $ 954.78       $ 1,310.18       $ 951.09       $ 1,342.02       $ 954.78   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    Three Months Ended
June 30,
    Six Months Ended
June 30,
 
    2020     2019     2020     2019  
    Class A     Class Z     Class A     Class Z     Class A     Class Z     Class A     Class Z  
Ratios to Average Limited Partners’ Capital: **                

Net investment loss ***

    (5.0)      (2.9)      (3.5)      (1.4)      (4.6)      (2.5)      (3.6)      (1.5) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Operating expenses before expenses borne by the General                
Partner and incentive fees     5.1       3.0       5.9       3.8       5.2       3.1       5.9       3.8  

Expenses borne by the General Partner

    -         -         (0.2)      (0.2)      -         -         (0.3)      (0.3) 

Incentive fees

    -         -         -         -         -         -         -         -    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Operating expenses after expenses borne by the General Partner and incentive fees     5.1       3.0       5.7       3.6       5.2       3.1       5.6       3.5  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total return:                

Total return before incentive fees

    (6.0)      (5.6)      5.7       6.2       0.1       1.1       9.1       10.2  

Incentive fees

    -         -         -         -         -         -         -         -    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

    (6.0)      (5.6)      5.7       6.2       0.1       1.1       9.1       10.2  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

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 (other than incentive fees).

 

***

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.

 

4.

Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The Partnership’s results of trading activities are shown on the Statements of Income and Expenses.

The futures brokerage account agreements and foreign exchange brokerage account agreement with MS&Co. give the Partnership the legal right to net unrealized gains and losses on open futures and forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” have been met.

 

9


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

Trading and transaction fees are based on the number of trades executed by the Advisor. All clearing fees paid to MS&Co. for direct trading are directly charged to the Partnership.

All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded by the Partnership during the three months ended June 30, 2020 and 2019 were 2,015 and 3,643, respectively. The monthly average number of futures contracts traded by the Partnership during the six months ended June 30, 2020 and 2019 were 2,093 and 3,516, respectively. The monthly average number of metals forward contracts traded by the Partnership during the three months ended June 30, 2020 and 2019 were 567 and 495, respectively. The monthly average number of metals forward contracts traded by the Partnership during the six months ended June 30, 2020 and 2019 were 572 and 428, respectively. The monthly average notional values of currency forward contracts traded by the Partnership during the three months ended June 30, 2020 and 2019 were $317,819,336 and $760,666,346, respectively. The monthly average notional values of currency forward contracts traded by the Partnership during the six months ended June 30, 2020 and 2019 were $420,818,478 and $669,368,344, respectively.

The following tables summarize the gross and net amounts relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of June 30, 2020 and December 31, 2019, respectively.

 

            Gross Amounts
Offset in the
     Amounts
Presented in the
     Gross Amounts Not Offset in the
Statements of Financial Condition
        
            Statements of      Statements of             Cash Collateral         
     Gross Amounts      Financial      Financial      Financial      Received/         

June 30, 2020

   Recognized      Condition      Condition      Instruments      Pledged*      Net Amount  

Assets

                 

Futures

    $ 598,822        $ (294,629)       $ 304,193        $  -         $ -         $ 304,193   

Forwards

     1,353,625         (1,353,625)        -          -          -          -    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    $ 1,952,447        $ (1,648,254)       $ 304,193        $ -         $ -         $ 304,193   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

                       

Futures

    $ (294,629)       $ 294,629        $ -         $ -         $ -         $ -    

Forwards

     (1,861,414)        1,353,625         (507,789)        -          507,789         -    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    $ (2,156,043)       $ 1,648,254        $ (507,789)       $ -        $ 507,789        $ -    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net fair value

                   $ 304,193  
                 

 

 

 
            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/         

December 31, 2019

   Recognized      Condition      Condition      Instruments      Pledged*      Net Amount  

Assets

                 

Futures

    $ 757,718        $ (757,718)       $ -         $ -         $ -         $ -    

Forwards

     3,084,676         (3,084,676)        -          -          -          -    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    $ 3,842,394        $ (3,842,394)       $ -         $ -         $ -         $ -    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

                 

Futures

    $ (1,203,727)       $ 757,718        $ (446,009)       $ -         $ 446,009        $ -    

Forwards

     (3,765,787)        3,084,676         (681,111)        -          681,111         -    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    $ (4,969,514)       $ 3,842,394        $ (1,127,120)       $ -         $ 1,127,120        $ -    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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 Partnership’s 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.

 

10


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities for the Partnership as of June 30, 2020 and December 31, 2019, respectively.

 

Assets    June 30, 2020  

Futures Contracts

  

Energy

    $ 116,235   

Grains

     44,971   

Indices

     79,138   

Interest Rates U.S.

     79,861   

Interest Rates Non-U.S.

     218,030   

Livestock

     610   

Metals

     59,235   

Softs

     742   
  

 

 

 

Total unrealized appreciation on open futures contracts

                     598,822   
  

 

 

 

Liabilities

  

Futures Contracts

  

Energy

     (32,389)  

Grains

     (89,172)  

Indices

     (100,893)  

Interest Rates U.S.

     (902)  

Interest Rates Non-U.S.

     (36,902)  

Livestock

     (4,328)  

Metals

     (2,250)  

Softs

     (27,793)  
  

 

 

 

Total unrealized depreciation on open futures contracts

     (294,629)  
  

 

 

 

Net unrealized appreciation on open futures contracts

    $ 304,193    * 
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

    $ 926,912   

Metals

     426,713   
  

 

 

 

Total unrealized appreciation on open forward contracts

     1,353,625   
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

     (1,228,781)  

Metals

     (632,633)  
  

 

 

 

Total unrealized depreciation on open forward contracts

     (1,861,414)  
  

 

 

 

Net unrealized depreciation on open forward contracts

    $ (507,789)   ** 
  

 

 

 

 

  *

This amount is in “Net unrealized appreciation on open futures contracts” in the Partnership’s Statements of Financial Condition.

 

  **

This amount is in “Net unrealized depreciation on open forward contracts” in the Partnership’s Statements of Financial Condition.

 

11


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

Assets      December 31, 2019    

Futures Contracts

  

Energy

    $ 222,120   

Grains

     15,267   

Indices

     167,959   

Interest Rates U.S.

     54,968   

Interest Rates Non-U.S.

     150,708   

Livestock

     2,320   

Metals

     142,058   

Softs

     2,318   
  

 

 

 

Total unrealized appreciation on open futures contracts

                     757,718   
  

 

 

 

Liabilities

  

Futures Contracts

  

Energy

     (23,343)  

Grains

     (188,403)  

Indices

     (125,346)  

Interest Rates U.S.

     (35,983)  

Interest Rates Non-U.S.

     (680,331)  

Livestock

     (14,750)  

Metals

     (4,595)  

Softs

     (130,976)  
  

 

 

 

Total unrealized depreciation on open futures contracts

     (1,203,727)  
  

 

 

 

Net unrealized depreciation on open futures contracts

    $ (446,009)   * 
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

    $ 2,642,228   

Metals

     442,448   
  

 

 

 

Total unrealized appreciation on open forward contracts

     3,084,676   
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

     (2,938,180)  

Metals

     (827,607)  
  

 

 

 

Total unrealized depreciation on open forward contracts

     (3,765,787)  
  

 

 

 

Net unrealized depreciation on open forward contracts

    $ (681,111)   ** 
  

 

 

 

 

  *

This amount is in “Net unrealized depreciation on open futures contracts” in the Partnership’s Statements of Financial Condition.

 

  **

This amount is in “Net unrealized depreciation on open forward contracts” in the Partnership’s Statements of Financial Condition.

 

12


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2020 and 2019, respectively.

 

    Three Months Ended June 30,     Six Months Ended June 30,  

Sector

  2020     2019     2020     2019  

Currencies

   $ (1,103,291)      $ (356,252)      $ 1,353,347      $ (771,454)  

Energy

    (107,430)       40,156        920,944        (447,741)  

Grains

    (220,618)       (796,003)       (177,961)       (421,397)  

Indices

    16,401        1,126,739        (4,176,450)       1,924,992   

Interest Rates U.S.

            163,178        493,918        436,693        922,219   

Interest Rates Non-U.S.

    (38,073)               1,997,620                1,597,323                3,283,904   

Livestock

    25,528        158,235        524,883        110,752   

Metals

    (150,853)       (341,991)       904,128        (572,456)  

Softs

    (73,634)       62,609        (273,648)       (144,803)  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $ (1,488,792)  ***     $ 2,385,031  ***     $ 1,109,259  ***      3,884,016  *** 
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

***

This amount is in “Total trading results” in the Partnership’s Statements of Income and Expenses.

 

5.

Fair Value Measurements:

Partnership’s Fair Value Measurements. Fair value is defined as the value that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Partnership considers prices for commodity futures, exchange-traded swap and option 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, non-exchange-traded forward, swap and certain option contracts for which market quotations are or were not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the period ended June 30, 2020 and as of December 31, 2019, the Partnership did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).

 

13


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

June 30, 2020

  Total   Level 1   Level 2   Level 3  

Assets

       

Futures

   $ 598,822      $ 598,822      $ -        $ -    

Forwards

    1,353,625       -         1,353,625       -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total assets

   $ 1,952,447      $ 598,822      $ 1,353,625      $ -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

       

Futures

   $ 294,629      $ 294,629      $ -        $ -    

Forwards

    1,861,414       -         1,861,414                           -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total liabilities

   $ 2,156,043      $ 294,629      $ 1,861,414      $ -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

  Total   Level 1   Level 2   Level 3  

Assets

       

Futures

   $ 757,718      $ 757,718      $ -        $ -    

Forwards

                3,084,676       -                     3,084,676       -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total assets

   $ 3,842,394      $              757,718      $ 3,084,676      $ -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

       

Futures

   $ 1,203,727      $ 1,203,727      $ -        $ -    

Forwards

    3,765,787       -         3,765,787       -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total liabilities

   $ 4,969,514       $ 1,203,727       $ 3,765,787       $ -    
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6.

Financial Instrument Risks:

In the normal course of business, the Partnership is party to financial instruments with off-balance-sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.0% to 53.3% of the Partnership’s contracts are traded OTC.

Futures Contracts. The Partnership trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership, each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded by the Partnership as unrealized gains or losses. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Partnership’s Statements of Income and Expenses.

 

14


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily by the Partnership, and the Partnership’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Partnership’s Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Partnership’s Statements of Income and Expenses.

London Metal Exchange Forward Contracts. Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. LME contracts traded by the Partnership are cash settled based on prompt dates published by the LME. Variation margin may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded by the Partnership as unrealized gains or losses. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Partnership’s Statements of Income and Expenses.

Market risk is the potential for changes in the value of the financial instruments that are traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. The Partnership’s market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are or were traded. The Partnership is exposed to market risk equal to the value of the futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The risk of loss in the event of a counterparty default for the Partnership is typically limited to the amounts recognized in the Statements of Financial Condition and is not, for the Partnership, represented by the contract or notional amounts of the instruments. The risk of loss for the Partnership is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as MS&Co. or an MS&Co. affiliate is the sole counterparty or broker with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments for the Partnership is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to mitigate the Partnership’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 may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The 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 result 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 business, these instruments may not be held to maturity.

In the ordinary course of business, the Partnership enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership. The General Partner considers the risk of any future obligation relating to these indemnifications to be remote.

 

15


Potomac Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

 

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, other than disclosed below requiring adjustment to or disclosure in the financial statements.

Effective July 1, 2020, the ongoing selling agent fee paid by the Partnership to Morgan Stanley Wealth Management was reduced for Class A Redeemable Unit holders from an annual rate of 2.00% of the adjusted net assets of Class A Redeemable Units to an annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units.

Additionally, effective July 1, 2020, the general partner administrative fee paid by the Partnership to the General Partner was reduced for all limited partners from a monthly rate of 1/12th of 0.90% of month-end adjusted net assets per class to a monthly rate of 1/12th of 0.75% of month-end adjusted net assets per class.

 

16


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. The Partnership’s only assets are its (i) equity in trading accounts, consisting of unrestricted cash, restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts and investment in U.S. Treasury bills at fair value, if applicable, (ii) receivable from the General Partner and (iii) 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. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the second quarter of 2020.

The Partnership’s investment in futures, forwards and options 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 from promptly liquidating its futures or option contracts and result in restrictions on redemptions.

There is no limitation on daily price movements in trading forwards contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership from trading in potentially profitable markets or prevent the Partnership 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 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 Partnership knows of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnership’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, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2020, the Partnership’s capital decreased 18.4% from $34,178,468 to $27,886,417. This decrease was attributable to redemptions of 4,828.9560 Class A Redeemable Units totaling $6,658,932, which were offset by net income of $366,881. Future redemptions can 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 expenses during the reporting period. As a result, actual results could differ from these 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.

The Partnership 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 changes in unrealized gains (losses) in the Statements of Income and Expenses.

 

17


Results of Operations

During the Partnership’s second quarter of 2020, the net asset value per Class A Redeemable Unit decreased 6.0% from $1,394.51 to $1,310.18, as compared to an increase of 5.7% in the second quarter of 2019. During the Partnership’s second quarter of 2020, the net asset value per Class Z Redeemable Unit decreased 5.6% from $1,007.23 to $951.09, as compared to an increase of 6.2% in the second quarter of 2019. The Partnership experienced a net trading loss before fees and expenses in the second quarter of 2020 of $1,488,792. Losses were primarily attributable to the Partnership’s trading of commodity futures in currencies, energy, grains, non-U.S. interest rates, metals and softs, and were partially offset by gains in indices, U.S. interest rates and livestock. The Partnership experienced a net trading gain before fees and expenses in the second quarter of 2019 of $2,385,031. Gains were primarily attributable to the Partnership’s trading of commodity futures in energy, indices, U.S. & non-U.S. interest rates, livestock and softs and were partially offset by losses in currencies, grains and metals.

During the second quarter, the most notable losses were recorded from short positions in the Norwegian krone and Australian dollar versus the U.S. dollar as the relative value these “commodity currencies” were broadly supported by risk-on sentiment. Within the agricultural complex, losses were experienced during May and June from short futures positions in corn and soybeans as prices increased due to declining acreage estimates in the U.S. Losses were also recorded within the metals sector during April, May, and June from short positions in base metals as prices climbed higher amid speculation of increased demand from China. Additional losses were incurred during the quarter from futures positions in precious metals. Within the energy markets, losses were incurred during May from short positions in crude oil futures as oil production cuts helped balance global supplies, pushing prices higher. The Partnership’s overall trading losses for the quarter were partially offset by trading gains within global interest rates during May from long futures positions as prices moved higher, reflecting the precarious nature of the economic recovery and escalating Chinese-U.S. trade tensions. Within the global stock index markets, gains were recorded during May and June from long positions in U.S. and Asian equity index futures as stock prices rebounded amid re-emerging demand for risk assets.

