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Morgan Stanley Charter Series Annual Report December 31, 2014 CERES MANAGED FUTURES LLC
To the Limited Partners of Morgan Stanley Smith Barney Charter Campbell L.P. Morgan Stanley Smith Barney Charter Aspect L.P. Morgan Stanley Smith Barney Charter WNT L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete. /s/ Patrick T. Egan ----------------------------------- By: Patrick T. Egan President and Director Ceres Managed Futures LLC General Partner, Morgan Stanley Smith Barney Charter Campbell L.P. Morgan Stanley Smith Barney Charter Aspect L.P. Morgan Stanley Smith Barney Charter WNT L.P. Ceres Managed Futures LLC 522 Fifth Avenue New York, NY 10036 (855) 672-4468
Management's Report on Internal Control Over Financial Reporting Ceres Managed Futures LLC ("Ceres"), the general partner of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P. (collectively, the "Partnerships"), is responsible for the management of the Partnerships. Management of the Partnerships, Ceres ("Management"), is responsible for establishing and maintaining adequate internal control over financial reporting as defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act of 1934, as amended, and for the assessment of internal control over financial reporting. The Partnerships' internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States of America. The Partnerships' internal control over financial reporting includes those policies and procedures that: (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnerships; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States of America, and that receipts and expenditures of the Partnerships are being made only in accordance with authorizations of Management and the directors of Ceres; and (iii) provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnerships' assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. Management has assessed the effectiveness of the Partnerships' internal control over financial reporting as of December 31, 2014. In making this assessment, Management used the criteria set forth in the Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. Based on its assessment, Management concluded that the Partnerships maintained effective internal control over financial reporting as of December 31, 2014, based on the criteria referred to above. /s/ Patrick T. Egan /s/ Steven Ross ------------------------------------- ------------------------------------ Patrick T. Egan Steven Ross President and Director Chief Financial Officer Ceres Managed Futures LLC Ceres Managed Futures LLC General Partner, General Partner, Morgan Stanley Smith Barney Charter Morgan Stanley Smith Barney Charter Campbell L.P. Campbell L.P. Morgan Stanley Smith Barney Charter Morgan Stanley Smith Barney Charter Aspect L.P. Aspect L.P. Morgan Stanley Smith Barney Charter Morgan Stanley Smith Barney Charter WNT L.P. WNT L.P.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Limited Partners and the General Partner of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P.: We have audited the accompanying statements of financial condition of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P. (collectively, the "Partnerships"), including the condensed schedules of investments, as of December 31, 2014 and 2013, and the related statements of income and expenses and changes in partners' capital for each of the three years in the period ended December 31, 2014. These financial statements are the responsibility of the Partnerships' management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnerships are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnerships' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements present fairly, in all material respects, the financial position of Morgan Stanley Smith Barney Charter Campbell L.P., Morgan Stanley Smith Barney Charter Aspect L.P., and Morgan Stanley Smith Barney Charter WNT L.P. as of December 31, 2014 and 2013, and the results of their operations and changes in their partners' capital for each of the three years in the period ended December 31, 2014, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP New York, New York March 25, 2015
Morgan Stanley Smith Barney Charter Campbell L.P. Statements of Financial Condition December 31, ---------------------- 2014 2013 ---------- ---------- $ $ ASSETS Trading Equity: Unrestricted cash..................................................... 25,399,264 33,438,396 Restricted cash....................................................... 2,100,772 4,375,504 ---------- ---------- Total cash.......................................................... 27,500,036 37,813,900 ---------- ---------- Net unrealized loss on open contracts................................. (1,107,556) (1,225,581) ---------- ---------- Total Trading Equity................................................ 26,392,480 36,588,319 Interest receivable.................................................... 118 329 ---------- ---------- Total Assets........................................................ 26,392,598 36,588,648 ========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable.................................................... 262,478 710,361 Accrued ongoing placement agent fee.................................... 41,938 -- Accrued administrative fees............................................ 41,938 -- Accrued management fees................................................ 31,454 61,142 Accrued brokerage fee.................................................. -- 183,426 ---------- ---------- Total Liabilities................................................... 377,808 954,929 ---------- ---------- PARTNERS' CAPITAL Limited Partners (2,022,565.842 and 3,334,569.082 Units, respectively). 25,731,841 35,145,985 General Partner (22,240.245 and 46,275.055 Units, respectively)........ 282,949 487,734 ---------- ---------- Total Partners' Capital............................................... 26,014,790 35,633,719 ---------- ---------- Total Liabilities and Partners' Capital............................... 26,392,598 36,588,648 ========== ========== NET ASSET VALUE PER UNIT............................................... 12.72 10.54 ========== ========== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Campbell L.P. Statements of Income and Expenses For the Years Ended December 31, ------------------------------------------- 2014 2013 2012 ------------- ------------- ------------- $ $ $ INVESTMENT INCOME Interest income............. 4,293 17,660 31,004 ------------- ------------- ------------- EXPENSES Brokerage fees.............. 993,118 2,432,536 3,165,936 Management fees............. 465,518 810,845 1,055,312 Administrative fees......... 121,926 -- -- Ongoing placement agent fee. 121,926 -- -- ------------- ------------- ------------- Total Expenses............ 1,702,488 3,243,381 4,221,248 ------------- ------------- ------------- NET INVESTMENT LOSS.......... (1,698,195) (3,225,721) (4,190,244) ------------- ------------- ------------- TRADING RESULTS Trading profit (loss): Net Realized................ 5,245,875 7,027,256 5,466,229 Net change in unrealized.... 118,025 (120,080) (1,195,450) ------------- ------------- ------------- Total Trading Results..... 5,363,900 6,907,176 4,270,779 ------------- ------------- ------------- NET INCOME................... 3,665,705 3,681,455 80,535 ============= ============= ============= Net Income Allocation Limited Partners............. 3,619,985 3,639,202 75,477 General Partner.............. 45,720 42,253 5,058 Net Income Per Unit* Limited Partners............. 2.18 0.85 (0.08)** General Partner.............. 2.18 0.85 (0.08)** Units Units Units ------------- ------------- ------------- WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING.......... 2,626,817.960 3,896,667.551 5,244,174.299 * Based on change in net asset value per Unit. **The decrease in the net asset value per Unit, while Charter Campbell incurred a net gain for the year ended December 31, 2012, is due to the timing of redemption of Units throughout the year. The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Aspect L.P. Statements of Financial Condition December 31, ---------------------- 2014 2013 ----------- ---------- $ $ ASSETS Trading Equity: Unrestricted cash..................................................... 31,479,345 38,868,711 Restricted cash....................................................... 3,725,013 5,166,478 ----------- ---------- Total cash.......................................................... 35,204,358 44,035,189 ----------- ---------- Net unrealized gain on open contracts................................. 3,648,451 2,823,891 ----------- ---------- Total Trading Equity................................................ 38,852,809 46,859,080 Interest receivable.................................................... 180 421 ----------- ---------- Total Assets........................................................ 38,852,989 46,859,501 =========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable to Limited Partners................................ 639,973 870,773 Redemptions payable to General Partner................................. 