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 March 31, 2017

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 0-53210

MANAGED FUTURES PREMIER ABINGDON L.P.

(Exact name of registrant as specified in its charter)

New York	20-3845005
(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)

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 and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post 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 April 30, 2017, there were 157,468.5117 Limited Partnership Class A Redeemable Units outstanding, 13,940.1566 Limited Partnership Class D Redeemable Units outstanding and 1,293.0522 Limited Partnership Class Z Redeemable Units outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Managed Futures Premier Abingdon L.P.

Statements of Financial Condition

(Unaudited)

	March 31, 2017		December 31, 2016
Assets:
Investment in the Master(1), at fair value	$	236,444,110	$	226,279,019
Cash at MS&Co.		341,673		290,145
Cash at bank		1,022		217
Total assets	$	236,786,805	$	226,569,381
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Ongoing selling agent fees	$	368,955	$	354,362
Management fees		295,179		282,485
General Partner fees		196,786		188,323
Professional fees		274,868		227,107
Redemptions payable to Limited Partners		4,511,587		7,952,753
Total liabilities		5,647,375		9,005,030
Partners’ Capital:
General Partner, Class Z, 2,125.5810 and 1,909.7640 Redeemable Units outstanding at March 31, 2017 and December 31, 2016, respectively		2,738,090		2,435,827
Limited Partners, Class A, 158,929.7747 and 150,497.4117 Redeemable Units outstanding at March 31, 2017 and December 31, 2016, respectively		209,210,746		197,142,459
Limited Partners, Class D, 13,940.1566 Redeemable Units outstanding at March 31, 2017 and December 31, 2016		17,524,935		17,384,759
Limited Partners, Class Z, 1,293.0522 and 471.4422 Redeemable Units outstanding at March 31, 2017 and December 31, 2016, respectively		1,665,659		601,306
Total partners’ capital (net asset value)		231,139,430		217,564,351
Total liabilities and partners’ capital	$	236,786,805	$	226,569,381
Class A, net asset value per Redeemable Unit	$	1,316.37	$	1,309.94
Class D, net asset value per Redeemable Unit	$	1,257.15	$	1,247.10
Class Z, net asset value per Redeemable Unit	$	1,288.16	$	1,275.46

(1)        Defined in Note 1.

See accompanying notes to financial statements.

1

Managed Futures Premier Abingdon L.P.

Statements of Income and Expenses

(Unaudited)

	Three Months Ended March 31,
	2017		2016
Income:
Interest income allocated from the Master	$	251,572	$	133,868
Expenses:
Expenses allocated from the Master		80,604		75,257
Ongoing selling agent fees		1,115,848		1,131,306
Management fees		889,174		902,961
General Partner fees		592,782		601,972
Professional fees		140,300		149,965
Total expenses		2,818,708		2,861,461
Net investment loss		(2,567,136)		(2,727,593)
Trading results:
Net gains (losses) on investment in the Master:
Net realized gains (losses) on closed contracts allocated from the Master		9,022,292		8,410,392
Net change in unrealized gains (losses) on open contracts allocated from the Master		(5,269,338)		166,471
Total trading results		3,752,954		8,576,863
Net income (loss)	$	1,185,818	$	5,849,270
Net income (loss) allocation by Class:
Class A	$	1,014,291	$	5,238,836
Class D	$	140,176	$	517,804
Class Z	$	31,351	$	92,630
Net asset value per Redeemable Unit:
Class A (158,929.7747 and 153,317.8442 Redeemable Units outstanding at March 31, 2017 and 2016, respectively)	$	1,316.37	$	1,385.52
Class D (13,940.1566 and 14,179.1386 Redeemable Units outstanding at March 31, 2017 and 2016, respectively)	$	1,257.15	$	1,306.72
Class Z (3,418.6332 and 2,341.3742 Redeemable Units outstanding at March 31, 2017 and 2016, respectively)	$	1,288.16	$	1,328.94
Net income (loss) per Redeemable Unit*
Class A	$	6.43	$	34.49
Class D	$	10.05	$	36.51
Class Z	$	12.70	$	39.57
Weighted average Redeemable Units outstanding
Class A		165,110.6037		153,311.6552
Class D		13,940.1566		14,179.1386
Class Z		2,870.8932		2,341.3742

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

See accompanying notes to financial statements.

2

Managed Futures Premier Abingdon L.P.

Statements of Changes in Partners’ Capital

For the Three Months Ended March 31, 2017 and 2016

(Unaudited)

	Class A				Class D				Class Z				Total
	Amount		Redeemable Units		Amount		Redeemable Units		Amount		Redeemable Units		Amount		Redeemable Units
Partners’ Capital, December 31, 2016	$	197,142,459		150,497.4117	$	17,384,759		13,940.1566	$	3,037,133		2,381.2062	$	217,564,351		166,818.7745
Subscriptions - Limited Partners		23,381,406		17,862.0640		-		-		1,060,000		821.6100		24,441,406		18,683.6740
Subscriptions - General Partner		-		-		-		-		275,265		215.8170		275,265		215.8170
Net income (loss)		1,014,291		-		140,176		-		31,351		-		1,185,818		-
Redemptions - Limited Partners		(12,327,410)		(9,429.7010)		-		-		-		-		(12,327,410)		(9,429.7010)
Partners’ Capital, March 31, 2017	$	209,210,746		158,929.7747	$	17,524,935		13,940.1566	$	4,403,749		3,418.6332	$	231,139,430		176,288.5645
Partners’ Capital, December 31, 2015	$	204,669,817		151,491.9322	$	18,010,427		14,179.1386	$	3,018,907		2,341.3742	$	225,699,151		168,012.4450
Subscriptions - Limited Partners		8,720,457		6,167.2670		-		-		-		-		8,720,457		6,167.2670
Net income (loss)		5,238,836		-		517,804		-		92,630		-		5,849,270		-
Redemptions - Limited Partners		(6,203,430)		(4,341.3550)		-		-		-		-		(6,203,430)		(4,341.3550)
Partners’ Capital, March 31, 2016	$	212,425,680		153,317.8442	$	18,528,231		14,179.1386	$	3,111,537		2,341.3742	$	234,065,448		169,838.3570

See accompanying notes to financial statements.

3

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

1. Organization:

Managed Futures Premier Abingdon L.P. (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are indirectly traded by the Partnership through its investment in CMF Winton Master L.P. (the “Master”) are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership privately and continuously offers redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. As of January 1, 2017, the General Partner became 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. Prior to January 1, 2017, the General Partner was a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC. All trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”).

During the reporting periods ended March 31, 2017 and 2016, the Partnership’s and the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership and the Master also deposit a portion of their cash in non-trading accounts at JPMorgan Chase Bank, N.A.

On February 1, 2007, the Partnership allocated substantially all of its capital to the Master, a limited partnership organized under the partnership laws of the State of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master permits accounts managed by the Advisor using the Winton Futures Program (formerly, the Winton Diversified Program, as applied without equities), the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same as if the Partnership traded directly, and redemption rights are not affected. The General Partner and the Advisor agreed that the Advisor will trade the Partnership’s assets allocated to the Advisor at a level that is up to 1.5 times the amount of assets allocated.

A limited partner in the Master may withdraw all or part of its capital contribution and undistributed profits, if any, from the Master as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner in the Master elects to redeem and informs the Master.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2017.

On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Redeemable Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Units were first issued on April 1, 2011 and August 1, 2011, respectively. Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the limited partner, although the General Partner may determine to offer any Class of Redeemable Units to investors at its discretion. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) and certain employees of Morgan Stanley and its subsidiaries (and their family members). Class A Redeemable Units, Class D Redeemable Units, and Class Z Redeemable Units are identical, except that Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.75% (a 0.75% annual rate) of the net assets of Class D as of the end of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.00% (a 2.00% annual rate) of the net assets of Class A as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee.

4

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

At March 31, 2017 and December 31, 2016, the Partnership owned approximately 50.6% and 45.8%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with MS&Co. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

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

The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management is paid a monthly ongoing selling agent fee at the rates described above. The ongoing selling agent fee received by Morgan Stanley Wealth Management is shared with the properly registered/exempted financial advisors of Morgan Stanley Wealth Management who sell Class A and/or Class D Redeemable Units.

In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

2. Basis of Presentation and Summary of Significant Accounting Policies:

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at March 31, 2017 and the results of its operations and changes in partners’ capital for the three months ended March 31, 2017 and 2016. These financial statements present the results for interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2016. The December 31, 2016 information has been derived from the audited financial statements as of and for the year ended December 31, 2016.

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 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 March 31, 2017 and 2016, the Partnership carried no debt and substantially all the Partnership’s’ investments were carried at fair value and classified as Level 1 and level 2 measurements.

5

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

Partnership’s Investment. The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per Redeemable Unit, as a practical expedient, as calculated by the Master. The valuation of the Master’s investments, including the classification within the fair value hierarchy of the investments held by the Master, are described in Note 5, “Fair Value Measurements.”

Master’s Investments.  All commodity interests of the Master, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests 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. 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 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 Master’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. The Master does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments due to fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

Master’s Cash. The Master’s cash includes cash denominated in foreign currencies of $19,877,172 (cost of $19,845,171) and $8,098,626 (cost of $8,082,720) as of March 31, 2017 and December 31, 2016, respectively. The Master’s margin requirement of $76,293,352 as of December 31, 2016 was met from a combination of 1) U.S. Treasury bills held at MS&Co. and 2) cash margin held at MS&Co. of $68,379,250 as of December 31, 2016.

Income Taxes. Income taxes have not been listed 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 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 2013 through 2016 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 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, 2016.

6

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2017 and December 31, 2016 and Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2017 and 2016 are presented below:

CMF Winton Master L.P.

Statements of Financial Condition

(Unaudited)

	March 31,     2017		December 31,     2016
Assets:
Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost $0 and $416,693,176 at March 31, 2017 and December 31, 2016, respectively)	$	-	$	416,864,386
Cash at MS&Co.		398,730,138		-
Cash margin		69,941,404		68,379,250
Net unrealized appreciation on open futures contracts		-		10,740,072
Net unrealized appreciation on open forward contracts		2,490,477		-
Total equity in trading account		471,162,019		495,983,708
Cash at bank		1,022		217
Total assets	$	471,163,041	$	495,983,925
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	3,790,852	$	-
Net unrealized depreciation on open forward contracts		-		1,650,934
Accrued expenses:
Professional fees		55,762		40,013
Total liabilities		3,846,614		1,690,947
Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at March 31, 2017 and December 31, 2016		-		-
Limited Partners, 121,527.2032 and 130,613.6627 Redeemable Units outstanding at March 31, 2017 and December 31, 2016, respectively		467,316,427		494,292,978
Total partners’ capital (net asset value)		467,316,427		494,292,978
Total liabilities and partners’ capital	$	471,163,041	$	495,983,925
Net asset value per Redeemable Unit	$	3,845.36	$	3,784.39

7

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

March 31, 2017

(Unaudited)

	Notional ($)/         Number of Contracts		Fair Value		% of Partners’     Capital
Futures Contracts Purchased
Currencies		738	$	372,540		0.08	%
Energy		241		(14,168)		(0.00)	*
Grains		96		(289,440)		(0.06)
Indices		6,949		1,127,129		0.23
Interest Rates U.S.		1,301		125,462		0.03
Interest Rates Non-U.S.		2,570		(56,598)		(0.01)
Livestock		297		116,793		0.02
Metals		7		6,255		0.00	*
Softs		146		120,874		0.03
Total futures contracts purchased				1,508,847		0.32
Futures Contracts Sold
Currencies		2,475		(3,264,300)		(0.70)
Energy		289		(494,120)		(0.10)
Grains		1,420		1,165,768		0.25
Indices		813		(746,246)		(0.16)
Interest Rates U.S.		936		(621,195)		(0.13)
Interest Rates Non-U.S.		6,390		(1,530,340)		(0.33)
Livestock		1		-		-
Metals		199		(169,290)		(0.04)
Softs		600		360,024		0.08
Total futures contracts sold				(5,299,699)		(1.13)
Net unrealized depreciation on open futures contracts			$	(3,790,852)		(0.81)	%
Unrealized Appreciation on Open Forward Contracts
Currencies	$	221,082,886	$	3,458,110		0.74	%
Metals		486		844,281		0.18
Total unrealized appreciation on open forward contracts				4,302,391		0.92
Unrealized Depreciation on Open Forward Contracts
Currencies	$	113,767,473		(1,030,914)		(0.22)
Metals		302		(781,000)		(0.17)
Total unrealized depreciation on open forward contracts				(1,811,914)		(0.39)
Net unrealized appreciation on open forward contracts			$	2,490,477		0.53	%

* Due to rounding

8

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2016

	Notional ($)/         Number of Contracts		Fair Value		% of Partners’     Capital
Futures Contracts Purchased
Energy		436	$	488,528		0.10	%
Grains		611		(669,759)		(0.14)
Indices		6,388		2,488,495		0.51
Interest Rates U.S.		607		54,008		0.01
Interest Rates Non-U.S.		2,544		687,914		0.14
Livestock		214		215,568		0.04
Metals		5		(28,210)		(0.01)
Softs		249		(197,243)		(0.04)
Total futures contracts purchased				3,039,301		0.61
Futures Contracts Sold
Currencies		3,392		3,433,399		0.69
Energy		169		(335,387)		(0.06)
Grains		1,592		415,561		0.08
Indices		227		(37,389)		(0.01)
Interest Rates U.S.		860		(239,781)		(0.05)
Interest Rates Non-U.S.		5,375		978,244		0.20
Livestock		20		(68,990)		(0.01)
Metals		678		1,388,583		0.28
Softs		448		2,166,531		0.44
Total futures contracts sold				7,700,771		1.56
Net unrealized appreciation on open futures contracts			$	10,740,072		2.17	%
Unrealized Appreciation on Open Forward Contracts
Currencies	$	205,499,621	$	3,683,915		0.74	%
Metals		665		1,925,249		0.39
Total unrealized appreciation on open forward contracts				5,609,164		1.13
Unrealized Depreciation on Open Forward Contracts
Currencies	$	218,825,586		(2,741,186)		(0.55)
Metals		907		(4,518,912)		(0.91)
Total unrealized depreciation on open forward contracts				(7,260,098)		(1.46)
Net unrealized depreciation on open forward contracts			$	(1,650,934)		(0.33)	%
U.S. Government Securities

Face Amount	Maturity Date		Description	Fair Value		% of Partners’       Capital
			U.S. Treasury bills, 0.365% *
$    350,000,000		1/19/2017	(Amortized cost of $349,772,889)	$	349,922,708		70.79	%
			U.S. Treasury bills, 0.41% *
$      17,000,000		2/2/2017	(Amortized cost of $16,986,641)		16,993,136		3.44
			U.S. Treasury bills, 0.525% *
$      50,000,000		3/16/2017	(Amortized cost of $49,933,646)		49,948,542		10.11
Total U.S. Government Securities				$	416,864,386		84.34	%

*    Liquid non-cash held as collateral.

9

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

	Three Months Ended March 31,
	2017		2016
Investment Income:
Interest income	$	553,002	$	341,464
Expenses:
Clearing fees		146,069		166,861
Professional fees		15,946		20,523
Total expenses		162,015		187,384
Net investment income (loss)		390,987		154,080
Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		17,804,386		21,048,317
Net change in unrealized gains (losses) on open contracts		(10,373,418)		1,456,772
Total trading results		7,430,968		22,505,089
Net income (loss)		7,821,955		22,659,169
Subscriptions - Limited Partners		25,469,347		8,720,457
Redemptions - Limited Partners		(59,850,465)		(57,703,322)
Distribution of interest income to feeder funds		(417,388)		(76,412)
Net increase (decrease) in Partners’ Capital		(26,976,551)		(26,400,108)
Partners’ Capital, beginning of period		494,292,978		603,041,370
Partners’ Capital, end of period	$	467,316,427	$	576,641,262
Net asset value per Redeemable Unit (121,527.2032 and 149,258.1324 Redeemable Units outstanding at March 31, 2017 and 2016, respectively)	$	3,845.36	$	3,863.38
Net income (loss) per Redeemable Unit*	$	64.28	$	140.87
Weighted average Redeemable Units outstanding		126,010.1404		157,072.6376

* Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds.