During the Partnership’s six months ended June 30, 2020, the net asset value per Class A Redeemable Unit increased 0.1% from $1,309.01 to $1,310.18, as compared to an increase of 9.1% in the six months ended June 30, 2019. During the Partnership’s six months ended June 30, 2020, the net asset value per Class Z Redeemable Unit increased 1.1% from $940.72 to $951.09, as compared to an increase of 10.2% in the six months ended June 30, 2019. The Partnership experienced a net trading gain before fees and expenses in the six months ended June 30, 2020 of $1,109,259. Gains were primarily attributable to the Partnership’s trading of commodity futures in currencies, energy, U.S. & non-U.S. interest rates, livestock and metals and were partially offset by losses in grains, indices and softs. The Partnership experienced a net trading gain before fees and expenses in the six months ended June 30, 2019 of $3,884,016. Gains were primarily attributable to the Partnership’s trading of commodity futures in indices, U.S. & non-U.S. interest rates and livestock and were partially offset by losses in currencies, energy, grains, metals and softs.

During the first six months of the year, the most significant gains were achieve within global interest rates during January, February, and May from long positions in non-U.S. and U.S. fixed income futures as investors sought out safe-haven investments. Gains were recorded within the currency sector throughout the first quarter from short positions in the Australian dollar and Norwegian krone versus the U.S. dollar as concerns from the COVID-19 virus caused investors to shift from commodity-linked currencies to safe-haven currencies. Within the energy complex, gains were experienced during January, February, May, and June from short natural gas futures positions as prices declined due to mild weather across the U.S. and ample supplies. Gains were also experienced in the metals complex throughout the first quarter from short futures positions in industrial metals as prices weakened due to the coronavirus raising concerns about global economic growth and weakening demand. A portion of the Partnership’s trading gains for the first six months of the year was offset by trading losses in the global stock index sector primarily during the first quarter from long positions in Asian, European, and U.S. equity index futures as prices entered into a historic correction as the coronavirus pandemic intensified.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations and rapid inflation increases the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. Price trends are influenced by, among other factors, changing supply and demand relationships, weather, public health epidemics, 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 Advisor is able to identify them, the Partnership expects to increase capital through operations.

 

18


Effective April 1, 2017, interest income is earned on 100% of the average daily equity maintained in cash in the Partnership’s brokerage account at MS&Co. during each month at a rate equal to 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. During the reporting period, any interest earned on the Partnership’s 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 directly on U.S. Treasury bills and money market mutual fund securities owned by the Partnership will be retained by the Partnership. Interest income earned directly for the three and six months ended June 30, 2020 decreased by $191,403 and $284,803, respectively, as compared to the corresponding periods in 2019. The decrease in interest income is primarily due to lower interest rates during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019. 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 Treasury bills and/or money market mutual fund securities held by the Partnership, and (3) interest rates over which the Partnership and MS&Co. have no control.

Certain clearing fees are based on the number of trades executed by the Advisor for the Partnership. Accordingly, they must be compared in relation to the number of trades executed during the periods. Clearing fees related to direct investments for the three and six months ended June 30, 2020 decreased by $22,797 and $19,629, respectively, as compared to the corresponding periods in 2019. The decrease in clearing fees is primarily due to a decrease in the number of direct trades made by the Partnership during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value of Class A Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three and six months ended June 30, 2020 decreased by $34,772 and $39,834, respectively, as compared to the corresponding periods in 2019. The decrease in ongoing selling agent fees is due to a decrease in average net assets attributable to Class A Redeemable Units during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019.

Management fees are calculated as a percentage of the Partnership’s adjusted net assets per Class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in monthly net asset values. Management fees for the three and six months ended June 30, 2020 decreased by $26,176 and $30,419, respectively, as compared to the corresponding periods in 2019. The decrease in management fees is due to a decrease in average net assets per Class during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019.

General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other factors, (i) selecting, appointing and terminating the Partnership’s commodity trading advisor and (ii) monitoring the activities of the commodity trading advisor. These fees are calculated as a percentage of the Partnership’s adjusted net assets per Class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in monthly net asset values. General Partner fees for the three and six months ended June 30, 2020 decreased by $15,705 and $18,251, respectively, as compared to the corresponding periods in 2019. The decrease in General Partner fees is due to a decrease in average net assets per Class during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019.

Incentive fees are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the advisory agreement between the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three and six months ended June 30, 2020 and 2019. The Advisor will not be paid incentive fees until the Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

In allocating substantially all of the assets of the Partnership to the Advisor, the General Partner considers, among other factors, the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time.

For additional disclosures about operational and financial risk related to COVID-19 outbreak, refer to Part II, Item 5. “Other Information.” in the Form 10-Q.

 

19


Item 3. Quantitative and Qualitative Disclosures about Market Risk.

All or substantially all of the Partnership’s assets are subject to the risk of trading loss. The Partnership is a speculative commodity pool. The market sensitive instruments held by the Partnership are acquired for speculative trading purposes. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main lines of business.

The limited partners will not be liable for losses exceeding the current net asset value of their investment.

Market movements for the Partnership result in frequent changes in the fair market value of the Partnership’s open positions and, consequently, in its earnings and cash balances. The market risk for the Partnership is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions and the liquidity of the markets in which the Partnership trades.

The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s past performance is not necessarily indicative of its future results.

Quantifying the Partnership’s Trading Value at Risk

The following quantitative disclosures regarding the Partnership’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, 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 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 earnings and cash flow.

The Partnership’s risk exposure in the market sectors traded by the Advisor 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 the General Partner or the Advisor in their daily risk management activities.

“Value at Risk” is a measure of the maximum amount which the Partnership could be reasonably expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’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 losses in any market sector will be limited to Value at Risk or by the Partnership’s attempts to manage its market risk.

Exchange margin requirements have been used by the Partnership 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 risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the open positions by market category for the Partnership as of June 30, 2020 and December 31, 2019, and the highest, lowest and average value at any point during the three months ended June 30, 2020 and during the twelve months ended December 31, 2019. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2019.

 

20


As of June 30, 2020 the Partnership’s total capitalization was $27,886,417. The Partnership’s Value at Risk as of June 30, 2020 was as follows:

June 30, 2020

 

              Three Months Ended June 30, 2019  

Market Sector

  Value at Risk   % of Total
Capitalization
    High
Value at Risk
    Low
Value at Risk
    Average
Value at Risk *
 

Currencies

   $ 3,698,241       13.26     $ 4,025,870      $ -        $ 1,603,516  

Energy

    425,653       1.53        588,929       142,405       369,530  

Grains

    385,303       1.38        433,565       32,996       172,898  

Indices

    1,122,985       4.03        1,243,037       304,155       668,694  

Interest Rates U.S.

    280,235       1.00        562,593       60,262       328,348  

Interest Rates Non-U.S.

    818,870       2.94                1,553,931               599,692               1,022,688  

Livestock

    21,538       0.08        29,158       3,353       16,459  

Metals

            468,424       1.68        483,609       187,421       317,765  

Softs

    140,182                   0.50        214,819       39,712       123,228  
 

 

 

 

 

 

 

       

Total

   $ 7,361,431        26.40       
 

 

 

 

 

 

 

       

 

*

Average of daily Values at Risk.

As of December 31, 2019, the Partnership’s total capitalization was $34,178,468. The Partnership’s Value at Risk as of December 31, 2019 was as follows:

December 31, 2019

 

              Twelve Months Ended December 31, 2019  

Market Sector

  Value at Risk   % of Total
Capitalization
    High
Value at Risk
    Low
Value at Risk
    Average
Value at Risk *
 

Currencies

   $ 5,093,911       14.90     $ 7,988,094      $ 1,489,334      $ 5,447,951  

Energy

    900,297       2.63        933,299       47,104       272,565  

Grains

    148,635       0.43        508,024       111,576       301,168  

Indices

    1,605,106       4.70        2,310,917       380,758       1,448,106  

Interest Rates U.S.

    122,237       0.36        446,141       80,372       199,928  

Interest Rates Non-U.S.

            1,526,800               4.47                1,736,370               530,523               1,115,595  

Livestock

    79,200       0.23        128,480       3,850       50,285  

Metals

    462,502       1.35        778,685       190,036       469,676  

Softs

    161,845       0.47        363,893       96,281       231,531  
 

 

 

 

 

 

 

       

Total

   $ 10,100,533         29.54       
 

 

 

 

 

 

 

       

 

*

Annual average of month-end Values at Risk.

 

21


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 and Chief Financial Officer (“CFO”) 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 June 30, 2020 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 process during the fiscal quarter ended June 30, 2020 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

 

22


PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which MS&Co. or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.”).

MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, as amended (the “Exchange Act”) which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co. As a consolidated subsidiary of Morgan Stanley, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2019, 2018, 2017, 2016, 2015 and 2014. In addition, MS&Co. annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. We refer you to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2019 Audited Financial Statement.

In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and MS&Co. has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. Each of Morgan Stanley and MS&Co. is also involved, from time to time, in investigations and proceedings by governmental and/or regulatory agencies or self-regulatory organizations, certain of which may result in adverse judgments, fines or penalties. The number of these investigations and proceedings has increased in recent years with regard to many financial services institutions, including Morgan Stanley and MS&Co.

MS&Co. is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036. Among other registrations and memberships, MS&Co. is registered as a futures commission merchant and is a member of the National Futures Association.

During the preceding five years, the following administrative, civil, or criminal actions pending, on appeal or concluded against MS&Co. or any of its principals are material within the meaning of CFTC Rule 4.24(l)(2) or 4.34(k)(2):

 

23


Regulatory and Governmental Matters.

On February 25, 2015, MS&Co. reached an agreement in principle with the United States Department of Justice, Civil Division and the United States Attorney’s Office for the Northern District of California, Civil Division (collectively, the “Civil Division”) to pay $2.6 billion to resolve certain claims that the Civil Division indicated it intended to bring against MS&Co. That settlement was finalized on February 10, 2016.

In October 2014, the Illinois Attorney General’s Office (“ILAG”) sent a letter to MS&Co. alleging that MS&Co. knowingly made misrepresentations related to RMBS purchased by certain pension funds affiliated with the State of Illinois and demanding that MS&Co. pay ILAG approximately $88 million. MS&Co. and ILAG reached an agreement to resolve the matter on February 10, 2016.

On January 13, 2015, the New York Attorney General’s Office (“NYAG”), which is also a member of the RMBS Working Group, indicated that it intended to file a lawsuit related to approximately 30 subprime securitizations sponsored by MS&Co. NYAG indicated that the lawsuit would allege that MS&Co. misrepresented or omitted material information related to the due diligence, underwriting and valuation of the loans in the securitizations and the properties securing them and indicated that its lawsuit would be brought under the Martin Act. MS&Co. and NYAG reached an agreement to resolve the matter on February 10, 2016.

On April 21, 2015, the Chicago Board Options Exchange, Incorporated (CBOE) and the CBOE Futures Exchange, LLC (CFE) filed statements of charges against MS&Co. in connection with trading by one of MS&Co.’s former traders of EEM options contracts that allegedly disrupted the final settlement price of the November 2012 VXEM futures. CBOE alleged that MS&Co. violated CBOE Rules 4.1, 4.2 and 4.7, Sections 9(a) and 10(b) of the Exchange Act and Rule 10b-5 thereunder. CFE alleged that MS&Co. violated CFE Rules 608, 609 and 620. The matters were resolved on July 12, 2016 and June 28, 2016, respectively, without any findings of fraud. Pursuant to the settlements, MS&Co. was required to pay a $750,000 penalty to the CBOE (for which MS&Co. and an individual were jointly and severally liable) and a $400,000 penalty to the CFE (for which MS&Co. and an individual were jointly and severally liable) and $152,664 in disgorgement.

On August 6, 2015, MS&Co. consented to and became the subject of an order by the CFTC to resolve allegations that MS&Co. violated CFTC Regulation 22.9(a) by failing to hold sufficient U.S. Dollars in cleared swap segregated accounts in the United States to meet all U.S. Dollar obligations to cleared swaps customers. Specifically, the CFTC found that while MS&Co. at all times held sufficient funds in segregation to cover its obligations to its customers, on certain days during 2013 and 2014, it held currencies, such as euros, instead of US dollars, to meet its U.S. dollar obligations. In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to have in place adequate procedures to ensure that it complied with CFTC Regulation 22.9(a). Without admitting or denying the findings or conclusions and without adjudication of any issue of law or fact, MS&Co. accepted and consented to the entry of findings, the imposition of a cease and desist order, a civil monetary penalty of $300,000, and undertakings related to public statements, cooperation, and payment of the monetary penalty.

 

24


On December 20, 2016, MS&Co. consented to and became the subject of an order by the SEC in connection with allegations that MS&Co. willfully violated Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3(e), 17a-5(a), and 17a-5(d) thereunder, by inaccurately calculating its Reserve Account requirement under Rule 15c3-3 by including margin loans to an affiliate in its calculations, which resulted in making inaccurate records and submitting inaccurate reports to the SEC. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. consented to a cease and desist order, a censure, and a civil monetary penalty of $7,500,000.

On September 28, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. regarding violations of CFTC Rule 166.3 by failing to diligently supervise the reconciliation of exchange and clearing fees with the amounts it ultimately charged customers for certain transactions on multiple exchanges. The order and settlement required MS&Co. to pay a $500,000 penalty and cease and desist from violating CFTC Rule 166.3.

On November 2, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. for non-compliance with applicable rules governing Part 17 Large Trader reports to the CFTC. The order requires MS&Co. to pay a $350,000 penalty and cease and desist from further violations of the Commodity Exchange Act.

