Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statement of Financial	Derivatives		Derivatives
	Condition Location	9/30/2015		9/30/2015			Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	169,760	$	(502,428	)	$	(332,668	)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts	308,724		(564,784		)	(256,060		)
Energy contracts	Net Unrealized gain (loss) on open futures contracts	1,268,894		(230,700		)	1,038,194
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts	5,559,896		(350,106		)	5,209,790
Meats contracts	Net Unrealized gain (loss) on open futures contracts	1,039,677		(31,001		)	1,008,676
Metals contracts	Net Unrealized gain (loss) on open futures contracts	1,821,568		(1,399,678		)	421,890
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts	392,979		(221,188		)	171,791
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts	557,622		(525,904		)	31,718
		$	11,119,120	$	(3,825,789	)	$	7,293,331
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	544,937	$	(1,025,380	)	$	(480,443	)
Swap Contracts	Net Unrealized gain (loss) on open swap contracts*	$	411,108	$	—		$	411,108

*At September 30, 2015, the sector exposure of the CTA indices underlying the swap was:

Financial contracts	100	%
Total	100	%

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2014		12/31/2014			Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	191,641	$	(419,214	)	$	(227,573	)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts	2,137,050		(159,450		)	1,977,600
Energy contracts	Net Unrealized gain (loss) on open futures contracts	3,081,754		(309,423		)	2,772,331
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts	5,167,693		(539,761		)	4,627,932
Meats contracts	Net Unrealized gain (loss) on open futures contracts	59,987		(153,808		)	(93,821		)
Metals contracts	Net Unrealized gain (loss) on open futures contracts	1,755,563		(1,529,838		)	225,725
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts	888,928		(68,652		)	820,276
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts	2,186,388		(739,391		)	1,446,997
		$	15,469,004	$	(3,919,537	)	$	11,549,467
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	1,196,820	$	(1,378,042	)	$	(181,222	)

Schedule of Effect of Derivative Instruments on the Consolidated Statement of Operations

		Three			Three			Nine			Nine
	Consolidated Statements	Months Ended			Months Ended			Nine Months Ended			Nine Months Ended
Type of Contract	of Operations Location	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
Agriculturals contracts	Net gain (loss) from futures trading	$	(3,642,108	)	$	3,941,949		$	(5,673,825	)	$	6,051,012
Currencies contracts	Net gain (loss) from futures trading	(907,715		)	13,757,052			(224,472		)	6,839,216
Energy contracts	Net gain (loss) from futures trading	3,494,867			(1,375,799		)	(481,619		)	(3,899,749		)
Interest rates contracts	Net gain (loss) from futures trading	6,881,657			6,539,153			7,219,014			20,375,165
Meats contracts	Net gain (loss) from futures trading	1,290,101			(1,443,630		)	1,080,496			3,803,069
Metals contracts	Net gain (loss) from futures trading	3,250,322			1,714,140			(952,507		)	(8,540,833		)
Soft commodities contracts	Net gain (loss) from futures trading	(316,326		)	3,229,000			(529,454		)	3,069,168
Stock indices	Net gain (loss) from futures trading	(7,389,463		)	(1,718,087		)	(4,671,303		)	(8,256,770		)
Forward Currency Contracts	Net gain (loss) from forward trading	(1,531,467		)	(330,774		)	(2,112,059		)	(3,008,033		)
Swap Contracts	Net gain (loss) from swap trading	411,108			—			411,108			—
		$	1,540,976		$	24,313,004		$	(5,934,621	)	$	16,432,245

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of	Three Months Ended						Nine Months Ended
Operations	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
Net gain (loss) from futures trading Realized	$	(4,068,248	)	$	24,289,534		$	22,467		$	33,347,892
Change in unrealized	6,729,583			354,244			(4,256,137		)	(13,907,614		)
Total realized and changed in unrealized net gain (loss) from futures trading	$	2,661,335		$	24,643,778		$	(4,233,670	)	$	19,440,278
Net gain (loss) from forward trading Realized	$	(734,802	)	$	708,675		$	(1,812,839	)	$	(1,666,454	)
Change in unrealized		(796,665	)	(1,039,449		)		(299,220	)	(1,341,579		)
Total realized and changed in unrealized net gain (loss) from forward trading	$	(1,531,467	)	$	(330,774	)	$	(2,112,059	)	$	(3,008,033	)
Net gain (loss) from swap trading Realized	$	—		$	—		$	—		$	—
Change in unrealized	411,108			—			411,108			—
Total realized and changed in unrealized net gain (loss) from swap trading	$	411,108		$	—		$	411,108		$	—
Total realized and changed in unrealized net gain (loss) from futures, forward and swap trading	$	1,540,976		$	24,313,004		$	(5,934,621	)	$	16,432,245

Schedule of Offsetting of Derivative Assets

As of September 30, 2015

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Assets		Financial Condition			Financial Condition
U.S. and foreign futures contracts	$	11,119,120	$	(3,825,789	)	$	7,293,331
Forward contracts	544,937		(1,025,380		)	(480,443		)
Swap contracts	411,108		—			411,108
Total derivatives	$	12,075,165	$	(4,851,169	)	$	7,223,996

As of December 31, 2014

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Assets		Financial Condition			Financial Condition
U.S. and foreign futures contracts	$	15,469,004	$	(3,919,537	)	$	11,549,467
Forward contracts	1,196,820		(1,378,042		)	(181,222		)
Total derivatives	$	16,665,824	$	(5,297,579	)	$	11,368,245

Schedule of Offsetting of Derivative Liabilities

As of September 30, 2015

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Liabilities		Financial Condition			Financial Condition
U.S. and foreign futures contracts	$	3,825,789	$	(3,825,789	)	$	—
Forward contracts	1,025,380		(1,025,380		)	—
Swap contracts	—		—			—
Total derivatives	$	4,851,169	$	(4,851,169	)	$	—

As of December 31, 2014

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Assets		Financial Condition			Financial Condition
U.S. and foreign futures contracts	$	3,919,537	$	(3,919,537	)	$	—
Forward contracts	1,378,042		(1,378,042		)	—
Total derivatives	$	5,297,579	$	(5,297,579	)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

As of September 30, 2015

	Net Amount of
	Unrealized Gain
	Presented in		Gross Amounts Not Offset in the Consolidated
	the Consolidated		Statement of Financial Condition
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
Deutsche Bank AG	$	411,108	$	—	$	—	$	411,108
ED&F Man Capital Markets Inc.	1,920,294		—		—		1,920,294
SG Americas Securities, LLC	2,041,914		—		—		2,041,914
UBS Securities LLC	2,850,680		—		—		2,850,680
Total	$	7,223,996	$	—	$	—	$	7,223,996

As of December 31, 2014

	Net Amount of
	Unrealized Gain
	Presented in		Gross Amounts Not Offset in the Consolidated
	the Consolidated		Statement of Financial Condition
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
Bank of America N.A.	$	207,217	$	—	$	—	$	207,217
Jefferies Bache, LLC	4,107,099		—		—		4,107,099
SG Americas Securities, LLC	1,285,569		—		—		1,285,569
UBS Securities LLC	5,768,360		—		—		5,768,360
Total	$	11,368,245	$	—	$	—	$	11,368,245