25,000 -- Accrued ongoing placement agent fee.................................... 59,578 -- Accrued administrative fees............................................ 59,578 -- Accrued management fees................................................ 44,683 58,353 Accrued brokerage fee.................................................. -- 233,413 ----------- ---------- Total Liabilities................................................... 828,812 1,162,539 ----------- ---------- PARTNERS' CAPITAL Limited Partners (1,783,209.561 and 2,773,406.398 Units, respectively). 37,608,412 45,112,052 General Partner (19,713.586 and 35,959.223 Units, respectively)........ 415,765 584,910 ----------- ---------- Total Partners' Capital............................................... 38,024,177 45,696,962 ----------- ---------- Total Liabilities and Partners' Capital............................... 38,852,989 46,859,501 =========== ========== NET ASSET VALUE PER UNIT............................................... 21.09 16.27 =========== ========== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Aspect L.P. Statements of Income and Expenses For the Years Ended December 31, ------------------------------------------- 2014 2013 2012 ------------- ------------- ------------- $ $ $ INVESTMENT INCOME Interest income............. 5,809 24,355 47,085 ------------- ------------- ------------- EXPENSES Brokerage fees.............. 1,323,653 3,285,965 4,922,392 Management fees............. 542,326 821,492 1,421,434 Administrative fees......... 168,227 -- -- Ongoing placement agent fee. 168,227 -- -- ------------- ------------- ------------- Total Expenses............ 2,202,433 4,107,457 6,343,826 ------------- ------------- ------------- NET INVESTMENT LOSS.......... (2,196,624) (4,083,102) (6,296,741) ------------- ------------- ------------- TRADING RESULTS Trading profit (loss): Net Realized................ 9,880,237 (1,960,912) (4,389,057) Net change in unrealized.... 824,560 1,206,417 (1,358,603) ------------- ------------- ------------- Total Trading Results..... 10,704,797 (754,495) (5,747,660) ------------- ------------- ------------- NET INCOME (LOSS)............ 8,508,173 (4,837,597) (12,044,401) ============= ============= ============= Net Income (Loss) Allocation Limited Partners............. 8,402,318 (4,784,987) (11,911,182) General Partner.............. 105,855 (52,610) (133,219) Net Income (Loss) Per Unit* Limited Partners............. 4.82 (1.56) (3.11) General Partner.............. 4.82 (1.56) (3.11) Units Units Units ------------- ------------- ------------- WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING.......... 2,234,117.260 3,174,687.468 4,058,365.483 * Based on change in net asset value per Unit. The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter WNT L.P. Statements of Financial Condition December 31, --------------------- 2014 2013 ---------- ---------- $ $ ASSETS Trading Equity: Unrestricted cash..................................................... 27,472,203 32,286,024 Restricted cash....................................................... 3,177,480 4,343,853 ---------- ---------- Total cash.......................................................... 30,649,683 36,629,877 ---------- ---------- Net unrealized gain on open contracts................................. 1,069,079 1,791,720 ---------- ---------- Total Trading Equity................................................ 31,718,762 38,421,597 Interest receivable.................................................... 191 429 ---------- ---------- Total Assets........................................................ 31,718,953 38,422,026 ========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable.................................................... 204,823 788,828 Accrued incentive fees................................................. 52,422 -- Accrued administrative fees............................................ 52,189 -- Accrued ongoing placement agent fee.................................... 52,189 -- Accrued management fees................................................ 39,141 47,478 Accrued brokerage fee.................................................. -- 189,910 ---------- ---------- Total Liabilities................................................... 400,764 1,026,216 ---------- ---------- PARTNERS' CAPITAL Limited Partners (2,129,089.734 and 3,021,200.452 Units, respectively). 30,958,035 36,905,030 General Partner (24,768.986 and 40,177.306 Units, respectively)........ 360,154 490,780 ---------- ---------- Total Partners' Capital............................................... 31,318,189 37,395,810 ---------- ---------- Total Liabilities and Partners' Capital............................... 31,718,953 38,422,026 ========== ========== NET ASSET VALUE PER UNIT............................................... 14.54 12.22 ========== ========== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter WNT L.P. Statements of Income and Expenses For the Years Ended December 31, ------------------------------------------- 2014 2013 2012 ------------- ------------- ------------- $ $ $ INVESTMENT INCOME Interest income................. 6,237 22,276 41,509 ------------- ------------- ------------- EXPENSES Brokerage fees.................. 1,125,659 2,391,993 3,507,794 Incentive fees.................. 782,951 -- -- Management fees................. 467,208 597,998 876,948 Administrative fees............. 148,721 -- -- Ongoing placement agent fee..... 148,721 -- -- ------------- ------------- ------------- Total Expenses................ 2,673,260 2,989,991 4,384,742 ------------- ------------- ------------- NET INVESTMENT LOSS.............. (2,667,023) (2,967,715) (4,343,233) ------------- ------------- ------------- TRADING RESULTS Trading profit (loss): Net Realized.................... 8,548,536 4,765,656 (1,128,261) Net change in unrealized........ (722,641) 1,104,008 (792,102) ------------- ------------- ------------- Total Trading Results......... 7,825,895 5,869,664 (1,920,363) ------------- ------------- ------------- NET INCOME (LOSS)................ 5,158,872 2,901,949 (6,263,596) ============= ============= ============= Net Income (Loss) Allocation Limited Partners................. 5,089,498 2,866,532 (6,186,843) General Partner.................. 69,374 35,417 (76,753) Net Income (Loss) Per Unit* Limited Partners................. 2.32 0.85 (1.25) General Partner.................. 2.32 0.85 (1.25) Units Units Units ------------- ------------- ------------- WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING.................... 2,473,873.456 3,418,522.950 4,846,874.575 * Based on change in net asset value per Unit. The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Campbell L.P. Condensed Schedule of Investments December 31, 2014 Net unrealized gain/(loss) on % of Futures and Forward Contracts Purchased open contracts Partners' Capital --------------------------------------- -------------- ----------------- $ Commodity..................................... (113,739) (0.44) Equity........................................ 7,721 0.03 Foreign currency.............................. (717,451) (2.76) Interest rate................................. 616,313 2.37 ---------- ----- Total Futures and Forward Contracts Purchased. (207,156) (0.80) ---------- ----- Futures and Forward Contracts Sold ---------------------------------- Commodity..................................... 266,088 1.02 Equity........................................ (3,572) (0.01) Foreign currency.............................. 1,236,120 4.75 Interest rate................................. 1,763 0.01 ---------- ----- Total Futures and Forward Contracts Sold...... 1,500,399 5.77 ---------- ----- Unrealized Currency Loss..................... (2,400,799) (9.23) ---------- ----- Net fair value................................ (1,107,556) (4.26) ========== ===== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Campbell L.P. Condensed Schedule of Investments December 31, 2013 Net unrealized gain/(loss) on % of Futures and Forward Contracts Purchased open contracts Partners' Capital --------------------------------------- -------------- ----------------- $ Commodity..................................... (202,494) (0.57) Equity........................................ 968,426 2.72 Foreign currency.............................. 47,626 0.13 Interest rate................................. (128,757) (0.36) ---------- ----- Total Futures and Forward Contracts Purchased. 684,801 1.92 ---------- ----- Futures and Forward Contracts Sold ---------------------------------- Commodity..................................... 181,360 0.51 Equity........................................ (4,207) (0.01) Foreign currency.............................. 183,670 0.51 Interest rate................................. 117,508 0.33 ---------- ----- Total Futures and Forward Contracts Sold...... 478,331 1.34 ---------- ----- Unrealized Currency Loss..................... (2,388,713) (6.70) ---------- ----- Net fair value................................ (1,225,581) (3.44) ========== ===== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Aspect L.P. Condensed Schedule of Investments December 31, 2014 Net unrealized gain/(loss) on % of Futures and Forward Contracts Purchased open contracts Partners' Capital --------------------------------------- -------------- ----------------- $ Commodity..................................... (267,252) (0.70) Equity........................................ 