10

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

3. Financial Highlights:

Financial highlights for the limited partner classes as a whole for the three months ended March 31, 2017 and 2016 were as follows:

	Three Months Ended March 31,
	2017									2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*		Class A			Class D			Class Z			Class A			Class D			Class Z
Net realized and unrealized gains (losses)	$	21.00		$	20.04		$	20.53		$	51.09		$	47.94		$	48.62
Net investment loss		(14.57)			(9.99)			(7.83)			(16.60)			(11.43)			(9.05)
Increase (decrease) for the period		6.43			10.05			12.70			34.49			36.51			39.57
Net asset value per Redeemable Unit, beginning of period		1,309.94			1,247.10			1,275.46			1,351.03			1,270.21			1,289.37
Net asset value per Redeemable Unit, end of period	$	1,316.37		$	1,257.15		$	1,288.16		$	1,385.52		$	1,306.72		$	1,328.94
	Three Months Ended March 31,
	2017									2016
	Class A			Class D			Class Z			Class A			Class D			Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(4.7)	%		(3.3)	%		(2.6)	%		(4.8)	%		(3.5)	%		(2.7)	%
Operating expenses		5.1	%		3.7	%		3.1	%		5.0	%		3.7	%		2.9	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%
Total expenses		5.1	%		3.7	%		3.1	%		5.0	%		3.7	%		2.9	%
Total return:
Total return before incentive fees		0.5	%		0.8	%		1.0	%		2.6	%		2.9	%		3.1	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%
Total return after incentive fees		0.5	%		0.8	%		1.0	%		2.6	%		2.9	%		3.1	%

* Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

** Annualized (except for incentive fees).

*** Interest income allocated from the Master less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class for the Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Master.

11

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

Financial Highlights of the Master:

	Three Months Ended
	March 31,
	2017			2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	61.18		$	139.85
Net investment income (loss)		3.10			1.02
Increase (decrease) for the period		64.28			140.87
Distribution of interest income to feeder funds		(3.31)			(0.50)
Net asset value per Redeemable Unit, beginning of period		3,784.39			3,723.01
Net asset value per Redeemable Unit, end of period	$	3,845.36		$	3,863.38
	Three Months Ended
	March 31,
	2017			2016
Ratios to Average Limited Partners’ Capital:**
Net investment income (loss)***		0.3	%		0.1	%
Operating expenses		0.1	%		0.1	%
Total return		1.7	%		3.8	%

* Net investment income (loss) per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

** Annualized.

*** Interest income less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average partners’ capital.

12

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

4. Trading Activities:

The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Master’s trading activities are shown in the Partnership’s Statements of Income and Expenses.

The futures brokerage account agreements with MS&Co. give the Partnership and the Master the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts 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 for the Master and the Partnership’s percentage ownership of the Master. All clearing fees paid to MS&Co. are borne by the Master and allocated to the Master’s limited partners, including the Partnership.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded by the Master during the three months ended March 31, 2017 and 2016 was 25,178 and 39,982, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended March 31, 2017 and 2016 was 990 and 708, respectively. The monthly average notional value of currency forward contracts traded by the Master during the three months ended March 31, 2017 and 2016 was $447,690,640 and $592,425,746, respectively.

13

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting agreements or similar arrangements as of March 31, 2017 and December 31, 2016, respectively.

			Gross Amounts		Amounts		Gross Amounts Not Offset in the
			Offset in the		Presented in the		Statements of Financial Condition
			Statements of		Statements of				Cash Collateral
	Gross Amounts		Financial		Financial		Financial		Received/		Net
March 31, 2017	Recognized		Condition		Condition		Instruments		Pledged*		Amount
Assets
Futures	$	7,738,975	$	(7,738,975)	$	-	$	-	$	-	$	-
Forwards		4,302,391		(1,811,914)		2,490,477		-		-		2,490,477
Total assets	$	12,041,366	$	(9,550,889)	$	2,490,477	$	-	$	-	$	2,490,477
Liabilities
Futures	$	(11,529,827)	$	7,738,975	$	(3,790,852)	$	-	$	-	$	(3,790,852)
Forwards		(1,811,914)		1,811,914		-		-		-		-
Total liabilities	$	(13,341,741)	$	9,550,889	$	(3,790,852)	$	-	$	-	$	(3,790,852)
Net fair value											$	(1,300,375)	*
			Gross Amounts		Amounts		Gross Amounts Not Offset in the
			Offset in the		Presented in the		Statements of Financial Condition
			Statements of		Statements of				Cash Collateral
	Gross Amounts		Financial		Financial		Financial		Received/		Net
December 31, 2016	Recognized		Condition		Condition		Instruments		Pledged*		Amount
Assets
Futures	$	16,580,686	$	(5,840,614)	$	10,740,072	$	-	$	-	$	10,740,072
Forwards		5,609,164		(5,609,164)		-		-		-		-
Total assets	$	22,189,850	$	(11,449,778)	$	10,740,072	$	-	$	-	$	10,740,072
Liabilities
Futures	$	(5,840,614)	$	5,840,614	$	-	$	-	$	-	$	-
Forwards		(7,260,098)		5,609,164		(1,650,934)		-		-		(1,650,934)
Total liabilities	$	(13,100,712)	$	11,449,778	$	(1,650,934)	$	-	$	-	$	(1,650,934)
Net fair value											$	9,089,138	*

* In the event of default by the Master, MS&Co., the Master’s commodity futures broker and the sole counterparty to the Master’s non-exchange-traded contracts, as applicable, has the right to offset the Master’s obligation with the Master’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master is exposed to the amount shown in the Master’s Statements of Financial Condition. In the case of exchange-traded contracts, the Master’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default.

14

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the gross fair values of the Master’s derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2017 and December 31, 2016, respectively.

	March 31,
	2017
Assets
Futures Contracts
Currencies	$	697,194
Energy		167,745
Grains		1,208,594
Indices		4,152,540
Interest Rates U.S.		215,689
Interest Rates Non-U.S.		373,908
Livestock		198,278
Metals		34,570
Softs		690,457
Total unrealized appreciation on open futures contracts		7,738,975
Liabilities
Futures Contracts
Currencies		(3,588,954)
Energy		(676,033)
Grains		(332,266)
Indices		(3,771,657)
Interest Rates U.S.		(711,422)
Interest Rates Non-U.S.		(1,960,846)
Livestock		(81,485)
Metals		(197,605)
Softs		(209,559)
Total unrealized depreciation on open futures contracts		(11,529,827)
Net unrealized depreciation on open futures contracts	$	(3,790,852)	*
Assets
Forward Contracts
Currencies	$	3,458,110
Metals		844,281
Total unrealized appreciation on open forward contracts		4,302,391
Liabilities
Forward Contracts
Currencies		(1,030,914)
Metals		(781,000)
Total unrealized depreciation on open forward contracts		(1,811,914)
Net unrealized appreciation on open forward contracts	$	2,490,477	**

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

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

15

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

	December 31,
	2016
Assets
Futures Contracts
Currencies	$	3,749,363
Energy		551,720
Grains		617,396
Indices		5,061,697
Interest Rates U.S.		367,071
Interest Rates Non-U.S.		2,095,184
Livestock		230,256
Metals		1,590,193
Softs		2,317,806
Total unrealized appreciation on open futures contracts		16,580,686
Liabilities
Futures Contracts
Currencies		(315,964)
Energy		(398,579)
Grains		(871,594)
Indices		(2,610,591)
Interest Rates U.S.		(552,844)
Interest Rates Non-U.S.		(429,026)
Livestock		(83,678)
Metals		(229,820)
Softs		(348,518)
Total unrealized depreciation on open futures contracts		(5,840,614)
Net unrealized appreciation on open futures contracts	$	10,740,072	*
Assets
Forward Contracts
Currencies	$	3,683,915
Metals		1,925,249
Total unrealized appreciation on open forward contracts		5,609,164
Liabilities
Forward Contracts
Currencies		(2,741,186)
Metals		(4,518,912)
Total unrealized depreciation on open forward contracts		(7,260,098)
Net unrealized depreciation on open forward contracts	$	(1,650,934)	**

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

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

16

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

The following table indicates the Master’s total trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2017 and 2016.

	Three Months Ended March 31,
	2017			2016
Sector
Currencies	$	(3,852,357)		$	(4,448,739)
Energy		(4,844,453)			6,312,384
Grains		(1,950,632)			(38,929)
Indices		25,831,175			(6,778,692)
Interest Rates U.S.		(1,415,218)			6,964,820
Interest Rates Non-U.S.		(3,115,949)			36,286,973
Livestock		372,345			472,355
Metals		(4,227,962)			(16,367,259)
Softs		634,019			102,176
Total	$	7,430,968	***	$	22,505,089	***

*** This amount is in “Total trading results” in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

17

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

5. Fair Value Measurements:

Master’s Fair Value Measurements. Fair value is defined as the price 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 and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Master considers prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills and non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of March 31, 2017 and December 31, 2016 and for the periods ended March 31, 2017 and 2016, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2.

March 31, 2017	Total		Level 1		Level 2		Level 3
Assets
Futures	$	7,738,975	$	7,738,975	$	-	$	-
Forwards		4,302,391		844,281		3,458,110		-
Total assets	$	12,041,366	$	8,583,256	$	3,458,110	$	-
Liabilities
Futures	$	11,529,827	$	11,529,827	$	-	$	-
Forwards		1,811,914		781,000		1,030,914		-
Total liabilities	$	13,341,741	$	12,310,827	$	1,030,914	$	-
December 31, 2016	Total		Level 1		Level 2		Level 3
Assets
U.S. Treasury bills	$	416,864,386	$	-	$	416,864,386	$	-
Futures		16,580,686		16,580,686		-		-
Forwards		5,609,164		1,925,249		3,683,915		-
Total assets	$	439,054,236	$	18,505,935	$	420,548,301	$	-
Liabilities
Futures	$	5,840,614	$	5,840,614	$	-	$	-
Forwards		7,260,098		4,518,912		2,741,186		-
Total liabilities	$	13,100,712	$	10,359,526	$	2,741,186	$	-

18

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that, at any given time, approximately 22.7% to 27.1% of the Master’s contracts are traded OTC.

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

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

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

19

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

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

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

The General Partner monitors and attempts to control the Partnership’s/Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and forward contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under New York law.

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.

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

7. Subsequent Events:

The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements.

20

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 investment in the Master and cash. The Master does not engage in sales of goods or services. The Master’s only assets are its cash at bank and equity in trading account, consisting of cash at MS&Co., cash margin, 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. Because of the low margin deposits normally required in commodity trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2017.

The Master’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 Master from promptly liquidating its futures or option contracts and result in restrictions on redemptions.

There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Master from trading in potentially profitable markets or prevent the Master 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 or the Master’s assets.

Other than the risks inherent in commodity futures, forward, options, swaps and other derivatives trading and U.S. Treasury bills and money market mutual fund securities, the Partnership and the Master know of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnership’s or the Master’s liquidity increasing or decreasing in any material way.

The Partnership’s capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any.

For the three months ended March 31, 2017, Partnership capital increased 6.2% from $217,564,351 to $231,139,430. This increase was attributable to subscriptions for 17,862.0640 Redeemable Units of Class A totaling $23,381,406, subscriptions for 821.6100 Redeemable Units of Class Z totaling $1,060,000, subscriptions for 215.8170 General Partner Redeemable Units of Class Z totaling $275,265 and net income of $1,185,818. This increase was partially offset by redemptions of 9,429.7010 Redeemable Units of Class A totaling $12,327,410.

The Master’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of units and distributions of profits, if any.

For the three months ended March 31, 2017, the Master’s capital decreased 5.5% from $494,292,978 to $467,316,427. This decrease was attributable to redemptions of 15,819.1657 units totaling $59,850,465 and distributions of interest income to feeder funds totaling $417,388. This decrease was partially offset by subscriptions of 6,732.7062 units totaling $25,469,347 and net income of $7,821,955. Future redemptions can impact the amount of funds available for investment 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 or the Master’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. The General Partner believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” of the Financial Statements.

21

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) on closed contracts and net change in unrealized gains (losses) on open contracts in the Statements of Income and Expenses.

Results of Operations

During the Partnership’s first quarter of 2017, the net asset value per Redeemable Unit for Class A increased 0.5% from $1,309.94 to $1,316.37, as compared to an increase of 2.6% in the first quarter of 2016. During the Partnership’s first quarter of 2017, the net asset value per Redeemable Unit for Class D increased 0.8% from $1,247.10 to $1,257.15, as compared to an increase of 2.9% in the first quarter of 2016. During the Partnership’s first quarter of 2017, the net asset value per Redeemable Unit for Class Z increased 1.0% from $1,275.46 to $1,288.16, as compared to an increase of 3.1% in the first quarter of 2016. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the first quarter of 2017 of $3,752,954. Gains were primarily attributable to the Master’s trading of commodity futures in indices, livestock and softs, and were partially offset by losses in currencies, energy, grains, U.S. and non-U.S. interest rates and metals. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the first quarter of 2016 of $8,576,863. Gains were primarily attributable to the Master’s trading of commodity futures in energy, U.S. and non-U.S. interest rates, livestock and softs, and were partially offset by losses in currencies, grains, indices and metals.

The most significant gains were achieved within the global equity index markets during February and March from long positions in U.S., European, and Asian equity index futures as prices were buoyed by positive economic sentiment across the globe. Positive sentiment also fueled gains for long positions in U.S. and Asian equity index futures during January. A portion of the Partnership’s gains for the quarter was offset by losses incurred within the energy complex during January and February from long positions in natural gas futures as prices fell dramatically lower as mild weather throughout much of the U.S. diminished heating demand from homes and businesses. Additional losses within the energy markets were experienced during March from long positions in crude oil futures as expanding U.S. oil production added to global supplies and weighed on prices. Within the global interest rate sector, losses were recorded during January and March from long positions in European fixed income futures amid speculation of growing hawkish sentiment from the European Central Bank. Further losses in this sector were incurred during February from positions in U.S. fixed income futures. Within the currency markets, losses were experienced during January and March from short positions in the euro and Japanese yen versus the U.S. dollar as the relative value of the dollar moved lower amid increased uncertainty of future U.S. fiscal policy. Losses within the metals markets were incurred during January and February from short positions in gold and silver futures as prices rose amid increased investor demand for precious metals. Further losses were experienced during January within the agricultural sector from short positions in corn and wheat futures as prices advanced after the release of industry reports which indicated U.S. farmers may allocate fewer acres to corn and wheat plantings in 2017.

22

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership (and the Master) 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 things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership (and the Master) expects to increase capital through operations.

Interest income on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Master’s) brokerage account during each month is earned at the monthly average of the 4-week U.S. Treasury bill discount rate. Any interest earned on the Partnership’s and/or the Master’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 income earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Master, as applicable. Interest income allocated from the Master for the three months ended March 31, 2017 increased by $117,704 as compared to the corresponding period in 2016. The increase in interest income is primarily due to higher U.S. Treasury bill rates during the three months ended March 31, 2017 as compared to the corresponding period in 2016. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends upon (1) the average daily equity maintained in cash in the Partnership’s and/or the Master’s account, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Master and (3) interest rates over which none of the Partnership, the Master or MS&Co. has control.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value 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 the monthly net asset values. Ongoing selling agent fees for the three months ended March 31, 2017 decreased by $15,458 as compared to the corresponding period in 2016. The decrease in ongoing selling agent fees is due to lower average net assets per Class during the three months ended March 31, 2017 as compared to the corresponding period in 2016.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value 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 the monthly net asset values. Management fees for the three months ended March 31, 2017 decreased by $13,787 as compared to the corresponding period in 2016. The decrease in management fees is due to lower average net assets per Class during the three months ended March 31, 2017 as compared to the corresponding period in 2016.