Civil Litigation

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co., styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint relates to a $275 million credit default swap (“CDS”) referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that MS&Co. misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Co knew that the assets backing the CDO were of poor quality when it entered into the CDS with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the CDS, rescission of CDIB’s obligation to pay an additional $12 million, punitive damages, equitable relief, fees and costs. On February 28, 2011, the court denied MS&Co.’s motion to dismiss the complaint. On June 27, 2018, MS&Co. filed a motion for summary judgment and spoliation sanctions against CDIB. On December 21, 2018, the court denied MS&Co.’s motion for summary judgment and granted in part MS&Co.’s motion for sanctions relating to spoliation of evidence. On January 24, 2019, CDIB filed a notice of appeal from the court’s December 21, 2018 order, and on January 25, 2019, MS&Co. filed a notice of appeal from the same order. On March 7, 2019, the court denied the relief that CDIB sought in a motion to clarify and resettle the portion of the court’s December 21, 2018 order granting spoliation sanctions. On May 21, 2020, the Appellate Division, First Department (“First Department”) modified the Supreme Court of NY’s order to deny MS&Co.’s motion for summary judgment. On June 19, 2020, MS&Co. moved for leave to appeal the First Department’s decision to the New York Court of Appeals. Based on currently available information, MS&Co. believes it could incur a loss in this action of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.

 

25


On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against MS&Co. and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleges that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by MS&Co. at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiff’s purchase of such certificates. The defendants filed a motion to dismiss the corrected amended complaint on May 27, 2011, which was denied on September 19, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. On January 18, 2017, the court entered an order dismissing all claims related to an additional securitization at issue. After those dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $65 million. At December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $35 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $35 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On May 17, 2013, plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $133 million. The complaint alleges causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part MS&Co.’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $116 million. On August 11, 2016, the First Department affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. At December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $22 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $22 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

 

26


In August of 2017, MS&Co. was named as a defendant in a purported antitrust class action in the United States District Court for the United States District Court for the Southern District of New York styled Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation et al. Plaintiffs allege, inter alia, that MS&Co., together with a number of other financial institution defendants, violated U.S. antitrust laws and New York state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The class action complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the defendants. The class action complaint seeks, among other relief, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the class action complaint.

Settled Civil Litigation

On December 23, 2009, the Federal Home Loan Bank of Seattle filed a complaint against MS&Co. and another defendant in the Superior Court of the State of Washington, styled Federal Home Loan Bank of Seattle v. Morgan Stanley & Co. Inc., et al. The amended complaint, filed on September 28, 2010, alleged that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $233 million. The complaint raised claims under the Washington State Securities Act and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On January 23, 2017, the parties reached an agreement to settle the litigation.

On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al. An amended complaint, filed on June 10, 2010, alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $276 million. The complaint raised claims under both the federal securities laws and California law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On December 21, 2016, the parties reached an agreement to settle the litigation.

 

27


On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Superior Court of the State of New Jersey, styled The Prudential Insurance Company of America, et al. v. Morgan Stanley, et al. On October 16, 2012, plaintiffs filed an amended complaint. The amended complaint alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. was approximately $1.073 billion. The amended complaint raised claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud, fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey RICO statute, and includes a claim for treble damages. On January 8, 2016, the parties reached an agreement to settle the litigation.

On February 14, 2013, Bank Hapoalim B.M. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, styled Bank Hapoalim B.M. v. Morgan Stanley et al. The complaint alleged that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $141 million. On July 28, 2015, the parties reached an agreement to settle the litigation, and on August 12, 2015, the plaintiff filed a stipulation of discontinuance with prejudice.

On September 23, 2013, the plaintiff in National Credit Union Administration Board v. Morgan Stanley & Co. Inc., et al. filed a complaint against MS&Co. and certain affiliates in the SDNY. The complaint alleged that defendants made untrue statements of material fact or omitted to state material facts in the sale to the plaintiff of certain mortgage pass-through certificates issued by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiffs in the matter was approximately $417 million. The complaint alleged violations of federal and various state securities laws and sought, among other things, rescissionary and compensatory damages. On November 23, 2015, the parties reached an agreement to settle the matter.

On September 16, 2014, the Virginia Attorney General’s Office filed a civil lawsuit, styled Commonwealth of Virginia ex rel. Integra REC LLC v. Barclays Capital Inc., et al., against MS&Co. and several other defendants in the Circuit Court of the City of Richmond related to RMBS. The lawsuit alleged that MS&Co. and the other defendants knowingly made misrepresentations and omissions related to the loans backing RMBS purchased by the Virginia Retirement System. The complaint asserted claims under the Virginia Fraud Against Taxpayers Act, as well as common law claims of actual and constructive fraud, and sought, among other things, treble damages and civil penalties. On January 6, 2016, the parties reached an agreement to settle the litigation. An order dismissing the action with prejudice was entered on January 28, 2016.

 

28


On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. and other defendants in the Superior Court of the Commonwealth of Massachusetts styled Federal Home Loan Bank of Boston v. Ally Financial, Inc. F/K/A GMAC LLC et al. An amended complaint was filed on June 29, 2012 and alleged that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $385 million. The amended complaint raised claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On November 25, 2013, July 16, 2014, and May 19, 2015, respectively, the plaintiff voluntarily dismissed its claims against MS&Co. with respect to three of the securitizations at issue. After these voluntary dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $332 million. On July 13, 2018, the parties reached an agreement in principle to settle the litigation.

On May 3, 2013, plaintiffs in Deutsche Zentral-Genossenschaftsbank AG et al. v. Morgan Stanley et al. filed a complaint against MS&Co., certain affiliates, and other defendants in the Supreme Court of NY. The complaint alleged that defendants made material misrepresentations and omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $634 million. The complaint alleged causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, negligent misrepresentation, and rescission and sought, among other things, compensatory and punitive damages. On June 26, 2018, the parties entered into an agreement to settle the litigation.

On April 1, 2016, the California Attorney General’s Office filed an action against MS&Co. in California state court styled California v. Morgan Stanley, et al., on behalf of California investors, including the California Public Employees’ Retirement System and the California Teachers’ Retirement System. The complaint alleged that MS&Co. made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV, and asserted violations of the California False Claims Act and other state laws and sought treble damages, civil penalties, disgorgement, and injunctive relief. On April 24, 2019, the parties reached an agreement to settle the litigation.

 

29


Beginning on March 25, 2019, MS&Co. was named as a defendant in a series of putative class action complaints filed in the Southern District of NY, the first of which is styled Alaska Electrical Pension Fund v. BofA Secs., Inc., et al. Each complaint alleged a conspiracy to fix prices and restrain competition in the market for unsecured bonds issued by the following Government-Sponsored Enterprises: the Federal National Mortgage Association; the Federal Home Loan Mortgage Corporation; the Federal Farm Credit Banks Funding Corporation; and the Federal Home Loan Banks. The purported class period for each suit is from January 1, 2012 to June 1, 2018. Each complaint raised a claim under Section 1 of the Sherman Act and sought, among other things, injunctive relief and treble compensatory damages. On May 23, 2019, plaintiffs filed a consolidated amended class action complaint styled In re GSE Bonds Antitrust Litigation, with a purported class period from January 1, 2009 to January 1, 2016. On June 13, 2019, the defendants filed a joint motion to dismiss the consolidated amended complaint. On August 29, 2019, the court denied MS&Co.’s motion to dismiss. On December 15, 2019, MS&Co. and certain other defendants entered into a stipulation of settlement to resolve the action as against each of them in its entirety. On June 16, 2020, the court granted final approval of the settlement.

Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, MS&Co., as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of MS&Co. MS&Co. may establish reserves from time to time in connections with such actions.

 

30


Item 1A. Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2019 and under Part II, Item 1A. “Risk Factors.” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2020.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

For the three months ended June 30, 2020, there were no additional subscriptions of Class A Redeemable Units. Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act of 1933, as amended and Rule 506 of Regulation D promulgated thereunder. Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that Redeemable Units were purchased by accredited investors in a private offering.

Proceeds from the sale of Redeemable Units are used in the trading of commodity interests including futures, option and forward contracts.

The following chart sets forth the purchases of limited partner Redeemable Units for each Class by the Partnership.

 

 Period  

Class A

(a) Total Number

of Redeemable

Units Purchased *

   

Class A

(b) Average

Price Paid per  

Redeemable  

Unit **

   

(c) Total Number of  

Redeemable Units  

Purchased as Part of  

Publicly Announced  

Plans or Programs  

 

(d) Maximum Number (or  

Approximate Dollar Value)  

of Redeemable Units   

that May Yet Be Purchased  

Under the Plans or Programs  

 April 1, 2020 - April 30, 2020

    2,982.9500     $ 1,382.01     N/A   N/A

 May 1, 2020 - May 31, 2020

    344.0800     $ 1,348.57     N/A   N/A

 June 1, 2020 - June 30, 2020

    258.8680     $ 1,310.18     N/A   N/A
      3,585.8980     $ 1,373.62          

 

*

Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

 

  **

Redemptions of Redeemable Units are effected as of the end of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.

Item 3. Defaults Upon Senior Securities. None.

Item 4. Mine Safety Disclosures. Not Applicable.

Item 5. Other Information.

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak that occurred after December 31, 2019 could impact the operations and financial performance of the Partnership investments subsequent to June 30, 2020. The extent of the impact to the financial performance of the Partnership investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. If the financial performance of the Partnership investments is impacted because of these factors for an extended period, the Partnership performance may be adversely affected.

 

31


Item 6. Exhibits.

 

31.1   Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).
31.2   Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) (filed herewith).
32.1   Section 1350 Certification (Certification of President and Director) (filed herewith).
32.2   Section 1350 Certification (Certification of Chief Financial Officer and Director) (filed herewith).
101.INS   XBRL Instance Document.
101.SCH   XBRL Taxonomy Extension Schema Document.
101.CAL   XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB   XBRL Taxonomy Extension Label Linkbase Document.
101.PRE   XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF   XBRL Taxonomy Extension Definition Linkbase Document.

 

32


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.

 

POTOMAC FUTURES FUND L.P.
By:   Ceres Managed Futures LLC
  (General Partner)
By:  

/s/ Patrick T. Egan

  Patrick T. Egan
  President and Director
Date: August 11, 2020
By:  

/s/ Steven Ross

  Steven Ross
  Chief Financial Officer and Director
  (Principal Accounting Officer)
Date: August 11, 2020

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.

 

33

EX-31.1 2 d926357dex311.htm EX-31.1 EX-31.1

Exhibit 31.1

CERTIFICATION

I, Patrick T. Egan, certify that:

 

1.

I have reviewed this Quarterly Report on Form 10-Q of Potomac Futures Fund L.P.;

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

 

  (a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

 

  (d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.

The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  (a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

 

  (b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: August 11, 2020      
     

/s/ Patrick T. Egan

      Patrick T. Egan
      Ceres Managed Futures LLC
      President and Director

 

EX-31.2 3 d926357dex312.htm EX-31.2 EX-31.2

Exhibit 31.2

CERTIFICATION

I, Steven Ross, certify that:

 

1.

I have reviewed this Quarterly Report on Form 10-Q of Potomac Futures Fund L.P.;

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

 

  (a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

 

  (d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.

The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  (a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

 

  (b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: August 11, 2020      
     

/s/ Steven Ross

      Steven Ross
      Ceres Managed Futures LLC
      Chief Financial Officer and Director

 

EX-32.1 4 d926357dex321.htm EX-32.1 EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Potomac Futures Fund L.P. (the “Partnership”) on Form 10-Q for the period ended June 30, 2020, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Patrick T. Egan, President and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

 

  (1)

The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

  (2)

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.

 

/s/ Patrick T. Egan

Patrick T. Egan
Ceres Managed Futures LLC
President and Director
Date: August 11, 2020
EX-32.2 5 d926357dex322.htm EX-32.2 EX-32.2

Exhibit 32.2

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Potomac Futures Fund L.P. (the “Partnership”) on Form 10-Q for the period ended June 30, 2020 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Steven Ross, Chief Financial Officer and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

 

  (1)

The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

  (2)

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.

 