261,080 0.69 Foreign currency.............................. (98,268) (0.26) Interest rate................................. 1,165,194 3.06 --------- ----- Total Futures and Forward Contracts Purchased. 1,060,754 2.79 --------- ----- Futures and Forward Contracts Sold ---------------------------------- Commodity..................................... 1,216,747 3.20 Equity........................................ (33,224) (0.09) Foreign currency.............................. 511,199 1.34 Interest rate................................. (11,031) (0.03) --------- ----- Total Futures and Forward Contracts Sold...... 1,683,691 4.42 --------- ----- Unrealized Currency Gain..................... 904,006 2.38 --------- ----- Net fair value................................ 3,648,451 9.59 ========= ===== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Aspect L.P. Condensed Schedule of Investments December 31, 2013 Net unrealized gain/(loss) on % of Futures and Forward Contracts Purchased open contracts Partners' Capital --------------------------------------- -------------- ----------------- $ Commodity..................................... (206,531) (0.45) Equity........................................ 1,058,008 2.32 Foreign currency.............................. 66,283 0.14 Interest rate................................. (183,600) (0.40) --------- ----- Total Futures and Forward Contracts Purchased. 734,160 1.61 --------- ----- Futures and Forward Contracts Sold ---------------------------------- Commodity..................................... 458,825 1.00 Equity........................................ (8,260) (0.02) Foreign currency.............................. 210,838 0.46 Interest rate................................. 571,263 1.25 --------- ----- Total Futures and Forward Contracts Sold...... 1,232,666 2.69 --------- ----- Unrealized Currency Gain..................... 857,065 1.88 --------- ----- Net fair value................................ 2,823,891 6.18 ========= ===== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter WNT L.P. Condensed Schedule of Investments December 31, 2014 Net unrealized gain/(loss) on % of Futures and Forward Contracts Purchased open contracts Partners' Capital --------------------------------------- -------------- ----------------- $ Commodity..................................... (333,042) (1.06) Equity........................................ 329,555 1.05 Foreign currency.............................. (232,147) (0.74) Interest rate................................. 434,856 1.39 --------- ----- Total Futures and Forward Contracts Purchased. 199,222 0.64 --------- ----- Futures and Forward Contracts Sold ---------------------------------- Commodity..................................... 627,600 2.00 Equity........................................ (34,599) (0.11) Foreign currency.............................. 376,313 1.20 Interest rate................................. (1,955) (0.01) --------- ----- Total Futures and Forward Contracts Sold...... 967,359 3.08 --------- ----- Unrealized Currency Loss..................... (97,502) (0.31) --------- ----- Net fair value................................ 1,069,079 3.41 ========= ===== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter WNT L.P. Condensed Schedule of Investments December 31, 2013 Net unrealized gain/(loss) on % of Futures and Forward Contracts Purchased open contracts Partners' Capital --------------------------------------- -------------- ----------------- $ Commodity..................................... (47,904) (0.13) Equity........................................ 1,314,309 3.51 Foreign currency.............................. 143,958 0.39 Interest rate................................. (299,039) (0.80) --------- ----- Total Futures and Forward Contracts Purchased. 1,111,324 2.97 --------- ----- Futures and Forward Contracts Sold ---------------------------------- Commodity..................................... 388,301 1.04 Equity........................................ (150) -- (1) Foreign currency.............................. 293,842 0.79 Interest rate................................. 35,977 0.09 --------- ----- Total Futures and Forward Contracts Sold...... 717,970 1.92 --------- ----- Unrealized Currency Loss..................... (37,574) (0.10) --------- ----- Net fair value................................ 1,791,720 4.79 ========= ===== (1)Amount less than 0.005%. The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Campbell L.P. Statements of Changes in Partners' Capital For the Years Ended December 31, 2014, 2013, and 2012 Units of Partnership Limited General Interest Partners Partner Total -------------- ----------- -------- ----------- $ $ $ Partners' Capital, December 31, 2011. 6,047,060.764 58,393,243 715,535 59,108,778 Net Income......... -- 75,477 5,058 80,535 Redemptions........ (1,628,814.049) (16,154,830) (200,103) (16,354,933) -------------- ----------- -------- ----------- Partners' Capital, December 31, 2012. 4,418,246.715 42,313,890 520,490 42,834,380 Net Income......... -- 3,639,202 42,253 3,681,455 Redemptions........ (1,037,402.578) (10,807,107) (75,009) (10,882,116) -------------- ----------- -------- ----------- Partners' Capital, December 31, 2013. 3,380,844.137 35,145,985 487,734 35,633,719 Net Income......... -- 3,619,985 45,720 3,665,705 Redemptions........ (1,336,038.050) (13,034,129) (250,505) (13,284,634) -------------- ----------- -------- ----------- Partners' Capital, December 31, 2014. 2,044,806.087 25,731,841 282,949 26,014,790 ============== =========== ======== =========== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Aspect L.P. Statements of Changes in Partners' Capital For the Years Ended December 31, 2014, 2013, and 2012 Units of Partnership Limited General Interest Partners Partner Total -------------- ----------- --------- ----------- $ $ $ Partners' Capital, December 31, 2011. 4,476,439.147 92,674,799 1,070,769 93,745,568 Net Loss........... -- (11,911,182) (133,219) (12,044,401) Redemptions........ (926,765.223) (18,201,659) (200,012) (18,401,671) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2012. 3,549,673.924 62,561,958 737,538 63,299,496 Net Loss........... -- (4,784,987) (52,610) (4,837,597) Redemptions........ (740,308.303) (12,664,919) (100,018) (12,764,937) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2013. 2,809,365.621 45,112,052 584,910 45,696,962 Net Income......... -- 8,402,318 105,855 8,508,173 Redemptions........ (1,006,442.474) (15,905,958) (275,000) (16,180,958) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2014. 1,802,923.147 37,608,412 415,765 38,024,177 ============== =========== ========= =========== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter WNT L.P. Statements of Changes in Partners' Capital For the Years Ended December 31, 2014, 2013, and 2012 Units of Partnership Limited General Interest Partners Partner Total -------------- ----------- -------- ----------- $ $ $ Partners' Capital, December 31, 2011. 5,509,121.429 68,640,922 907,120 69,548,042 Net Loss........... -- (6,186,843) (76,753) (6,263,596) Redemptions........ (1,679,265.122) (19,436,159) (299,998) (19,736,157) -------------- ----------- -------- ----------- Partners' Capital, December 31, 2012. 3,829,856.307 43,017,920 530,369 43,548,289 Net Income......... -- 2,866,532 35,417 2,901,949 Redemptions........ (768,478.549) (8,979,422) (75,006) (9,054,428) -------------- ----------- -------- ----------- Partners' Capital, December 31, 2013. 3,061,377.758 36,905,030 490,780 37,395,810 Net Income......... -- 5,089,498 69,374 5,158,872 Redemptions........ (907,519.038) (11,036,493) (200,000) (11,236,493) -------------- ----------- -------- ----------- Partners' Capital, December 31, 2014. 2,153,858.720 30,958,035 360,154 31,318,189 ============== =========== ======== =========== The accompanying notes are an integral part of these financial statements.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements 1. Organization Morgan Stanley Smith Barney Charter Campbell L.P. ("Charter Campbell"), Morgan Stanley Smith Barney Charter Aspect L.P. ("Charter Aspect"), and Morgan Stanley Smith Barney Charter WNT L.P. ("Charter WNT") (individually, a "Partnership", or collectively, the "Partnerships") are limited partnerships organized to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, "Futures Interests") (refer to Note 5. Financial Instruments). Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner ("Ceres" or the "General Partner") and commodity pool operator of the Partnerships. Ceres is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC ("MSSBH"). MSSBH is wholly-owned indirectly by Morgan Stanley. Prior to June 28, 2013, Citigroup Inc. was the indirect minority owner of MSSBH. Morgan Stanley Smith Barney LLC is doing business as Morgan Stanley Wealth Management ("Morgan Stanley Wealth Management"). This entity previously acted as a non-clearing commodity broker for the Partnerships. Morgan Stanley Wealth Management is the principal subsidiary of MSSBH. The clearing commodity broker is Morgan Stanley & Co. LLC ("MS&Co."). MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. Morgan Stanley Capital Group Inc. ("MSCG") acts as the counterparty on all trading of options on foreign currency forward contracts. MS&Co. and MSCG are wholly-owned subsidiaries of Morgan Stanley. The Partnerships no longer offer units of limited partnership interest ("Unit(s)") for purchase or exchange. Effective October 1, 2014, the flat rate brokerage fees, equal to an annual rate of 4.0% of the Partnerships' net assets, were separated into (i) a general partner administrative fee payable to the General Partner equal to an annual rate of 2.0% of the Partnerships' net assets, and (ii) an ongoing placement agent fee payable to Morgan Stanley Wealth Management equal to an annual rate of 2.0% of the Partnerships' net assets. The October 1, 2014 fee changes, in the aggregate, did not exceed the flat rate brokerage fee and, accordingly, there was no change to the aggregate fees incurred by the Partnerships. Effective June 1, 2014, the management fee payable by Charter Campbell to trading advisor was reduced from a monthly management fee rate equal to 1/12th of 2% (a 2% annual rate) per month of net assets allocated to its trading advisor on the first day of each month to a monthly management fee rate equal to 1/12th of 1.5% (a 1.5% annual rate) per month of net assets allocated to its trading advisor on a first day of each month. Effective April 1, 2014, the flat rate brokerage fees for the Partnerships were reduced from 6.0% per annum (paid monthly) to 4.0% per annum (paid monthly) of the Partnerships' net assets. Effective June 1, 2012, Aspect Capital Limited ("Aspect") has agreed to reduce the monthly management fee for Charter Aspect from 1/12th of 2% (a 2% annual rate) to 1/12th of 1.5% (a 1.5% annual rate) of the net assets as of the first day of each month. Effective January 1, 2012, Winton Capital Management Limited ("Winton"), in consultation with the General Partner, agreed to increase the amount of leverage applied to the assets of Charter WNT allocated to Winton and traded pursuant to Winton's Diversified Program to 1.5 times. Ceres is required to maintain a 1% minimum interest in the equity of each Partnership and income (losses) are shared by Ceres and the limited partners based on their proportional ownership interest.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements 2. Summary of Significant Accounting Policies Use of Estimates -- The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which require management to make estimates and assumptions that affect the reported amounts in the financial statements and related disclosures. Management believes that the estimates utilized in the preparation of the financial statements are prudent and reasonable. Actual results could differ from those estimates and the differences could be material. Valuation -- Futures Interests are open commitments until the 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 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.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. The fair value of an off-exchange-traded contract is based on the fair value quoted by the counterparty. 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 Partnerships may buy or write put and call options through listed exchanges and the over-the-counter market. The buyer of an option has the right to purchase (in the case of a call option) or sell (in the case of a put option) a specified quantity of a specific Futures Interest on the underlying asset at a specified price prior to or on a specified expiration date. The writer of an option is exposed to the risk of loss if the fair value of the Futures Interest on the underlying asset declines (in the case of a put option) or increases (in the case of a call option). The writer of an option can never profit by more than the premium paid by the buyer but can potentially lose an unlimited amount. Premiums received/premiums paid from writing/purchasing options are recorded as liabilities/assets on the Statements of Financial Condition. The difference between the fair value of the option and the premiums received/premiums paid is treated as an unrealized gain or loss within the Statements of Income and Expenses. Revenue Recognition -- Monthly, MS&Co. credits each Partnership with interest income on 100% of its average daily equity maintained in cash in the Partnerships' accounts during each month at a rate equal to 80% for Charter Aspect and Charter Campbell and 100% for Charter WNT 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 Partnerships. For purposes of such interest payments, net assets do not include monies due to the Partnerships on forward contracts and other Futures Interests that have not been received. The Partnerships pay a flat rate brokerage fee to Morgan Stanley Wealth Management and flat rate administrative fee to General Partner. General Partner pays or reimburses the Partnerships for all fees and costs charged or incurred by MS&Co., General Partner and/or their affiliates or any other entity acting as a commodity broker for the Partnerships.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Fair Value of Financial Instruments -- The fair value of the Partnerships' assets and liabilities that qualify as financial instruments under the Financial Accounting Standards Board (the "FASB") Accounting Standards Codification ("ASC") guidance relating to financial instruments approximates the carrying amount presented in the Statements of Financial Condition. Foreign Currency Transactions and Translation -- The Partnerships' functional currency is the U.S. dollar; however, the Partnerships may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rate in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rate in effect during the period. The effects of changes in foreign currency exchange rates on investments are not segregated in the Statements of Income and Expenses from the changes in market price of those investments, but are included in the net realized gain/loss and net change in unrealized trading profit (loss) in the Statements of Income and Expenses. Net Income (Loss) per Unit -- Net income (loss) per Unit is computed in accordance with the specialized accounting for investment companies as illustrated in the Financial Highlights footnote (refer to Note 8. Financial Highlights). Trading Equity -- The Partnerships' asset "Trading Equity" reflected on the Statements of Financial Condition, consists of (a) cash on deposit with MS&Co, a portion of which is to be used as margin for trading (b) net unrealized gains or losses on futures and forward contracts, which are fair valued and calculated as the difference between original contract value and fair value; and (c) for the Partnerships which trade in options, options purchased at fair value if any. Options written at fair value, if any, are recorded in "Liabilities" within the Statements of Financial Condition. The Partnerships, in their normal course of business, enter into various contracts with MS&Co. acting as their commodity broker. Pursuant to brokerage agreements with MS&Co., to the extent that such trading results in unrealized gains or losses, these amounts are offset for each Partnership and are reported on a net basis on the Statements of Financial Condition. The Partnerships have offset their unrealized gains or losses recognized on forward contracts executed with the same counterparty in the Statements of Financial Condition as allowable under the terms of their master netting agreements with MS&Co., as the counterparty on such contracts. The Partnerships have consistently applied their right to offset. Restricted and Unrestricted Cash -- As reflected on the Partnerships' Statements of Financial Condition, restricted cash equals the cash portion of assets on deposit to meet margin requirements plus the cash required to offset unrealized losses on foreign currency forward and options contracts and offset unrealized losses on only the offsetting London Metal Exchange positions. All of these amounts are maintained separately. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. Brokerage and Related Transaction Fees and Costs -- Effective October 1, 2014, each Partnership pays a general partner administrative fee to the General Partner equal to an annual rate of 2.0% of each Partnership's net assets, and (ii) an ongoing placement agent fee to Morgan Stanley Wealth Management equal to an annual rate of 2.0% of each Partnership's net assets. Such fees currently cover all brokerage fees, transaction fees and costs, and ordinary administrative expenses. Effective April 1, 2014, the flat rate brokerage fees for the Partnerships were reduced from 6.0% per annum (paid monthly) to 4.0% per annum (paid monthly) of each Partnership's net assets.