Basis of Presentation and Summary of Significant Accounting Policies (Tables) - CMF Winton Master L.P. [Member]

3 Months Ended

Mar. 31, 2020

CMF Winton Master L.P.

Statements of Financial Condition


	March 31, 2020 (Unaudited)		December 31, 2019

Assets:
Equity in trading accounts:
Unrestricted cash	$	149,902,541	$	182,012,280
Restricted cash		17,468,285		32,343,512
Net unrealized appreciation on open futures contracts		1,233,844		-
Net unrealized appreciation on open forward contracts		444,797		-

Total equity in trading accounts		169,049,467		214,355,792

Total assets	$	169,049,467	$	214,355,792


Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	-	$	869,229
Net unrealized depreciation on open forward contracts		-		2,050,966
Accrued expenses:
Professional fees		66,180		59,679
Redemptions payable		27,747,627		5,973,309

Total liabilities		27,813,807		8,953,183

Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at March 31, 2020 and December 31, 2019		-		-
Limited Partners, 38,277.3364 and 48,847.3360 Redeemable Units outstanding at March 31, 2020 and December 31, 2019, respectively		141,235,660		205,402,609

Total partners’ capital (net asset value)		141,235,660		205,402,609

Total liabilities and partners’ capital	$	169,049,467	$	214,355,792

Net asset value per Redeemable Unit	$	3,689.80	$	4,204.99

CMF Winton Master L.P.

Condensed Schedule of Investments

March 31, 2020

(Unaudited)


	Notional ($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Currencies		277	$	(357,540)		(0.25)	%
Grains		4		517		0.00	*
Indices		32		157,200		0.11
Interest Rates U.S.		143		1,124,374		0.80
Interest Rates Non-U.S.		1,384		(117,809)		(0.09)
Metals		113		(80,262)		(0.06)
Softs		169		(424,537)		(0.30)

Total futures contracts purchased				301,943		0.21


Futures Contracts Sold
Currencies		672		590,843		0.42
Energy		454		1,155,646		0.82
Grains		663		(320,691)		(0.24)
Indices		216		(414,297)		(0.29)
Interest Rates U.S.		54		(194,117)		(0.14)
Interest Rates Non-U.S.		355		(102,765)		(0.07)
Livestock		220		256,720		0.18
Metals		128		(360,020)		(0.25)
Softs		356		320,582		0.23

Total futures contracts sold				931,901		0.66

Net unrealized appreciation on open futures contracts			$	1,233,844		0.87	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	53,810,316	$	2,015,890		1.43	%
Metals		1,150		8,517,270		6.03

Total unrealized appreciation on open forward contracts				10,533,160		7.46


Unrealized Depreciation on Open Forward Contracts
Currencies	$	102,724,644		(3,982,883)		(2.83)
Metals		613		(6,105,480)		(4.32)

Total unrealized depreciation on open forward contracts				(10,088,363)		(7.15)

Net unrealized appreciation on open forward contracts			$	444,797		0.31	%

* Due to rounding.

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2019


	Notional ($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Currencies		1,026	$	816,084		0.40	%
Energy		546		499,579		0.24
Grains		202		245,197		0.12
Indices		1,457		743,917		0.36
Interest Rates U.S.		452		(1,147,946)		(0.56)
Interest Rates Non-U.S.		1,986		(1,180,458)		(0.57)

Livestock		7		1,107		0.00	*

Metals		795		2,077,798		1.01
Softs		325		(242,815)		(0.12)
Total futures contracts purchased				1,812,463		0.88

Futures Contracts Sold
Currencies		1,365		(1,740,121)		(0.85)
Energy		759		978,732		0.48
Grains		859		(1,131,908)		(0.55)
Indices		292		(217,870)		(0.11)
Interest Rates U.S.		616		127,032		0.06
Interest Rates Non-U.S.		551		30,449		0.01
Livestock		48		(63,920)		(0.03)
Softs		465		(664,086)		(0.31)

Total futures contracts sold				(2,681,692)		(1.30)

Net unrealized depreciation on open futures contracts			$	(869,229)		(0.42)	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	83,027,986	$	1,138,504		0.55	%
Metals		430		1,781,416		0.87

Total unrealized appreciation on open forward contracts				2,919,920		1.42


Unrealized Depreciation on Open Forward Contracts
Currencies	$	42,818,809		(710,829)		(0.35)
Metals		902		(4,260,057)		(2.07)

Total unrealized depreciation on open forward contracts				(4,970,886)		(2.42)

Net unrealized depreciation on open forward contracts			$	(2,050,966)		(1.00)	%

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended
	March 31,
	2020			2019
Investment Income:
Interest income	$	526,273		$	1,770,886

Expenses:
Clearing fees		117,667			89,282
Professional fees		21,000			15,750

Total expenses		138,667			105,032

Net investment income (loss)		387,606			1,665,854

Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(28,591,076	)		(13,387,345	)
Net change in unrealized gains (losses) on open contracts		4,637,288			16,624,678

Total trading results		(23,953,788	)		3,237,333

Net income (loss)		(23,566,182	)		4,903,187
Subscriptions - Limited Partners		-			932,964
Redemptions - Limited Partners		(40,111,052	)		(34,865,572	)
Distribution of interest income to feeder funds		(489,715	)		(1,718,739	)
Net increase (decrease) in Partners’ Capital		(64,166,949	)		(30,748,160	)
Partners’ Capital, beginning of period		205,402,609			339,199,614

Partners’ Capital, end of period	$	141,235,660		$	308,451,454

Net asset value per Redeemable Unit (38,277.3364 and 74,682.3046 Redeemable Units outstanding at March 31, 2020 and 2019, respectively)	$	3,689.80		$	4,130.18

Net income (loss) per Redeemable Unit*	$	(504.86	)	$	67.27

Weighted average Redeemable Units outstanding		47,391.1239			80,663.7625

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

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