XML 40 R18.htm IDEA: XBRL DOCUMENT v3.19.1
Trading Activities (Tables)
12 Months Ended
Dec. 31, 2018
Brokers and Dealers [Abstract]  
Summary of Gross and Net Amounts Recognized Relating to Assets and Liabilities of Partnership's Derivatives

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting or similar arrangements as of December 31, 2018 and 2017, respectively.

 

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

December 31, 2018

  Recognized     Condition     Condition     Instruments     Pledged*     Net Amount  

Assets

           

Forwards

  $ 137,302     $ (108,245 )    $ 29,057     $ —       $ —       $ 29,057  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

  $ 137,302     $ (108,245 )    $ 29,057     $ —       $ —       $ 29,057  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities

           

Forwards

  $ (108,245 )    $ 108,245     $ —       $ —       $ —       $ —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

  $ (108,245 )    $ 108,245     $ —       $ —       $ —       $ —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net fair value

            $ 29,057 * 
           

 

 

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

December 31, 2017

  Recognized     Condition     Condition     Instruments     Pledged*     Net Amount  

Assets

           

Futures

  $ 9,793,492     $ (4,789,432 )    $ 5,004,060     $ —       $ —       $ 5,004,060  

Forwards

    11,774,122       (10,900,848 )      873,274       —         —         873,274  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

  $ 21,567,614     $ (15,690,280 )    $ 5,877,334     $ —       $ —       $ 5,877,334  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities

           

Futures

  $ (4,789,432 )    $ 4,789,432     $ —       $ —       $ —       $ —    

Forwards

    (10,900,848 )      10,900,848       —         —         —         —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

  $ (15,690,280 )    $ 15,690,280     $ —       $ —       $ —       $ —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net fair value

            $ 5,877,334 * 
           

 

 

 

 

*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default.

Gross Fair Values of Derivative Instruments of Futures and Forward Contracts Traded

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts held directly by the Partnership as separate assets and liabilities as of December 31, 2018 and 2017, respectively.

 

     December 31, 2018  

Assets

  

Forward Contracts

  

Metals

   $ 137,302  
  

 

 

 

Total unrealized appreciation on open forward contracts

     137,302  
  

 

 

 

Liabilities

  

Forward Contracts

  

Metals

     (108,245 ) 
  

 

 

 

Total unrealized depreciation on open forward contracts

     (108,245 ) 
  

 

 

 

Net unrealized appreciation on open forward contracts

   $ 29,057 * 
  

 

 

 

 

*

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

 

     December 31, 2017  

Assets

  

Futures Contracts

  

Energy

   $ 4,510,786  

Grains

     629,298  

Indices

     2,719,041  

Interest Rates U.S.

     71,430  

Interest Rates Non-U.S.

     641,412  

Metals

     666,037  

Softs

     555,488  
  

 

 

 

Total unrealized appreciation on open futures contracts

     9,793,492  
  

 

 

 

Liabilities

  

Futures Contracts

  

Energy

     (787,785 ) 

Grains

     (29,437 ) 

Indices

     (1,479,383 ) 

Interest Rates U.S.

     (757,358 ) 

Interest Rates Non-U.S.

     (1,322,106 ) 

Livestock

     (27,290 ) 

Metals

     (263,285 ) 

Softs

     (122,788 ) 
  

 

 

 

Total unrealized depreciation on open futures contracts

     (4,789,432 ) 
  

 

 

 

Net unrealized appreciation on open futures contracts

   $ 5,004,060 * 
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

   $ 8,187,150  

Metals

     3,586,972  
  

 

 

 

Total unrealized appreciation on open forward contracts

     11,774,122  
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

     (7,330,639 ) 

Metals

     (3,570,209 ) 
  

 

 

 

Total unrealized depreciation on open forward contracts

     (10,900,848 ) 
  

 

 

 

Net unrealized appreciation on open forward contracts

   $ 873,274 ** 
  

 

 

 

 

*

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

**

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

Trading Gains and Losses by Market Sector on Derivative Instruments Traded

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the years ended December 31, 2018, 2017 and 2016, respectively.

 

Sector

   2018     2017     2016  

Currencies

   $ (3,364,175 )    $ (7,867,522 )    $ 3,080,007  

Energy

     2,715,862       (106,263 )      (12,279,027 ) 

Grains

     (3,115,089 )      (4,270,109 )      (210,422 ) 

Indices

     (6,559,366 )      29,363,266       (6,694,075 ) 

Interest Rates U.S.

     (2,158,832 )      (4,548,710 )      (4,607,629 ) 

Interest Rates Non-U.S.

     (631,329 )      (7,142,822 )      4,717,308  

Livestock

     (155,263 )      (902,168 )      (1,279,792 ) 

Metals

     (1,219,114 )      (404,789 )      (4,359,666 ) 

Softs

     708,983       (233,585 )      (1,168,318 ) 
  

 

 

   

 

 

   

 

 

 

Total

   $ (13,778,323 )***    $ 3,887,298 ***    $ (22,801,614 )*** 
  

 

 

   

 

 

   

 

 

 

 

***

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