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Redemptions -- Limited partners may redeem some or all of their Units at 100% of the net asset value per Unit. The request for redemptions must be delivered to a limited partner's local Morgan Stanley Branch Office in time for it to be forwarded and received by Ceres no later than 3:00 p.m., New York City time, on the last day of the month in which the redemption is to be effective. Redemptions must be made in whole Units, with a minimum amount of 100 Units required for each redemption, unless a limited partner is redeeming his entire interest in a particular Partnership. Distributions -- Distributions, other than redemptions of Units, are made on a pro rata basis at the sole discretion of Ceres. No distributions have been made to date. Ceres does not intend to make any distributions of the Partnerships' profits. Income Taxes -- No provision for income taxes has been made in the accompanying financial statements, as partners are individually responsible for reporting income or loss based upon their respective share of each Partnership's revenue and expenses for income tax purposes. The Partnerships file U.S. federal and state tax returns. The guidance issued by the FASB on income taxes, clarifies the accounting for uncertainty in income taxes recognized in each Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of a tax position taken or expected to be taken. The Partnerships have concluded that there were no significant uncertain tax positions that would require recognition in the financial statements as of December 31, 2014 and 2013. If applicable, the Partnerships recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Income and Expenses. Generally, the 2011 through 2014 tax years remain subject to examination by U.S. federal and most state tax authorities. No income tax returns are currently under examination. Dissolution of the Partnerships -- Charter Aspect will terminate on December 31, 2025, and Charter Campbell and Charter WNT will terminate on December 31, 2035, or at an earlier date if certain conditions occur as defined in each Partnership's Limited Partnership Agreement. Statement of Cash Flows -- The Partnerships are not required to provide a Statement of Cash Flows. Investment Company Status Effective January 1, 2014, the Partnerships adopted Accounting Standards Update ("ASU") 2013-08, "Financial Services -- Investments Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements". ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company's status as an investment company. ASU 2013-08 is effective for interim and annual reporting periods beginning after December 15, 2013. The adoption of this ASU did not have a material impact on the Partnerships' financial statements. Based on Management's assessment, the Partnerships have been deemed to be the investment companies since inception. 3. Related Party Transactions Each Partnership's cash is on deposit in commodity brokerage accounts with Morgan Stanley. MS&Co. pays interest on these funds as described in Note 2. Summary of Significant Accounting Policies. Each Partnership pays brokerage and related transaction fees and costs as described in
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Note 2. Summary of Significant Accounting Policies. MS&Co. acts as the counterparty on all trading of foreign currency forward contracts. For Charter Campbell, MSCG acts as the counterparty on all trading of options on foreign currency forward contracts. 4. Trading Advisors Ceres, on behalf of each Partnership, retains certain unaffiliated commodity trading advisors which are registered with the Commodity Futures Trading Commission, to make all trading decisions for the Partnerships. The trading advisors for each Partnership, at December 31, 2014, were as follows: Morgan Stanley Smith Barney Charter Campbell L.P. Campbell & Company, Inc. Morgan Stanley Smith Barney Charter Aspect L.P. Aspect Morgan Stanley Smith Barney Charter WNT L.P. Winton Compensation to the trading advisors by the Partnerships consists of a management fee and an incentive fee as follows: Management Fee -- Charter Aspect pays its trading advisor a flat-rate monthly fee equal to 1/12th of 1.5% (a 1.5% annual rate) of the Partnership's net assets under management by the trading advisor as of the first day of each month. Prior to June 1, 2012, the monthly management fee rate was 1/12th of 2% (a 2% annual rate). Charter WNT pays its trading advisor a flat-rate monthly fee equal to 1/12th of 1.5% (a 1.5% annual rate) of the Partnership's net assets under management by the trading advisor as of the first day of each month Charter Campbell pays its trading advisor a flat-rate monthly fee equal to 1/12th of 1.5% (a 1.5% annual rate) of the Partnership's net assets under management by the trading advisor as of the first day of each month. Effective June 1, 2014, the management fee payable by Charter Campbell to trading advisor was reduced from a monthly management fee rate equal to 1/12th of 2% (a 2% annual rate) per month of net assets allocated to its trading advisor on the first day of each month to a monthly management fee rate equal to 1/12th of 1.5% (a 1.5% annual rate) per month of net assets allocated to its trading advisor on a first day of each month. Incentive Fee -- Each Partnership's incentive fee is equal to 20% of trading profits paid on a monthly basis. Trading profits represent the amount by which profits from futures, forwards, and options trading exceed losses after brokerage and management fees are deducted. When a trading advisor experiences losses with respect to net assets as of the end of a calendar month, the trading advisor must recover such losses before the trading advisor is eligible for an incentive fee in the future. Cumulative trading losses are adjusted on a pro rated basis for the amount of each month's net withdrawals.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements 5. Financial Instruments The Partnerships trade Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. The fair value of an exchange-traded contract 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 an off-exchange-traded contract is based on the fair value quoted by the counterparty. The Partnerships' contracts are accounted for on a trade-date basis. A derivative is defined as a financial instrument or other contract that has all three of the following characteristics: (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. 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 at December 31, 2014 and 2013, respectively, reported as a component of "Trading Equity" on the Statements of Financial Condition, and their longest contract maturities were as follows: Charter Campbell Net Unrealized Gains (Losses) on Open Contracts Longest Maturities ---------------------------------------------- ----------------------------------- Year Exchange-Traded Off-Exchange-Traded Total Exchange-Traded Off-Exchange-Traded ---- --------------- ------------------- ---------- --------------- ------------------- $ $ $ 2014. (1,626,225) 518,669 (1,107,556) Mar. 2016 Mar. 2015 2013. (1,456,914) 231,333 (1,225,581) Mar. 2015 Mar. 2014 Charter Aspect Net Unrealized Gains on Open Contracts Longest Maturities --------------------------------------------- ----------------------------------- Year Exchange-Traded Off-Exchange-Traded Total Exchange-Traded Off-Exchange-Traded ---- --------------- ------------------- --------- --------------- ------------------- $ $ $ 2014. 3,253,461 394,990 3,648,451 Jun. 2017 Mar. 2015 2013. 2,558,637 265,254 2,823,891 Jun. 2016 Mar. 2014
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Charter WNT Net Unrealized Gains (Losses) on Open Contracts Longest Maturities --------------------------------------------- ----------------------------------- Year Exchange-Traded Off-Exchange-Traded Total Exchange-Traded Off-Exchange-Traded ---- --------------- ------------------- --------- --------------- ------------------- $ $ $ 2014. 1,258,194 (189,115) 1,069,079 Mar. 2018 Jun. 2015 2013. 1,777,462 14,258 1,791,720 Dec. 2016 Jun. 2014 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 Partnerships have credit risk associated with counterparty nonperformance. As of the date of the financial statements, the credit risk associated with the instruments in which the Partnerships trade is limited to the unrealized gains (losses) amounts reflected in the Partnerships' Statements of Financial Condition. The net unrealized gains (losses) on open contracts are further disclosed by type of contract and corresponding fair value level in Note 7. Fair Value Measurements and Disclosures. The Partnerships also have credit risk because MS&Co. and/or MSCG act as the futures commission merchants or the counterparties, with respect to most of the Partnerships' 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 each 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, 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 $25,873,811 and $36,356,986 for Charter Campbell, $38,457,819 and $46,593,826 for Charter Aspect, and $31,907,877 and $38,407,339 for Charter WNT at December 31, 2014, and 2013, respectively. With respect to each 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, each Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in each Partnership's account 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 Partnerships are at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform. Each Partnership has a netting agreement with MS&Co. The primary terms are based on industry standard master netting agreements. These agreements, which seek to reduce both the Partnerships' and MS&Co.'s exposure on off-exchange-traded forward currency contracts, including options on such contracts, should materially decrease the Partnerships' credit risk in the event of MS&Co.'s or MSCG's bankruptcy or insolvency. The General Partner monitors and attempts to control the Partnerships' 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 Partnerships 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.