MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.
|
||
(Exact name of registrant as specified in its charter)
|
Delaware
|
13-3619290
|
|||
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
|||
Ceres Managed Futures LLC
|
||||
522 Fifth Avenue, 14th Floor
|
||||
New York, NY
|
10036
|
|||
(Address of principal executive offices)
|
(Zip Code)
|
Registrant’s telephone number, including area code
|
(855) 672-4468
|
Large accelerated filer o
|
Accelerated filer o
|
Non-accelerated filer x
|
Smaller reporting company o
|
PART I. FINANCIAL INFORMATION
|
||
Item 1.
|
Financial Statements (Unaudited)
|
|
Statements of Financial Condition as of June 30, 2013 and December 31, 2012
|
2
|
|
Condensed Schedule of Investments as of June 30, 2013
|
3
|
|
Condensed Schedule of Investments as of December 31, 2012
|
4
|
|
Statements of Income and Expenses for the Three and Six Months Ended June 30, 2013 and 2012
|
5
|
|
Statements of Changes in Partners’ Capital for the Six Months Ended June 30, 2013 and 2012
|
6
|
|
Notes to Financial Statements
|
7-25
|
|
Item 2.
|
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
26-37
|
Item 3.
|
Quantitative and Qualitative Disclosures About Market Risk
|
37-44
|
Item 4.
|
Controls and Procedures
|
44-45
|
PART II. OTHER INFORMATION
|
||
Item 1.
|
Legal Proceedings
|
46-56
|
Item 1A.
|
Risk Factors
|
56
|
Item 4.
|
Mine Safety Disclosures
|
56
|
Item 5.
|
Other Information
|
56-59
|
Item 6.
|
Exhibits
|
59-60
|
June 30,
|
December 31,
|
||
2013
|
2012
|
||
ASSETS
|
$
|
$
|
|
Trading Equity:
|
|||
Unrestricted cash
|
153,024,374
|
171,164,335
|
|
Restricted cash
|
21,856,998
|
27,192,268
|
|
Total cash
|
174,881,372
|
198,356,603
|
|
Net unrealized gain on open contracts (MS&Co.)
|
4,752,563
|
3,072,667
|
|
Net unrealized loss on open contracts (MSIP)
|
–
|
(521,313)
|
|
Net unrealized gain on open contracts
|
4,752,563
|
2,551,354
|
|
Total Trading Equity
|
179,633,935
|
200,907,957
|
|
Interest receivable (MS&Co.)
|
4,714
|
6,032
|
|
Total Assets
|
179,638,649
|
200,913,989
|
|
LIABILITIES AND PARTNERS’ CAPITAL
|
|||
Liabilities:
|
|||
Redemptions payable
|
2,459,074
|
3,642,807
|
|
Accrued brokerage fees (MS&Co.)
|
912,263
|
994,527
|
|
Accrued management fees
|
275,895
|
302,574
|
|
Total Liabilities
|
3,647,232
|
4,939,908
|
|
Partners’ Capital:
|
|||
Limited Partners (6,279,876.100 and 6,979,883.723 Units, respectively)
|
174,028,849
|
193,760,270
|
|
General Partner (70,819.769 and 79,748.769 Units, respectively)
|
1,962,568
|
2,213,811
|
|
Total Partners’ Capital
|
175,991,417
|
195,974,081
|
|
Total Liabilities and Partners’ Capital
|
179,638,649
|
200,913,989
|
|
NET ASSET VALUE PER UNIT
|
27.71
|
27.76
|
Futures and Forward Contracts Purchased
|
Net unrealized
gain/(loss) on
open contracts
|
% of
Partners’ Capital
|
$
|
||
Commodity
|
(486,043)
|
(0.27)
|
Equity
|
(385,910)
|
(0.22)
|
Foreign currency
|
(716,062)
|
(0.41)
|
Interest rate
|
(124,596)
|
(0.07)
|
Total Futures and Forward Contracts Purchased
|
(1,712,611)
|
(0.97)
|
Futures and Forward Contracts Sold
|
||
Commodity
|
4,830,125
|
2.74
|
Equity
|
(170,538)
|
(0.10)
|
Foreign currency
|
785,299
|
0.45
|
Interest rate
|
2,212,820
|
1.26
|
Total Futures and Forward Contracts Sold
|
7,657,706
|
4.35
|
Unrealized Currency Loss
|
(1,192,532)
|
(0.68)
|
Net fair value
|
4,752,563
|
2.70
|
Futures and Forward Contracts Purchased
|
Net unrealized
gain/(loss) on
open contracts
|
% of
Partners’ Capital
|
$
|
||
Commodity
|
(257,575)
|
(0.13)
|
Equity
|
1,325,665
|
0.67
|
Foreign currency
|
856,313
|
0.43
|
Interest rate
|
151,921
|
0.08
|
Total Futures and Forward Contracts Purchased
|
2,076,324
|
1.05
|
Futures and Forward Contracts Sold
|
||
Commodity
|
(82,988)
|
(0.04)
|
Equity
|
(36,283)
|
(0.02)
|
Foreign currency
|
1,942,804
|
0.99
|
Interest rate
|
(144,638)
|
(0.07)
|
Total Futures and Forward Contracts Sold
|
1,678,895
|
0.86
|
Unrealized Currency Loss
|
(1,203,865)
|
(0.61)
|
Net fair value
|
2,551,354
|
1.30
|
For the Three Months
Ended June 30,
|
For the Six Months
Ended June 30,
|
||||||
2013
|
2012
|
2013
|
2012
|
||||
$
|
$
|
$
|
$
|
||||
INVESTMENT INCOME
|
|||||||
Interest income (MS&Co. & Morgan Stanley Wealth Management)
|
13,859
|
33,899
|
46,385
|
64,027
|
|||
EXPENSES
|
|||||||
Brokerage fees (MS&Co.)