/s/ Steven Ross

Steven Ross
Ceres Managed Futures LLC
Chief Financial Officer and Director
Date: August 11, 2020
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cellspacing="0" style="font-family: 'times new roman'; font-size: 10pt; border-collapse: collapse; border-spacing: 0px;;width:100%;"><tr style="page-break-inside: avoid;"><td style="text-align:left;;vertical-align:top;;width:4%;"><div style="font-weight:bold;display:inline;">1.</div></td><td style="text-align:left;;vertical-align:top;"><div style="font-family: 'times new roman'; font-size: 10pt; margin-top: 0pt; margin-bottom: 0pt; line-height: normal;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Organization: </div></div></div></td></tr></table><div style="clear: both; max-height: 0px;"></div><div style="clear: both; max-height: 0px; background: none;"></div><div style="clear: both; max-height: 0px;"></div><div style="clear: both; max-height: 0px; background: none;"></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;">Potomac Futures Fund L.P. (the &#8220;Partnership&#8221;) is a limited partnership organized on March&#160;14, 1997 under the partnership laws of the State of New York to engage, directly and 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 <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">non-U.S.</div> interest rates, livestock, metals and softs. The Partnership commenced trading operations on October&#160;1, 1997. The commodity interests traded directly by the Partnership are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership&#8217;s assets in United States (&#8220;U.S.&#8221;) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership is authorized to sell an unlimited number of redeemable units of limited partnership interest (&#8220;Redeemable Units&#8221;). The Partnership privately and continuously offers Redeemable Units in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;">Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the &#8220;General Partner&#8221;) and commodity pool operator of the Partnership. The General Partner is a <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">wholly-owned</div> subsidiary of Morgan Stanley Domestic Holdings, Inc. (&#8220;MSD Holdings&#8221;). 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. All trading decisions for the Partnership are made by Campbell&#160;&amp; Company, LP (the &#8220;Advisor&#8221;).</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">During the reporting periods ended June&#160;30, 2020 and 2019, the Partnership&#8217;s commodity broker was Morgan Stanley&#160;&amp; Co. LLC (&#8220;MS&amp;Co.&#8221;), a registered futures commission merchant. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;">As of March&#160;22, 2016, the Partnership began offering two classes of limited partnership interests, Class&#160;A Redeemable Units and Class&#160;Z Redeemable Units. All Redeemable Units issued prior to February&#160;29, 2016 were deemed &#8220;Class&#160;A Redeemable Units.&#8221; The rights, liabilities, risks, and fees associated with investment in Class&#160;A Redeemable Units were not changed. Class&#160;A Redeemable Units and Class&#160;Z Redeemable Units will each be referred to as a &#8220;Class&#8221; and collectively referred to as the &#8220;Classes.&#8221; Class&#160;A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">non-U.S.</div> investors. Class&#160;Z Redeemable Units were first issued on July&#160;1, 2016 at $1,000 per Redeemable Unit. Class&#160;Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (&#8220;Morgan Stanley Wealth Management&#8221;) and may also be offered to certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class&#160;A Redeemable Units and Class&#160;Z Redeemable Units are identical, except that Class&#160;Z Redeemable Units are not subject to monthly ongoing selling agent fees.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">As of July&#160;17, 2017, the Advisor commenced trading the Partnership&#8217;s assets directly pursuant to the Campbell Managed Futures Portfolio, a proprietary, systematic trading program. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">The General Partner is not aware of any material changes to the trading program other than as discussed above during the fiscal quarter ended June&#160;30, 2020. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 10pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">The Partnership&#8217;s trading of futures, forward, swap and option contracts, if applicable, on commodities are done primarily on U.S. and foreign commodity exchanges. The Partnership engages in such trading through commodity brokerage accounts maintained with MS&amp;Co. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 10pt; margin-bottom: 0pt;">The Partnership has entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&amp;Co. The Partnership pays MS&amp;Co. (or will reimburse MS&amp;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, <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">give-up,</div> floor brokerage and National Futures Association fees (collectively, the &#8220;clearing fees&#8221;).</div><div style="font-size: 1px; margin-top: 18px; margin-bottom: 0px;"><div style="font-size: 1px; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">&#160;</div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 0pt; margin-bottom: 0pt;">The Partnership has also entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the &#8220;Selling Agreement&#8221;). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management received a monthly ongoing selling agent fee equal to 2.0% per year of the Partnership&#8217;s adjusted <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">month-end</div> net assets for Class&#160;A Redeemable Units. Class&#160;Z Redeemable Units are not subject to the ongoing selling agent fee. The ongoing selling agent fee received by Morgan Stanley Wealth Management will be shared with the properly registered/licensed financial advisors of Morgan Stanley Wealth Management who sell Class&#160;A Redeemable Units in the Partnership.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;">Effective January&#160;1, 2019, the General Partner fee was reduced to 1/12 of 0.90% (0.90% per year) of <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">month-end</div> adjusted Net Assets per Class.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">Effective January&#160;1, 2017, the General Partner instituted a cap on the Partnership&#8217;s operating expenses such that the General Partner will be responsible for any such expenses to the extent they exceed 0.50% of the Partnership&#8217;s net assets in any calendar year. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">The General Partner has delegated certain administrative functions to SS&amp;C Technologies, Inc., a Delaware corporation, currently doing business as SS&amp;C GlobeOp (the &#8220;Administrator&#8221;). 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. </div></div><table border="0" style="width:100%; table-layout:fixed;" cellspacing="0" cellpadding="0"><tr><td></td></tr></table> <table border="0" cellpadding="0" cellspacing="0" style="font-family: 'times new roman'; font-size: 10pt; border-collapse: collapse; border-spacing: 0px;;width:100%;"><tr style="page-break-inside: avoid;"><td style="text-align:left;;vertical-align:top;;width:4%;"><div style="font-weight:bold;display:inline;">2.</div></td><td style="text-align:left;;vertical-align:top;"><div style="font-family: 'times new roman'; font-size: 10pt; margin-top: 0pt; margin-bottom: 0pt; line-height: normal;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Basis of Presentation and Summary of Significant Accounting Policies: </div></div></div></td></tr></table><div style="clear: both; max-height: 0px;"></div><div style="clear: both; max-height: 0px; background: none;"></div><div style="clear: both; max-height: 0px;"></div><div style="clear: both; max-height: 0px; background: none;"></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;">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&#8217;s financial condition at June&#160;30, 2020, the results of its operations and the changes in partners&#8217; capital for the three and six months ended June&#160;30, 2020 and 2019. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership&#8217;s Annual Report on Form <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">10-K</div> (the &#8220;Form <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">10-K&#8221;)</div> filed with the Securities and Exchange Commission (the &#8220;SEC&#8221;) for the year ended December&#160;31, 2019. The December&#160;31, 2019 information has been derived from the audited financial statements as of and for the year ended December&#160;31, 2019.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">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. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 10pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Use of Estimates.</div> The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (&#8220;GAAP&#8221;) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Profit Allocation.</div> The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions, redemptions and losses, if any. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Statement of Cash Flows.</div> The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (&#8220;ASC&#8221;) 230, <div style="font-style:italic;display:inline;;font-style:italic;display:inline;">&#8220;Statement of Cash Flows.&#8221;</div> The Statements of Changes in Partners&#8217; Capital is included herein, and as of and for the periods ended June&#160;30, 2020 and 2019, the Partnership carried no debt and substantially all of the Partnership&#8217;s investments were carried at fair value and classified as Level&#160;1 and Level&#160;2 measurements. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Partnership&#8217;s Investments.</div> The valuation of the Partnership&#8217;s investments, including the classification within the fair value hierarchy of the investments held by the Partnership, are described in Note 5, &#8220;Fair Value Measurements.&#8221; </div></div><div style="font-size: 1px; margin-top: 18px; margin-bottom: 0px;"><div style="font-size: 1px; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">&#160;</div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 0pt; margin-bottom: 0pt;">All commodity interests of the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests for the Partnership are recorded on the trade date and open contracts are recorded at fair value (as described in Note 5, &#8220;Fair Value Measurements&#8221;) at the measurement date. The Partnership&#8217;s investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses for the Partnership are realized when contracts are liquidated and are determined using the <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">first-in,</div> <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">first-out</div> method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership&#8217;s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership&#8217;s Statements of Income and Expenses.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">The Partnership does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership&#8217;s Statements of Income and Expenses. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Partnership&#8217;s Cash.</div> The Partnership&#8217;s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&amp;Co. At June&#160;30, 2020 and December&#160;31, 2019, the amount of cash held for margin requirements was $7,565,621 and $10,484,390, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership&#8217;s restricted and unrestricted cash includes cash denominated in foreign currencies of $(62,300) (proceeds of $62,291) at June&#160;30, 2020 and $308,671 (cost of $308,475) at December&#160;31, 2019. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Income Taxes.</div> Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership&#8217;s income and expenses. The Partnership follows the guidance of ASC 740, <div style="font-style:italic;display:inline;;font-style:italic;display:inline;">&#8220;Income Taxes,&#8221;</div> which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership&#8217;s tax returns to determine whether the tax positions are <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">&#8220;more-likely-than-not&#8221;</div> of being sustained &#8220;when challenged&#8221; or &#8220;when examined&#8221; by the applicable tax authority. Tax positions determined not to meet the <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">more-likely-than-not</div> threshold would be recorded as a tax benefit or liability in the Partnership&#8217;s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Partnership&#8217;s Statements of Income and Expenses in the period in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2016 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities.</div><div style="text-indent: 5%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt; margin-left: 1%;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Investment Company Status.</div> The Partnership has been deemed to be an investment company since inception. 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These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">over-the-counter</div></div> (&#8220;OTC&#8221;). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.0% to 53.3% of the Partnership&#8217;s contracts are traded OTC.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 10pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Futures Contracts.</div> The Partnership trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or the delivery quantity is something where physical delivery cannot occur (such as the S&amp;P 500 Index), whereby such contract is settled in cash. Payments (&#8220;variation margin&#8221;) may be made or received by the Partnership, each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded by the Partnership as unrealized gains or losses. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Partnership&#8217;s Statements of Income and Expenses. </div></div><div style="font-size: 1px; margin-top: 12px; margin-bottom: 0px;"><div style="font-size: 1px; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">&#160;</div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 0pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">Forward Foreign Currency Contracts.</div> Forward foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily by the Partnership, and the Partnership&#8217;s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Partnership&#8217;s Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Partnership&#8217;s Statements of Income and Expenses. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;;font-style:italic;display:inline;">London Metal Exchange Forward Contracts.</div> Metal contracts traded on the London Metal Exchange (&#8220;LME&#8221;) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. LME contracts traded by the Partnership are cash settled based on prompt dates published by the LME. Variation margin may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded by the Partnership as unrealized gains or losses. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Partnership&#8217;s Statements of Income and Expenses. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">Market risk is the potential for changes in the value of the financial instruments that are traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. The Partnership&#8217;s market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are or were traded. The Partnership is exposed to market risk equal to the value of the futures and forward contracts purchased and unlimited liability on such contracts sold short. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">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 risk of loss in the event of a counterparty default for the Partnership is typically limited to the amounts recognized in the Statements of Financial Condition and is not, for the Partnership, represented by the contract or notional amounts of the instruments. The risk of loss for the Partnership is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as MS&amp;Co. or an MS&amp;Co. affiliate is the sole counterparty or broker with respect to the Partnership&#8217;s assets. Credit risk with respect to exchange-traded instruments for the Partnership is reduced to the extent that, through MS&amp;Co. or an MS&amp;Co. affiliate, the Partnership&#8217;s counterparty is an exchange or clearing organization. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;">The General Partner monitors and attempts to mitigate the Partnership&#8217;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 may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">risk-adjusted</div> performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.</div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership&#8217;s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership&#8217;s business, these instruments may not be held to maturity. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">In the ordinary course of business, the Partnership enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership&#8217;s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership. The General Partner considers the risk of any future obligation relating to these indemnifications to be remote. </div></div><table border="0" style="width:100%; table-layout:fixed;" cellspacing="0" cellpadding="0"><tr><td></td></tr></table> <table border="0" cellpadding="0" cellspacing="0" style="font-family: 'times new roman'; font-size: 10pt; border-collapse: collapse; border-spacing: 0px;;width:100%;"><tr style="page-break-inside: avoid;"><td style="text-align:left;;vertical-align:top;;width:4%;"><div style="font-weight:bold;display:inline;">7.</div></td><td style="text-align:left;;vertical-align:top;"><div style="font-family: 'times new roman'; font-size: 10pt; margin-top: 0pt; margin-bottom: 0pt; line-height: normal;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Subsequent Events: </div></div></div></td></tr></table><div style="clear: both; max-height: 0px;"></div><div style="clear: both; max-height: 0px; background: none;"></div><div style="clear: both; max-height: 0px;"></div><div style="clear: both; max-height: 0px; background: none;"></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 8pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">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, other than disclosed below requiring adjustment to or disclosure in the financial statements. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 10pt; margin-bottom: 0pt;"><div style="font-family: 'times new roman'; font-size: 10pt; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">Effective July&#160;1, 2020, the ongoing selling agent fee paid by the Partnership to Morgan Stanley Wealth Management was reduced for Class&#160;A Redeemable Unit holders from an annual rate of 2.00% of the adjusted net assets of Class&#160;A Redeemable Units to an annual rate of 1.00% of the adjusted net assets of Class&#160;A Redeemable Units. </div></div><div style="text-indent: 4%; font-family: times new roman; font-size: 10pt; margin-top: 10pt; margin-bottom: 0pt;">Additionally, effective July&#160;1, 2020, the general partner administrative fee paid by the Partnership to the General Partner was reduced for all limited partners from a monthly rate of 1/12th of 0.90% of <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">month-end</div> adjusted net assets per class to a monthly rate of 1/12th of 0.75% of <div style="white-space: nowrap; color: rgb(0, 0, 0); letter-spacing: 0px; top: 0px;;display:inline;">month-end</div> adjusted net assets per class.</div><table border="0" style="width:100%; table-layout:fixed;" cellspacing="0" cellpadding="0"><tr><td></td></tr></table> 0.000 0.533 xbrli:shares iso4217:USD xbrli:pure poto:Contract poto:Derivative iso4217:USD xbrli:shares Due to rounding. 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Cover Page - shares
6 Months Ended
Jun. 30, 2020
Jul. 31, 2020
Document Information [Line Items]    
Document Type 10-Q  
Document Quarterly Report true  
Document Transition Report false  
Amendment Flag false  
Document Period End Date Jun. 30, 2020  
Document Fiscal Year Focus 2020  
Document Fiscal Period Focus Q2  
Entity Registrant Name POTOMAC FUTURES FUND LP  
Entity Central Index Key 0001043565  
Current Fiscal Year End Date --12-31  
Entity Filer Category Non-accelerated Filer  
Entity Current Reporting Status Yes  
Entity Interactive Data Current Yes  
Entity Emerging Growth Company false  
Entity Small Business false  
Entity Shell Company false  
Entity Address, State or Province NY  
Class A [Member]    
Document Information [Line Items]    
Entity Common Stock, Shares Outstanding   20,194.0158
Class Z [Member]    
Document Information [Line Items]    
Entity Common Stock, Shares Outstanding   22.3230
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Statements of Financial Condition - USD ($)
Jun. 30, 2020
Dec. 31, 2019
Equity in trading account:    
Unrestricted cash $ 21,106,254 $ 25,418,567
Restricted cash 7,565,621 10,484,390
Net unrealized appreciation on open contracts 304,193 0
Total equity in trading account 28,976,068 35,902,957
Interest receivable 2,441 38,067
Total assets 28,978,509 35,941,024
Liabilities:    
Net unrealized depreciation on open contracts 507,789 1,127,120
Accrued expenses:    
Ongoing selling agent fees 46,757 57,335
Management fees 35,353 43,144
General Partner fees 21,212 25,886
Professional fees 141,817 241,545
Redemptions payable to Limited Partners 339,164 267,526
Total liabilities 1,092,092 1,762,556
Partners' Capital:    
Total partners' capital (net asset value) 27,886,417 34,178,468
Total liabilities and partners' capital 28,978,509 35,941,024
Forward Contracts [Member]    
Equity in trading account:    
Net unrealized appreciation on open contracts 0 0
Liabilities:    
Net unrealized depreciation on open contracts 507,789 681,111
Futures [Member]    
Equity in trading account:    
Net unrealized appreciation on open contracts 304,193 0
Liabilities:    
Net unrealized depreciation on open contracts 0 446,009
Class A [Member]    
Partners' Capital:    
Limited Partners 27,472,863 33,769,421
Total partners' capital (net asset value) $ 27,472,863 $ 33,769,421
Net asset value per Redeemable Unit $ 1,310.18 $ 1,309.01
Class Z [Member]    
Partners' Capital:    
General Partner, Class Z, 412.4990 Redeemable units outstanding at June 30, 2020 and December 31, 2019 $ 392,323 $ 388,047
Limited Partners 21,231 21,000
Total partners' capital (net asset value) $ 413,554 $ 409,047
Net asset value per Redeemable Unit $ 951.09 $ 940.72
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Statements of Financial Condition (Parenthetical) - shares
Jun. 30, 2020
Dec. 31, 2019
Class A [Member]    
Limited Partners Redeemable Units outstanding 20,968.7808 25,797.7368
Class Z [Member]    
General Partner Redeemable Units outstanding 412.4990 412.4990
Limited Partners Redeemable Units outstanding 22.3230 22.3230
XML 15 R4.htm IDEA: XBRL DOCUMENT v3.20.2
Condensed Schedule of Investments
Jun. 30, 2020
USD ($)
Derivative
Dec. 31, 2019
USD ($)
Derivative
Futures [Member]    
Schedule of Investments [Line Items]    
Net unrealized appreciation and depreciation on open contracts $ 304,193 $ (446,009)
Percentage of Partners' Capital 1.09% (1.30%)
Total unrealized appreciation on open contracts $ 598,822 $ 757,718
Total unrealized depreciation on open contracts (294,629) (1,203,727)
Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Investment, Fair Value $ 308,616 $ (333,904)
Percentage of Partners' Capital 1.11% (0.98%)
Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Investment, Fair Value $ (4,423) $ (112,105)
Percentage of Partners' Capital (0.02%) (0.32%)
Metals [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 59,235 $ 142,058
Total unrealized depreciation on open contracts $ (2,250) $ (4,595)
Metals [Member] | Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 29 34
Investment, Fair Value $ 59,175 $ 136,400
Percentage of Partners' Capital 0.21% 0.40%
Metals [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 1 14
Investment, Fair Value $ (2,190) $ 1,063
Percentage of Partners' Capital (0.01%) 0.00% [1]
Energy [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 116,235 $ 222,120
Total unrealized depreciation on open contracts $ (32,389) $ (23,343)
Energy [Member] | Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative   126
Investment, Fair Value   $ 132,267
Percentage of Partners' Capital   0.39%
Energy [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 139 124
Investment, Fair Value $ 83,846 $ 66,510
Percentage of Partners' Capital 0.30% 0.19%
Grains [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 44,971 $ 15,267
Total unrealized depreciation on open contracts $ (89,172) $ (188,403)
Grains [Member] | Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative   97
Investment, Fair Value   $ 11,742
Percentage of Partners' Capital   0.03%
Grains [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 382 100
Investment, Fair Value $ (44,201) $ (184,878)
Percentage of Partners' Capital (0.16%) (0.53%)
Indices [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 79,138 $ 167,959
Total unrealized depreciation on open contracts $ (100,893) $ (125,346)
Indices [Member] | Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 87 302
Investment, Fair Value $ (18,623) $ 33,970
Percentage of Partners' Capital (0.07%) 0.10%
Indices [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 59 37
Investment, Fair Value $ (3,132) $ 8,643
Percentage of Partners' Capital (0.01%) 0.03%
Interest Rates U.S. [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 79,861 $ 54,968
Total unrealized depreciation on open contracts $ (902) $ (35,983)
Interest Rates U.S. [Member] | Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 294 326
Investment, Fair Value $ 78,959 $ (8,797)
Percentage of Partners' Capital 0.28% (0.03%)
Interest Rates U.S. [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative   77
Investment, Fair Value   $ 27,782
Percentage of Partners' Capital   0.08%
Interest Rates Non-U.S. [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 218,030 $ 150,708
Total unrealized depreciation on open contracts $ (36,902) $ (680,331)
Interest Rates Non-U.S. [Member] | Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 880 1,593
Investment, Fair Value $ 194,935 $ (640,186)
Percentage of Partners' Capital 0.70% (1.87%)
Interest Rates Non-U.S. [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 119 245
Investment, Fair Value $ (13,807) $ 110,563
Percentage of Partners' Capital (0.05%) 0.32%
Livestock [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 610 $ 2,320
Total unrealized depreciation on open contracts $ (4,328) $ (14,750)
Livestock [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 5 40
Investment, Fair Value $ (3,718) $ (12,430)
Percentage of Partners' Capital (0.01%) (0.04%)
Softs [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts $ 742 $ 2,318
Total unrealized depreciation on open contracts $ (27,793) $ (130,976)
Softs [Member] | Contracts Purchased [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 3 7
Investment, Fair Value $ (5,830) $ 700
Percentage of Partners' Capital (0.01%) 0.00% [1]
Softs [Member] | Contracts Sold [Member] | Futures [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 56 103
Investment, Fair Value $ (21,221) $ (129,358)
Percentage of Partners' Capital (0.08%) (0.37%)
Forward Contracts [Member]    
Schedule of Investments [Line Items]    
Net unrealized appreciation and depreciation on open contracts $ (507,789) $ (681,111)
Percentage of Partners' Capital (1.82%) (1.99%)
Total unrealized appreciation on open contracts $ 1,353,625 $ 3,084,676
Total unrealized depreciation on open contracts (1,861,414) (3,765,787)
Forward Contracts [Member] | Metals [Member]    
Schedule of Investments [Line Items]    
Total unrealized appreciation on open contracts 426,713 442,448
Total unrealized depreciation on open contracts (632,633) (827,607)
Forward Contracts [Member] | Currencies [Member]    
Schedule of Investments [Line Items]    
Notional 111,833,980 172,288,041
Total unrealized appreciation on open contracts 926,912 2,642,228
Notional 115,284,453 185,693,020
Total unrealized depreciation on open contracts $ (1,228,781) $ (2,938,180)
Unrealized Appreciation [Member] | Forward Contracts [Member]    
Schedule of Investments [Line Items]    
Percentage of Partners' Capital 4.85% 9.03%
Unrealized Appreciation [Member] | Forward Contracts [Member] | Metals [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 149 137
Percentage of Partners' Capital 1.53% 1.29%
Unrealized Appreciation [Member] | Forward Contracts [Member] | Currencies [Member]    
Schedule of Investments [Line Items]    
Percentage of Partners' Capital 3.32% 7.74%
Unrealized Depreciation [Member] | Forward Contracts [Member]    
Schedule of Investments [Line Items]    
Percentage of Partners' Capital (6.67%) (11.02%)
Unrealized Depreciation [Member] | Forward Contracts [Member] | Metals [Member]    
Schedule of Investments [Line Items]    
Number of Contracts | Derivative 232 235
Percentage of Partners' Capital (2.27%) (2.42%)
Unrealized Depreciation [Member] | Forward Contracts [Member] | Currencies [Member]    
Schedule of Investments [Line Items]    
Percentage of Partners' Capital (4.40%) (8.60%)
[1] Due to rounding.
XML 16 R5.htm IDEA: XBRL DOCUMENT v3.20.2
Statements of Income and Expenses - USD ($)
3 Months Ended 6 Months Ended
Jun. 30, 2020
Jun. 30, 2019
Jun. 30, 2020
Jun. 30, 2019
Investment Income:        
Interest income $ 7,688 $ 199,091 $ 101,792 $ 386,595
Total investment income 7,688 199,091 101,792 386,595
Expenses:        
Clearing fees related to direct investments 39,664 62,461 100,771 120,400
Ongoing selling agent fees 152,764 187,536 332,529 372,363
Management fees 115,370 141,546 250,856 281,275
General Partner fees 69,222 84,927 150,514 168,765
Professional fees 9,500 64,489 9,500 141,325
Total expenses 386,520 540,959 844,170 1,084,128
Expenses borne by the General Partner 0 (20,314) 0 (51,156)
Net expenses 386,520 520,645 844,170 1,032,972
Net investment loss (378,832) (321,554) (742,378) (646,377)
Net gains (losses) on trading of commodity interests:        
Net realized gains (losses) on closed contracts 845,985 2,781,868 185,940 3,770,655
Net change in unrealized gains (losses) on open contracts (2,334,777) (396,837) 923,319 113,361
Total trading results (1,488,792) 2,385,031 1,109,259 3,884,016
Net income (loss) (1,867,624) 2,063,477 366,881 3,237,639
Class A [Member]        
Net gains (losses) on trading of commodity interests:        
Net income (loss) $ (1,843,214) $ 2,034,788 $ 362,374 $ 3,190,014
Net income (loss) per Redeemable Unit [1] $ (84.33) $ 71.99 $ 1.17 $ 111.95
Weighted average Redeemable Units outstanding 22,451.3521 28,451.4631 24,001.1681 29,138.4600
Class Z [Member]        
Net gains (losses) on trading of commodity interests:        
Net income (loss) $ (24,410) $ 28,689 $ 4,507 $ 47,625
Net income (loss) per Redeemable Unit [1] $ (56.14) $ 55.75 $ 10.37 $ 88.40
Weighted average Redeemable Units outstanding 434.8220 500.6847 434.8220 540.3633
[1] Represents the change in net asset value per Redeemable Unit during the period.
XML 17 R6.htm IDEA: XBRL DOCUMENT v3.20.2
Statements of Changes in Partners' Capital - USD ($)
Total
Limited Partners [Member]
General Partner [Member]
Class A [Member]
Class A [Member]
Limited Partners [Member]
Class Z [Member]
Class Z [Member]
Limited Partners [Member]
Class Z [Member]
General Partner [Member]
Partners' Capital, beginning of period at Dec. 31, 2018 $ 17,188,757     $ 16,975,265   $ 213,492    
Partners' Capital, Redeemable Units, beginning of period at Dec. 31, 2018 14,046.6388     13,800.2198   246.4190    
Subscriptions   $ 20,389,371 $ 269,705   $ 20,370,031   $ 19,340 $ 269,705
Subscriptions, Redeemable Units   16,581.0830 311.3000   16,558.7600   22.3230 311.3000
Redemptions   $ (3,506,529) $ (135,005)   $ (3,506,529)     $ (135,005)
Redemptions, Redeemable Units   (2,767.1290) (145.2200)   (2,767.1290)     (145.2200)
Net income (loss) $ 3,237,639     $ 3,190,014   $ 47,625    
Partners' Capital, end of period at Jun. 30, 2019 $ 37,443,938     $ 37,028,781   $ 415,157    
Partners' Capital, Redeemable Units, end of period at Jun. 30, 2019 28,026.6728     27,591.8508   434.8220    
Partners' Capital, beginning of period at Mar. 31, 2019 $ 37,212,945     $ 36,691,472   $ 521,473    
Partners' Capital, Redeemable Units, beginning of period at Mar. 31, 2019 29,470.3898     28,890.3478   580.0420    
Subscriptions   $ 35,000     $ 35,000      
Subscriptions, Redeemable Units   27.1550     27.1550      
Redemptions   $ (1,732,479) $ (135,005)   $ (1,732,479)     $ (135,005)
Redemptions, Redeemable Units   (1,325.6520) (145.2200)   (1,325.6520)     (145.2200)
Net income (loss) $ 2,063,477     $ 2,034,788   $ 28,689    
Partners' Capital, end of period at Jun. 30, 2019 $ 37,443,938     $ 37,028,781   $ 415,157    
Partners' Capital, Redeemable Units, end of period at Jun. 30, 2019 28,026.6728     27,591.8508   434.8220    
Partners' Capital, beginning of period at Dec. 31, 2019 $ 34,178,468     $ 33,769,421   $ 409,047    
Partners' Capital, Redeemable Units, beginning of period at Dec. 31, 2019 26,232.5588     25,797.7368   434.8220    
Redemptions   $ (6,658,932)     $ (6,658,932)      
Redemptions, Redeemable Units   (4,828.9560)     (4,828.9560)      
Net income (loss) $ 366,881     $ 362,374   $ 4,507    
Partners' Capital, end of period at Jun. 30, 2020 $ 27,886,417     $ 27,472,863   $ 413,554    
Partners' Capital, Redeemable Units, end of period at Jun. 30, 2020 21,403.6028     20,968.7808   434.8220    
Partners' Capital, beginning of period at Mar. 31, 2020 $ 34,679,687     $ 34,241,723   $ 437,964    
Partners' Capital, Redeemable Units, beginning of period at Mar. 31, 2020 24,989.5008     24,554.6788   434.8220    
Redemptions   $ (4,925,646)     $ (4,925,646)      
Redemptions, Redeemable Units   (3,585.8980)     (3,585.8980)      
Net income (loss) $ (1,867,624)     $ (1,843,214)   $ (24,410)    
Partners' Capital, end of period at Jun. 30, 2020 $ 27,886,417     $ 27,472,863   $ 413,554    
Partners' Capital, Redeemable Units, end of period at Jun. 30, 2020 21,403.6028     20,968.7808   434.8220    
XML 18 R7.htm IDEA: XBRL DOCUMENT v3.20.2
Organization
6 Months Ended
Jun. 30, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Organization
1.
Organization:
Potomac Futures Fund L.P. (the “Partnership”) is a limited partnership organized on March 14, 1997 under the partnership laws of the State of New York to engage, directly and indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and
non-U.S.
interest rates, livestock, metals and softs. The Partnership commenced trading operations on October 1, 1997. The commodity interests traded directly by the Partnership are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership is authorized to sell an unlimited number of redeemable units of limited partnership interest (“Redeemable Units”). The Partnership privately and continuously offers Redeemable Units in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is a
wholly-owned
subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. All trading decisions for the Partnership are made by Campbell & Company, LP (the “Advisor”).
During the reporting periods ended June 30, 2020 and 2019, the Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant.
As of March 22, 2016, the Partnership began offering two classes of limited partnership interests, Class A Redeemable Units and Class Z Redeemable Units. All Redeemable Units issued prior to February 29, 2016 were deemed “Class A Redeemable Units.” The rights, liabilities, risks, and fees associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions, and
non-U.S.
investors. Class Z Redeemable Units were first issued on July 1, 2016 at $1,000 per Redeemable Unit. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and may also be offered to certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units are identical, except that Class Z Redeemable Units are not subject to monthly ongoing selling agent fees.
As of July 17, 2017, the Advisor commenced trading the Partnership’s assets directly pursuant to the Campbell Managed Futures Portfolio, a proprietary, systematic trading program.
The General Partner is not aware of any material changes to the trading program other than as discussed above during the fiscal quarter ended June 30, 2020.
The Partnership’s trading of futures, forward, swap and option contracts, if applicable, on commodities are done primarily on U.S. and foreign commodity exchanges. The Partnership engages in such trading through commodity brokerage accounts maintained with MS&Co.
The Partnership has entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&Co. The Partnership pays MS&Co. (or will reimburse MS&Co., if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, user,
give-up,
floor brokerage and National Futures Association fees (collectively, the “clearing fees”).
 