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements The futures, forwards and options traded by the Partnerships 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 Partnerships' open positions, and consequently in their 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. 6. Derivatives and Hedging The Partnerships' objective is to profit from speculative trading in Futures Interests. Therefore, the trading advisor for each Partnership will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its respective 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 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 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 Partnerships' financial statements. As of December 31, 2014, approximately 56.95% of Charter Campbell's total investments are futures contracts which are exchange-traded while approximately 43.05% are forward contracts which are off-exchange traded. As of December 31, 2014, approximately 67.95% of Charter Aspect's total investments are futures contracts which are exchange-traded while approximately 32.05% are forward contracts which are off-exchange traded. As of December 31, 2014, approximately 83.15% of Charter WNT's total investments are futures contracts which are exchange-traded while approximately 16.85% are forward contracts which are off-exchange traded.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements The following tables summarize the valuation of each Partnership's investments as of December 31, 2014 and 2013. Charter Campbell Offsetting of Derivative Assets and Liabilities as of December 31, 2014: Gross Amounts Net Amounts Offset in the Presented in the Gross Statements of Statements of Amounts Financial Financial Recognized Condition Condition - ---------- ------------- ---------------- $ $ $ Assets Futures..................................... 873,317 (134,615) 738,702 Forwards.................................... 1,536,029 (981,488) 554,541 ---------- ---------- ---------- Total Assets................................ 2,409,346 (1,116,103) 1,293,243 ---------- ---------- ---------- Liabilities Futures..................................... (134,615) 134,615 -- Forwards.................................... (981,488) 981,488 -- ---------- ---------- ---------- Total Liabilities........................... (1,116,103) 1,116,103 -- ---------- ---------- ---------- Unrealized currency loss.................... (2,400,799) ---------- Total net unrealized loss on open contracts. (1,107,556) ========== Offsetting of Derivative Assets and Liabilities as of December 31, 2013: Gross Amounts Net Amounts Offset in the Presented in the Gross Statements of Statements of Amounts Financial Financial Recognized Condition Condition - ---------- ------------- ---------------- $ $ $ Assets Futures............................... 1,306,032 (374,233) 931,799 Forwards.............................. 528,118 (296,785) 231,333 --------- -------- ---------- Total Assets.......................... 1,834,150 (671,018) 1,163,132 --------- -------- ---------- Liabilities Futures............................... (374,233) 374,233 -- Forwards.............................. (296,785) 296,785 -- --------- -------- ---------- Total Liabilities..................... (671,018) 671,018 -- --------- -------- ---------- Unrealized currency loss.............. (2,388,713) ---------- Net unrealized loss on open contracts. (1,225,581) ==========
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements The effect of Trading Activities on the Statements of Financial Condition as of December 31, 2014 and 2013: December 31, 2014 Average Number of Contracts Outstanding Long Long Short Short Net for the Year Unrealized Unrealized Unrealized Unrealized Unrealized (Absolute Futures and Forward Contracts Gain Loss Gain Loss Gain/(Loss) Quantity) ----------------------------- ---------- ---------- ---------- ---------- ----------- ------------ $ $ $ $ $ Commodity..................... 3,667 (117,406) 290,455 (24,367) 152,349 848 Equity........................ 53,954 (46,233) 689 (4,261) 4,149 309 Foreign currency.............. 68,076 (785,527) 1,356,424 (120,304) 518,669 429 Interest rate................. 625,971 (9,658) 10,110 (8,347) 618,076 977 ------- -------- --------- -------- ---------- Total........................ 751,668 (958,824) 1,657,678 (157,279) 1,293,243 ======= ======== ========= ======== Unrealized currency loss..... (2,400,799) ---------- Total net unrealized loss on open contracts............. (1,107,556) ========== December 31, 2013 Average Number of Contracts Outstanding Long Long Short Short Net for the Year Unrealized Unrealized Unrealized Unrealized Unrealized (Absolute Futures and Forward Contracts Gain Loss Gain Loss Gain/(Loss) Quantity) ----------------------------- ---------- ---------- ---------- ---------- ----------- ------------ $ $ $ $ $ Commodity..................... 8,370 (210,864) 205,290 (23,930) (21,134) 662 Equity........................ 968,426 -- 5,650 (9,857) 964,219 549 Foreign currency.............. 73,963 (26,337) 454,118 (270,448) 231,296 5,227 Interest rate................. 41 (128,798) 118,292 (784) (11,249) 1,357 --------- -------- ------- -------- ---------- Total........................ 1,050,800 (365,999) 783,350 (305,019) 1,163,132 ========= ======== ======= ======== Unrealized currency loss..... (2,388,713) ---------- Total net unrealized loss on open contracts............. (1,225,581) ==========
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Charter Aspect Offsetting of Derivative Assets and Liabilities as of December 31, 2014: Gross Amounts Net Amounts Offset in the Presented in the Gross Statements of Statements of Amounts Financial Financial Recognized Condition Condition ---------- ------------- ---------------- $ $ $ Assets Futures..................................... 2,692,207 (266,772) 2,425,435 Forwards.................................... 1,015,350 (696,340) 319,010 --------- -------- --------- Total Assets................................ 3,707,557 (963,112) 2,744,445 --------- -------- --------- Liabilities Futures..................................... (266,772) 266,772 -- Forwards.................................... (696,340) 696,340 -- --------- -------- --------- Total Liabilities........................... (963,112) 963,112 -- --------- -------- --------- Unrealized currency gain.................... 904,006 --------- Total net unrealized gain on open contracts. 3,648,451 ========= Offsetting of Derivative Assets and Liabilities as of December 31, 2013: Gross Amounts Net Amounts Offset in the Presented in the Gross Statements of Statements of Amounts Financial Financial Recognized Condition Condition ---------- ------------- ---------------- $ $ $ Assets Futures............................... 2,359,953 (658,381) 1,701,572 Forwards.............................. 461,172 (195,918) 265,254 --------- -------- --------- Total Assets.......................... 2,821,125 (854,299) 1,966,826 --------- -------- --------- Liabilities Futures............................... (658,381) 658,381 -- Forwards.............................. (195,918) 195,918 -- --------- -------- --------- Total Liabilities..................... (854,299) 854,299 -- --------- -------- --------- Unrealized currency gain.............. 857,065 --------- Net unrealized gain on open contracts. 2,823,891 =========
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements The effect of Trading Activities on the Statements of Financial Condition as of December 31, 2014 and 2013: December 31, 2014 Average Number of Contracts Outstanding Long Long Short Short Net for the Year Unrealized Unrealized Unrealized Unrealized Unrealized (Absolute Futures and Forward Contracts Gain Loss Gain Loss Gain Quantity) ----------------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity..................... 25,195 (292,447) 1,270,115 (53,368) 949,495 787 Equity........................ 328,936 (67,856) 17,113 (50,337) 227,856 386 Foreign currency.............. 214,420 (312,688) 669,973 (158,774) 412,931 451 Interest rate................. 1,176,289 (11,095) 5,516 (16,547) 1,154,163 1,386 --------- -------- --------- -------- --------- Total........................ 1,744,840 (684,086) 1,962,717 (279,026) 2,744,445 ========= ======== ========= ======== Unrealized currency gain..... 904,006 --------- Total net unrealized gain on open contracts............. 3,648,451 ========= December 31, 2013 Average Number of Contracts Outstanding Long Long Short Short Net for the Year Unrealized Unrealized Unrealized Unrealized Unrealized (Absolute Futures and Forward Contracts Gain Loss Gain Loss Gain Quantity) ----------------------------- ---------- ---------- ---------- ---------- ---------- ------------ $ $ $ $ $ Commodity..................... 24,259 (230,790) 546,456 (87,631) 252,294 912 Equity........................ 1,058,008 -- 3,160 (11,420) 1,049,748 550 Foreign currency.............. 236,474 (170,191) 239,390 (28,552) 277,121 788 Interest rate................. 88,202 (271,802) 625,176 (53,913) 387,663 1,640 --------- -------- --------- -------- --------- Total........................ 1,406,943 (672,783) 1,414,182 (181,516) 1,966,826 ========= ======== ========= ======== Unrealized currency gain..... 857,065 --------- Total net unrealized gain on open contracts............. 2,823,891 =========