General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (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 asset value 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 the monthly net asset values. General Partner fees for the three months ended March 31, 2017 decreased by $9,190 as compared to the corresponding period in 2016. The decrease in General Partner fees is due to lower average net assets per Class during the three months ended March 31, 2017 as compared to the corresponding period in 2016.

Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three months ended March 31, 2017 and 2016. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

    In allocating substantially all of the assets of the Partnership to the Master, 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 and may allocate assets to additional advisors at any time.

23

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 through its investment in the Master. The Partnership and the Master are speculative commodity pools. The market sensitive instruments held by the Master are acquired for speculative trading purposes, and all or substantially all of the Master’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master’s and the Partnership’s main line of business.

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

Market movements result in frequent changes in the fair value of the Master’s open positions and, consequently, in its earnings and cash flow. The Master’s market risk 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 Master’s open contracts and the liquidity of the markets in which it trades.

The Master 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 Master’s past performance is not necessarily indicative of its future results.

Quantifying the Master’s Trading Value at Risk

The following quantitative disclosures regarding the Master’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Master accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Master’s open positions are directly reflected in the Master’s earnings and cash flow.

The Master’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 General Partner or the Advisor in their daily risk management activities.

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

Exchange margin requirements have been used by the Master as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of March 31, 2017 and December 31, 2016, and the highest, lowest and average values during the three months ended March 31, 2017 and for the twelve months ended December 31, 2016. All open position trading risk exposures of the Master 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, 2016.

24

As of March 31, 2017, the Master’s total capitalization was $467,316,427 and the Partnership owned approximately 50.6% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of March 31, 2017 was as follows:

March 31, 2017

						Three Months Ended March 31, 2017
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	24,198,554		5.18	%	$	33,621,368	$	23,558,634	$	25,810,417
Energy		1,082,118		0.23			1,716,266		660,791		1,422,672
Grains		1,498,652		0.32			2,252,257		1,480,205		1,675,540
Indices		31,470,290		6.73			31,470,290		24,362,891		29,740,689
Interest Rates U.S.		4,045,256		0.87			5,362,330		4,045,256		4,392,975
Interest Rates Non-U.S.		2,522,828		0.54			4,189,587		2,187,532		2,892,544
Livestock		509,080		0.11			527,725		359,920		502,957
Metals		3,189,981		0.68			7,363,430		3,189,981		4,820,044
Softs		1,361,440		0.29			1,361,440		1,140,436		1,283,345
Total	$	69,878,199		14.95	%

* Average of month-end Values at Risk.

As of December 31, 2016, the Master’s total capitalization was $494,292,978 and the Partnership owned approximately 45.8% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2016 was as follows:

December 31, 2016

						Twelve Months Ended December 31, 2016
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	31,827,200		6.44	%	$	43,438,054	$	22,212,213	$	31,924,793
Energy		1,239,902		0.25			9,165,346		969,748		3,733,831
Grains		2,177,986		0.44			4,040,676		1,857,610		2,619,765
Indices		25,363,561		5.13			25,363,561		10,596,963		18,378,554
Interest Rates U.S.		4,286,586		0.87			9,700,222		271,474		6,398,481
Interest Rates Non-U.S.		2,683,933		0.54			11,539,823		1,385,562		8,303,443
Livestock		359,920		0.07			944,955		144,359		548,391
Metals		7,071,481		1.43			8,903,178		1,446,984		5,461,010
Softs		1,282,783		0.26			1,726,286		1,074,232		1,422,312
Total	$	76,293,352		15.43	%

* Annual average of month-end Values at Risk.

25

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 March 31, 2017 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 March 31, 2017 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

26

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 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, please refer to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2016, 2015, 2014, 2013 and 2012. 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. Please refer to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2016 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.

Regulatory and Governmental Matters 

MS&Co. has received subpoenas and requests for information from certain federal and state regulatory and governmental entities, including among others various members of the RMBS Working Group of the Financial Fraud Enforcement Task Force, such as the United States Department of Justice, Civil Division and several state Attorney General’s Offices, concerning the origination, financing, purchase, securitization and servicing of subprime and non-subprime residential mortgages and related matters such as residential mortgage-backed securities (“RMBS”), collateralized debt obligations (“CDOs”), structured investment vehicles (“SIVs”) and credit default swaps backed by or referencing mortgage pass-through certificates. These matters, some of which are in advanced stages, include, but are not limited to, investigations related to MS&Co.’s due diligence on the loans that it purchased for securitization, MS&Co.’s communications with ratings agencies, MS&Co.’s disclosures to investors, and MS&Co.’s handling of servicing and foreclosure related issues.

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.

27

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 June 5, 2012, MS&Co. consented to and became the subject of an Order Instituting Proceedings Pursuant to Sections 6(c) and 6(d) of the Commodity Exchange Act, as amended, Making Findings and Imposing Remedial Sanctions by the Commodity Futures Trading Commission (“CFTC”) to resolve allegations related to the failure of a salesperson to comply with exchange rules that prohibit off-exchange futures transactions unless there is an Exchange for Related Position (“EFRP”). Specifically, the CFTC found that from April 2008 through October 2009, MS&Co. violated Section 4c(a) of the Commodity Exchange Act and CFTC Regulation 1.38 by executing, processing and reporting numerous off-exchange futures trades to the Chicago Mercantile Exchange (“CME”) and Chicago Board of Trade (“CBOT”) as EFRPs in violation of CME and CBOT rules because those trades lacked the corresponding and related cash, OTC swap, OTC option, or other OTC derivative position. In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to supervise the handling of the trades at issue and failing to have adequate policies and procedures designed to detect and deter the violations of the Commodity Exchange Act and CFTC Regulations. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. accepted and consented to entry of findings and the imposition of a cease and desist order, a fine of $5,000,000, and undertakings related to public statements, cooperation and payment of the fine. MS&Co. entered into corresponding and related settlements with the CME and CBOT in which the CME found that MS&Co. violated CME Rules 432.Q and 538 and fined MS&Co. $750,000 and CBOT found that MS&Co. violated CBOT Rules 432.Q and 538 and fined MS&Co. $1,000,000.

On July 23, 2014, the SEC approved a settlement by MS&Co. and certain affiliates to resolve an investigation related to certain subprime RMBS transactions sponsored and underwritten by those entities in 2007. Pursuant to the settlement, MS&Co. and certain affiliates were charged with violating Sections 17(a)(2) and 17(a)(3) of the Securities Act of 1933, as amended, agreed to pay disgorgement and penalties in an amount of $275 million and neither admitted nor denied the SEC’s findings.

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 June 28, 2016 without any findings of fraud.

On June 18, 2015, MS&Co. entered into a settlement with the SEC and paid a fine of $500,000 as part of the Municipalities Continuing Disclosure Cooperation Initiative to resolve allegations that MS&Co. failed to form a reasonable basis through adequate due diligence for believing the truthfulness of the assertions by issuers and/or obligors regarding their compliance with previous continuing disclosure undertakings pursuant to Rule 15c2-12 under the Exchange Act in connection with offerings in which MS&Co. acted as senior or sole underwriter.

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 U.S. 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.

28

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.

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 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 credit default swap with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the credit default swap, 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. Based on currently available information, MS&Co. believes it could incur a loss of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.

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. After that dismissal, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $78 million. At December 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $46 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 $46 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 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 alleges 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 raises claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On May 26, 2011, defendants removed the case to the United States District Court for the District of Massachusetts. The defendants’ motions to dismiss the amended complaint were granted in part and denied in part on September 30, 2013. 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. At December 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $51 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 $51 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.

29

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 alleges 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 currently at issue in this action was approximately $644 million. The complaint alleges causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, negligent misrepresentation, and rescission and seeks, among other things, compensatory and punitive damages. On June 10, 2014, the court granted in part and denied in part MS&Co.’s motion to dismiss the complaint. MS&Co. perfected its appeal from that decision on June 12, 2015. At March 25, 2017, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $242 million, and the certificates had incurred actual losses of approximately $86 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $242 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.

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 $132 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 26, 2015, MS&Co. perfected its appeal from the court’s October 29, 2014 decision. On August 11, 2016, the Appellate Division, First Department affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. At December 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $25 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 $25 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.

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 alleges that MS&Co. made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV (defined below), and asserts violations of the California False Claims Act and other state laws and seeks treble damages, civil penalties, disgorgement, and injunctive relief. On September 30, 2016, the court granted MS&Co.’s demurrer, with leave to replead. On October 21, 2016, the California Attorney General filed an amended complaint. On January 25, 2017, the court denied MS&Co.’s demurrer with respect to the amended complaint.

Settled Civil Litigation

On August 25, 2008, MS&Co. and two ratings agencies were named as defendants in a purported class action related to securities issued by a structured investment vehicle called Cheyne Finance PLC and Cheyne Finance LLC (together, the “Cheyne SIV”). The case was styled Abu Dhabi Commercial Bank, et al. v. Morgan Stanley & Co. Inc., et al. The complaint alleged, among other things, that the ratings assigned to the securities issued by the Cheyne SIV were false and misleading, including because the ratings did not accurately reflect the risks associated with the subprime residential mortgage-backed securities held by the Cheyne SIV. The plaintiffs asserted allegations of aiding and abetting fraud and negligent misrepresentation relating to approximately $852 million of securities issued by the Cheyne SIV. On April 24, 2013, the parties reached an agreement to settle the case, and on April 26, 2013, the court dismissed the action with prejudice.

30

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, alleges 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 raises claims under the Washington State Securities Act and seeks, 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. Credit Suisse Securities (USA) LLC, 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 a number of 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 $704 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 January 26, 2015, as a result of a settlement with certain other defendants, the plaintiff requested and the court subsequently entered a dismissal with prejudice of certain of the plaintiff’s claims, including all remaining claims against MS&Co.

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, alleges 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 raises claims under both the federal securities laws and California law and seeks, 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.

On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against MS&Co. and/or its affiliates and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styled Cambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al. The complaints asserted claims on behalf of certain clients of plaintiff’s affiliates and alleged that defendants made untrue statements and material omissions in the sale of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. and/or its affiliates or sold to plaintiff’s affiliates’ clients by MS&Co. and/or its affiliates in the two matters was approximately $263 million. On February 11, 2014, the parties entered into an agreement to settle the litigation. On February 20, 2014, the court dismissed the action.

On October 25, 2010, MS&Co., certain affiliates and Pinnacle Performance Limited, a special purpose vehicle (“SPV”), were named as defendants in a purported class action in the United States District Court for the Southern District of New York (“SDNY”), styled Ge Dandong, et al. v. Pinnacle Performance Ltd., et al. On January 31, 2014, the plaintiffs in the action, which related to securities issued by the SPV in Singapore, filed a second amended complaint, which asserted common law claims of fraud, aiding and abetting fraud, fraudulent inducement, aiding and abetting fraudulent inducement, and breach of the implied covenant of good faith and fair dealing. On July 17, 2014, the parties reached an agreement to settle the litigation, which received final court approval on July 2, 2015.

On July 5, 2011, Allstate Insurance Company and certain of its affiliated entities filed a complaint against MS&Co. in the Supreme Court of NY, styled Allstate Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on September 9, 2011, and alleged that the defendants made untrue statements and material omissions in the sale to the plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued and/or sold to the plaintiffs by MS&Co. was approximately $104 million. The complaint raised common law claims of fraud, fraudulent inducement, aiding and abetting fraud, and negligent misrepresentation and seeks, among other things, compensatory and/or recessionary damages associated with the plaintiffs’ purchases of such certificates. On January 16, 2015, the parties reached an agreement to settle the litigation.

31

On July 18, 2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against MS&Co. and other defendants in the Court of Common Pleas in Ohio, styled Western and Southern Life Insurance Company, et al. v. Morgan Stanley Mortgage Capital Inc., et al. An amended complaint was filed on April 2, 2012 and alleged that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of the certificates allegedly sold to plaintiffs by MS&Co. was approximately $153 million. On June 8, 2015, the parties reached an agreement to settle the litigation.

On September 2, 2011, the Federal Housing Finance Agency, as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including MS&Co. and certain affiliates. A complaint against MS&Co. and certain affiliates and other defendants was filed in the Supreme Court of NY, styled Federal Housing Finance Agency, as Conservator v. Morgan Stanley et al. The complaint alleged that defendants made untrue statements and material omissions in connection with the sale to Fannie Mae and Freddie Mac of residential mortgage pass-through certificates with an original unpaid balance of approximately $11 billion. The complaint raised claims under federal and state securities laws and common law and sought, among other things, rescission and compensatory and punitive damages. On February 7, 2014, the parties entered into an agreement to settle the litigation. On February 20, 2014, the court dismissed the action.

On April 25, 2012, Metropolitan Life Insurance Company and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, styled Metropolitan Life Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on June 29, 2012, and alleged that the defendants made untrue statements and material omissions in the sale to the 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 $758 million. The amended complaint raised common law claims of fraud, fraudulent inducement, and aiding and abetting fraud and sought, among other things, rescission, compensatory, and/or rescissionary damages, as well as punitive damages, associated with the plaintiffs’ purchases of such certificates. On April 11, 2014, the parties entered into a settlement agreement.

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 Racketeer Influenced and Corrupt Organizations Act, and included a claim for treble damages. On January 8, 2016, the parties reached an agreement to settle the litigation.

In re Morgan Stanley Mortgage Pass-Through Certificates Litigation, which had been pending in the SDNY, was a putative class action involving allegations that, among other things, the registration statements and offering documents related to the offerings of certain mortgage pass-through certificates in 2006 and 2007 contained false and misleading information concerning the pools of residential loans that backed these securitizations. On December 18, 2014, the parties’ agreement to settle the litigation received final court approval, and on December 19, 2014, the court entered an order dismissing the action.

On November 4, 2011, the Federal Deposit Insurance Corporation, as receiver for Franklin Bank S.S.B, filed two complaints against MS&Co. in the District Court of the State of Texas. Each was styled Federal Deposit Insurance Corporation as Receiver for Franklin Bank, S.S.B v. Morgan Stanley & Company LLC F/K/A Morgan Stanley & Co. Inc. and alleged that MS&Co. made untrue statements and material omissions in connection with the sale to plaintiff of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly underwritten and sold to plaintiff by MS&Co. in these cases was approximately $67 million and $35 million, respectively. On July 2, 2015, the parties reached an agreement to settle the litigation.

32

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.

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.

33

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, 2016.

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

For the three months ended March 31, 2017, there were subscriptions for 17,862.0640 Redeemable Units of Class A totaling $23,381,406, 821.6100 Redeemable Units of Class Z totaling $1,060,000 and 215.8170 General Partner Redeemable Units of Class Z totaling $275,265. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. The 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 the Redeemable Units were purchased by accredited investors in a private offering.

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

The following chart sets forth the purchases of 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
January 1, 2017 - January 31, 2017		2,778.1410	$	1,280.65	N/A	N/A
February 1, 2017 - February 28, 2017		3,224.2660	$	1,320.61	N/A	N/A
March 1, 2017 - March 31, 2017		3,427.2940	$	1,316.37	N/A	N/A
		9,429.7010	$	1,307.30

* 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. – None.

34

Item 6. Exhibits.