The Partnership has also entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management received a monthly ongoing selling agent fee equal to 2.0% per year of the Partnership’s adjusted
month-end
net assets for Class A Redeemable Units. Class Z Redeemable Units are not subject to the ongoing selling agent fee. The ongoing selling agent fee received by Morgan Stanley Wealth Management will be shared with the properly registered/licensed financial advisors of Morgan Stanley Wealth Management who sell Class A Redeemable Units in the Partnership.
Effective January 1, 2019, the General Partner fee was reduced to 1/12 of 0.90% (0.90% per year) of
month-end
adjusted Net Assets per Class.
Effective January 1, 2017, the General Partner instituted a cap on the Partnership’s operating expenses such that the General Partner will be responsible for any such expenses to the extent they exceed 0.50% of the Partnership’s net assets in any calendar year.
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.
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Basis of Presentation and Summary of Significant Accounting Policies
6 Months Ended
Jun. 30, 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 June 30, 2020, the results of its operations and the changes in partners’ capital for the three and six months ended June 30, 2020 and 2019. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form
10-K
(the “Form
10-K”)
filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2019. The December 31, 2019 information has been derived from the audited financial statements as of and for the year ended December 31, 2019.
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.
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material.
Profit Allocation.
The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions, redemptions and losses, if any.
Statement of Cash Flows.
The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230,
“Statement of Cash Flows.”
The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended June 30, 2020 and 2019, the Partnership carried no debt and substantially all of the Partnership’s investments were carried at fair value and classified as Level 1 and Level 2 measurements.
Partnership’s Investments.
The valuation of the Partnership’s investments, including the classification within the fair value hierarchy of the investments held by the Partnership, are described in Note 5, “Fair Value Measurements.”
 