|
2,818,855
|
3,966,288
|
5,764,071
|
8,216,578
|
|||
Management fees
|
853,869
|
1,210,129
|
1,748,803
|
2,510,600
|
|||
Total Expenses
|
3,672,724
|
5,176,417
|
7,512,874
|
10,727,178
|
|||
NET INVESTMENT LOSS
|
(3,658,865)
|
(5,142,518)
|
(7,466,489)
|
(10,663,151)
|
|||
TRADING RESULTS
|
|||||||
Trading profit (loss):
|
|||||||
Net realized
|
(3,371,881)
|
6,374,875
|
5,507,184
|
13,428,053
|
|||
Net change in unrealized
|
2,809,361
|
(3,795,528)
|
2,201,209
|
(6,642,154)
|
|||
Total Trading Results
|
(562,520)
|
2,579,347
|
7,708,393
|
6,785,899
|
|||
NET INCOME (LOSS)
|
(4,221,385)
|
(2,563,171)
|
241,904
|
(3,877,252)
|
|||
NET INCOME (LOSS) ALLOCATION
|
|||||||
Limited Partners
|
(4,173,758)
|
(2,529,846)
|
243,135
|
(3,827,262)
|
|||
General Partner
|
(47,627)
|
(33,325)
|
(1,231)
|
(49,990)
|
|||
NET LOSS PER UNIT *
|
|||||||
Limited Partners
|
(0.67)
|
(0.34)
|
(0.05) (1)
|
(0.50)
|
|||
General Partner
|
(0.67)
|
(0.34)
|
(0.05) (1)
|
(0.50)
|
|||
Units
|
Units
|
Units
|
Units
|
||||
WEIGHTED AVERAGE NUMBER
|
|||||||
OF UNITS OUTSTANDING
|
6,565,312.782
|
8,413,502.103
|
6,753,050.496
|
8,712,338.369
|
|||
(1)
|
The decrease in the net asset value per Unit while the Partnership incurred net income for the six months ended June 30, 2013, is due to the timing of redemptions of Units throughout the period.
|
Units of
|
|||||||
Partnership
|
Limited
|
General
|
|||||
Interest
|
Partners
|
Partner
|
Total
|
||||
$
|
$
|
$
|
|||||
Partners’ Capital,
|
|||||||
December 31, 2012
|
7,059,632.492
|
193,760,270
|
2,213,811
|
195,974,081
|
|||
Net Income (Loss)
|
–
|
243,135
|
(1,231)
|
241,904
|
|||
Redemptions
|
(708,936.623)
|
(19,974,556)
|
(250,012)
|
(20,224,568)
|
|||
Partners’ Capital,
|
|||||||
June 30, 2013
|
6,350,695.869
|
174,028,849
|
1,962,568
|
175,991,417
|
|||
Partners’ Capital,
|
|||||||
December 31, 2011
|
9,158,617.900
|
283,036,281
|
3,108,127
|
286,144,408
|
|||
Net Loss
|
–
|
(3,827,262)
|
(49,990)
|
(3,877,252)
|
|||
Redemptions
|
(1,089,453.401)
|
(33,915,028)
|
(299,992)
|
(34,215,020)
|
|||
Partners’ Capital,
|
|||||||
June 30, 2012
|
8,069,164.499
|
245,293,991
|
2,758,145
|
248,052,136
|
2.