3.1	(a)	Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).
	(b)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
	(c)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
	(d)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(d) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
	(e)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference).
	(f)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated November 27, 2012 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on December 5, 2012 and incorporated herein by reference).
	(g)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 7, 2013 (filed as Exhibit 3.1(f) to the Quarterly Report on Form 10-Q filed on August 14, 2013 and incorporated herein by reference).
3.2	(a)	Fourth Amended and Restated Limited Partnership Agreement, dated November 29, 2012 (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on December 5, 2012 and incorporated herein by reference).
	(b)	Amendment No. 1 to the Fourth Amended and Restated Limited Partnership Agreement of the Partnership, dated December 30, 2015 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on January 6, 2016 and incorporated herein by reference).
10.1	(a)	Amended and Restated Commodity Futures Customer Agreement between the Partnership and MS&Co., effective October 29, 2013 (filed as Exhibit 10.1(b) to the Quarterly Report on Form 10-Q filed on November 14, 2013 and incorporated herein by reference).
	(b)	U.S. Treasury Securities Purchase Authorization Agreement between the Partnership and MS&Co., effective June 1, 2015 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on November 4, 2015 and incorporated herein by reference).
10.2		Amended and Restated Management Agreement among the Partnership, the General Partner and the Advisor, dated July 3, 2014 (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on July 9, 2014 and incorporated herein by reference).
10.3	(a)	Agency Agreement among the Partnership, the General Partner and Citigroup Global Markets Inc., effective February 1, 2007 (filed as Exhibit 10.3 to the General Form for Registration of Securities on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

35

	(b)	Amended and Restated Alternative Investment Selling Agent Agreement among the Partnership, the General Partner and Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management), dated March 3, 2016 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on March 8, 2016 and incorporated herein by reference).
10.4		Selling Agreement among the Partnership, the General Partner, Citigroup Global Markets Inc. and Credit Suisse Securities (USA) LLC, dated September 30, 2008 (filed as Exhibit 10.4 to the Quarterly Report on Form 10-Q filed on November 14, 2011 and incorporated herein by reference).
10.5		Form of Third Party Subscription Agreement for Credit Suisse Securities (USA) LLC (filed as Exhibit 10.4 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
10.6		Form of Subscription Agreement for Morgan Stanley Smith Barney LLC (filed as Exhibit 10.6 to the Quarterly Report on Form 10-Q filed on November 14, 2012 and incorporated herein by reference).
10.7	(a)	Subscription Escrow Agreement among The Bank of New York, the General Partner and Morgan Stanley & Co. Incorporated, dated July 25, 2007 (filed as Exhibit 10.8(a) to the Annual Report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).
	(b)	Amendment No.5 to the Escrow Agreement among The Bank of New York, the General Partner and Morgan Stanley Smith Barney LLC, dated October 4, 2012 (filed as Exhibit 10.8(b) to the Annual Report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).
10.8		Amended and Restated Master Services Agreement by and among the Partnership, the General Partner and the Administrator, effective March 31, 2015 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 6, 2015 and incorporated herein by reference).

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.

36

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.

MANAGED FUTURES PREMIER ABINGDON L.P.
By:	Ceres Managed Futures LLC
	(General Partner)
By:	/s/ Patrick T. Egan
	Patrick T. Egan
	President and Director
Date: May 11, 2017
By:	/s/ Steven Ross
	Steven Ross
	Chief Financial Officer and Director
	(Principal Accounting Officer)

Date: May 11, 2017

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.

37

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 Managed Futures Premier Abingdon 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: May 11, 2017

/s/ Patrick T. Egan

Patrick T. Egan

Ceres Managed Futures LLC

President and Director

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Steven Ross, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of Managed Futures Premier Abingdon 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: May 11, 2017

/s/ Steven Ross

Steven Ross

Ceres Managed Futures LLC

Chief Financial Officer and Director

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 Managed Futures Premier Abingdon L.P. (the “Partnership”) on Form 10-Q for the period ended March 31, 2017 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: May 11, 2017

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 Managed Futures Premier Abingdon L.P. (the “Partnership”) on Form 10-Q for the period ended March 31, 2017 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: May 11, 2017

XML

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2017	Apr. 30, 2017
Document Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2017
Document Fiscal Year Focus	2017
Document Fiscal Period Focus	Q1
Trading Symbol	ABFF
Entity Registrant Name	MANAGED FUTURES PREMIER ABINGDON L.P.
Entity Central Index Key	0001386164
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Class A Redeemable Units [Member]
Document Information [Line Items]
Entity Common Stock, Shares Outstanding		157,468.5117
Class D Redeemable Units [Member]
Document Information [Line Items]
Entity Common Stock, Shares Outstanding		13,940.1566
Class Z Redeemable Units [Member]
Document Information [Line Items]
Entity Common Stock, Shares Outstanding		1,293.0522

XML

Statements of Financial Condition - USD ($)		Mar. 31, 2017	Dec. 31, 2016
Assets:
Investment in the Master, at fair value	[1]	$ 236,444,110	$ 226,279,019
Cash at MS&Co.		341,673	290,145
Cash at bank		1,022	217
Total assets		236,786,805	226,569,381
Accrued expenses:
Ongoing selling agent fees		368,955	354,362
Management fees		295,179	282,485
General Partner fees		196,786	188,323
Professional fees		274,868	227,107
Redemptions payable to Limited Partners		4,511,587	7,952,753
Total liabilities		5,647,375	9,005,030
Partners' Capital:
Total partners' capital (net asset value)		231,139,430	217,564,351
Total liabilities and partners' capital		236,786,805	226,569,381
Class A [Member]
Partners' Capital:
Limited Partners		209,210,746	197,142,459
Total partners' capital (net asset value)		$ 209,210,746	$ 197,142,459
Net asset value per Redeemable Unit		$ 1,316.37	$ 1,309.94
Class D [Member]
Partners' Capital:
Limited Partners		$ 17,524,935	$ 17,384,759
Total partners' capital (net asset value)		$ 17,524,935	$ 17,384,759
Net asset value per Redeemable Unit		$ 1,257.15	$ 1,247.10
Class Z [Member]
Partners' Capital:
General Partner		$ 2,738,090	$ 2,435,827
Limited Partners		1,665,659	601,306
Total partners' capital (net asset value)		$ 4,403,749	$ 3,037,133
Net asset value per Redeemable Unit		$ 1,288.16	$ 1,275.46

[1] Defined in Note 1.

XML

Statements of Financial Condition (Parenthetical) - shares	Mar. 31, 2017	Dec. 31, 2016
Class A [Member]
Limited Partners capital, Redeemable Units outstanding	158,929.7747	150,497.4117
Class D [Member]
Limited Partners capital, Redeemable Units outstanding	13,940.1566	13,940.1566
Class Z [Member]
General Partner capital, Redeemable Units outstanding	2,125.5810	1,909.7640
Limited Partners capital, Redeemable Units outstanding	1,293.0522	471.4422

XML

Statements of Income and Expenses - USD ($)		3 Months Ended
		Mar. 31, 2017	Mar. 31, 2016
Income:
Interest income allocated from the Master		$ 251,572	$ 133,868
Expenses:
Expenses allocated from the Master		80,604	75,257
Ongoing selling agent fees		1,115,848	1,131,306
Management fees		889,174	902,961
General Partner fees		592,782	601,972
Professional fees		140,300	149,965
Total expenses		2,818,708	2,861,461
Net investment loss		(2,567,136)	(2,727,593)
Net gains (losses) on investment in the Master:
Net realized gains (losses) on closed contracts allocated from the Master		9,022,292	8,410,392
Net change in unrealized gains (losses) on open contracts allocated from the Master		(5,269,338)	166,471
Total trading results		3,752,954	8,576,863
Net income (loss)		1,185,818	5,849,270
Net income (loss) allocation by Class:
Net income (loss) allocated from Master		1,185,818	5,849,270
Class A [Member]
Net gains (losses) on investment in the Master:
Net income (loss)		1,014,291	5,238,836
Net income (loss) allocation by Class:
Net income (loss) allocated from Master		$ 1,014,291	$ 5,238,836
Net asset value per Redeemable Unit:
Net asset value per Redeemable Unit		$ 1,316.37	$ 1,385.52
Net income (loss) per Redeemable Unit
Net income (loss) per Redeemable Unit	[1]	$ 6.43	$ 34.49
Weighted average Redeemable Units outstanding
Weighted average Redeemable Units outstanding		165,110.6037	153,311.6552
Class D [Member]
Net gains (losses) on investment in the Master:
Net income (loss)		$ 140,176	$ 517,804
Net income (loss) allocation by Class:
Net income (loss) allocated from Master		$ 140,176	$ 517,804
Net asset value per Redeemable Unit:
Net asset value per Redeemable Unit		$ 1,257.15	$ 1,306.72
Net income (loss) per Redeemable Unit
Net income (loss) per Redeemable Unit	[1]	$ 10.05	$ 36.51
Weighted average Redeemable Units outstanding
Weighted average Redeemable Units outstanding		13,940.1566	14,179.1386
Class Z [Member]
Net gains (losses) on investment in the Master:
Net income (loss)		$ 31,351	$ 92,630
Net income (loss) allocation by Class:
Net income (loss) allocated from Master		$ 31,351	$ 92,630
Net asset value per Redeemable Unit:
Net asset value per Redeemable Unit		$ 1,288.16	$ 1,328.94
Net income (loss) per Redeemable Unit
Net income (loss) per Redeemable Unit	[1]	$ 12.70	$ 39.57
Weighted average Redeemable Units outstanding
Weighted average Redeemable Units outstanding		2,870.8932	2,341.3742

[1] Represents the change in net asset value per Redeemable Unit during the period.

XML

Statements of Income and Expenses (Parenthetical) - shares	Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Partners Capital, Redeemable Units outstanding	176,288.5645	166,818.7745	169,838.3570	168,012.4450
Class A [Member]
Limited Partners, Redeemable Units outstanding	158,929.7747	150,497.4117	153,317.8442
Partners Capital, Redeemable Units outstanding	158,929.7747	150,497.4117	153,317.8442	151,491.9322
Class D [Member]
Limited Partners, Redeemable Units outstanding	13,940.1566	13,940.1566	14,179.1386
Partners Capital, Redeemable Units outstanding	13,940.1566	13,940.1566	14,179.1386	14,179.1386
Class Z [Member]
Limited Partners, Redeemable Units outstanding	1,293.0522	471.4422
Partners Capital, Redeemable Units outstanding	3,418.6332	2,381.2062	2,341.3742	2,341.3742

XML

Statements of Changes in Partners' Capital - USD ($)	Total	Limited Partners [Member]	General Partner [Member]	Class A [Member]	Class A [Member] Limited Partners [Member]	Class D [Member]	Class Z [Member]	Class Z [Member] Limited Partners [Member]	Class Z [Member] General Partner [Member]
Balance, value at Dec. 31, 2015	$ 225,699,151			$ 204,669,817		$ 18,010,427	$ 3,018,907
Balance, Redeemable Units at Dec. 31, 2015	168,012.4450			151,491.9322		14,179.1386	2,341.3742
Subscriptions, value		$ 8,720,457			$ 8,720,457
Subscriptions, Redeemable Units		6,167.267			6,167.267
Net income (loss)	$ 5,849,270			$ 5,238,836		$ 517,804	$ 92,630
Redemptions, value		$ (6,203,430)			$ (6,203,430)
Redemptions, Redeemable Units		(4,341.355)			(4,341.355)
Balance, value at Mar. 31, 2016	$ 234,065,448			$ 212,425,680		$ 18,528,231	$ 3,111,537
Balance, Redeemable Units at Mar. 31, 2016	169,838.3570			153,317.8442		14,179.1386	2,341.3742
Balance, value at Dec. 31, 2016	$ 217,564,351			$ 197,142,459		$ 17,384,759	$ 3,037,133
Balance, Redeemable Units at Dec. 31, 2016	166,818.7745			150,497.4117		13,940.1566	2,381.2062
Subscriptions, value		$ 24,441,406	$ 275,265		$ 23,381,406			$ 1,060,000	$ 275,265
Subscriptions, Redeemable Units		18,683.6740	215.8170		17,862.0640			821.6100	215.8170
Net income (loss)	$ 1,185,818			$ 1,014,291		$ 140,176	$ 31,351
Redemptions, value		$ (12,327,410)			$ (12,327,410)
Redemptions, Redeemable Units		(9,429.701)			(9,429.701)
Balance, value at Mar. 31, 2017	$ 231,139,430			$ 209,210,746		$ 17,524,935	$ 4,403,749
Balance, Redeemable Units at Mar. 31, 2017	176,288.5645			158,929.7747		13,940.1566	3,418.6332

XML

Organization

3 Months Ended

Mar. 31, 2017

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Organization

1. Organization:

Managed Futures Premier Abingdon L.P. (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are indirectly traded by the Partnership through its investment in CMF Winton Master L.P. (the “Master”) are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership privately and continuously offers redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. As of January 1, 2017, the General Partner became 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. Prior to January 1, 2017, the General Partner was a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC. All trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”).

During the reporting periods ended March 31, 2017 and 2016, the Partnership’s and the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership and the Master also deposit a portion of their cash in non-trading accounts at JPMorgan Chase Bank, N.A.

On February 1, 2007, the Partnership allocated substantially all of its capital to the Master, a limited partnership organized under the partnership laws of the State of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master permits accounts managed by the Advisor using the Winton Futures Program (formerly, the Winton Diversified Program, as applied without equities), the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same as if the Partnership traded directly, and redemption rights are not affected. The General Partner and the Advisor agreed that the Advisor will trade the Partnership’s assets allocated to the Advisor at a level that is up to 1.5 times the amount of assets allocated.

A limited partner in the Master may withdraw all or part of its capital contribution and undistributed profits, if any, from the Master as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner in the Master elects to redeem and informs the Master.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2017.

On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Redeemable Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Units were first issued on April 1, 2011 and August 1, 2011, respectively. Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the limited partner, although the General Partner may determine to offer any Class of Redeemable Units to investors at its discretion. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) and certain employees of Morgan Stanley and its subsidiaries (and their family members). Class A Redeemable Units, Class D Redeemable Units, and Class Z Redeemable Units are identical, except that Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.75% (a 0.75% annual rate) of the net assets of Class D as of the end of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.00% (a 2.00% annual rate) of the net assets of Class A as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee.

At March 31, 2017 and December 31, 2016, the Partnership owned approximately 50.6% and 45.8%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with MS&Co. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

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

The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management is paid a monthly ongoing selling agent fee at the rates described above. The ongoing selling agent fee received by Morgan Stanley Wealth Management is shared with the properly registered/exempted financial advisors of Morgan Stanley Wealth Management who sell Class A and/or Class D Redeemable Units.

In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

XML

Basis of Presentation and Summary of Significant Accounting Policies

3 Months Ended

Mar. 31, 2017

Accounting Policies [Abstract]

Basis of Presentation and Summary of Significant Accounting Policies

2. Basis of Presentation and Summary of Significant Accounting Policies:

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at March 31, 2017 and the results of its operations and changes in partners’ capital for the three months ended March 31, 2017 and 2016. These financial statements present the results for interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2016. The December 31, 2016 information has been derived from the audited financial statements as of and for the year ended December 31, 2016.

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 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 March 31, 2017 and 2016, the Partnership carried no debt and substantially all the Partnership’s’ investments were carried at fair value and classified as Level 1 and level 2 measurements.

Partnership’s Investment. The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per Redeemable Unit, as a practical expedient, as calculated by the Master. The valuation of the Master’s investments, including the classification within the fair value hierarchy of the investments held by the Master, are described in Note 5, “Fair Value Measurements.”

Master’s Investments.  All commodity interests of the Master, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests 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. 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 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 Master’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. The Master does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments due to fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

Master’s Cash. The Master’s cash includes cash denominated in foreign currencies of $19,877,172 (cost of $19,845,171) and $8,098,626 (cost of $8,082,720) as of March 31, 2017 and December 31, 2016, respectively. The Master’s margin requirement of $76,293,352 as of December 31, 2016 was met from a combination of 1) U.S. Treasury bills held at MS&Co. and 2) cash margin held at MS&Co. of $68,379,250 as of December 31, 2016.