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Charter WNT Offsetting of Derivative Assets and Liabilities as of December 31, 2014: Gross Amounts Net Amounts Offset in the Presented in the Gross Statements of Statements of Amounts Financial Financial Recognized Condition Condition ---------- ------------- ---------------- $ $ $ Assets Futures..................................... 1,905,937 (511,243) 1,394,694 Forwards.................................... 264,618 (264,618) -- ---------- -------- --------- Total Assets................................ 2,170,555 (775,861) 1,394,694 ---------- -------- --------- Liabilities Futures..................................... (511,243) 511,243 -- Forwards.................................... (492,731) 264,618 (228,113) ---------- -------- --------- Total Liabilities........................... (1,003,974) 775,861 (228,113) ---------- -------- --------- Unrealized currency loss.................... (97,502) --------- Total net unrealized gain on open contracts. 1,069,079 ========= Offsetting of Derivative Assets and Liabilities as of December 31, 2013: Gross Amounts Net Amounts Offset in the Presented in the Gross Statements of Statements of Amounts Financial Financial Recognized Condition Condition ---------- ------------- ---------------- $ $ $ Assets Futures............................... 2,391,563 (576,554) 1,815,009 Forwards.............................. 120,687 (106,402) 14,285 --------- -------- --------- Total Assets.......................... 2,512,250 (682,956) 1,829,294 --------- -------- --------- Liabilities Futures............................... (576,554) 576,554 -- Forwards.............................. (106,402) 106,402 -- --------- -------- --------- Total Liabilities..................... (682,956) 682,956 -- --------- -------- --------- Unrealized currency loss.............. (37,574) --------- Net unrealized gain on open contracts. 1,791,720 =========
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements The effect of Trading Activities on the Statements of Financial Condition as of December 31, 2014 and 2013: December 31, 2014 Average Number of Contracts Outstanding Long Long Short Short Net for the Year Unrealized Unrealized Unrealized Unrealized Unrealized (Absolute Futures and Forward Contracts Gain Loss Gain Loss Gain/(Loss) Quantity) ----------------------------- ---------- ---------- ---------- ---------- ----------- ------------ $ $ $ $ Commodity..................... 14,752 (347,794) 652,281 (24,681) 294,558 375 Equity........................ 418,583 (89,028) 1,100 (35,699) 294,956 351 Foreign currency.............. 49,527 (281,674) 467,499 (91,186) 144,166 594 Interest rate................. 566,705 (131,849) 108 (2,063) 432,901 1,443 --------- -------- --------- -------- --------- Total........................ 1,049,567 (850,345) 1,120,988 (153,629) 1,166,581 ========= ======== ========= ======== Unrealized currency loss..... (97,502) --------- Total net unrealized gain on open contracts............. 1,069,079 ========= December 31, 2013 Average Number of Contracts Outstanding Long Long Short Short Net for the Year Unrealized Unrealized Unrealized Unrealized Unrealized (Absolute Futures and Forward Contracts Gain Loss Gain Loss Gain/(Loss) Quantity) ----------------------------- ---------- ---------- ---------- ---------- ----------- ------------ $ $ $ $ $ Commodity..................... 68,217 (116,121) 440,152 (51,851) 340,397 375 Equity........................ 1,314,348 (39) -- (150) 1,314,159 469 Foreign currency.............. 258,532 (114,574) 295,620 (1,778) 437,800 663 Interest rate................. 90,691 (389,730) 44,690 (8,713) (263,062) 1,087 --------- -------- ------- ------- --------- Total........................ 1,731,788 (620,464) 780,462 (62,492) 1,829,294 ========= ======== ======= ======= Unrealized currency loss..... (37,574) --------- Total net unrealized gain on open contracts............. 1,791,720 ========= Average Number of Contracts Outstanding for the Year (Absolute Quantity) ------------ Option Contracts at Fair Value ------------------------------ - $ Options purchased......................................................... -- 7 Options written........................................................... -- 7
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements The following tables summarize the net trading results of each Partnership for the years ended December 31, 2014, 2013, and 2012, respectively. Charter Campbell The effect of Trading Activities on the Statements of Income and Expenses for the years ended December 31, 2014, 2013, and 2012, included in Total Trading Results: December 31, - --------------------------------- 2014 2013 2012 - ---------- ---------- --------- Type of Instrument ------------------ $ $ $ Commodity....................... 599,779 1,883,702 (78,186) Equity.......................... (1,237,700) 5,768,347 1,698,887 Foreign currency................ 2,159,305 1,007,270 588,805 Interest rate................... 3,854,602 (1,753,108) 2,058,201 Unrealized currency gain (loss). (12,086) 965 3,072 ---------- ---------- --------- Total.......................... 5,363,900 6,907,176 4,270,779 ========== ========== ========= Line items on the Statements of Income and Expenses for the years ended December 31, 2014, 2013, and 2012: December 31, - ------------------------------- 2014 2013 2012 --------- --------- ---------- Trading Results --------------- $ $ $ Net realized............. 5,245,875 7,027,256 5,466,229 Net change in unrealized. 118,025 (120,080) (1,195,450) --------- --------- ---------- Total Trading Results... 5,363,900 6,907,176 4,270,779 ========= ========= ========== Charter Aspect The effect of Trading Activities on the Statements of Income and Expenses for the years ended December 31, 2014, 2013, and 2012, included in Total Trading Results: December 31, - ---------------------------------- 2014 2013 2012 - ---------- ---------- ---------- Type of Instrument ------------------ $ $ $ Commodity....................... 5,324,415 (1,148,405) (4,929,264) Equity.......................... (649,691) 5,160,541 (2,163,493) Foreign currency................ 1,173,851 (890,623) (1,694,971) Interest rate................... 4,809,281 (3,930,101) 3,085,699 Unrealized currency gain (loss). 46,941 54,093 (45,631) ---------- ---------- ---------- Total.......................... 10,704,797 (754,495) (5,747,660) ========== ========== ==========
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Line items on the Statements of Income and Expenses for the years ended December 31, 2014, 2013, and 2012: December 31, - --------------------------------- 2014 2013 2012 ---------- ---------- ---------- Trading Results --------------- $ $ $ Net realized............. 9,880,237 (1,960,912) (4,389,057) Net change in unrealized. 824,560 1,206,417 (1,358,603) ---------- ---------- ---------- Total Trading Results... 10,704,797 (754,495) (5,747,660) ========== ========== ========== Charter WNT The effect of Trading Activities on the Statements of Income and Expenses for the years ended December 31, 2014, 2013, and 2012, included in Total Trading Results: December 31, - --------------------------------- 2014 2013 2012 - --------- ---------- ---------- Type of Instrument ------------------ $ $ $ Commodity....................... 1,595,504 1,183,467 (4,329,868) Equity.......................... (267,178) 6,646,764 465,473 Foreign currency................ 1,090,894 1,250,251 (2,691,759) Interest rate................... 5,466,604 (3,216,434) 4,629,105 Unrealized currency gain (loss). (59,929) 5,616 6,686 --------- ---------- ---------- Total.......................... 7,825,895 5,869,664 (1,920,363) ========= ========== ========== Line items on the Statements of Income and Expenses for the years ended December 31, 2014, 2013, and 2012: December 31, - ------------------------------- 2014 2013 2012 --------- --------- ---------- Trading Results --------------- $ $ $ Net realized............. 8,548,536 4,765,656 (1,128,261) Net change in unrealized. (722,641) 1,104,008 (792,102) --------- --------- ---------- Total Trading Results... 7,825,895 5,869,664 (1,920,363) ========= ========= ========== 7. Fair Value Measurements and Disclosures Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 -- unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 -- inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates and credit risk); and Level 3 -- unobservable inputs for the asset or liability (including the Partnerships' own assumptions used in determining the fair value of investments). In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements level of input that is significant to the fair value measurement. The Partnerships' assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and consideration of factors specific to the investment. The Partnerships' assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements. Charter Campbell Unadjusted Quoted Prices in Active Markets Significant for Identical Other Significant Assets and Observable Unobservable Liabilities Inputs Inputs December 31, 2014 (Level 1) (Level 2) (Level 3) Total ----------------- ---------------- ----------- ------------ ---------- $ $ $ $ Assets Futures.................. 873,317 -- n/a 873,317 Forwards................. 