|
Financial Highlights
|
2013
|
2012
|
2013
|
2012
|
|
Per Unit operating performance:
|
||||
Net asset value at the beginning of the period:
|
$ 28.38
|
$ 31.08
|
$ 27.76
|
$ 31.24
|
Interest Income
|
– (3)
|
– (3)
|
0.01
|
0.01
|
Expenses
|
(0.56)
|
(0.62)
|
(1.12)
|
(1.24)
|
Realized/Unrealized Income (Loss) (1)
|
(0.11)
|
0.28
|
1.06
|
0.73
|
Net Loss
|
(0.67)
|
(0.34)
|
(0.05)
|
(0.50)
|
Net asset value, June 30:
|
$ 27.71
|
$ 30.74
|
$ 27.71
|
$ 30.74
|
Ratios to average net assets:
|
||||
Net Investment Loss (2)
|
(8.0)%
|
(8.0)%
|
(8.0)%
|
(8.0)%
|
Expenses before Incentive Fees (2)
|
8.0 %
|
8.1 %
|
8.0%
|
8.1 %
|
Expenses after Incentive Fees (2)
|
8.0 %
|
8.1 %
|
8.0%
|
8.1 %
|
Net Income (Loss) (2)
|
(9.2)%
|
(4.0)%
|
0.3%
|
(2.9)%
|
Total return before incentive fees
|
(2.4)%
|
(1.1)%
|
(0.2)%
|
(1.6)%
|
Total return after incentive fees
|
(2.4)%
|
(1.1)%
|
(0.2)%
|
(1.6)%
|
(1)
|
Realized/Unrealized Income (Loss) is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per Unit information.
|
(2)
|
Annualized (except for incentive fees, if applicable).
|
(3)
|
A
|
Amounts less than $0.005 per Unit.
|
3. Related Party Transactions
|
1)
|
a) One or more “underlyings” and b) one or more “notional amounts” or payment provisions or both;
|
2)
|
Requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and
|
3)
|
Terms that require or permit net settlement.
|
Net Unrealized Gains/(Losses) on Open Contracts
|
Longest Maturities
|
||||
Date
|
Exchange-Traded
|
Off-Exchange-Traded
|
Total
|
Exchange-Traded
|
Off-Exchange-Traded
|
$
|
$
|
$
|
|||
Jun. 30, 2013
|
4,807,679
|
(55,116)
|
4,752,563
|
Dec. 2016
|
Sep. 2013
|
Dec. 31, 2012
|
2,503,274
|
48,080
|
2,551,354
|
Mar. 2017
|
Mar. 2013
|
5. Derivatives and Hedging
|
Gross Amounts
Recognized
|
Gross Amounts
Offset in the
Statement of
Financial
Condition
|
Net Amounts
Presented in the
Statement of
Financial
Condition
|
|
$
|
$
|
$
|
|
Assets
|
|||
Futures
|
641,636
|
(1,847,841)
|
(1,206,205)
|
Forwards
|
420
|
(506,826)
|
(506,406)
|
Total Assets
|
642,056
|
(2,354,667)
|
(1,712,611)
|
Liabilities
|
|||
Futures
|
8,625,575
|
(1,419,159)
|
7,206,416
|
Forwards
|
553,332
|
(102,042)
|
451,290
|
|
|||
Total Liabilities
|
9,178,907
|
(1,521,201)
|
7,657,706
|
Unrealized currency loss
|
(1,192,532)
|
||
Total net unrealized gain on
|
|||
open contracts
|
4,752,563
|
Gross Amounts
Recognized
|
Gross Amounts
Offset in the
Statement of Financial
Condition
|
Net Amounts
Presented in the
Statement of
Financial
Condition
|
|
$
|
$
|
$
|
|
Assets
|
|||
Futures
|
4,891,012
|
(2,689,281)
|
2,201,731
|
Forwards
|
353,745
|
(479,152)
|
(125,407)
|
Total Assets
|
5,244,757
|
(3,168,433)
|
2,076,324
|
Liabilities
|
|||
Futures
|
2,985,462
|
(1,480,054)
|
1,505,408
|
Forwards
|
265,987
|
(92,500)
|
173,487
|
|
|||
Total Liabilities
|
3,251,449
|
(1,572,554)
|
1,678,895
|
Unrealized currency loss
|
(1,203,865)
|
||
Net unrealized gain on
|
|||
open contracts
|
2,551,354
|
The Effect of Trading Activities on the Statements of Financial Condition as of June 30, 2013:
|
Futures and Forward Contracts
|
Long
Unrealized
Gain
|
Long
Unrealized
Loss
|
Short
Unrealized
Gain
|
Short
Unrealized
Loss
|
Net
Unrealized
Gain/(Loss)
|
Average
number of
contracts
outstanding
for the six
months
(absolute
quantity)
|
$
|
$
|
$
|
$
|
$
|
||
Commodity
|
368,205
|
(854,248)
|
5,588,283
|
(758,158)
|
4,344,082
|
3,997
|
Equity
|
55,009
|
(440,919)
|
129,025
|
(299,563)
|
(556,448)
|
1,852
|
Foreign currency
|
108,272
|
(824,334)
|
1,064,870
|
(279,571)
|
69,237
|
3,829
|
Interest rate
|
110,570
|
(235,166)
|
2,396,729
|
(183,909)
|
2,088,224
|
5,907
|
Total
|
642,056
|