All commodity interests of the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests for the Partnership are recorded on the trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. The Partnership’s investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses for the Partnership are realized when contracts are liquidated and are determined using the
first-in,
first-out
method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s Statements of Income and Expenses.
The Partnership does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s Statements of Income and Expenses.
Partnership’s Cash.
The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At June 30, 2020 and December 31, 2019, the amount of cash held for margin requirements was $7,565,621 and $10,484,390, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $(62,300) (proceeds of $62,291) at June 30, 2020 and $308,671 (cost of $308,475) at December 31, 2019.
Income Taxes.
Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740,
“Income Taxes,”
which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are
“more-likely-than-not”
of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the
more-likely-than-not
threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Partnership’s Statements of Income and Expenses in the period in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2016 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities.
Investment Company Status.
The Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Accounting Standards Update
2013-08
“Financial
Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”
and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.
Net Income (Loss) per Redeemable Unit.
Net income (loss) per Redeemable Unit for each Class is calculated in accordance with ASC 946,
“Financial Services – Investment Companies.”
See Note 3, “Financial Highlights.”
There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form
10-K
for the year ended December 31, 2019.
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Financial Highlights
6 Months Ended
Jun. 30, 2020
Investment Company [Abstract]  
Financial Highlights
3.
Financial Highlights:
Financial highlights for the limited partner class as a whole for the three and six months ended June 30, 2020 and 2019 were as follows:
 
  
Three Months Ended

June 30,
  
Six Months Ended

June 30,
 
  
2020
  
2019
  
2020
  
2019
 
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
 
Per Redeemable Unit Performance (for a unit oustanding throughout the period): *        
Net realized and unrealized gains (losses)  $(67.60)   $(48.93)   $83.23    $59.03    $31.88    $22.71    $134.01    $94.95  
Net investment loss  (16.73)   (7.21)   (11.24)   (3.28)   (30.71)   (12.34)   (22.06)   (6.55) 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Increase (decrease) for the period  (84.33)   (56.14)   71.99    55.75    1.17    10.37    111.95    88.40  
Net asset value per Redeemable Unit, beginning of period      1,394.51        1,007.23        1,270.03        899.03        1,309.01        940.72        1,230.07        866.38  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net asset value per Redeemable Unit, end of period  $1,310.18    $951.09    $1,342.02    $954.78    $1,310.18    $951.09    $1,342.02    $954.78  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
  
Three Months Ended

June 30,
  
Six Months Ended

June 30,
 
  
2020
  
2019
  
2020
  
2019
 
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
 
Ratios to Average Limited Partners’ Capital: **        
Net investment loss ***
  (5.0)   (2.9)   (3.5)   (1.4)   (4.6)   (2.5)   (3.6)   (1.5) 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Operating expenses before expenses borne by the General        
Partner and incentive fees  5.1    3.0    5.9    3.8    5.2    3.1    5.9    3.8  
Expenses borne by the General Partner
  -      -      (0.2)   (0.2)   -      -      (0.3)   (0.3) 
Incentive fees
  -      -      -      -      -      -      -      -    
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Operating expenses after expenses borne by the General Partner and incentive fees  5.1    3.0    5.7    3.6    5.2    3.1    5.6    3.5  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total return:        
Total return before incentive fees
  (6.0)   (5.6)   5.7    6.2    0.1    1.1    9.1    10.2  
Incentive fees
  -      -      -      -      -      -      -      -    
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total return after incentive fees
  (6.0)   (5.6)   5.7    6.2    0.1    1.1    9.1    10.2  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
 
*
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 (other than incentive fees).
 
***
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.
XML 21 R10.htm IDEA: XBRL DOCUMENT v3.20.2
Trading Activities
6 Months Ended
Jun. 30, 2020
Brokers and Dealers [Abstract]  
Trading Activities
4.
Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The Partnership’s results of trading activities are shown on the Statements of Income and Expenses.
The futures brokerage account agreements and foreign exchange brokerage account agreement with MS&Co. give the Partnership the legal right to net unrealized gains and losses on open futures and forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in the Statements of Financial Condition as the criteria under ASC 210-20,
“Balance Sheet,”
have been met.
 
Trading and transaction fees are based on the number of trades executed by the Advisor. All clearing fees paid to MS&Co. for direct trading are directly charged to the Partnership.
All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded by the Partnership during the three months ended June 30, 2020 and 2019 were 2,015 and 3,643, respectively. The monthly average number of futures contracts traded by the Partnership during the six months ended June 30, 2020 and 2019 were 2,093 and 3,516, respectively. The monthly average number of metals forward contracts traded by the Partnership during the three months ended June 30, 2020 and 2019 were 567 and 495, respectively. The monthly average number of metals forward contracts traded by the Partnership during the six months ended June 30, 2020 and 2019 were 572 and 428, respectively. The monthly average notional values of currency forward contracts traded by the Partnership during the three months ended June 30, 2020 and 2019 were $317,819,336 and $760,666,346, respectively. The monthly average notional values of currency forward contracts traded by the Partnership during the six months ended June 30, 2020 and 2019 were $420,818,478 and $669,368,344, respectively.
The following tables summarize the gross and net amounts relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of June 30, 2020 and December 31, 2019, respectively.
 
       
Gross Amounts
Offset in the
   
Amounts
Presented in the
   
Gross Amounts Not Offset in the

Statements of Financial Condition
     
       
Statements of
   
Statements of
       
Cash Collateral
     
   
Gross Amounts
   
Financial
   
Financial
   
Financial
   
Received/
     
June 30, 2020
  
Recognized
   
Condition
   
Condition
   
Instruments
   
Pledged*
   
Net Amount
 
Assets
            
Futures
   $598,822     $(294,629)    $304,193     $
 -  
    $-      $304,193  
Forwards
   1,353,625     (1,353,625)    -      -      -      -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total assets
   $1,952,447     $(1,648,254)    $304,193     $-      $-      $304,193  
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Liabilities
    
 
 
 
        
Futures
   $(294,629)    $294,629     $-      $-      $-      $-   
Forwards
   (1,861,414)    1,353,625     (507,789)    -      507,789     -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities
   $(2,156,043)    $1,648,254     $(507,789)    $-     $507,789     $-   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net fair value
             $304,193  
            
 
 
 
       
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/
     
December 31, 2019
  
Recognized
   
Condition
   
Condition
   
Instruments
   
Pledged*
   
Net Amount
 
Assets
            
Futures
   $757,718     $(757,718)    $-      $-      $-      $-   
Forwards
   3,084,676     (3,084,676)    -      -      -      -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total assets
   $3,842,394     $(3,842,394)    $-      $-      $-      $-   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Liabilities
            
Futures
   $(1,203,727)    $757,718     $(446,009)    $-      $446,009     $-   
Forwards
   (3,765,787)    3,084,676     (681,111)    -      681,111     -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities
   $(4,969,514)    $3,842,394     $(1,127,120)    $-      $1,127,120     $-   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
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 Partnership’s 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.
 
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities for the Partnership as of June 30, 2020 and December 31, 2019, respectively.
 
Assets
  
June 30, 2020
 
Futures Contracts
  
Energy
   $116,235  
Grains
   44,971  
Indices
   79,138  
Interest Rates U.S.
   79,861  
Interest Rates
Non-U.S.
   218,030  
Livestock
   610  
Metals
   59,235  
Softs
   742  
  
 
 
 
Total unrealized appreciation on open futures contracts
                   598,822  
  
 
 
 
Liabilities
  
Futures Contracts
  
Energy
   (32,389) 
Grains
   (89,172) 
Indices
   (100,893) 
Interest Rates U.S.
   (902) 
Interest Rates
Non-U.S.
   (36,902) 
Livestock
   (4,328) 
Metals
   (2,250) 
Softs
   (27,793) 
  
 
 
 
Total unrealized depreciation on open futures contracts
   (294,629) 
  
 
 
 
Net unrealized appreciation on open futures contracts
   $304,193   * 
  
 
 
 
Assets
  
Forward Contracts
  
Currencies
   $926,912  
Metals
   426,713  
  
 
 
 
Total unrealized appreciation on open forward contracts
   1,353,625  
  
 
 
 
Liabilities
  
Forward Contracts
  
Currencies
   (1,228,781) 
Metals
   (632,633) 
  
 
 
 
Total unrealized depreciation on open forward contracts
   (1,861,414) 
  
 
 
 
Net unrealized depreciation on open forward contracts
   $(507,789)  ** 
  
 
 
 
 
   *
This amount is in “Net unrealized appreciation on open futures contracts” in the Partnership’s Statements of Financial Condition.
 
   **
This amount is in “Net unrealized depreciation on open forward contracts” in the Partnership’s Statements of Financial Condition.
Assets
  
  December 31, 2019  
 
Futures Contracts
  
Energy
   $222,120  
Grains
   15,267  
Indices
   167,959  
Interest Rates U.S.
   54,968  
Interest Rates
Non-U.S.
   150,708  
Livestock
   2,320  
Metals
   142,058  
Softs
   2,318  
  
 
 
 
Total unrealized appreciation on open futures contracts
                   757,718  
  
 
 
 
Liabilities
  
Futures Contracts
  
Energy
   (23,343) 
Grains
   (188,403) 
Indices
   (125,346) 
Interest Rates U.S.
   (35,983) 
Interest Rates
Non-U.S.
   (680,331) 
Livestock
   (14,750) 
Metals
   (4,595) 
Softs
   (130,976) 
  
 
 
 
Total unrealized depreciation on open futures contracts
   (1,203,727) 
  
 
 
 
Net unrealized depreciation on open futures contracts
   $(446,009)  * 
  
 
 
 
Assets
  
Forward Contracts
  
Currencies
   $2,642,228  
Metals
   442,448  
  
 
 
 
Total unrealized appreciation on open forward contracts
   3,084,676  
  
 
 
 
Liabilities
  
Forward Contracts
  
Currencies
   (2,938,180) 
Metals
   (827,607) 
  
 
 
 
Total unrealized depreciation on open forward contracts
   (3,765,787) 
  
 
 
 
Net unrealized depreciation on open forward contracts
   $(681,111)  ** 
  
 
 
 
 
   *
This amount is in “Net unrealized depreciation on open futures contracts” in the Partnership’s Statements of Financial Condition.
 
   **
This amount is in “Net unrealized depreciation on open forward contracts” in the Partnership’s Statements of Financial Condition.
 
The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2020 and 2019, respectively.
 
  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
Sector
 
2020
  
2019
  
2020
  
2019
 
Currencies
  $(1,103,291)   $(356,252)   $1,353,347   $(771,454) 
Energy
  (107,430)   40,156    920,944    (447,741) 
Grains
  (220,618)   (796,003)   (177,961)   (421,397) 
Indices
  16,401    1,126,739    (4,176,450)   1,924,992  
Interest Rates U.S.
          163,178    493,918    436,693    922,219  
Interest Rates
Non-U.S.
  (38,073)           1,997,620            1,597,323            3,283,904  
Livestock
  25,528    158,235    524,883    110,752  
Metals
  (150,853)   (341,991)   904,128    (572,456) 
Softs
  (73,634)   62,609    (273,648)   (144,803) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Total
  $(1,488,792) ***   $2,385,031 ***   $1,109,259 ***   3,884,016 *** 
 
 
 
  
 
 
  
 
 
  
 
 
 
 
 
***
This amount is in “Total trading results” in the Partnership’s Statements of Income and Expenses.
XML 22 R11.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements
5.
Fair Value Measurements:
Partnership’s Fair Value Measurements.
Fair value is defined as the value that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of
non-exchange-traded
foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.
The Partnership considers prices for commodity futures, exchange-traded swap and option 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,
non-exchange-traded
forward, swap and certain option contracts for which market quotations are or were not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the period ended June 30, 2020 and as of December 31, 2019, the Partnership did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).
 
June 30, 2020
 
Total
 
Level 1
 
Level 2
 
Level 3
 
Assets
    
Futures
  $598,822   $598,822   $-     $-   
Forwards
  1,353,625   -     1,353,625   -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total assets
  $1,952,447   $598,822   $1,353,625   $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
    
Futures
  $294,629   $294,629   $-     $-   
Forwards
  1,861,414   -     1,861,414                       -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities
  $2,156,043   $294,629   $1,861,414   $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
Total
 
Level 1
 
Level 2
 
Level 3
 
Assets
    
Futures
  $757,718   $757,718   $-     $-   
Forwards
              3,084,676   -                 3,084,676   -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total assets
  $3,842,394   $             757,718   $3,084,676   $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
    
Futures
  $1,203,727   $1,203,727   $-     $-   
Forwards
  3,765,787   -     3,765,787   -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities
  $4,969,514    $1,203,727    $3,765,787    $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
XML 23 R12.htm IDEA: XBRL DOCUMENT v3.20.2
Financial Instrument Risks
6 Months Ended
Jun. 30, 2020
Investments, All Other Investments [Abstract]  
Financial Instrument Risks
6.
Financial Instrument Risks:
In the normal course of business, the Partnership is party to financial instruments with
off-balance-sheet
risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or
over-the-counter
(“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.0% to 53.3% of the Partnership’s contracts are traded OTC.
Futures Contracts.
The Partnership trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership, each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded by the Partnership as unrealized gains or losses. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Partnership’s Statements of Income and Expenses.
 