111,529 1,424,500 n/a 1,536,029 ------- --------- ---------- Total Assets............. 984,846 1,424,500 n/a 2,409,346 ------- --------- ---------- Liabilities Futures.................. 134,615 -- n/a 134,615 Forwards................. 75,657 905,831 n/a 981,488 ------- --------- ---------- Total Liabilities........ 210,272 905,831 n/a 1,116,103 ------- --------- ---------- Unrealized currency loss. (2,400,799) ---------- *Net fair value.......... 774,574 518,669 n/a (1,107,556) ======= ========= ========== Unadjusted Quoted Prices in Active Markets Significant for Identical Other Significant Assets and Observable Unobservable Liabilites Inputs Inputs December 31, 2013 (Level 1) (Level 2) (Level 3) Total ----------------- ---------------- ----------- ------------ ---------- $ $ $ $ Assets Futures.................. 1,306,032 -- n/a 1,306,032 Forwards................. -- 528,118 n/a 528,118 --------- ------- ---------- Total Assets............. 1,306,032 528,118 n/a 1,834,150 --------- ------- ---------- Liabilities Futures.................. 374,233 -- n/a 374,233 Forwards................. -- 296,785 n/a 296,785 --------- ------- ---------- Total Liabilities........ 374,233 296,785 n/a 671,018 --------- ------- ---------- Unrealized currency loss. (2,388,713) ---------- *Net fair value.......... 931,799 231,333 n/a (1,225,581) ========= ======= ========== * This amount comprises of the "Net unrealized loss on open contracts" on the Statements of Financial Condition. During the twelve months ended December 31, 2014 and 2013, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2 for Charter Campbell.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Charter Aspect Unadjusted Quoted Prices in Active Markets Significant for Identical Other Significant Assets and Observable Unobservable Liabilities Inputs Inputs December 31, 2014 (Level 1) (Level 2) (Level 3) Total ----------------- ---------------- ----------- ------------ --------- $ $ $ $ Assets Futures.................. 2,692,207 -- n/a 2,692,207 Forwards................. 154,658 860,692 n/a 1,015,350 --------- ------- --------- Total Assets............. 2,846,865 860,692 n/a 3,707,557 --------- ------- --------- Liabilities Futures.................. 266,772 -- n/a 266,772 Forwards................. 230,638 465,702 n/a 696,340 --------- ------- --------- Total Liabilities........ 497,410 465,702 n/a 963,112 --------- ------- --------- Unrealized currency gain. 904,006 --------- *Net fair value.......... 2,349,455 394,990 n/a 3,648,451 ========= ======= ========= Unadjusted Quoted Prices in Active Markets Significant for Identical Other Significant Assets and Observable Unobservable Liabilities Inputs Inputs December 31, 2013 (Level 1) (Level 2) (Level 3) Total ----------------- ---------------- ----------- ------------ --------- $ $ $ $ Assets Futures.................. 2,359,953 -- n/a 2,359,953 Forwards................. -- 461,172 n/a 461,172 --------- ------- --------- Total Assets............. 2,359,953 461,172 n/a 2,821,125 --------- ------- --------- Liabilities Futures.................. 658,381 -- n/a 658,381 Forwards................. -- 195,918 n/a 195,918 --------- ------- --------- Total Liabilities........ 658,381 195,918 n/a 854,299 --------- ------- --------- Unrealized currency gain. 857,065 --------- *Net fair value.......... 1,701,572 265,254 n/a 2,823,891 ========= ======= ========= * This amount comprises of the "Net unrealized gain on open contracts" on the Statements of Financial Condition. During the twelve months ended December 31, 2014 and 2013, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2 for Charter Aspect.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Charter WNT Unadjusted Quoted Prices in Active Markets Significant for Identical Other Significant Assets and Observable Unobservable Liabilities Inputs Inputs December 31, 2014 (Level 1) (Level 2) (Level 3) Total ----------------- ---------------- ----------- ------------ --------- $ $ $ $ Assets Futures.................. 1,905,937 -- n/a 1,905,937 Forwards................. 107,239 157,379 n/a 264,618 --------- -------- --------- Total Assets............. 2,013,176 157,379 n/a 2,170,555 --------- -------- --------- Liabilities Futures.................. 511,243 -- n/a 511,243 Forwards................. 146,237 346,494 n/a 492,731 --------- -------- --------- Total Liabilities........ 657,480 346,494 n/a 1,003,974 --------- -------- --------- Unrealized currency loss. (97,502) --------- *Net fair value.......... 1,355,696 (189,115) n/a 1,069,079 ========= ======== ========= Unadjusted Quoted Prices in Active Markets Significant for Identical Other Significant Assets and Observable Unobservable Liabilities Inputs Inputs December 31, 2013 (Level 1) (Level 2) (Level 3) Total ----------------- ---------------- ----------- ------------ --------- $ $ $ $ Assets Futures.................. 2,391,563 -- n/a 2,391,563 Forwards................. -- 120,687 n/a 120,687 --------- ------- --------- Total Assets............. 2,391,563 120,687 n/a 2,512,250 --------- ------- --------- Liabilities Futures.................. 576,554 -- n/a 576,554 Forwards................. -- 106,402 n/a 106,402 --------- ------- --------- Total Liabilities........ 576,554 106,402 n/a 682,956 --------- ------- --------- Unrealized currency loss. (37,574) --------- *Net fair value.......... 1,815,009 14,285 n/a 1,791,720 ========= ======= ========= * This amount comprises of the "Total net unrealized gain on open contracts" on the Statements of Financial Condition. During the twelve months ended December 31, 2014 and 2013, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2 for Charter WNT.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements 8. Financial Highlights The following ratios may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios are calculated for the limited partners' share of income, expenses and average net assets. Charter Campbell 2014 2013 2012 ------ ------ ------ Per Unit operating performance: Net asset value, January 1:........ $10.54 $ 9.69 $ 9.77 ------ ------ ------ Interest Income................... -- (2) -- (2) 0.01 Expenses.......................... (0.67) (0.84) (0.81) Realized/Unrealized Income (1).... 2.85 1.69 0.72 ------ ------ ------ Net Income (Loss)................. 2.18 0.85 (0.08)(3) ------ ------ ------ Net asset value, December 31:...... $12.72 $10.54 $ 9.69 ====== ====== ====== For the Calendar Year: Ratios to average net assets: Net Investment Loss/ /............ (6.5)% (8.1)% (8.2)% Expenses before Incentive Fees.... 6.6% 8.1% 8.2% Expenses after Incentive Fees..... 6.6% 8.1% 8.2% Total return before incentive fees. 20.7% 8.8% (0.8)% Total return after incentive fees.. 20.7% 8.8% (0.8)% (1)Realized/Unrealized Income is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per Unit information. (2)Amount less than 0.005%. (3)The decrease in the net asset value per Unit, while Charter Campbell incurred a net gain for the year ended December 31, 2012, is due to the timing of redemption of Units throughout the year.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements Charter Aspect 2014 2013 2012 ------ ------ ------ Per Unit operating performance: Net asset value, January 1:............ $16.27 $17.83 $20.94 ------ ------ ------ Interest Income....................... -- (2) 0.01 0.01 Expenses.............................. (1.01) (1.30) (1.58) Realized/Unrealized Income (Loss) (1). 5.83 (0.27) (1.54) ------ ------ ------ Net Income (Loss)..................... 4.82 (1.56) (3.11) ------ ------ ------ Net asset value, December 31:.......... $21.09 $16.27 $17.83 ====== ====== ====== For the Calendar Year: Ratios to average net assets: Net Investment Loss/ /................ (6.2)% (7.7)% (7.9)% Expenses before Incentive Fees........ 6.2% 7.7% 8.0% Expenses after Incentive Fees......... 6.2% 7.7% 8.0% Total return before incentive fees..... 29.6% (8.7)% (14.9)% Total return after incentive fees...... 29.6% (8.7)% (14.9)% (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)Amount less than 0.005%. Charter WNT 2014 2013 2012 ------ ------ ------ Per Unit operating performance: Net asset value, January 1:............ $12.22 $11.37 $12.62 ------ ------ ------ Interest Income....................... -- (2) 0.01 0.01 Expenses.............................. (1.10) (0.88) (0.92) Realized/Unrealized Income (Loss) (1). 3.42 1.72 (0.34) ------ ------ ------ Net Income (Loss)..................... 2.32 0.85 (1.25) ------ ------ ------ Net asset value, December 31:.......... $14.54 $12.22 $11.37 ====== ====== ====== For the Calendar Year: Ratios to average net assets: Net Investment Loss/ /................ (8.7)% (7.5)% (7.7)% Expenses before Incentive Fees........ 6.2% 7.6% 7.8% Expenses after Incentive Fees......... 8.7% 7.6% 7.8% Total return before incentive fees..... 21.6% 7.5% (9.9)% Total return after incentive fees...... 19.0% 7.5% (9.9)% (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)Amount less than 0.005%.
Morgan Stanley Smith Barney Charter Series Notes to Financial Statements 9. Subsequent Events Management performed its evaluation of subsequent events through the date of filing, and has determined that there were no subsequent events requiring adjustments of or disclosure in the financial statements.
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