(2,354,667)
|
9,178,907
|
(1,521,201)
|
5,945,095
|
|
Unrealized currency loss
|
(1,192,532)
|
|||||
Net unrealized gain on open contracts
|
4,752,563
|
The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2012:
|
Futures and Forward Contracts
|
Long
Unrealized
Gain
|
Long
Unrealized
Loss
|
Short
Unrealized
Gain
|
Short U
nrealized
Loss
|
Net
Unrealized
Gain/(Loss)
|
Average
number of
contracts
outstanding
for the year
(absolute
quantity)
|
$
|
$
|
$
|
$
|
$
|
||
Commodity
|
763,693
|
(1,021,268)
|
1,051,860
|
(1,134,848)
|
(340,563)
|
4,025
|
Equity
|
1,842,840
|
(517,175)
|
–
|
(36,283)
|
1,289,382
|
1,915
|
Foreign currency
|
1,878,922
|
(1,022,609)
|
2,196,364
|
(253,560)
|
2,799,117
|
5,689
|
Interest rate
|
759,302
|
(607,381)
|
3,225
|
(147,863)
|
7,283
|
9,810
|
Total
|
5,244,757
|
(3,168,433)
|
3,251,449
|
(1,572,554)
|
3,755,219
|
|
Unrealized currency loss
|
(1,203,865)
|
|||||
Net unrealized gain on open contracts
|
2,551,354
|
For the Three Months
|
For the Six Months
|
||
Ended June 30, 2013
|
Ended June 30, 2013
|
||
Type of Instrument
|
$
|
$
|
|
Commodity
|
4,738,141
|
1,571,415
|
|
Equity
|
283,521
|
9,453,363
|
|
Foreign currency
|
(4,394,227)
|
(1,415,311)
|
|
Interest rate
|
(1,191,293)
|
(1,912,407)
|
|
Unrealized currency gain
|
1,338
|
11,333
|
|
Total
|
(562,520)
|
7,708,393
|
Line Items on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2013:
|
For the Three Months
|
For the Six Months
|
||
Ended June 30, 2013
|
Ended June 30, 2013
|
||
Trading Results
|
$
|
$
|
|
Net realized
|
(3,371,881)
|
5,507,184
|
|
Net change in unrealized
|
2,809,361
|
2,201,209
|
|
Total Trading Results
|
(562,520)
|
7,708,393
|
For the Three Months
|
For the Six Months
|
||
Ended June 30, 2012
|
Ended June 30, 2012
|
||
Type of Instrument
|
$
|
$
|
|
Commodity
|
(861,207)
|
3,423,017
|
|
Equity
|
(8,143,567)
|
3,061,766
|
|
Foreign currency
|
(1,014,291)
|
(5,834,615)
|
|
Interest rate
|
12,505,129
|
6,054,065
|
|
Unrealized currency gain
|
93,283
|
81,666
|
|
Total
|
2,579,347
|
6,785,899
|
Line Items on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2012:
|
For the Three Months
|
For the Six Months
|
||
Ended June 30, 2012
|
Ended June 30, 2012
|
||
Trading Results
|
$
|
$
|
|
Net realized
|
6,374,875
|
13,428,053
|
|
Net change in unrealized
|
(3,795,528)
|
(6,642,154)
|
|
Total Trading Results
|
2,579,347
|
6,785,899
|
June 30, 2013
|
Unadjusted
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
|
Significant
Other Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
$
|
$
|
$
|
$
|
|
Assets
|
||||
Futures
|
9,267,211
|
–
|
n/a
|
9,267,211
|
Forwards
|
–
|
553,752
|
n/a
|
553,752
|
Total Assets
|
9,267,211
|
553,752
|
n/a
|
9,820,963
|
Liabilities
|
||||
Futures
|
3,267,000
|
–
|
n/a
|
3,267,000
|
Forwards
|
–
|
608,868
|
n/a
|
608,868
|
Total Liabilities
|
3,267,000
|
608,868
|
n/a
|
3,875,868
|
Unrealized currency loss
|
(1,192,532)
|
|||
*Net fair value
|
6,000,211
|
(55,116)
|
n/a
|
4,752,563
|
December 31, 2012
|
Unadjusted
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
|
Significant
Other
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
$
|
$
|
$
|
$
|
|
Assets
|
||||
Futures
|
7,876,474
|
–
|
n/a
|
7,876,474
|
Forwards
|
–
|
619,732
|
n/a
|
619,732
|
Total Assets
|
7,876,474
|
619,732
|
n/a
|
8,496,206
|
Liabilities
|
||||
Futures
|
4,169,335
|
–
|
n/a
|
4,169,335
|
Forwards
|
–
|
571,652
|
n/a
|
571,652
|
Total Liabilities
|
4,169,335
|
571,652
|
n/a
|
4,740,987
|
Unrealized currency loss
|
(1,203,865)
|
|||
*Net fair value
|
3,707,139
|
48,080
|
n/a
|
2,551,354
|
Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
|
Trading Advisor
|