Forward Foreign Currency Contracts.
Forward foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily by the Partnership, and the Partnership’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Partnership’s Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Partnership’s Statements of Income and Expenses.
London Metal Exchange Forward Contracts.
Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. LME contracts traded by the Partnership are cash settled based on prompt dates published by the LME. Variation margin may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded by the Partnership as unrealized gains or losses. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Partnership’s Statements of Income and Expenses.
Market risk is the potential for changes in the value of the financial instruments that are traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. The Partnership’s market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are or were traded. The Partnership is exposed to market risk equal to the value of the futures and forward contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The risk of loss in the event of a counterparty default for the Partnership is typically limited to the amounts recognized in the Statements of Financial Condition and is not, for the Partnership, represented by the contract or notional amounts of the instruments. The risk of loss for the Partnership is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as MS&Co. or an MS&Co. affiliate is the sole counterparty or broker with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments for the Partnership is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s counterparty is an exchange or clearing organization.
The General Partner monitors and attempts to mitigate the Partnership’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 may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with
risk-adjusted
performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.
The 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 result 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 business, these instruments may not be held to maturity.
In the ordinary course of business, the Partnership enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership. The General Partner considers the risk of any future obligation relating to these indemnifications to be remote.
XML 24 R13.htm IDEA: XBRL DOCUMENT v3.20.2
Subsequent Events
6 Months Ended
Jun. 30, 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, other than disclosed below requiring adjustment to or disclosure in the financial statements.
Effective July 1, 2020, the ongoing selling agent fee paid by the Partnership to Morgan Stanley Wealth Management was reduced for Class A Redeemable Unit holders from an annual rate of 2.00% of the adjusted net assets of Class A Redeemable Units to an annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units.
Additionally, effective July 1, 2020, the general partner administrative fee paid by the Partnership to the General Partner was reduced for all limited partners from a monthly rate of 1/12th of 0.90% of
month-end
adjusted net assets per class to a monthly rate of 1/12th of 0.75% of
month-end
adjusted net assets per class.
XML 25 R14.htm IDEA: XBRL DOCUMENT v3.20.2
Basis of Presentation and Summary of Significant Accounting Policies (Policies)
6 Months Ended
Jun. 30, 2020
Accounting Policies [Abstract]  
Use of Estimates
Use of Estimates.
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material.
Profit Allocation
Profit Allocation.
The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions, redemptions and losses, if any.
Statement of Cash Flows
Statement of Cash Flows.
The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230,
“Statement of Cash Flows.”
The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended June 30, 2020 and 2019, the Partnership carried no debt and substantially all of the Partnership’s investments were carried at fair value and classified as Level 1 and Level 2 measurements.
Partnership's Investments
Partnership’s Investments.
The valuation of the Partnership’s investments, including the classification within the fair value hierarchy of the investments held by the Partnership, are described in Note 5, “Fair Value Measurements.”
 
All commodity interests of the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests for the Partnership are recorded on the trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. The Partnership’s investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses for the Partnership are realized when contracts are liquidated and are determined using the
first-in,
first-out
method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s Statements of Income and Expenses.
The Partnership does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s Statements of Income and Expenses.
Partnership's Cash
Partnership’s Cash.
The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At June 30, 2020 and December 31, 2019, the amount of cash held for margin requirements was $7,565,621 and $10,484,390, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $(62,300) (proceeds of $62,291) at June 30, 2020 and $308,671 (cost of $308,475) at December 31, 2019.
Income Taxes
Income Taxes.
Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740,
“Income Taxes,”
which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are
“more-likely-than-not”
of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the
more-likely-than-not
threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Partnership’s Statements of Income and Expenses in the period in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2016 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities.
Investment Company Status
Investment Company Status.
The Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Accounting Standards Update
2013-08
“Financial
Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”
and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.
Net Income (Loss) per Redeemable Unit
Net Income (Loss) per Redeemable Unit.
Net income (loss) per Redeemable Unit for each Class is calculated in accordance with ASC 946,
“Financial Services – Investment Companies.”
See Note 3, “Financial Highlights.”
XML 26 R15.htm IDEA: XBRL DOCUMENT v3.20.2
Financial Highlights (Tables)
6 Months Ended
Jun. 30, 2020
Investment Company [Abstract]  
Financial Highlights for Limited Partner Class
Financial highlights for the limited partner class as a whole for the three and six months ended June 30, 2020 and 2019 were as follows:
 
  
Three Months Ended

June 30,
  
Six Months Ended

June 30,
 
  
2020
  
2019
  
2020
  
2019
 
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
 
Per Redeemable Unit Performance (for a unit oustanding throughout the period): *        
Net realized and unrealized gains (losses)  $(67.60)   $(48.93)   $83.23    $59.03    $31.88    $22.71    $134.01    $94.95  
Net investment loss  (16.73)   (7.21)   (11.24)   (3.28)   (30.71)   (12.34)   (22.06)   (6.55) 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Increase (decrease) for the period  (84.33)   (56.14)   71.99    55.75    1.17    10.37    111.95    88.40  
Net asset value per Redeemable Unit, beginning of period      1,394.51        1,007.23        1,270.03        899.03        1,309.01        940.72        1,230.07        866.38  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net asset value per Redeemable Unit, end of period  $1,310.18    $951.09    $1,342.02    $954.78    $1,310.18    $951.09    $1,342.02    $954.78  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
  
Three Months Ended

June 30,
  
Six Months Ended

June 30,
 
  
2020
  
2019
  
2020
  
2019
 
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
  
Class A
  
Class Z
 
Ratios to Average Limited Partners’ Capital: **        
Net investment loss ***
  (5.0)   (2.9)   (3.5)   (1.4)   (4.6)   (2.5)   (3.6)   (1.5) 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Operating expenses before expenses borne by the General        
Partner and incentive fees  5.1    3.0    5.9    3.8    5.2    3.1    5.9    3.8  
Expenses borne by the General Partner
  -      -      (0.2)   (0.2)   -      -      (0.3)   (0.3) 
Incentive fees
  -      -      -      -      -      -      -      -    
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Operating expenses after expenses borne by the General Partner and incentive fees  5.1    3.0    5.7    3.6    5.2    3.1    5.6    3.5  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total return:        
Total return before incentive fees
  (6.0)   (5.6)   5.7    6.2    0.1    1.1    9.1    10.2  
Incentive fees
  -      -      -      -      -      -      -      -    
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total return after incentive fees
  (6.0)   (5.6)   5.7    6.2    0.1    1.1    9.1    10.2  
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
 
*
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 (other than incentive fees).
 
***
Interest income less total expenses.
XML 27 R16.htm IDEA: XBRL DOCUMENT v3.20.2
Trading Activities (Tables)
6 Months Ended
Jun. 30, 2020
Brokers and Dealers [Abstract]  
Summary of Valuation of Investments
The following tables summarize the gross and net amounts relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of June 30, 2020 and December 31, 2019, respectively.
 
       
Gross Amounts
Offset in the
   
Amounts
Presented in the
   
Gross Amounts Not Offset in the

Statements of Financial Condition
     
       
Statements of
   
Statements of
       
Cash Collateral
     
   
Gross Amounts
   
Financial
   
Financial
   
Financial
   
Received/
     
June 30, 2020
  
Recognized
   
Condition
   
Condition
   
Instruments
   
Pledged*
   
Net Amount
 
Assets
            
Futures
   $598,822     $(294,629)    $304,193     $
 -  
    $-      $304,193  
Forwards
   1,353,625     (1,353,625)    -      -      -      -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total assets
   $1,952,447     $(1,648,254)    $304,193     $-      $-      $304,193  
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Liabilities
    
 
 
 
        
Futures
   $(294,629)    $294,629     $-      $-      $-      $-   
Forwards
   (1,861,414)    1,353,625     (507,789)    -      507,789     -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities
   $(2,156,043)    $1,648,254     $(507,789)    $-     $507,789     $-   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net fair value
             $304,193  
            
 
 
 
       
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/
     
December 31, 2019
  
Recognized
   
Condition
   
Condition
   
Instruments
   
Pledged*
   
Net Amount
 
Assets
            
Futures
   $757,718     $(757,718)    $-      $-      $-      $-   
Forwards
   3,084,676     (3,084,676)    -      -      -      -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total assets
   $3,842,394     $(3,842,394)    $-      $-      $-      $-   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Liabilities
            
Futures
   $(1,203,727)    $757,718     $(446,009)    $-      $446,009     $-   
Forwards
   (3,765,787)    3,084,676     (681,111)    -      681,111     -   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities
   $(4,969,514)    $3,842,394     $(1,127,120)    $-      $1,127,120     $-   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
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 Partnership’s 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.
Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities for the Partnership as of June 30, 2020 and December 31, 2019, respectively.
 
Assets
  
June 30, 2020
 
Futures Contracts
  
Energy
   $116,235  
Grains
   44,971  
Indices
   79,138  
Interest Rates U.S.
   79,861  
Interest Rates
Non-U.S.
   218,030  
Livestock
   610  
Metals
   59,235  
Softs
   742  
  
 
 
 
Total unrealized appreciation on open futures contracts
                   598,822  
  
 
 
 
Liabilities
  
Futures Contracts
  
Energy
   (32,389) 
Grains
   (89,172) 
Indices
   (100,893) 
Interest Rates U.S.
   (902) 
Interest Rates
Non-U.S.
   (36,902) 
Livestock
   (4,328) 
Metals
   (2,250) 
Softs
   (27,793) 
  
 
 
 
Total unrealized depreciation on open futures contracts
   (294,629) 
  
 
 
 
Net unrealized appreciation on open futures contracts
   $304,193   * 
  
 
 
 
Assets
  
Forward Contracts
  
Currencies
   $926,912  
Metals
   426,713  
  
 
 
 
Total unrealized appreciation on open forward contracts
   1,353,625  
  
 
 
 
Liabilities
  
Forward Contracts
  
Currencies
   (1,228,781) 
Metals
   (632,633) 
  
 
 
 
Total unrealized depreciation on open forward contracts
   (1,861,414) 
  
 
 
 
Net unrealized depreciation on open forward contracts
   $(507,789)  ** 
  
 
 
 
 
   *
This amount is in “Net unrealized appreciation on open futures contracts” in the Partnership’s Statements of Financial Condition.
 
   **
This amount is in “Net unrealized depreciation on open forward contracts” in the Partnership’s Statements of Financial Condition.
Assets
  
  December 31, 2019  
 
Futures Contracts
  
Energy
   $222,120  
Grains
   15,267  
Indices
   167,959  
Interest Rates U.S.
   54,968  
Interest Rates
Non-U.S.
   150,708  
Livestock
   2,320  
Metals
   142,058  
Softs
   2,318  
  
 
 
 
Total unrealized appreciation on open futures contracts
                   757,718  
  
 
 
 
Liabilities
  
Futures Contracts
  
Energy
   (23,343) 
Grains
   (188,403) 
Indices
   (125,346) 
Interest Rates U.S.
   (35,983) 
Interest Rates
Non-U.S.
   (680,331) 
Livestock
   (14,750) 
Metals
   (4,595) 
Softs
   (130,976) 
  
 
 
 
Total unrealized depreciation on open futures contracts
   (1,203,727) 
  
 
 
 
Net unrealized depreciation on open futures contracts
   $(446,009)  * 
  
 
 
 
Assets
  
Forward Contracts
  
Currencies
   $2,642,228  
Metals
   442,448  
  
 
 
 
Total unrealized appreciation on open forward contracts
   3,084,676  
  
 
 
 
Liabilities
  
Forward Contracts
  
Currencies
   (2,938,180) 
Metals
   (827,607) 
  
 
 
 
Total unrealized depreciation on open forward contracts
   (3,765,787) 
  
 
 
 
Net unrealized depreciation on open forward contracts
   $(681,111)  ** 
  
 
 
 
 
   *
This amount is in “Net unrealized depreciation on open futures contracts” in the Partnership’s Statements of Financial Condition.
 
   **
This amount is in “Net unrealized depreciation on open forward contracts” in the Partnership’s Statements of Financial Condition.
Trading Gains and Losses, by Market Sector, on Derivative Instruments
The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2020 and 2019, respectively.
 