Income Taxes. Income taxes have not been listed 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 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 2013 through 2016 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 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, 2016.

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2017 and December 31, 2016 and Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2017 and 2016 are presented below:

CMF Winton Master L.P.

Statements of Financial Condition

(Unaudited)

	March 31,     2017		December 31,     2016
Assets:
Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost $0 and $416,693,176 at March 31, 2017 and December 31, 2016, respectively)	$	-	$	416,864,386
Cash at MS&Co.		398,730,138		-
Cash margin		69,941,404		68,379,250
Net unrealized appreciation on open futures contracts		-		10,740,072
Net unrealized appreciation on open forward contracts		2,490,477		-
Total equity in trading account		471,162,019		495,983,708
Cash at bank		1,022		217
Total assets	$	471,163,041	$	495,983,925
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	3,790,852	$	-
Net unrealized depreciation on open forward contracts		-		1,650,934
Accrued expenses:
Professional fees		55,762		40,013
Total liabilities		3,846,614		1,690,947
Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at March 31, 2017 and December 31, 2016		-		-
Limited Partners, 121,527.2032 and 130,613.6627 Redeemable Units outstanding at March 31, 2017 and December 31, 2016, respectively		467,316,427		494,292,978
Total partners’ capital (net asset value)		467,316,427		494,292,978
Total liabilities and partners’ capital	$	471,163,041	$	495,983,925
Net asset value per Redeemable Unit	$	3,845.36	$	3,784.39

CMF Winton Master L.P.

Condensed Schedule of Investments

March 31, 2017

(Unaudited)

	Notional ($)/         Number of Contracts		Fair Value		% of Partners’     Capital
Futures Contracts Purchased
Currencies		738	$	372,540		0.08	%
Energy		241		(14,168)		(0.00)	*
Grains		96		(289,440)		(0.06)
Indices		6,949		1,127,129		0.23
Interest Rates U.S.		1,301		125,462		0.03
Interest Rates Non-U.S.		2,570		(56,598)		(0.01)
Livestock		297		116,793		0.02
Metals		7		6,255		0.00	*
Softs		146		120,874		0.03
Total futures contracts purchased				1,508,847		0.32
Futures Contracts Sold
Currencies		2,475		(3,264,300)		(0.70)
Energy		289		(494,120)		(0.10)
Grains		1,420		1,165,768		0.25
Indices		813		(746,246)		(0.16)
Interest Rates U.S.		936		(621,195)		(0.13)
Interest Rates Non-U.S.		6,390		(1,530,340)		(0.33)
Livestock		1		-		-
Metals		199		(169,290)		(0.04)
Softs		600		360,024		0.08
Total futures contracts sold				(5,299,699)		(1.13)
Net unrealized depreciation on open futures contracts			$	(3,790,852)		(0.81)	%
Unrealized Appreciation on Open Forward Contracts
Currencies	$	221,082,886	$	3,458,110		0.74	%
Metals		486		844,281		0.18
Total unrealized appreciation on open forward contracts				4,302,391		0.92
Unrealized Depreciation on Open Forward Contracts
Currencies	$	113,767,473		(1,030,914)		(0.22)
Metals		302		(781,000)		(0.17)
Total unrealized depreciation on open forward contracts				(1,811,914)		(0.39)
Net unrealized appreciation on open forward contracts			$	2,490,477		0.53	%

* Due to rounding

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2016

	Notional ($)/         Number of Contracts		Fair Value		% of Partners’     Capital
Futures Contracts Purchased
Energy		436	$	488,528		0.10	%
Grains		611		(669,759)		(0.14)
Indices		6,388		2,488,495		0.51
Interest Rates U.S.		607		54,008		0.01
Interest Rates Non-U.S.		2,544		687,914		0.14
Livestock		214		215,568		0.04
Metals		5		(28,210)		(0.01)
Softs		249		(197,243)		(0.04)
Total futures contracts purchased				3,039,301		0.61
Futures Contracts Sold
Currencies		3,392		3,433,399		0.69
Energy		169		(335,387)		(0.06)
Grains		1,592		415,561		0.08
Indices		227		(37,389)		(0.01)
Interest Rates U.S.		860		(239,781)		(0.05)
Interest Rates Non-U.S.		5,375		978,244		0.20
Livestock		20		(68,990)		(0.01)
Metals		678		1,388,583		0.28
Softs		448		2,166,531		0.44
Total futures contracts sold				7,700,771		1.56
Net unrealized appreciation on open futures contracts			$	10,740,072		2.17	%
Unrealized Appreciation on Open Forward Contracts
Currencies	$	205,499,621	$	3,683,915		0.74	%
Metals		665		1,925,249		0.39
Total unrealized appreciation on open forward contracts				5,609,164		1.13
Unrealized Depreciation on Open Forward Contracts
Currencies	$	218,825,586		(2,741,186)		(0.55)
Metals		907		(4,518,912)		(0.91)
Total unrealized depreciation on open forward contracts				(7,260,098)		(1.46)
Net unrealized depreciation on open forward contracts			$	(1,650,934)		(0.33)	%
U.S. Government Securities

Face Amount	Maturity Date		Description	Fair Value		% of Partners’       Capital
			U.S. Treasury bills, 0.365% *
$    350,000,000		1/19/2017	(Amortized cost of $349,772,889)	$	349,922,708		70.79	%
			U.S. Treasury bills, 0.41% *
$      17,000,000		2/2/2017	(Amortized cost of $16,986,641)		16,993,136		3.44
			U.S. Treasury bills, 0.525% *
$      50,000,000		3/16/2017	(Amortized cost of $49,933,646)		49,948,542		10.11
Total U.S. Government Securities				$	416,864,386		84.34	%

*    Liquid non-cash held as collateral.

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

	Three Months Ended March 31,
	2017		2016
Investment Income:
Interest income	$	553,002	$	341,464
Expenses:
Clearing fees		146,069		166,861
Professional fees		15,946		20,523
Total expenses		162,015		187,384
Net investment income (loss)		390,987		154,080
Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		17,804,386		21,048,317
Net change in unrealized gains (losses) on open contracts		(10,373,418)		1,456,772
Total trading results		7,430,968		22,505,089
Net income (loss)		7,821,955		22,659,169
Subscriptions - Limited Partners		25,469,347		8,720,457
Redemptions - Limited Partners		(59,850,465)		(57,703,322)
Distribution of interest income to feeder funds		(417,388)		(76,412)
Net increase (decrease) in Partners’ Capital		(26,976,551)		(26,400,108)
Partners’ Capital, beginning of period		494,292,978		603,041,370
Partners’ Capital, end of period	$	467,316,427	$	576,641,262
Net asset value per Redeemable Unit (121,527.2032 and 149,258.1324 Redeemable Units outstanding at March 31, 2017 and 2016, respectively)	$	3,845.36	$	3,863.38
Net income (loss) per Redeemable Unit*	$	64.28	$	140.87
Weighted average Redeemable Units outstanding		126,010.1404		157,072.6376

* Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds.

XML

Financial Highlights

3 Months Ended

Mar. 31, 2017

Text Block [Abstract]

Financial Highlights

3. Financial Highlights:

Financial highlights for the limited partner classes as a whole for the three months ended March 31, 2017 and 2016 were as follows:

	Three Months Ended March 31,
	2017									2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*		Class A			Class D			Class Z			Class A			Class D			Class Z
Net realized and unrealized gains (losses)	$	21.00		$	20.04		$	20.53		$	51.09		$	47.94		$	48.62
Net investment loss		(14.57)			(9.99)			(7.83)			(16.60)			(11.43)			(9.05)
Increase (decrease) for the period		6.43			10.05			12.70			34.49			36.51			39.57
Net asset value per Redeemable Unit, beginning of period		1,309.94			1,247.10			1,275.46			1,351.03			1,270.21			1,289.37
Net asset value per Redeemable Unit, end of period	$	1,316.37		$	1,257.15		$	1,288.16		$	1,385.52		$	1,306.72		$	1,328.94
	Three Months Ended March 31,
	2017									2016
	Class A			Class D			Class Z			Class A			Class D			Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(4.7)	%		(3.3)	%		(2.6)	%		(4.8)	%		(3.5)	%		(2.7)	%
Operating expenses		5.1	%		3.7	%		3.1	%		5.0	%		3.7	%		2.9	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%
Total expenses		5.1	%		3.7	%		3.1	%		5.0	%		3.7	%		2.9	%
Total return:
Total return before incentive fees		0.5	%		0.8	%		1.0	%		2.6	%		2.9	%		3.1	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%
Total return after incentive fees		0.5	%		0.8	%		1.0	%		2.6	%		2.9	%		3.1	%

* Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

** Annualized (except for incentive fees).

*** Interest income allocated from the Master less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class for the Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Master.

Financial Highlights of the Master:

	Three Months Ended
	March 31,
	2017			2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	61.18		$	139.85
Net investment income (loss)		3.10			1.02
Increase (decrease) for the period		64.28			140.87
Distribution of interest income to feeder funds		(3.31)			(0.50)
Net asset value per Redeemable Unit, beginning of period		3,784.39			3,723.01
Net asset value per Redeemable Unit, end of period	$	3,845.36		$	3,863.38
	Three Months Ended
	March 31,
	2017			2016
Ratios to Average Limited Partners’ Capital:**
Net investment income (loss)***		0.3	%		0.1	%
Operating expenses		0.1	%		0.1	%
Total return		1.7	%		3.8	%

* Net investment income (loss) per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

** Annualized.

*** Interest income less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average partners’ capital.

XML

Trading Activities

3 Months Ended

Mar. 31, 2017

Brokers and Dealers [Abstract]

Trading Activities

4. Trading Activities:

The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Master’s trading activities are shown in the Partnership’s Statements of Income and Expenses.

The futures brokerage account agreements with MS&Co. give the Partnership and the Master the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts 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 for the Master and the Partnership’s percentage ownership of the Master. All clearing fees paid to MS&Co. are borne by the Master and allocated to the Master’s limited partners, including the Partnership.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded by the Master during the three months ended March 31, 2017 and 2016 was 25,178 and 39,982, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended March 31, 2017 and 2016 was 990 and 708, respectively. The monthly average notional value of currency forward contracts traded by the Master during the three months ended March 31, 2017 and 2016 was $447,690,640 and $592,425,746, respectively.

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting agreements or similar arrangements as of March 31, 2017 and December 31, 2016, respectively.

			Gross Amounts		Amounts		Gross Amounts Not Offset in the
			Offset in the		Presented in the		Statements of Financial Condition
			Statements of		Statements of				Cash Collateral
	Gross Amounts		Financial		Financial		Financial		Received/		Net
March 31, 2017	Recognized		Condition		Condition		Instruments		Pledged*		Amount
Assets
Futures	$	7,738,975	$	(7,738,975)	$	-	$	-	$	-	$	-
Forwards		4,302,391		(1,811,914)		2,490,477		-		-		2,490,477
Total assets	$	12,041,366	$	(9,550,889)	$	2,490,477	$	-	$	-	$	2,490,477
Liabilities
Futures	$	(11,529,827)	$	7,738,975	$	(3,790,852)	$	-	$	-	$	(3,790,852)
Forwards		(1,811,914)		1,811,914		-		-		-		-
Total liabilities	$	(13,341,741)	$	9,550,889	$	(3,790,852)	$	-	$	-	$	(3,790,852)
Net fair value											$	(1,300,375)	*
			Gross Amounts		Amounts		Gross Amounts Not Offset in the
			Offset in the		Presented in the		Statements of Financial Condition
			Statements of		Statements of				Cash Collateral
	Gross Amounts		Financial		Financial		Financial		Received/		Net
December 31, 2016	Recognized		Condition		Condition		Instruments		Pledged*		Amount
Assets
Futures	$	16,580,686	$	(5,840,614)	$	10,740,072	$	-	$	-	$	10,740,072
Forwards		5,609,164		(5,609,164)		-		-		-		-
Total assets	$	22,189,850	$	(11,449,778)	$	10,740,072	$	-	$	-	$	10,740,072
Liabilities
Futures	$	(5,840,614)	$	5,840,614	$	-	$	-	$	-	$	-
Forwards		(7,260,098)		5,609,164		(1,650,934)		-		-		(1,650,934)
Total liabilities	$	(13,100,712)	$	11,449,778	$	(1,650,934)	$	-	$	-	$	(1,650,934)
Net fair value											$	9,089,138	*

* In the event of default by the Master, MS&Co., the Master’s commodity futures broker and the sole counterparty to the Master’s non-exchange-traded contracts, as applicable, has the right to offset the Master’s obligation with the Master’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master is exposed to the amount shown in the Master’s Statements of Financial Condition. In the case of exchange-traded contracts, the Master’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default.

The following tables indicate the gross fair values of the Master’s derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2017 and December 31, 2016, respectively.

	March 31,
	2017
Assets
Futures Contracts
Currencies	$	697,194
Energy		167,745
Grains		1,208,594
Indices		4,152,540
Interest Rates U.S.		215,689
Interest Rates Non-U.S.		373,908
Livestock		198,278
Metals		34,570
Softs		690,457
Total unrealized appreciation on open futures contracts		7,738,975
Liabilities
Futures Contracts
Currencies		(3,588,954)
Energy		(676,033)
Grains		(332,266)
Indices		(3,771,657)
Interest Rates U.S.		(711,422)
Interest Rates Non-U.S.		(1,960,846)
Livestock		(81,485)
Metals		(197,605)
Softs		(209,559)
Total unrealized depreciation on open futures contracts		(11,529,827)
Net unrealized depreciation on open futures contracts	$	(3,790,852)	*
Assets
Forward Contracts
Currencies	$	3,458,110
Metals		844,281
Total unrealized appreciation on open forward contracts		4,302,391
Liabilities
Forward Contracts
Currencies		(1,030,914)
Metals		(781,000)
Total unrealized depreciation on open forward contracts		(1,811,914)
Net unrealized appreciation on open forward contracts	$	2,490,477	**

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

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

	December 31,
	2016
Assets
Futures Contracts
Currencies	$	3,749,363
Energy		551,720
Grains		617,396
Indices		5,061,697
Interest Rates U.S.		367,071
Interest Rates Non-U.S.		2,095,184
Livestock		230,256
Metals		1,590,193
Softs		2,317,806
Total unrealized appreciation on open futures contracts		16,580,686
Liabilities
Futures Contracts
Currencies		(315,964)
Energy		(398,579)
Grains		(871,594)
Indices		(2,610,591)
Interest Rates U.S.		(552,844)
Interest Rates Non-U.S.		(429,026)
Livestock		(83,678)
Metals		(229,820)
Softs		(348,518)
Total unrealized depreciation on open futures contracts		(5,840,614)
Net unrealized appreciation on open futures contracts	$	10,740,072	*
Assets
Forward Contracts
Currencies	$	3,683,915
Metals		1,925,249
Total unrealized appreciation on open forward contracts		5,609,164
Liabilities
Forward Contracts
Currencies		(2,741,186)
Metals		(4,518,912)
Total unrealized depreciation on open forward contracts		(7,260,098)
Net unrealized depreciation on open forward contracts	$	(1,650,934)	**

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

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

The following table indicates the Master’s total trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2017 and 2016.