Allocations as of
June 30,
2013 (%)
|
Allocations
as of March 31,
2013 (%)
|
Allocations as of
June 30,
2013 ($)
|
Allocations as of
March 31,
2013 ($)
|
Change
during the
period %
|
Altis
|
26.03
|
24.04
|
45,816,709
|
45,750,568
|
0.14
|
Graham
|
15.86
|
16.98
|
27,919,278
|
32,314,506
|
(13.60)
|
EMC
|
16.84
|
14.95
|
29,643,518
|
28,447,189
|
4.21
|
Northfield
|
15.39
|
13.65
|
27,093,200
|
25,976,423
|
4.30
|
Rabar
|
25.86
|
24.71
|
45,518,712
|
47,027,680
|
(3.21)
|
Sunrise Capital
|
–
|
5.66
|
–
|
10,773,636
|
(100.00)
|
Primary Market
|
% of Total
|
|
Risk Category
|
VaR
|
Capitalization
|
Currency
|
$3,764,147
|
2.14
|
Interest Rate
|
5,123,426
|
2.91
|
Equity
|
3,834,149
|
2.18
|
Commodity
|
11,129,039
|
6.32
|
Total
|
$23,850,761
|
13.55
|
Market Sector
|
High VaR
$
|
Low VaR
$
|
Average VaR*
$
|
Currency
|
5,823,674
|
3,632,944
|
4,727,899
|
Interest Rate
|
7,790,519
|
3,977,121
|
5,752,082
|
Equity
|
12,772,902
|
3,723,397
|
8,293,556
|
Commodity
|
11,378,599
|
8,308,363
|
10,267,001
|
Primary Market
|
% of Total
|
|
Risk Category
|
VaR
|
Capitalization
|
Currency
|
$9,250,555
|
4.72
|
Interest Rate
|
5,611,972
|
2.86
|
Equity
|
9,430,931
|
4.81
|
Commodity
|
7,524,294
|
3.84
|
Total
|
$31,817,752
|
16.23
|
Market Sector
|
High VaR
$
|
Low VaR
$
|
Average VaR*
$
|
Currency
|
16,017,644
|
5,232,623
|
9,619,758
|
Interest Rate
|
12,732,887
|
5,340,391
|
8,788,681
|
Equity
|
12,746,735
|
3,627,492
|
8,279,434
|
Commodity
|
18,861,229
|
7,454,507
|
12,770,414
|
·
|
past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
·
|
changes in portfolio value caused by market movements may differ from those of the VaR model;
|
·
|
VaR results reflect past market fluctuations applied to current trading positions while future risk depends on future positions;
|
·
|
VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
·
|
the historical market risk factor data used for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
Item 6.
|
EXHIBITS
|
31.01
|
Certification of President of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
31.02
|
Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
32.01
|
Certification of President of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
32.02
|
Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
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 Document
|
101.PRE*
|
XBRL Taxonomy Extension Presentation Document
|
101.DEF*
|
XBRL Taxonomy Extension Definition Document
|
|
Morgan Stanley Smith Barney Spectrum Select L.P.
|
||
(Registrant)
|
||
By:
|
Ceres Managed Futures LLC
|
|
(General Partner)
|
||
August 13, 2013
|
By:
|
/s/ Damian George
|
Damian George
|
||
Chief Financial Officer and Director
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Morgan Stanley Smith Barney Spectrum Select L.P.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: August 13, 2013
|
By:
|
/s/Alper Daglioglu
|
Alper Daglioglu
|
||
President and Director,
|
||
Ceres Managed Futures LLC,
|
||
General Partner of the registrant
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Morgan Stanley Smith Barney Spectrum Select L.P.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: August 13, 2013
|
By:
|
/s/ Damian George
|
Damian George
|
||
Chief Financial Officer and Director,
|
||
Ceres Managed Futures LLC,
|
||
General Partner of the registrant
|
(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.
|
By:
|
/s/Alper Daglioglu
|
|
Name:
|
Alper Daglioglu
|
|
Title:
|
President and Director of
|
|
Ceres Managed Futures LLC,
|
||
General Partner of the registrant
|
||
Date:
|
August 13, 2013
|
(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.
