Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2015		12/31/2015		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	708,940	$	(192,304)	$	516,636
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		1,586,035		(488,106)		1,097,929
Energy contracts	Net Unrealized gain (loss) on open futures contracts		1,861,351		(1,035,133)		826,218
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		853,598		(2,119,167)		(1,265,569)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		18,294		(165,939)		(147,645)
Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,206,519		(912,776)		293,743
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		101,389		(273,791)		(172,402)
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		614,583		(935,898)		(321,315)
		$	6,950,709	$	(6,123,114)	$	827,595
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	682,325	$	(922,984)	$	(240,659)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	1,168,100	$	—	$	1,168,100
*At December 31, 2015, the sector exposure of the CTA indices underlying the swap was:
Interest rate contracts	43%
Forward currency contracts	42%
Stock indices and stock index options	15%
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

		Years Ended December 31,
Type of Contract		2015		2014		2013
Agriculturals contracts	Net gain (loss) from futures trading	$	(5,823,922)	$	4,048,911	$	4,293,821
Currencies contracts	Net gain (loss) from futures trading		(1,033,607)		14,766,227		(440,299)
Energy contracts	Net gain (loss) from futures trading		7,578,021		10,731,474		(23,395,558)
Interest rates contracts	Net gain (loss) from futures trading		(546,752)		32,913,449		(24,374,049)
Meats contracts	Net gain (loss) from futures trading		40,851		3,446,508		1,088,278
Metals contracts	Net gain (loss) from futures trading		(493,305)		(7,747,986)		4,917,479
Soft commodities contracts	Net gain (loss) from futures trading		(1,501,617)		3,171,146		617,412
Stock indices	Net gain (loss) from futures trading		(10,362,726)		(13,390,190)		53,211,357
Forward Currency Contracts	Net gain (loss) from forward trading		(2,077,514)		(1,940,807)		2,562,442
Swap Contracts	Net gain (loss) from swap trading		1,168,100		—		—
		$	(13,052,471)	$	45,998,732	$	18,480,883

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of Operations	For years ended December 31,
	2015		2014		2013
Net gain (loss) from futures trading
Realized	$	(1,421,184)	$	61,055,762	$	(6,521,514)
Change in unrealized		(10,721,873)		(13,116,223)		22,439,955
Total realized and changed in unrealized net gain (loss) from futures trading	$	(12,143,057)	$	47,939,539	$	15,918,441
Net gain (loss) from forward trading
Realized	$	(2,018,078)	$	(994,524)	$	3,234,628
Change in unrealized		(59,436)		(946,283)		(672,186)
Total realized and changed in unrealized net gain (loss) from forward trading	$	(2,077,514)	$	(1,940,807)	$	2,562,442
Net gain (loss) from swap trading
Change in unrealized	$	1,168,100		—		—
Total realized and changed in unrealized net gain (loss) from swap trading	$	1,168,100	$	—	$	—
Total realized and changed in unrealized net gain (loss) from futures, forward and swap trading	$	(13,052,471)	$	45,998,732	$	18,480,883

Schedule of Offsetting of Derivative Assets

					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	$	6,950,709	$	(6,123,114)	$	827,595
Forward contracts		682,325		(922,984)		(240,659)
Swap Contracts		1,168,100		—		1,168,100
Total derivatives	$	8,801,134	$	(7,046,098)	$	1,755,036

					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)
Options on futures and forward contracts		—		—		—
Total derivatives	$	16,665,824	$	(5,297,579)	$	11,368,245

Schedule of Offsetting of Derivative Liabilities

					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	$	6,123,114	$	(6,123,114)	$	—
Forward contracts		922,984		(922,984)		—
Swap contracts		—		—		—
Total derivatives	$	7,046,098	$	(7,046,098)	$	—

					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	$	3,919,537	$	(3,919,537)	$	—
Forward contracts		1,378,042		(1,378,042)		—
Options on futures and forward contracts		—		—		—
Total derivatives	$	5,297,579	$	(5,297,579)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

			Gross Amounts Not Offset in the Consolidated
			Statement of Financial Condition
	Net Amount of
	Unrealized Gain
	Presented in
	the Consolidated
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
Deutsche Bank AG	$	1,168,100	$	—	$	—	$	1,168,100
ED&F Man Capital Markets Inc		525,206		—		—		525,206
SG Americas Securities, LLC		281,024		—		—		281,024
UBS Securities LLC		(219,294)		—		—		(219,294)
Total	$	1,755,036	$	—	$	—	$	1,755,036

			Gross Amounts Not Offset in the Consolidated
			Statement of Financial Condition
	Net Amount of
	Unrealized Gain
	Presented in
	the Consolidated
	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