	Three Months Ended March 31,
	2017			2016
Sector
Currencies	$	(3,852,357)		$	(4,448,739)
Energy		(4,844,453)			6,312,384
Grains		(1,950,632)			(38,929)
Indices		25,831,175			(6,778,692)
Interest Rates U.S.		(1,415,218)			6,964,820
Interest Rates Non-U.S.		(3,115,949)			36,286,973
Livestock		372,345			472,355
Metals		(4,227,962)			(16,367,259)
Softs		634,019			102,176
Total	$	7,430,968	***	$	22,505,089	***

*** This amount is in “Total trading results” in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

XML

Fair Value Measurements

3 Months Ended

Mar. 31, 2017

Fair Value Disclosures [Abstract]

Fair Value Measurements

5. Fair Value Measurements:

Master’s Fair Value Measurements. Fair value is defined as the price 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 and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Master considers prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills and non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of March 31, 2017 and December 31, 2016 and for the periods ended March 31, 2017 and 2016, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2.

March 31, 2017	Total		Level 1		Level 2		Level 3
Assets
Futures	$	7,738,975	$	7,738,975	$	-	$	-
Forwards		4,302,391		844,281		3,458,110		-
Total assets	$	12,041,366	$	8,583,256	$	3,458,110	$	-
Liabilities
Futures	$	11,529,827	$	11,529,827	$	-	$	-
Forwards		1,811,914		781,000		1,030,914		-
Total liabilities	$	13,341,741	$	12,310,827	$	1,030,914	$	-
December 31, 2016	Total		Level 1		Level 2		Level 3
Assets
U.S. Treasury bills	$	416,864,386	$	-	$	416,864,386	$	-
Futures		16,580,686		16,580,686		-		-
Forwards		5,609,164		1,925,249		3,683,915		-
Total assets	$	439,054,236	$	18,505,935	$	420,548,301	$	-
Liabilities
Futures	$	5,840,614	$	5,840,614	$	-	$	-
Forwards		7,260,098		4,518,912		2,741,186		-
Total liabilities	$	13,100,712	$	10,359,526	$	2,741,186	$	-

XML

Financial Instrument Risks

3 Months Ended

Mar. 31, 2017

Investments, All Other Investments [Abstract]

Financial Instrument Risks

6. Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that, at any given time, approximately 22.7% to 27.1% of the Master’s contracts are traded OTC.

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

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

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

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

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

The General Partner monitors and attempts to control the Partnership’s/Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and forward contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under New York law.

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.

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

XML

Subsequent Events

3 Months Ended

Mar. 31, 2017

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 issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements.

XML

Basis of Presentation and Summary of Significant Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2017

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 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 March 31, 2017 and 2016, the Partnership carried no debt and substantially all the Partnership’s’ investments were carried at fair value and classified as Level 1 and level 2 measurements.

Partnership's Investment

Partnership’s Investment. The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per Redeemable Unit, as a practical expedient, as calculated by the Master. The valuation of the Master’s investments, including the classification within the fair value hierarchy of the investments held by the Master, are described in Note 5, “Fair Value Measurements.”

Master's Investments

Master’s Investments.  All commodity interests of the Master, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests 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. 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 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 Master’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. The Master does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments due to fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

Master's Cash

Master’s Cash. The Master’s cash includes cash denominated in foreign currencies of $19,877,172 (cost of $19,845,171) and $8,098,626 (cost of $8,082,720) as of March 31, 2017 and December 31, 2016, respectively. The Master’s margin requirement of $76,293,352 as of December 31, 2016 was met from a combination of 1) U.S. Treasury bills held at MS&Co. and 2) cash margin held at MS&Co. of $68,379,250 as of December 31, 2016.

Income Taxes

Income Taxes. Income taxes have not been listed 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 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 2013 through 2016 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status

Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 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

Basis of Presentation and Summary of Significant Accounting Policies (Tables)

3 Months Ended

Mar. 31, 2017

Accounting Policies [Abstract]

Statements of Financial Condition

CMF Winton Master L.P.

Statements of Financial Condition

(Unaudited)

	March 31,     2017		December 31,     2016
Assets:
Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost $0 and $416,693,176 at March 31, 2017 and December 31, 2016, respectively)	$	-	$	416,864,386
Cash at MS&Co.		398,730,138		-
Cash margin		69,941,404		68,379,250
Net unrealized appreciation on open futures contracts		-		10,740,072
Net unrealized appreciation on open forward contracts		2,490,477		-
Total equity in trading account		471,162,019		495,983,708
Cash at bank		1,022		217
Total assets	$	471,163,041	$	495,983,925
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	3,790,852	$	-
Net unrealized depreciation on open forward contracts		-		1,650,934
Accrued expenses:
Professional fees		55,762		40,013
Total liabilities		3,846,614		1,690,947
Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at March 31, 2017 and December 31, 2016		-		-
Limited Partners, 121,527.2032 and 130,613.6627 Redeemable Units outstanding at March 31, 2017 and December 31, 2016, respectively		467,316,427		494,292,978
Total partners’ capital (net asset value)		467,316,427		494,292,978
Total liabilities and partners’ capital	$	471,163,041	$	495,983,925
Net asset value per Redeemable Unit	$	3,845.36	$	3,784.39

Condensed Schedule of Investments

CMF Winton Master L.P.

Condensed Schedule of Investments

March 31, 2017

(Unaudited)

	Notional ($)/         Number of Contracts		Fair Value		% of Partners’     Capital
Futures Contracts Purchased
Currencies		738	$	372,540		0.08	%
Energy		241		(14,168)		(0.00)	*
Grains		96		(289,440)		(0.06)
Indices		6,949		1,127,129		0.23
Interest Rates U.S.		1,301		125,462		0.03
Interest Rates Non-U.S.		2,570		(56,598)		(0.01)
Livestock		297		116,793		0.02
Metals		7		6,255		0.00	*
Softs		146		120,874		0.03
Total futures contracts purchased				1,508,847		0.32
Futures Contracts Sold
Currencies		2,475		(3,264,300)		(0.70)
Energy		289		(494,120)		(0.10)
Grains		1,420		1,165,768		0.25
Indices		813		(746,246)		(0.16)
Interest Rates U.S.		936		(621,195)		(0.13)
Interest Rates Non-U.S.		6,390		(1,530,340)		(0.33)
Livestock		1		-		-
Metals		199		(169,290)		(0.04)
Softs		600		360,024		0.08
Total futures contracts sold				(5,299,699)		(1.13)
Net unrealized depreciation on open futures contracts			$	(3,790,852)		(0.81)	%
Unrealized Appreciation on Open Forward Contracts
Currencies	$	221,082,886	$	3,458,110		0.74	%
Metals		486		844,281		0.18
Total unrealized appreciation on open forward contracts				4,302,391		0.92
Unrealized Depreciation on Open Forward Contracts
Currencies	$	113,767,473		(1,030,914)		(0.22)
Metals		302		(781,000)		(0.17)
Total unrealized depreciation on open forward contracts				(1,811,914)		(0.39)
Net unrealized appreciation on open forward contracts			$	2,490,477		0.53	%

* Due to rounding

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2016

	Notional ($)/         Number of Contracts		Fair Value		% of Partners’     Capital
Futures Contracts Purchased
Energy		436	$	488,528		0.10	%
Grains		611		(669,759)		(0.14)
Indices		6,388		2,488,495		0.51
Interest Rates U.S.		607		54,008		0.01
Interest Rates Non-U.S.		2,544		687,914		0.14
Livestock		214		215,568		0.04
Metals		5		(28,210)		(0.01)
Softs		249		(197,243)		(0.04)
Total futures contracts purchased				3,039,301		0.61
Futures Contracts Sold
Currencies		3,392		3,433,399		0.69
Energy		169		(335,387)		(0.06)
Grains		1,592		415,561		0.08
Indices		227		(37,389)		(0.01)
Interest Rates U.S.		860		(239,781)		(0.05)
Interest Rates Non-U.S.		5,375		978,244		0.20
Livestock		20		(68,990)		(0.01)
Metals		678		1,388,583		0.28
Softs		448		2,166,531		0.44
Total futures contracts sold				7,700,771		1.56
Net unrealized appreciation on open futures contracts			$	10,740,072		2.17	%
Unrealized Appreciation on Open Forward Contracts
Currencies	$	205,499,621	$	3,683,915		0.74	%
Metals		665		1,925,249		0.39
Total unrealized appreciation on open forward contracts				5,609,164		1.13
Unrealized Depreciation on Open Forward Contracts
Currencies	$	218,825,586		(2,741,186)		(0.55)
Metals		907		(4,518,912)		(0.91)
Total unrealized depreciation on open forward contracts				(7,260,098)		(1.46)
Net unrealized depreciation on open forward contracts			$	(1,650,934)		(0.33)	%
U.S. Government Securities

Face Amount	Maturity Date		Description	Fair Value		% of Partners’       Capital
			U.S. Treasury bills, 0.365% *
$    350,000,000		1/19/2017	(Amortized cost of $349,772,889)	$	349,922,708		70.79	%
			U.S. Treasury bills, 0.41% *
$      17,000,000		2/2/2017	(Amortized cost of $16,986,641)		16,993,136		3.44
			U.S. Treasury bills, 0.525% *
$      50,000,000		3/16/2017	(Amortized cost of $49,933,646)		49,948,542		10.11
Total U.S. Government Securities				$	416,864,386		84.34	%

*    Liquid non-cash held as collateral.

Statements of Income and Expenses and Changes in Partners' Capital

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

	Three Months Ended March 31,
	2017		2016
Investment Income:
Interest income	$	553,002	$	341,464
Expenses:
Clearing fees		146,069		166,861
Professional fees		15,946		20,523
Total expenses		162,015		187,384
Net investment income (loss)		390,987		154,080
Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		17,804,386		21,048,317
Net change in unrealized gains (losses) on open contracts		(10,373,418)		1,456,772
Total trading results		7,430,968		22,505,089
Net income (loss)		7,821,955		22,659,169
Subscriptions - Limited Partners		25,469,347		8,720,457
Redemptions - Limited Partners		(59,850,465)		(57,703,322)
Distribution of interest income to feeder funds		(417,388)		(76,412)
Net increase (decrease) in Partners’ Capital		(26,976,551)		(26,400,108)
Partners’ Capital, beginning of period		494,292,978		603,041,370
Partners’ Capital, end of period	$	467,316,427	$	576,641,262
Net asset value per Redeemable Unit (121,527.2032 and 149,258.1324 Redeemable Units outstanding at March 31, 2017 and 2016, respectively)	$	3,845.36	$	3,863.38
Net income (loss) per Redeemable Unit*	$	64.28	$	140.87
Weighted average Redeemable Units outstanding		126,010.1404		157,072.6376

* Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds.

XML

Financial Highlights (Tables)

3 Months Ended

Mar. 31, 2017

Text Block [Abstract]

Financial Highlights for Limited Partner Classes

Financial highlights for the limited partner classes as a whole for the three months ended March 31, 2017 and 2016 were as follows:

	Three Months Ended March 31,
	2017									2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*		Class A			Class D			Class Z			Class A			Class D			Class Z
Net realized and unrealized gains (losses)	$	21.00		$	20.04		$	20.53		$	51.09		$	47.94		$	48.62
Net investment loss		(14.57)			(9.99)			(7.83)			(16.60)			(11.43)			(9.05)
Increase (decrease) for the period		6.43			10.05			12.70			34.49			36.51			39.57
Net asset value per Redeemable Unit, beginning of period		1,309.94			1,247.10			1,275.46			1,351.03			1,270.21			1,289.37
Net asset value per Redeemable Unit, end of period	$	1,316.37		$	1,257.15		$	1,288.16		$	1,385.52		$	1,306.72		$	1,328.94
	Three Months Ended March 31,
	2017									2016
	Class A			Class D			Class Z			Class A			Class D			Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(4.7)	%		(3.3)	%		(2.6)	%		(4.8)	%		(3.5)	%		(2.7)	%
Operating expenses		5.1	%		3.7	%		3.1	%		5.0	%		3.7	%		2.9	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%
Total expenses		5.1	%		3.7	%		3.1	%		5.0	%		3.7	%		2.9	%
Total return:
Total return before incentive fees		0.5	%		0.8	%		1.0	%		2.6	%		2.9	%		3.1	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%
Total return after incentive fees		0.5	%		0.8	%		1.0	%		2.6	%		2.9	%		3.1	%

* Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

** Annualized (except for incentive fees).

*** Interest income allocated from the Master less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class for the Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Master.

Financial Highlights of the Master:

	Three Months Ended
	March 31,
	2017			2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	61.18		$	139.85
Net investment income (loss)		3.10			1.02
Increase (decrease) for the period		64.28			140.87
Distribution of interest income to feeder funds		(3.31)			(0.50)
Net asset value per Redeemable Unit, beginning of period		3,784.39			3,723.01
Net asset value per Redeemable Unit, end of period	$	3,845.36		$	3,863.38
	Three Months Ended
	March 31,
	2017			2016
Ratios to Average Limited Partners’ Capital:**
Net investment income (loss)***		0.3	%		0.1	%
Operating expenses		0.1	%		0.1	%
Total return		1.7	%		3.8	%

* Net investment income (loss) per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

** Annualized.

*** Interest income less total expenses.

XML

Trading Activities (Tables)

3 Months Ended

Mar. 31, 2017

Brokers and Dealers [Abstract]

Summary of Valuation of Master's Investments

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting agreements or similar arrangements as of March 31, 2017 and December 31, 2016, respectively.

			Gross Amounts		Amounts		Gross Amounts Not Offset in the
			Offset in the		Presented in the		Statements of Financial Condition
			Statements of		Statements of				Cash Collateral
	Gross Amounts		Financial		Financial		Financial		Received/		Net
March 31, 2017	Recognized		Condition		Condition		Instruments		Pledged*		Amount
Assets
Futures	$	7,738,975	$	(7,738,975)	$	-	$	-	$	-	$	-
Forwards		4,302,391		(1,811,914)		2,490,477		-		-		2,490,477
Total assets	$	12,041,366	$	(9,550,889)	$	2,490,477	$	-	$	-	$	2,490,477
Liabilities
Futures	$	(11,529,827)	$	7,738,975	$	(3,790,852)	$	-	$	-	$	(3,790,852)
Forwards		(1,811,914)		1,811,914		-		-		-		-
Total liabilities	$	(13,341,741)	$	9,550,889	$	(3,790,852)	$	-	$	-	$	(3,790,852)
Net fair value											$	(1,300,375)	*
			Gross Amounts		Amounts		Gross Amounts Not Offset in the
			Offset in the		Presented in the		Statements of Financial Condition
			Statements of		Statements of				Cash Collateral
	Gross Amounts		Financial		Financial		Financial		Received/		Net
December 31, 2016	Recognized		Condition		Condition		Instruments		Pledged*		Amount
Assets
Futures	$	16,580,686	$	(5,840,614)	$	10,740,072	$	-	$	-	$	10,740,072
Forwards		5,609,164		(5,609,164)		-		-		-		-
Total assets	$	22,189,850	$	(11,449,778)	$	10,740,072	$	-	$	-	$	10,740,072
Liabilities
Futures	$	(5,840,614)	$	5,840,614	$	-	$	-	$	-	$	-
Forwards		(7,260,098)		5,609,164		(1,650,934)		-		-		(1,650,934)
Total liabilities	$	(13,100,712)	$	11,449,778	$	(1,650,934)	$	-	$	-	$	(1,650,934)
Net fair value											$	9,089,138	*

* In the event of default by the Master, MS&Co., the Master’s commodity futures broker and the sole counterparty to the Master’s non-exchange-traded contracts, as applicable, has the right to offset the Master’s obligation with the Master’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master is exposed to the amount shown in the Master’s Statements of Financial Condition. In the case of exchange-traded contracts, the Master’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default.

Gross Fair Values of Master's Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities

The following tables indicate the gross fair values of the Master’s derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2017 and December 31, 2016, respectively.