|
By:
|
/s/ Damian George
|
|
Name:
|
Damian George
|
|
Title:
|
Chief Financial Officer and Director of
|
|
Ceres Managed Futures LLC,
|
||
General Partner of the registrant
|
||
Date:
|
August 13, 2013
|
|
Financial Highlights (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Information Additional Disclosure | Financial Highlights for the three and six months ended June 30, 2013 and 2012 were as follows:
|
Financial Instruments
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||
Financial Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||
Financial Instruments | 4. Financial Instruments The Partnership trades Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Futures Interests are open commitments until settlement date, at which time they are realized. They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open contracts. The resulting net change in unrealized gains and losses is reflected in the “Net change in unrealized trading profit (loss)” on open contracts from one period to the next on the Statements of Income and Expenses. The fair value of exchange-traded futures, options and forward contracts is determined by the various futures 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.) of 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. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility. The fair value of exchange-traded contracts is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated. The fair value of off-exchange-traded contracts is based on the fair value quoted by the counterparty. The Partnership’s contracts are accounted for on a trade-date basis. The Partnership accounts for its derivative investments as described in Note 5. Derivatives and Hedging as required by the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”). A derivative is defined as a financial instrument or other contract that has all three of the following characteristics:
Generally, derivatives include futures, forward, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors, and collars. The net unrealized gains (losses) on open contracts, reported as a component of “Trading Equity” on the Statements of Financial Condition, and their longest contract maturities were as follows:
In general, the risks associated with off-exchange-traded contracts are greater than those associated with exchange-traded contracts because of the greater risk of default by the counterparty to an off-exchange-traded contract. The Partnership has credit risk associated with counterparty nonperformance. As of the date of the financial statements, the credit risk associated with the instruments in which the Partnership trades is limited to the unrealized gains (losses) amounts reflected in the Partnership’s Statements of Financial Condition. The net unrealized gains (losses) on open contracts are further disclosed gross by type of contract and corresponding fair value level in Note 6. Fair Value Measurements and Disclosures. The Partnership also has credit risk because MS&Co. and/or MSCG act as the futures commission merchants or the counterparties with respect to most of the Partnership’s assets. Exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are fair valued on a daily basis, with variations in value settled on a daily basis. MS&Co. which is acting as a commodity futures broker for the Partnership’s exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, is required, pursuant to regulations of the Commodity Futures Trading Commission (“CFTC”), to segregate from its own assets, and for the sole benefit of its commodity customers, total cash held by it with respect to exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, including an amount equal to the net unrealized gains (losses) on all open exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, which in the aggregate, totaled $179,689,051 and $200,859,877 at June 30, 2013 and December 31, 2012, respectively. With respect to the Partnership’s off-exchange-traded forward currency contracts and forward currency options contracts, there are no daily settlements of variation in value, nor is there any requirement that an amount equal to the net unrealized gains (losses) on such contracts be segregated. However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MS&Co. for the benefit of MS&Co. With respect to those off-exchange-traded forward currency contracts, the Partnership is at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform. With respect to those off-exchange-traded forward currency options contracts, the Partnership is at risk to the ability of MSCG, the sole counterparty on all such contracts, to perform. The Partnership has a master netting agreement with each counterparty. The primary terms are based on industry standard master agreements. These agreements, which seek to reduce both the Partnership’s and the counterparties’ exposure on off-exchange-traded forward currency contracts, including options on such contracts, should materially decrease the Partnership’s credit risk in the event of MS&Co.’s or MSCG’s bankruptcy or insolvency. The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. The futures, forwards and options traded by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership’s open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date. |
Financial Instruments (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||