  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
Sector
 
2020
  
2019
  
2020
  
2019
 
Currencies
  $(1,103,291)   $(356,252)   $1,353,347   $(771,454) 
Energy
  (107,430)   40,156    920,944    (447,741) 
Grains
  (220,618)   (796,003)   (177,961)   (421,397) 
Indices
  16,401    1,126,739    (4,176,450)   1,924,992  
Interest Rates U.S.
          163,178    493,918    436,693    922,219  
Interest Rates
Non-U.S.
  (38,073)           1,997,620            1,597,323            3,283,904  
Livestock
  25,528    158,235    524,883    110,752  
Metals
  (150,853)   (341,991)   904,128    (572,456) 
Softs
  (73,634)   62,609    (273,648)   (144,803) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Total
  $(1,488,792) ***   $2,385,031 ***   $1,109,259 ***   3,884,016 *** 
 
 
 
  
 
 
  
 
 
  
 
 
 
 
 
***
This amount is in “Total trading results” in the Partnership’s Statements of Income and Expenses.
XML 28 R17.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
Derivative Instrument Fair Value Based on Hierarchy
 
June 30, 2020
 
Total
 
Level 1
 
Level 2
 
Level 3
 
Assets
    
Futures
  $598,822   $598,822   $-     $-   
Forwards
  1,353,625   -     1,353,625   -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total assets
  $1,952,447   $598,822   $1,353,625   $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
    
Futures
  $294,629   $294,629   $-     $-   
Forwards
  1,861,414   -     1,861,414                       -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities
  $2,156,043   $294,629   $1,861,414   $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
Total
 
Level 1
 
Level 2
 
Level 3
 
Assets
    
Futures
  $757,718   $757,718   $-     $-   
Forwards
              3,084,676   -                 3,084,676   -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total assets
  $3,842,394   $             757,718   $3,084,676   $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
    
Futures
  $1,203,727   $1,203,727   $-     $-   
Forwards
  3,765,787   -     3,765,787   -   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities
  $4,969,514    $1,203,727    $3,765,787    $-   
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
XML 29 R18.htm IDEA: XBRL DOCUMENT v3.20.2
Organization - Additional Information (Detail) - $ / shares
6 Months Ended
Jan. 01, 2019
Jan. 01, 2017
Jun. 30, 2020
Jul. 01, 2016
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]        
Percentage of General Partner fee 0.90%   0.90%  
Morgan Stanley Wealth Management [Member]        
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]        
Ongoing selling agent fee     2.00%  
Class Z [Member]        
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]        
Redeemable units per share       $ 1,000
Minimum [Member] | General Partner [Member]        
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]        
Percentage of expenses to net assets to be covered by General Partner   0.50%    
XML 30 R19.htm IDEA: XBRL DOCUMENT v3.20.2
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($)
6 Months Ended
Jun. 30, 2020
Dec. 31, 2019
Accounting Policies [Abstract]    
Cash held for margin requirements $ 7,565,621 $ 10,484,390
Cash denominated in foreign currencies (62,300) 308,671
Cost of foreign currencies 62,291 $ 308,475
Uncertain tax position $ 0  
Open tax year 2016 2017 2018 2019  
XML 31 R20.htm IDEA: XBRL DOCUMENT v3.20.2
Financial Highlights - Financial Highlights for Limited Partner Class (Detail) - $ / shares
3 Months Ended 6 Months Ended
Jun. 30, 2020
Jun. 30, 2019
Jun. 30, 2020
Jun. 30, 2019
Class A [Member]        
Per Redeemable Unit Performance (for a unit outstanding throughout the period):        
Net asset value per Redeemable Unit, beginning of period     $ 1,309.01  
Net asset value per Redeemable Unit, end of period $ 1,310.18   1,310.18  
Class A [Member] | Limited Partners [Member]        
Per Redeemable Unit Performance (for a unit outstanding throughout the period):        
Net realized and unrealized gains (losses) (67.60) $ 83.23 31.88 $ 134.01
Net investment loss (16.73) (11.24) (30.71) (22.06)
Increase (decrease) for the period (84.33) 71.99 1.17 111.95
Net asset value per Redeemable Unit, beginning of period 1,394.51 1,270.03 1,309.01 1,230.07
Net asset value per Redeemable Unit, end of period $ 1,310.18 $ 1,342.02 $ 1,310.18 $ 1,342.02
Ratios to Average Limited Partners' Capital:        
Net investment loss (5.00%) (3.50%) (4.60%) (3.60%)
Operating expenses before expenses borne by the General Partner and incentive fees 5.10% 5.90% 5.20% 5.90%
Expenses borne by the General Partner   (0.20%)   (0.30%)
Operating expenses after expenses borne by the General Partner and incentive fees 5.10% 5.70% 5.20% 5.60%
Total return:        
Total return before incentive fees (6.00%) 5.70% 0.10% 9.10%
Total return after incentive fees (6.00%) 5.70% 0.10% 9.10%
Class Z [Member]        
Per Redeemable Unit Performance (for a unit outstanding throughout the period):        
Net asset value per Redeemable Unit, beginning of period     $ 940.72  
Net asset value per Redeemable Unit, end of period $ 951.09   951.09  
Class Z [Member] | Limited Partners [Member]        
Per Redeemable Unit Performance (for a unit outstanding throughout the period):        
Net realized and unrealized gains (losses) (48.93) $ 59.03 22.71 $ 94.95
Net investment loss (7.21) (3.28) (12.34) (6.55)
Increase (decrease) for the period (56.14) 55.75 10.37 88.40
Net asset value per Redeemable Unit, beginning of period 1,007.23 899.03 940.72 866.38
Net asset value per Redeemable Unit, end of period $ 951.09 $ 954.78 $ 951.09 $ 954.78
Ratios to Average Limited Partners' Capital:        
Net investment loss (2.90%) (1.40%) (2.50%) (1.50%)
Operating expenses before expenses borne by the General Partner and incentive fees 3.00% 3.80% 3.10% 3.80%
Expenses borne by the General Partner   (0.20%)   (0.30%)
Operating expenses after expenses borne by the General Partner and incentive fees 3.00% 3.60% 3.10% 3.50%
Total return:        
Total return before incentive fees (5.60%) 6.20% 1.10% 10.20%
Total return after incentive fees (5.60%) 6.20% 1.10% 10.20%
XML 32 R21.htm IDEA: XBRL DOCUMENT v3.20.2
Trading Activities - Additional Information (Detail)
3 Months Ended 6 Months Ended
Jun. 30, 2020
USD ($)
Contract
Jun. 30, 2019
USD ($)
Contract
Jun. 30, 2020
USD ($)
Contract
Jun. 30, 2019
USD ($)
Contract
Trading Activity, Gains and Losses, Net [Line Items]        
Monthly average number of futures contracts traded 2,015   2,093  
Monthly average number of metals forward contracts traded 567   572  
Forward Contracts [Member] | Currencies [Member]        
Trading Activity, Gains and Losses, Net [Line Items]        
Average notional values of currency forward contracts | $ $ 317,819,336   $ 420,818,478  
CMF Campbell Master Fund L.P. [Member]        
Trading Activity, Gains and Losses, Net [Line Items]        
Monthly average number of futures contracts traded   3,643   3,516
Monthly average number of metals forward contracts traded   495   428
CMF Campbell Master Fund L.P. [Member] | Forward Contracts [Member] | Currencies [Member]        
Trading Activity, Gains and Losses, Net [Line Items]        
Average notional values of currency forward contracts | $   $ 760,666,346   $ 669,368,344
XML 33 R22.htm IDEA: XBRL DOCUMENT v3.20.2
Trading Activities - Summary of Valuation of Investments (Detail) - USD ($)
Jun. 30, 2020
Dec. 31, 2019
Derivative [Line Items]    
Gross Amounts Recognized, Assets $ 1,952,447 $ 3,842,394
Gross Amounts Offset in the Statements of Financial Condition, Assets (1,648,254) (3,842,394)
Amounts Presented in the Statements of Financial Condition, Assets 304,193 0
Financial Instruments, Assets 0 0
Collateral Received/Pledged, Assets 0 0
Net Amount, Assets 304,193 0
Gross Amounts Recognized, Liabilities (2,156,043) (4,969,514)
Gross Amounts Offset in the Statements of Financial Condition, Liabilities 1,648,254 3,842,394
Amounts Presented in the Statements of Financial Condition, Liabilities (507,789) (1,127,120)
Financial Instruments, Liabilities 0 0
Collateral Received/Pledged, Liabilities 507,789 1,127,120
Net Amount, Liabilities 0 0
Net fair value 304,193 0
Futures [Member]    
Derivative [Line Items]    
Gross Amounts Recognized, Assets 598,822 757,718
Gross Amounts Offset in the Statements of Financial Condition, Assets (294,629) (757,718)
Amounts Presented in the Statements of Financial Condition, Assets 304,193 0
Financial Instruments, Assets 0 0
Collateral Received/Pledged, Assets 0 0
Net Amount, Assets 304,193 0
Gross Amounts Recognized, Liabilities (294,629) (1,203,727)
Gross Amounts Offset in the Statements of Financial Condition, Liabilities 294,629 757,718
Amounts Presented in the Statements of Financial Condition, Liabilities 0 (446,009)
Financial Instruments, Liabilities 0 0
Collateral Received/Pledged, Liabilities 0 446,009
Net Amount, Liabilities 0 0
Forward Contracts [Member]    
Derivative [Line Items]    
Gross Amounts Recognized, Assets 1,353,625 3,084,676
Gross Amounts Offset in the Statements of Financial Condition, Assets (1,353,625) (3,084,676)
Amounts Presented in the Statements of Financial Condition, Assets 0 0
Financial Instruments, Assets 0 0
Collateral Received/Pledged, Assets 0 0
Net Amount, Assets 0 0
Gross Amounts Recognized, Liabilities (1,861,414) (3,765,787)
Gross Amounts Offset in the Statements of Financial Condition, Liabilities 1,353,625 3,084,676
Amounts Presented in the Statements of Financial Condition, Liabilities (507,789) (681,111)
Financial Instruments, Liabilities 0 0
Collateral Received/Pledged, Liabilities 507,789 681,111
Net Amount, Liabilities $ 0 $ 0
XML 34 R23.htm IDEA: XBRL DOCUMENT v3.20.2
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) - USD ($)
Jun. 30, 2020
Dec. 31, 2019
Futures [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts $ 598,822 $ 757,718
Total unrealized depreciation on open contracts (294,629) (1,203,727)
Net unrealized appreciation (depreciation) on open contracts 304,193 (446,009)
Futures [Member] | Energy [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 116,235 222,120
Total unrealized depreciation on open contracts (32,389) (23,343)
Futures [Member] | Grains [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 44,971 15,267
Total unrealized depreciation on open contracts (89,172) (188,403)
Futures [Member] | Indices [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 79,138 167,959
Total unrealized depreciation on open contracts (100,893) (125,346)
Futures [Member] | Interest Rates U.S. [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 79,861 54,968
Total unrealized depreciation on open contracts (902) (35,983)
Futures [Member] | Interest Rates Non-U.S. [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 218,030 150,708
Total unrealized depreciation on open contracts (36,902) (680,331)
Futures [Member] | Livestock [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 610 2,320
Total unrealized depreciation on open contracts (4,328) (14,750)
Futures [Member] | Metals [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 59,235 142,058
Total unrealized depreciation on open contracts (2,250) (4,595)
Futures [Member] | Softs [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 742 2,318
Total unrealized depreciation on open contracts (27,793) (130,976)
Forward Contracts [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 1,353,625 3,084,676
Total unrealized depreciation on open contracts (1,861,414) (3,765,787)
Net unrealized appreciation (depreciation) on open contracts (507,789) (681,111)
Forward Contracts [Member] | Metals [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 426,713 442,448
Total unrealized depreciation on open contracts (632,633) (827,607)
Forward Contracts [Member] | Currencies [Member]    
Derivative [Line Items]    
Total unrealized appreciation on open contracts 926,912 2,642,228
Total unrealized depreciation on open contracts $ (1,228,781) $ (2,938,180)
XML 35 R24.htm IDEA: XBRL DOCUMENT v3.20.2
Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - CMF Campbell Master Fund L.P. [Member] - USD ($)
3 Months Ended 6 Months Ended
Jun. 30, 2020
Jun. 30, 2019
Jun. 30, 2020
Jun. 30, 2019
Derivative [Line Items]        
Trading gains and losses $ (1,488,792) $ 2,385,031 $ 1,109,259 $ 3,884,016
Currencies [Member]        
Derivative [Line Items]        
Trading gains and losses (1,103,291) (356,252) 1,353,347 (771,454)
Energy [Member]        
Derivative [Line Items]        
Trading gains and losses (107,430) 40,156 920,944 (447,741)
Grains [Member]        
Derivative [Line Items]        
Trading gains and losses (220,618) (796,003) (177,961) (421,397)
Indices [Member]        
Derivative [Line Items]        
Trading gains and losses 16,401 1,126,739 (4,176,450) 1,924,992
Interest Rates U.S. [Member]        
Derivative [Line Items]        
Trading gains and losses 163,178 493,918 436,693 922,219
Interest Rates Non-U.S. [Member]        
Derivative [Line Items]        
Trading gains and losses (38,073) 1,997,620 1,597,323 3,283,904
Livestock [Member]        
Derivative [Line Items]        
Trading gains and losses 25,528 158,235 524,883 110,752
Metals [Member]        
Derivative [Line Items]        
Trading gains and losses (150,853) (341,991) 904,128 (572,456)
Softs [Member]        
Derivative [Line Items]        
Trading gains and losses $ (73,634) $ 62,609 $ (273,648) $ (144,803)
XML 36 R25.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value Measurements - Derivative Instrument Fair Value Based on Hierarchy (Detail) - USD ($)
Jun. 30, 2020
Dec. 31, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative assets $ 1,952,447 $ 3,842,394
Derivative liabilities 2,156,043 4,969,514
Futures [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative assets 598,822 757,718
Derivative liabilities 294,629 1,203,727
Forward Contracts [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative assets 1,353,625 3,084,676
Derivative liabilities 1,861,414 3,765,787
Level 1 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative assets 598,822 757,718
Derivative liabilities 294,629 1,203,727
Level 1 [Member] | Futures [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative assets 598,822 757,718
Derivative liabilities 294,629 1,203,727
Level 2 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative assets 1,353,625 3,084,676
Derivative liabilities 1,861,414 3,765,787
Level 2 [Member] | Forward Contracts [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative assets 1,353,625 3,084,676
Derivative liabilities $ 1,861,414 $ 3,765,787
XML 37 R26.htm IDEA: XBRL DOCUMENT v3.20.2
Financial Instrument Risks - Additional Information (Detail)
6 Months Ended
Jun. 30, 2020
Concentration Risk [Line Items]  
Financial instruments maturity period 1 year
Credit Concentration Risk [Member] | Partnership's Contracts [Member] | Over the Counter [Member] | Minimum [Member]  
Concentration Risk [Line Items]  
Concentration risk percentage 0.00%
Credit Concentration Risk [Member] | Partnership's Contracts [Member] | Over the Counter [Member] | Maximum [Member]  
Concentration Risk [Line Items]  
Concentration risk percentage 53.30%
XML 38 R27.htm IDEA: XBRL DOCUMENT v3.20.2
Subsequent Events - Additional Information (Detail)
6 Months Ended
Jul. 01, 2020
Jan. 01, 2019
Jun. 30, 2020
Subsequent Event [Line Items]      
Percentage of General Partner fee   0.90% 0.90%
Percentage of monthly General Partner fee     0.075%
Morgan Stanley Wealth Management [Member]      
Subsequent Event [Line Items]      
Ongoing selling agent fee     2.00%
Subsequent Event [Member]      
Subsequent Event [Line Items]      
Percentage of General Partner fee 0.75%    
Percentage of monthly General Partner fee 0.0625%    
Subsequent Event [Member] | Morgan Stanley Wealth Management [Member]      
Subsequent Event [Line Items]      
Ongoing selling agent fee 1.00%    
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