	March 31,
	2017
Assets
Futures Contracts
Currencies	$	697,194
Energy		167,745
Grains		1,208,594
Indices		4,152,540
Interest Rates U.S.		215,689
Interest Rates Non-U.S.		373,908
Livestock		198,278
Metals		34,570
Softs		690,457
Total unrealized appreciation on open futures contracts		7,738,975
Liabilities
Futures Contracts
Currencies		(3,588,954)
Energy		(676,033)
Grains		(332,266)
Indices		(3,771,657)
Interest Rates U.S.		(711,422)
Interest Rates Non-U.S.		(1,960,846)
Livestock		(81,485)
Metals		(197,605)
Softs		(209,559)
Total unrealized depreciation on open futures contracts		(11,529,827)
Net unrealized depreciation on open futures contracts	$	(3,790,852)	*
Assets
Forward Contracts
Currencies	$	3,458,110
Metals		844,281
Total unrealized appreciation on open forward contracts		4,302,391
Liabilities
Forward Contracts
Currencies		(1,030,914)
Metals		(781,000)
Total unrealized depreciation on open forward contracts		(1,811,914)
Net unrealized appreciation on open forward contracts	$	2,490,477	**

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

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

	December 31,
	2016
Assets
Futures Contracts
Currencies	$	3,749,363
Energy		551,720
Grains		617,396
Indices		5,061,697
Interest Rates U.S.		367,071
Interest Rates Non-U.S.		2,095,184
Livestock		230,256
Metals		1,590,193
Softs		2,317,806
Total unrealized appreciation on open futures contracts		16,580,686
Liabilities
Futures Contracts
Currencies		(315,964)
Energy		(398,579)
Grains		(871,594)
Indices		(2,610,591)
Interest Rates U.S.		(552,844)
Interest Rates Non-U.S.		(429,026)
Livestock		(83,678)
Metals		(229,820)
Softs		(348,518)
Total unrealized depreciation on open futures contracts		(5,840,614)
Net unrealized appreciation on open futures contracts	$	10,740,072	*
Assets
Forward Contracts
Currencies	$	3,683,915
Metals		1,925,249
Total unrealized appreciation on open forward contracts		5,609,164
Liabilities
Forward Contracts
Currencies		(2,741,186)
Metals		(4,518,912)
Total unrealized depreciation on open forward contracts		(7,260,098)
Net unrealized depreciation on open forward contracts	$	(1,650,934)	**

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

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

Master's Trading Gains and Losses, by Market Sector, on Derivative Instruments

The following table indicates the Master’s total trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2017 and 2016.

	Three Months Ended March 31,
	2017			2016
Sector
Currencies	$	(3,852,357)		$	(4,448,739)
Energy		(4,844,453)			6,312,384
Grains		(1,950,632)			(38,929)
Indices		25,831,175			(6,778,692)
Interest Rates U.S.		(1,415,218)			6,964,820
Interest Rates Non-U.S.		(3,115,949)			36,286,973
Livestock		372,345			472,355
Metals		(4,227,962)			(16,367,259)
Softs		634,019			102,176
Total	$	7,430,968	***	$	22,505,089	***

*** This amount is in “Total trading results” in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

XML

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2017

Fair Value Disclosures [Abstract]

Master's Fair Value Measurements

March 31, 2017	Total		Level 1		Level 2		Level 3
Assets
Futures	$	7,738,975	$	7,738,975	$	-	$	-
Forwards		4,302,391		844,281		3,458,110		-
Total assets	$	12,041,366	$	8,583,256	$	3,458,110	$	-
Liabilities
Futures	$	11,529,827	$	11,529,827	$	-	$	-
Forwards		1,811,914		781,000		1,030,914		-
Total liabilities	$	13,341,741	$	12,310,827	$	1,030,914	$	-
December 31, 2016	Total		Level 1		Level 2		Level 3
Assets
U.S. Treasury bills	$	416,864,386	$	-	$	416,864,386	$	-
Futures		16,580,686		16,580,686		-		-
Forwards		5,609,164		1,925,249		3,683,915		-
Total assets	$	439,054,236	$	18,505,935	$	420,548,301	$	-
Liabilities
Futures	$	5,840,614	$	5,840,614	$	-	$	-
Forwards		7,260,098		4,518,912		2,741,186		-
Total liabilities	$	13,100,712	$	10,359,526	$	2,741,186	$	-

XML

Organization - Additional Information (Detail) - USD ($)		3 Months Ended	12 Months Ended
	Feb. 01, 2007	Mar. 31, 2017	Dec. 31, 2016
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]
Maximum number of units sold by Limited Partnership	0
Maximum amount of partnership assets allocated to trading advisor		Up to 1.5 times
Percentage of Partnership owned		50.60%	45.80%
Class A [Member]
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]
Ongoing selling agent fee		2.00%
Class D [Member]
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]
Ongoing selling agent fee		0.75%
Description of brokerage fee		Class A Redeemable Units, Class D Redeemable Units, and Class Z Redeemable Units are identical, except that Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.75% (a 0.75% annual rate) of the net assets of Class D as of the end of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.00% (a 2.00% annual rate) of the net assets of Class A as of the end of each month.
Limited Partners [Member]
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]
Units of Partnership purchased	9,017.0917
Cash equal, Partnership purchased	$ 12,945,000

XML

Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]
Cash denominated in foreign currencies	$ 19,877,172	$ 8,098,626
Cost of foreign currencies	19,845,171	8,082,720
Margin requirement		76,293,352
Provision for income tax	$ 0
MS&Co. [Member]
Subsidiary of Limited Liability Company or Limited Partnership [Line Items]
Cash margin		$ 68,379,250

XML

Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Detail) - USD ($)		Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost $0 and $416,693,176 at March 31, 2017 and December 31, 2016, respectively)	[1]	$ 236,444,110	$ 226,279,019
Cash at MS&Co.		341,673	290,145
Cash at bank		1,022	217
Total assets		236,786,805	226,569,381
Accrued expenses:
Professional fees		274,868	227,107
Total liabilities		5,647,375	9,005,030
Partners' Capital:
Total partners' capital (net asset value)		231,139,430	217,564,351	$ 234,065,448	$ 225,699,151
Total liabilities and partners' capital		236,786,805	226,569,381
CMF Winton Master L.P. [Member]
Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost $0 and $416,693,176 at March 31, 2017 and December 31, 2016, respectively)			416,864,386
Cash at MS&Co.		398,730,138
Cash margin		69,941,404	68,379,250
Total equity in trading account		471,162,019	495,983,708
Cash at bank		1,022	217
Total assets		471,163,041	495,983,925
Accrued expenses:
Professional fees		55,762	40,013
Total liabilities		3,846,614	1,690,947
Partners' Capital:
General Partner, 0.0000 Redeemable Units outstanding at March 31, 2017 and December 31, 2016		0	0
Limited Partners, 121,527.2032 and 130,613.6627 Redeemable Units outstanding at March 31, 2017 and December 31, 2016, respectively		467,316,427	494,292,978
Total partners' capital (net asset value)		467,316,427	494,292,978	$ 576,641,262	$ 603,041,370
Total liabilities and partners' capital		$ 471,163,041	$ 495,983,925
Net asset value per Redeemable Unit		$ 3,845.36	$ 3,784.39	$ 3,863.38	$ 3,723.01
Futures Contracts [Member] | CMF Winton Master L.P. [Member]
Equity in trading account:
Net unrealized appreciation (depreciation) on open contracts		$ (3,790,852)	$ 10,740,072
Forward Contracts [Member] | CMF Winton Master L.P. [Member]
Equity in trading account:
Net unrealized appreciation (depreciation) on open contracts		$ 2,490,477	$ (1,650,934)

[1] Defined in Note 1.

XML

Basis of Presentation and Summary of Significant Accounting Policies - Statements of Financial Condition (Parenthetical) (Detail) - CMF Winton Master L.P. [Member] - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Condensed Financial Statements, Captions [Line Items]
Investment in U.S. Treasury bills, cost	$ 0	$ 416,693,176
General Partner, Unit outstanding	0	0
Limited Partners, Units outstanding	121,527.2032	130,613.6627

XML

Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedule of Investments (Detail)		12 Months Ended
		Dec. 31, 2016 USD ($) Derivative	Mar. 31, 2017 USD ($) Derivative
Schedule of Investments [Line Items]
Investment, Fair Value	[1]	$ 226,279,019	$ 236,444,110
CMF Winton Master L.P. [Member]
Schedule of Investments [Line Items]
Investment, Fair Value		416,864,386
CMF Winton Master L.P. [Member] | Futures Contracts [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value		$ 10,740,072	$ (3,790,852)
Percentage of Partners' Capital		2.17%	(0.81%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value		$ 3,039,301	$ 1,508,847
Percentage of Partners' Capital		0.61%	0.32%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Currencies [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative			738
Investment in Master, at fair value			$ 372,540
Percentage of Partners' Capital			0.08%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Energy [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		436	241
Investment in Master, at fair value		$ 488,528	$ (14,168)
Percentage of Partners' Capital		0.10%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Grains [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		611	96
Investment in Master, at fair value		$ (669,759)	$ (289,440)
Percentage of Partners' Capital		(0.14%)	(0.06%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Indices [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		6,388	6,949
Investment in Master, at fair value		$ 2,488,495	$ 1,127,129
Percentage of Partners' Capital		0.51%	0.23%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Interest Rates U.S. [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		607	1,301
Investment in Master, at fair value		$ 54,008	$ 125,462
Percentage of Partners' Capital		0.01%	0.03%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Interest Rates Non-U.S. [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		2,544	2,570
Investment in Master, at fair value		$ 687,914	$ (56,598)
Percentage of Partners' Capital		0.14%	(0.01%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Livestock [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		214	297
Investment in Master, at fair value		$ 215,568	$ 116,793
Percentage of Partners' Capital		0.04%	0.02%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Metals [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		5	7
Investment in Master, at fair value		$ (28,210)	$ 6,255
Percentage of Partners' Capital		(0.01%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Purchased [Member] | Softs [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		249	146
Investment in Master, at fair value		$ (197,243)	$ 120,874
Percentage of Partners' Capital		(0.04%)	0.03%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value		$ 7,700,771	$ (5,299,699)
Percentage of Partners' Capital		1.56%	(1.13%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Currencies [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		3,392	2,475
Investment in Master, at fair value		$ 3,433,399	$ (3,264,300)
Percentage of Partners' Capital		0.69%	(0.70%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Energy [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		169	289
Investment in Master, at fair value		$ (335,387)	$ (494,120)
Percentage of Partners' Capital		(0.06%)	(0.10%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Grains [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		1,592	1,420
Investment in Master, at fair value		$ 415,561	$ 1,165,768
Percentage of Partners' Capital		0.08%	0.25%
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Indices [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		227	813
Investment in Master, at fair value		$ (37,389)	$ (746,246)
Percentage of Partners' Capital		(0.01%)	(0.16%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Interest Rates U.S. [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		860	936
Investment in Master, at fair value		$ (239,781)	$ (621,195)
Percentage of Partners' Capital		(0.05%)	(0.13%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Interest Rates Non-U.S. [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		5,375	6,390
Investment in Master, at fair value		$ 978,244	$ (1,530,340)
Percentage of Partners' Capital		0.20%	(0.33%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Livestock [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		20	1
Investment in Master, at fair value		$ (68,990)
Percentage of Partners' Capital		(0.01%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Metals [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		678	199
Investment in Master, at fair value		$ 1,388,583	$ (169,290)
Percentage of Partners' Capital		0.28%	(0.04%)
CMF Winton Master L.P. [Member] | Futures Contracts [Member] | Contracts Sold [Member] | Softs [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		448	600
Investment in Master, at fair value		$ 2,166,531	$ 360,024
Percentage of Partners' Capital		0.44%	0.08%
CMF Winton Master L.P. [Member] | Forward Contracts [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value		$ (1,650,934)	$ 2,490,477
Percentage of Partners' Capital		(0.33%)	0.53%
CMF Winton Master L.P. [Member] | Forward Contracts [Member] | Metals [Member]
Schedule of Investments [Line Items]
Net unrealized appreciation on open futures/forward contracts		$ 1,925,249	$ 844,281
Net unrealized depreciation on futures/forward contracts		(4,518,912)	(781,000)
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member]
Schedule of Investments [Line Items]
Investment, Fair Value		$ 416,864,386
Percentage of Partners' Capital		84.34%
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S Treasury Bills 0.365% [Member]
Schedule of Investments [Line Items]
Investment, Face Amount		$ 350,000,000
Investment, Maturity Date		Jan. 19, 2017
Investment, Fair Value		$ 349,922,708
Percentage of Partners' Capital		70.79%
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S Treasury Bills 0.41% [Member]
Schedule of Investments [Line Items]
Investment, Face Amount		$ 17,000,000
Investment, Maturity Date		Feb. 02, 2017
Investment, Fair Value		$ 16,993,136
Percentage of Partners' Capital		3.44%
CMF Winton Master L.P. [Member] | U.S. Government Securities [Member] | U.S Treasury Bills 0.525% [Member]
Schedule of Investments [Line Items]
Investment, Face Amount		$ 50,000,000
Investment, Maturity Date		Mar. 16, 2017
Investment, Fair Value		$ 49,948,542
Percentage of Partners' Capital		10.11%
CMF Winton Master L.P. [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member]
Schedule of Investments [Line Items]
Net unrealized appreciation on open futures/forward contracts		$ 5,609,164	$ 4,302,391
Percentage of Partners' Capital		1.13%	0.92%
CMF Winton Master L.P. [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Currencies [Member]
Schedule of Investments [Line Items]
Notional		$ 205,499,621	$ 221,082,886
Net unrealized appreciation on open futures/forward contracts		$ 3,683,915	$ 3,458,110
Percentage of Partners' Capital		0.74%	0.74%
CMF Winton Master L.P. [Member] | Net Unrealized Appreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Metals [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		665	486
Percentage of Partners' Capital		0.39%	0.18%
CMF Winton Master L.P. [Member] | Net Unrealized Depreciation on Open Forward Contracts [Member] | Forward Contracts [Member]
Schedule of Investments [Line Items]
Net unrealized depreciation on futures/forward contracts		$ (7,260,098)	$ (1,811,914)
Percentage of Partners' Capital		(1.46%)	(0.39%)
CMF Winton Master L.P. [Member] | Net Unrealized Depreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Currencies [Member]
Schedule of Investments [Line Items]
Notional		$ 218,825,586	$ 113,767,473
Net unrealized depreciation on futures/forward contracts		$ (2,741,186)	$ (1,030,914)
Percentage of Partners' Capital		(0.55%)	(0.22%)
CMF Winton Master L.P. [Member] | Net Unrealized Depreciation on Open Forward Contracts [Member] | Forward Contracts [Member] | Metals [Member]
Schedule of Investments [Line Items]
Number of Contracts | Derivative		907	302
Percentage of Partners' Capital		(0.91%)	(0.17%)

[1] Defined in Note 1.