Financial Instruments [Abstract] | |||||||||||||||||||||||||||||||
Net Unrealized Gain on Open Contracts | The net unrealized gains (losses) on open contracts, reported as a component of “Trading Equity” on the Statements of Financial Condition, and their longest contract maturities were as follows:
|
Fair Value Measurements and Disclosures (Details) (Fair Value Measured on a Recurring Basis [Member], USD $)
|
Jun. 30, 2013
|
Dec. 31, 2012
|
||||
---|---|---|---|---|---|---|
Assets [Abstract] | ||||||
Futures | $ 9,267,211 | $ 7,876,474 | ||||
Forwards | 553,752 | 619,732 | ||||
Total Assets | 9,820,963 | 8,496,206 | ||||
Liabilities [Abstract] | ||||||
Futures | 3,267,000 | 4,169,335 | ||||
Forwards | 608,868 | 571,652 | ||||
Total Liabilities | 3,875,868 | 4,740,987 | ||||
Assets and Liabilities Measured at Fair Value [Abstract] | ||||||
Unrealized currency gain | (1,192,532) | (1,203,865) | ||||
Net fair value | 4,752,563 | [1] | 2,551,354 | [1] | ||
Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1) [Member]
|
||||||
Assets [Abstract] | ||||||
Futures | 9,267,211 | 7,876,474 | ||||
Forwards | 0 | 0 | ||||
Total Assets | 9,267,211 | 7,876,474 | ||||
Liabilities [Abstract] | ||||||
Futures | 3,267,000 | 4,169,335 | ||||
Forwards | 0 | 0 | ||||
Total Liabilities | 3,267,000 | 4,169,335 | ||||
Assets and Liabilities Measured at Fair Value [Abstract] | ||||||
Net fair value | 6,000,211 | [1] | 3,707,139 | [1] | ||
Significant Other Observable Inputs (Level 2) [Member]
|
||||||
Assets [Abstract] | ||||||
Futures | 0 | 0 | ||||
Forwards | 553,752 | 619,732 | ||||
Total Assets | 553,752 | 619,732 | ||||
Liabilities [Abstract] | ||||||
Futures | 0 | 0 | ||||
Forwards | 608,868 | 571,652 | ||||
Total Liabilities | 608,868 | 571,652 | ||||
Assets and Liabilities Measured at Fair Value [Abstract] | ||||||
Net fair value | (55,116) | [1] | 48,080 | [1] | ||
Significant Unobservable Inputs (Level 3) [Member]
|
||||||
Assets [Abstract] | ||||||
Futures | ||||||
Forwards | ||||||
Total Assets | ||||||
Liabilities [Abstract] | ||||||
Futures | ||||||
Forwards | ||||||
Total Liabilities | ||||||
Assets and Liabilities Measured at Fair Value [Abstract] | ||||||
Net fair value | [1] | [1] | ||||
|
Derivatives and Hedging, Effect of Trading Activities on the Statements of Financial Condition (Details) (USD $)
|
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
Dec. 31, 2012
|
|
Futures and Forward Contracts [Abstract] | |||||
Unrealized currency loss | $ (1,192,532) | $ (1,192,532) | $ (1,203,865) | ||
Net unrealized gain on open contracts | 4,752,563 | 4,752,563 | 2,551,354 | ||
Effect of Trading Activities on Statements of Income [Abstract] | |||||
Unrealized currency gain (loss) | 1,338 | 93,283 | 11,333 | 81,666 | |
Net realized | (3,371,881) | 6,374,875 | 5,507,184 | 13,428,053 | |
Net change in unrealized | 2,809,361 | (3,795,528) | 2,201,209 | (6,642,154) | |
Total Trading Results | (562,520) | 2,579,347 | 7,708,393 | 6,785,899 | |
Commodity [Member]
|
|||||
Effect of Trading Activities on Statements of Income [Abstract] | |||||
Trading results | 4,738,141 | (861,207) | 1,571,415 | 3,423,017 | |
Equity [Member]
|
|||||
Effect of Trading Activities on Statements of Income [Abstract] | |||||
Trading results | 283,521 | (8,143,567) | 9,453,363 | 3,061,766 | |
Foreign Currency [Member]
|
|||||
Effect of Trading Activities on Statements of Income [Abstract] | |||||
Trading results | (4,394,227) | (1,014,291) | (1,415,311) | (5,834,615) | |
Interest Rate [Member]
|
|||||
Effect of Trading Activities on Statements of Income [Abstract] | |||||
Trading results | (1,191,293) | 12,505,129 | (1,912,407) | 6,054,065 | |
Futures and Forward Contracts [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Net Unrealized Gain/(Loss) | 3,137,071 | 3,137,071 | 3,755,219 | ||
Futures and Forward Contracts [Member] | Commodity [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Net Unrealized Gain/(Loss) | 1,101,515 | 1,101,515 | (340,563) | ||
Average number of contracts outstanding | 156 | 156 | 4,025 | ||
Futures and Forward Contracts [Member] | Equity [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Net Unrealized Gain/(Loss) | 346,801 | 346,801 | 1,289,382 | ||
Average number of contracts outstanding | 52 | 52 | 1,915 | ||
Futures and Forward Contracts [Member] | Foreign Currency [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Net Unrealized Gain/(Loss) | (292,401) | (292,401) | 2,799,117 | ||
Average number of contracts outstanding | 1,457 | 1,457 | 5,689 | ||
Futures and Forward Contracts [Member] | Interest Rate [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Net Unrealized Gain/(Loss) | 1,981,156 | 1,981,156 | 7,283 | ||
Average number of contracts outstanding | 234 | 234 | 9,810 | ||
Futures and Forward Contracts [Member] | Long [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 5,052,437 | 5,052,437 | 5,244,757 | ||
Unrealized loss | (2,062,151) | (2,062,151) | (3,168,433) | ||
Futures and Forward Contracts [Member] | Long [Member] | Commodity [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 871,355 | 871,355 | 763,693 | ||
Unrealized loss | (451,710) | (451,710) | (1,021,268) | ||
Futures and Forward Contracts [Member] | Long [Member] | Equity [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 1,394,117 | 1,394,117 | 1,842,840 | ||
Unrealized loss | (1,183,100) | (1,183,100) | (517,175) | ||