XML

Basis of Presentation and Summary of Significant Accounting Policies - Condensed Schedule of Investments (Parenthetical) (Detail) - CMF Winton Master L.P. [Member] - USD ($)	12 Months Ended
	Dec. 31, 2016	Mar. 31, 2017
Schedule of Investments [Line Items]
Investment in U.S. Treasury bills, Amortized cost	$ 416,693,176	$ 0
U.S Treasury Bills 0.365% [Member] | U.S. Government Securities [Member]
Schedule of Investments [Line Items]
Investment, interest rate	0.365%
Investment in U.S. Treasury bills, Amortized cost	$ 349,772,889
U.S Treasury Bills 0.41% [Member] | U.S. Government Securities [Member]
Schedule of Investments [Line Items]
Investment, interest rate	0.41%
Investment in U.S. Treasury bills, Amortized cost	$ 16,986,641
U.S Treasury Bills 0.525% [Member] | U.S. Government Securities [Member]
Schedule of Investments [Line Items]
Investment, interest rate	0.525%
Investment in U.S. Treasury bills, Amortized cost	$ 49,933,646

XML

Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016	Dec. 31, 2016	Dec. 31, 2015
Investment Income:
Interest income	$ 251,572	$ 133,868
Expenses:
Professional fees	140,300	149,965
Total expenses	2,818,708	2,861,461
Net investment income (loss)	(2,567,136)	(2,727,593)
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts	9,022,292	8,410,392
Net change in unrealized gains (losses) on open contracts	(5,269,338)	166,471
Total trading results	3,752,954	8,576,863
Net income (loss)	1,185,818	5,849,270
Balance, value	217,564,351	225,699,151
Balance, value	231,139,430	234,065,448
CMF Winton Master L.P. [Member]
Investment Income:
Interest income	553,002	341,464
Expenses:
Clearing fees	146,069	166,861
Professional fees	15,946	20,523
Total expenses	162,015	187,384
Net investment income (loss)	390,987	154,080
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts	17,804,386	21,048,317
Net change in unrealized gains (losses) on open contracts	(10,373,418)	1,456,772
Total trading results	7,430,968	22,505,089
Net income (loss)	7,821,955	22,659,169
Subscriptions - Limited Partners	25,469,347	8,720,457
Redemptions - Limited Partners	(59,850,465)	(57,703,322)
Distribution of interest income to feeder funds	(417,388)	(76,412)
Net increase (decrease) in Partners' Capital	(26,976,551)	(26,400,108)
Balance, value	494,292,978	603,041,370
Balance, value	$ 467,316,427	$ 576,641,262
Net asset value per Redeemable Unit (121,527.2032 and 149,258.1324 Redeemable Units outstanding at March 31, 2017 and 2016, respectively)	$ 3,845.36	$ 3,863.38	$ 3,784.39	$ 3,723.01
Net income (loss) per Redeemable Unit	$ 64.28	$ 140.87
Weighted average Redeemable Units outstanding	126,010.1404	157,072.6376

XML

Basis of Presentation and Summary of Significant Accounting Policies - Statements of Income and Expenses and Changes in Partners' Capital (Parenthetical) (Detail) - shares	Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Condensed Financial Statements, Captions [Line Items]
Net asset value per redeemable unit outstanding	176,288.5645	166,818.7745	169,838.3570	168,012.4450
CMF Winton Master L.P. [Member]
Condensed Financial Statements, Captions [Line Items]
Net asset value per redeemable unit outstanding	121,527.2032		149,258.1324

XML

Financial Highlights - Financial Highlights for Limited Partner Classes (Detail) - $ / shares	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
CMF Winton Master L.P. [Member]
Per Redeemable Unit Performance (for a unit outstanding throughout the period):
Net realized and unrealized gains (losses)	$ 61.18	$ 139.85
Net investment income (loss)	3.10	1.02
Increase (decrease) for the period	64.28	140.87
Distribution of interest income to feeder funds	(3.31)	(0.50)
Net asset value per Redeemable Unit, beginning of period	3,784.39	3,723.01
Net asset value per Redeemable Unit, end of period	$ 3,845.36	$ 3,863.38
Ratios to Average Limited Partners' Capital:
Net investment income (loss)	0.30%	0.10%
Operating expenses	0.10%	0.10%
Total return	1.70%	3.80%
Class A [Member]
Per Redeemable Unit Performance (for a unit outstanding throughout the period):
Net asset value per Redeemable Unit, beginning of period	$ 1,309.94
Net asset value per Redeemable Unit, end of period	1,316.37	$ 1,385.52
Class A [Member] | Limited Partners [Member]
Per Redeemable Unit Performance (for a unit outstanding throughout the period):
Net realized and unrealized gains (losses)	21.00	51.09
Net investment income (loss)	(14.57)	(16.60)
Increase (decrease) for the period	6.43	34.49
Net asset value per Redeemable Unit, beginning of period	1,309.94	1,351.03
Net asset value per Redeemable Unit, end of period	$ 1,316.37	$ 1,385.52
Ratios to Average Limited Partners' Capital:
Net investment income (loss)	(4.70%)	(4.80%)
Operating expenses	5.10%	5.00%
Incentive fees	0.00%	0.00%
Total expenses	5.10%	5.00%
Total return:
Total return before incentive fees	0.50%	2.60%
Incentive fees	(0.00%)	(0.00%)
Total return after incentive fees	0.50%	2.60%
Class D [Member]
Per Redeemable Unit Performance (for a unit outstanding throughout the period):
Net asset value per Redeemable Unit, beginning of period	$ 1,247.10
Net asset value per Redeemable Unit, end of period	1,257.15	$ 1,306.72
Class D [Member] | Limited Partners [Member]
Per Redeemable Unit Performance (for a unit outstanding throughout the period):
Net realized and unrealized gains (losses)	20.04	47.94
Net investment income (loss)	(9.99)	(11.43)
Increase (decrease) for the period	10.05	36.51
Net asset value per Redeemable Unit, beginning of period	1,247.10	1,270.21
Net asset value per Redeemable Unit, end of period	$ 1,257.15	$ 1,306.72
Ratios to Average Limited Partners' Capital:
Net investment income (loss)	(3.30%)	(3.50%)
Operating expenses	3.70%	3.70%
Incentive fees	0.00%	0.00%
Total expenses	3.70%	3.70%
Total return:
Total return before incentive fees	0.80%	2.90%
Incentive fees	(0.00%)	(0.00%)
Total return after incentive fees	0.80%	2.90%
Class Z [Member]
Per Redeemable Unit Performance (for a unit outstanding throughout the period):
Net asset value per Redeemable Unit, beginning of period	$ 1,275.46
Net asset value per Redeemable Unit, end of period	1,288.16	$ 1,328.94
Class Z [Member] | Limited Partners [Member]
Per Redeemable Unit Performance (for a unit outstanding throughout the period):
Net realized and unrealized gains (losses)	20.53	48.62
Net investment income (loss)	(7.83)	(9.05)
Increase (decrease) for the period	12.70	39.57
Net asset value per Redeemable Unit, beginning of period	1,275.46	1,289.37
Net asset value per Redeemable Unit, end of period	$ 1,288.16	$ 1,328.94
Ratios to Average Limited Partners' Capital:
Net investment income (loss)	(2.60%)	(2.70%)
Operating expenses	3.10%	2.90%
Incentive fees	0.00%	0.00%
Total expenses	3.10%	2.90%
Total return:
Total return before incentive fees	1.00%	3.10%
Incentive fees	(0.00%)	(0.00%)
Total return after incentive fees	1.00%	3.10%

XML

Trading Activities - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2017 USD ($) Contract	Mar. 31, 2016 USD ($) Contract
Derivative [Line Items]
Monthly average number of futures contracts traded	25,178	39,982
Monthly average number of metals forward contracts traded	990	708
Forward Contracts [Member] | Currencies [Member] | Weighted Average [Member]
Derivative [Line Items]
Average notional values of currency forward contracts | $	$ 447,690,640	$ 592,425,746

XML

Trading Activities - Summary of Valuation of Master's Investments (Detail) - CMF Winton Master L.P. [Member] - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Gross Amounts Recognized, Assets	$ 12,041,366	$ 22,189,850
Gross Amounts Offset in the Statements of Financial Condition, Assets	(9,550,889)	(11,449,778)
Amounts Presented in the Statements of Financial Condition, Assets	2,490,477	10,740,072
Financial Instruments, Assets	0	0
Cash Collateral Received/Pledged, Assets	0	0
Net Amount, Assets	2,490,477	10,740,072
Gross Amounts Recognized, Liabilities	(13,341,741)	(13,100,712)
Gross Amounts Offset in the Statements of Financial Condition, Liabilities	9,550,889	11,449,778
Amounts Presented in the Statements of Financial Condition, Liabilities	(3,790,852)	(1,650,934)
Financial Instruments, Liabilities	0	0
Cash Collateral Received/Pledged, Liabilities	0	0
Net Amount, Liabilities	(3,790,852)	(1,650,934)
Net fair value	(1,300,375)	9,089,138
Futures Contracts [Member]
Derivative [Line Items]
Gross Amounts Recognized, Assets	7,738,975	16,580,686
Gross Amounts Offset in the Statements of Financial Condition, Assets	(7,738,975)	(5,840,614)
Amounts Presented in the Statements of Financial Condition, Assets		10,740,072
Financial Instruments, Assets	0	0
Cash Collateral Received/Pledged, Assets	0	0
Net Amount, Assets		10,740,072
Gross Amounts Recognized, Liabilities	(11,529,827)	(5,840,614)
Gross Amounts Offset in the Statements of Financial Condition, Liabilities	7,738,975	5,840,614
Amounts Presented in the Statements of Financial Condition, Liabilities	(3,790,852)
Financial Instruments, Liabilities	0	0
Cash Collateral Received/Pledged, Liabilities	0	0
Net Amount, Liabilities	(3,790,852)
Forward Contracts [Member]
Derivative [Line Items]
Gross Amounts Recognized, Assets	4,302,391	5,609,164
Gross Amounts Offset in the Statements of Financial Condition, Assets	(1,811,914)	(5,609,164)
Amounts Presented in the Statements of Financial Condition, Assets	2,490,477
Financial Instruments, Assets	0	0
Cash Collateral Received/Pledged, Assets	0	0
Net Amount, Assets	2,490,477
Gross Amounts Recognized, Liabilities	(1,811,914)	(7,260,098)
Gross Amounts Offset in the Statements of Financial Condition, Liabilities	1,811,914	5,609,164
Amounts Presented in the Statements of Financial Condition, Liabilities		(1,650,934)
Financial Instruments, Liabilities	0	0
Cash Collateral Received/Pledged, Liabilities	$ 0	0
Net Amount, Liabilities		$ (1,650,934)

XML

Trading Activities - Gross Fair Values of Master's Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) - CMF Winton Master L.P. [Member] - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Futures Contracts [Member]
Derivative [Line Items]
Net unrealized appreciation (depreciation) on open futures and forward contracts	$ (3,790,852)	$ 10,740,072
Forward Contracts [Member]
Derivative [Line Items]
Net unrealized appreciation (depreciation) on open futures and forward contracts	2,490,477	(1,650,934)
Forward Contracts [Member] | Metals [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	844,281	1,925,249
Derivative liabilities	(781,000)	(4,518,912)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member]
Derivative [Line Items]
Derivative liabilities	(11,529,827)	(5,840,614)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Currencies [Member]
Derivative [Line Items]
Derivative liabilities	(3,588,954)	(315,964)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Energy [Member]
Derivative [Line Items]
Derivative liabilities	(676,033)	(398,579)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Grains [Member]
Derivative [Line Items]
Derivative liabilities	(332,266)	(871,594)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Indices [Member]
Derivative [Line Items]
Derivative liabilities	(3,771,657)	(2,610,591)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Interest Rates U.S. [Member]
Derivative [Line Items]
Derivative liabilities	(711,422)	(552,844)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Interest Rates Non-U.S. [Member]
Derivative [Line Items]
Derivative liabilities	(1,960,846)	(429,026)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Livestock [Member]
Derivative [Line Items]
Derivative liabilities	(81,485)	(83,678)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Metals [Member]
Derivative [Line Items]
Derivative liabilities	(197,605)	(229,820)
Derivative Financial Instruments, Liabilities [Member] | Futures Contracts [Member] | Softs [Member]
Derivative [Line Items]
Derivative liabilities	(209,559)	(348,518)
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member]
Derivative [Line Items]
Derivative liabilities	(1,811,914)	(7,260,098)
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | Currencies [Member]
Derivative [Line Items]
Derivative liabilities	(1,030,914)	(2,741,186)
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | Metals [Member]
Derivative [Line Items]
Derivative liabilities	(781,000)	(4,518,912)
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	7,738,975	16,580,686
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Currencies [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	697,194	3,749,363
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Energy [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	167,745	551,720
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Grains [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	1,208,594	617,396
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Indices [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	4,152,540	5,061,697
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Interest Rates U.S. [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	215,689	367,071
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Interest Rates Non-U.S. [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	373,908	2,095,184
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Livestock [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	198,278	230,256
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Metals [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	34,570	1,590,193
Derivative Financial Instruments, Assets [Member] | Futures Contracts [Member] | Softs [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	690,457	2,317,806
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	4,302,391	5,609,164
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | Currencies [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	3,458,110	3,683,915
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | Metals [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures and forward contracts	$ 844,281	$ 1,925,249

XML

Trading Activities - Master's Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - CMF Winton Master L.P. [Member] - USD ($)	3 Months Ended
	Mar. 31, 2017	Mar. 31, 2016
Derivative [Line Items]
Trading gains and losses	$ 7,430,968	$ 22,505,089
Currencies [Member]
Derivative [Line Items]
Trading gains and losses	(3,852,357)	(4,448,739)
Energy [Member]
Derivative [Line Items]
Trading gains and losses	(4,844,453)	6,312,384
Grains [Member]
Derivative [Line Items]
Trading gains and losses	(1,950,632)	(38,929)
Indices [Member]
Derivative [Line Items]
Trading gains and losses	25,831,175	(6,778,692)
Interest Rates U.S. [Member]
Derivative [Line Items]
Trading gains and losses	(1,415,218)	6,964,820
Interest Rates Non-U.S. [Member]
Derivative [Line Items]
Trading gains and losses	(3,115,949)	36,286,973
Livestock [Member]
Derivative [Line Items]
Trading gains and losses	372,345	472,355
Metals [Member]
Derivative [Line Items]
Trading gains and losses	(4,227,962)	(16,367,259)
Softs [Member]
Derivative [Line Items]
Trading gains and losses	$ 634,019	$ 102,176

XML

Fair Value Measurements - Additional Information (Detail) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Fair Value Disclosures [Abstract]
Transfers of assets between Level 1 and Level 2	$ 0	$ 0
Transfers of liabilities between Level 1 and Level 2	$ 0	$ 0

XML

Fair Value Measurements - Master's Fair Value Measurements (Detail) - USD ($)	Mar. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Derivative Assets	$ 12,041,366	$ 439,054,236
Derivative Liabilities	13,341,741	13,100,712
U.S. Treasury Bills [Member]
Derivative [Line Items]
Derivative Assets		416,864,386
Futures Contracts [Member]
Derivative [Line Items]
Derivative Assets	7,738,975	16,580,686
Derivative Liabilities	11,529,827	5,840,614
Forward Contracts [Member]
Derivative [Line Items]
Derivative Assets	4,302,391	5,609,164
Derivative Liabilities	1,811,914	7,260,098
Level 1 [Member]
Derivative [Line Items]
Derivative Assets	8,583,256	18,505,935
Derivative Liabilities	12,310,827	10,359,526
Level 1 [Member] | Futures Contracts [Member]
Derivative [Line Items]
Derivative Assets	7,738,975	16,580,686
Derivative Liabilities	11,529,827	5,840,614
Level 1 [Member] | Forward Contracts [Member]
Derivative [Line Items]
Derivative Assets	844,281	1,925,249
Derivative Liabilities	781,000	4,518,912
Level 2 [Member]
Derivative [Line Items]
Derivative Assets	3,458,110	420,548,301
Derivative Liabilities	1,030,914	2,741,186
Level 2 [Member] | U.S. Treasury Bills [Member]
Derivative [Line Items]
Derivative Assets		416,864,386
Level 2 [Member] | Forward Contracts [Member]
Derivative [Line Items]
Derivative Assets	3,458,110	3,683,915
Derivative Liabilities	$ 1,030,914	$ 2,741,186

XML

Financial Instrument Risks - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2017
Fair Value Measurements Disclosure [Line Items]
Financial instruments maturity period	1 year
Credit Concentration Risk [Member] | Over the Counter [Member] | Minimum [Member]
Fair Value Measurements Disclosure [Line Items]
Concentration risk percentage	22.70%
Credit Concentration Risk [Member] | Over the Counter [Member] | Maximum [Member]
Fair Value Measurements Disclosure [Line Items]
Concentration risk percentage	27.10%