Futures and Forward Contracts [Member] | Long [Member] | Foreign Currency [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 591,719 | 591,719 | 1,878,922 | ||
Unrealized loss | (349,281) | (349,281) | (1,022,609) | ||
Futures and Forward Contracts [Member] | Long [Member] | Interest Rate [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 2,195,246 | 2,195,246 | 759,302 | ||
Unrealized loss | (78,060) | (78,060) | (607,381) | ||
Futures and Forward Contracts [Member] | Short [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 2,493,948 | 2,493,948 | 3,251,449 | ||
Unrealized loss | (2,347,163) | (2,347,163) | (1,572,554) | ||
Futures and Forward Contracts [Member] | Short [Member] | Commodity [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 1,987,357 | 1,987,357 | 1,051,860 | ||
Unrealized loss | (1,305,487) | (1,305,487) | (1,134,848) | ||
Futures and Forward Contracts [Member] | Short [Member] | Equity [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 136,938 | 136,938 | 0 | ||
Unrealized loss | (1,154) | (1,154) | (36,283) | ||
Futures and Forward Contracts [Member] | Short [Member] | Foreign Currency [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 300,960 | 300,960 | 2,196,364 | ||
Unrealized loss | (835,799) | (835,799) | (253,560) | ||
Futures and Forward Contracts [Member] | Short [Member] | Interest Rate [Member]
|
|||||
Futures and Forward Contracts [Abstract] | |||||
Unrealized gain | 68,693 | 68,693 | 3,225 | ||
Unrealized loss | $ (204,723) | $ (204,723) | $ (147,863) |
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (Unaudited) (USD $)
|
Limited Partners [Member]
|
General Partner [Member]
|
Total
|
---|---|---|---|
Balance at Dec. 31, 2011 | $ 283,036,281 | $ 3,108,127 | $ 286,144,408 |
Balance (in units) at Dec. 31, 2011 | 9,158,617.900 | ||
Increase/(decrease) in Partners' Capital [Roll Forward] | |||
Net Income (Loss) | (3,827,262) | (49,990) | (3,877,252) |
Redemptions | (33,915,028) | (299,992) | (34,215,020) |
Redemptions (in units) | (1,089,453.401) | ||
Balance at Jun. 30, 2012 | 245,293,991 | 2,758,145 | 248,052,136 |
Balance (in units) at Jun. 30, 2012 | 8,069,164.499 | ||
Balance at Dec. 31, 2012 | 193,760,270 | 2,213,811 | 195,974,081 |
Balance (in units) at Dec. 31, 2012 | 7,059,632.492 | ||
Increase/(decrease) in Partners' Capital [Roll Forward] | |||
Net Income (Loss) | 243,135 | (1,231) | 241,904 |
Redemptions | (19,974,556) | (250,012) | (20,224,568) |
Redemptions (in units) | (708,936.623) | ||
Balance at Jun. 30, 2013 | $ 174,028,849 | $ 1,962,568 | $ 175,991,417 |
Balance (in units) at Jun. 30, 2013 | 6,350,695.869 |
Financial Highlights
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights |
Financial Highlights for the three and six months ended June 30, 2013 and 2012 were as follows:
|
Derivatives and Hedging
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives and Hedging [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives and Hedging |
The Partnership’s objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisors for the Partnership will take speculative positions in Futures Interests where they feel the best profit opportunities exist for their trading strategy. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention. On January 1, 2013, the Partnership adopted Accounting Standards Update (“ASU”) 2011-11, “Disclosure about Offsetting Assets and Liabilities” and ASU 2013-01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities”. ASU 2011-11 created a new disclosure requirement about the nature of an entity’s rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of these disclosures is to facilitate comparison between those entities that prepare their financial statements on the basis of accounting principles generally accepted in the United States of America (“U.S. GAAP”) and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The new guidance did not have a significant impact on the Partnership’s financial statements. The following tables summarize the valuation of the Partnership’s investments as of June 30, 2013 and December 31, 2012, respectively. Offsetting of Derivative Assets and Liabilities as of June 30, 2013:
Offsetting of Derivative Assets and Liabilities as of December 31, 2012:
The following tables summarize the net trading results of the Partnership for the three and six months ended June 30, 2013 and 2012, respectively. The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2013 included in Total Trading Results:
The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2012 included in Total Trading Results:
|
Related Party Transactions
|
6 Months Ended | |
---|---|---|
Jun. 30, 2013
|
||
Related Party Transactions [Abstract] | ||
Related Party Transactions |
The Partnership’s cash is on deposit in commodity brokerage accounts with Morgan Stanley. Monthly, MS&Co. pays the Partnership interest income on 100% of the average daily equity maintained in cash in the Partnership’s account during each month at a rate equal to 80% of the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. retains any interest earned in excess of the interest paid by MS&Co. to the Partnership. For purposes of such interest payments, net assets do not include monies due to the Partnership on Futures Interests that have not been received. The Partnership pays brokerage fees to MS&Co. |